NPORT-P
false
0000822977
XXXXXXXX
S000009306
C000058955
C000025404
C000025405
C000058956
C000025406
C000161289
C000025408
C000202037
GOLDMAN SACHS TRUST
811-05349
0000822977
S2FHCT8U6D2VORP0J605
71 SOUTH WACKER DRIVE
C/O GOLDMAN SACHS & CO
CHICAGO
60606
312-655-4400
Goldman Sachs Core Fixed Income Fund
S000009306
2NJKQB9WFS0RLSFC6S95
2022-03-31
2022-03-31
N
2322388580.20
595977509.12
1726411071.08
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
137127858.07000000
0.00000000
0.00000000
30873989.71000000
AUD
CAD
CHF
EUR
GBP
JPY
NOK
NZD
SEK
USD
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W7WP5
50925.05000000
PA
USD
51158.43000000
0.002963282085
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006016 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006016 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
4350000.00000000
OU
Notional Amount
USD
100699.46000000
0.005832878489
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
STATE OF QATAR
STATE OF QATAR
Y
sell protection
2025-12-20
72557.11000000
USD
0.00000000
USD
4350000.00000000
USD
28142.35000000
N
N
N
AFRICAN EXPORT-IMPORT BA
21380068LJCDYA42GJ76
African Export-Import Bank/The
00831TAC5
830000.00000000
PA
USD
765567.10000000
0.044344427165
Long
DBT
NUSS
XX
N
2
2031-05-17
Fixed
3.79800000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEF8
3175000.00000000
PA
USD
2725737.50000000
0.157884616570
Long
DBT
CORP
US
N
2
2036-09-16
Fixed
2.48400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MKQH2
79297.78000000
PA
USD
79661.19000000
0.004614265474
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Stratton Mortgage Funding PLC
213800RHNWAD2QXB3483
Stratton Mortgage Funding 2019-1 PLC
000000000
2974538.05000000
PA
3912549.23000000
0.226629062773
Long
ABS-MBS
CORP
GB
N
2
2051-05-25
Floating
1.39000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WTZ1
7873817.84000000
PA
USD
7791608.02000000
0.451318237615
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9HH9
673347.80000000
PA
USD
698354.52000000
0.040451230399
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217241 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217241 IRS USD P F 1.50000 2 CCPOIS
000000000
25000000.00000000
OU
Notional Amount
USD
516572.50000000
0.029921755522
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
227367.23000000
USD
0.00000000
USD
25000000.00000000
USD
289205.27000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
1325000.00000000
PA
USD
1321157.50000000
0.076526241179
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
1775000.00000000
PA
USD
1865755.75000000
0.108071349938
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
SKYWORKS SOLUTIONS INC
549300WZ3ORQ2BVKBD96
Skyworks Solutions Inc
83088MAL6
625000.00000000
PA
USD
557131.25000000
0.032271065642
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPS04813A SWAPTION SOFRRATE
000000000
-5830000.00000000
NC
USD
-2461.43000000
-0.00014257496
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
5830000.00000000
OU
Notional Amount
N/A
-2461.43000000
0.00000000
DIR
US
N/A
N/A
2032-04-13
0.00000000
N/A
0.00000000
N/A
5830000.00000000
USD
1.00000000
1.83000000
USD
2022-04-11
XXXX
61960.07000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
161000.00000000
PA
USD
141475.53000000
0.008194776572
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BK6
400000.00000000
PA
USD
404796.00000000
0.023447254641
Long
DBT
CORP
GB
N
2
2025-03-22
Fixed
4.26900000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
100000.00000000
PA
91957.01000000
0.005326484030
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217076 IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR217076 IRS NOK P F 2.00000 2 CCPVANILLA
000000000
11070000.00000000
OU
Notional Amount
49195.19000000
0.002849564094
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-16
72081.77000000
NOK
0.00000000
NOK
11070000.00000000
NOK
80458.90000000
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AH9
1150000.00000000
PA
USD
1176783.50000000
0.068163574696
Long
DBT
US
N
2
2025-11-15
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEU4
2251000.00000000
PA
USD
2338271.27000000
0.135441165152
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
4.01600000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAP6
2075000.00000000
PA
USD
2084794.00000000
0.120758840980
Long
DBT
CORP
IE
N
2
2022-07-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NXRK5
25860.09000000
PA
USD
25978.60000000
0.001504774872
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KN0
3175000.00000000
PA
USD
3202082.75000000
0.185476263657
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS04850A SWAPTION SOFRRATE
000000000
-5830000.00000000
NC
USD
-46382.90000000
-0.00268666604
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
5830000.00000000
OU
Notional Amount
N/A
-46382.90000000
0.00000000
DIR
US
N/A
N/A
2032-04-27
0.00000000
N/A
0.00000000
N/A
5830000.00000000
USD
1.00000000
2.16500000
USD
2022-04-25
XXXX
22119.60000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN22
000000000
703.00000000
NC
USD
-2058951.92000000
-0.11926197384
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year US Treasury Note
TYM2 COMDTY
2022-06-21
88319248.80000000
USD
-2058951.92000000
N
N
N
Port of Oakland
N/A
PORT OF OAKLAND CA
735000TQ4
330000.00000000
PA
USD
306128.03000000
0.017732047432
Long
DBT
MUN
US
N
2
2028-05-01
Fixed
1.94900000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFW7
1165000.00000000
PA
USD
1270502.40000000
0.073592113795
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31386PGT4
10271.18000000
PA
USD
11160.29000000
0.000646444533
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
8.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS03962A SWAPTION SONIO
000000000
-2670000.00000000
NC
-4820.63000000
-0.00027922839
N/A
DIR
GB
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
2670000.00000000
OU
Notional Amount
N/A
-4820.63000000
0.00000000
DIR
GB
N/A
N/A
2032-10-10
0.00000000
N/A
0.00000000
N/A
2670000.00000000
GBP
1.00000000
0.37900000
GBP
2022-10-10
XXXX
51253.27000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
2700000.00000000
PA
USD
2663469.00000000
0.154277798875
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAV8
2035000.00000000
PA
USD
2032456.25000000
0.117727248396
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGR83
7637391.28000000
PA
USD
7557831.81000000
0.437777070397
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
NiSource Inc
549300D8GOWWH0SJB189
NiSource Inc
65473QBE2
2500000.00000000
PA
USD
2494075.00000000
0.144465883113
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.49000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MJGD5
36882.33000000
PA
USD
37028.31000000
0.002144814211
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BD9
1850000.00000000
PA
USD
1710491.50000000
0.099077880619
Long
DBT
CORP
US
N
2
2026-04-27
Fixed
1.62500000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp
448579AN2
2000000.00000000
PA
USD
1924314.00000000
0.111463256476
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
1.80000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
3350000.00000000
PA
USD
3112552.00000000
0.180290317418
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
KOREA DEVELOPMENT BANK
549300ML2LNRZUCS7149
Korea Development Bank/The
500630DQ8
720000.00000000
PA
USD
702280.80000000
0.040678654798
Long
DBT
NUSS
KR
N
2
2025-02-24
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QT50
213927.13000000
PA
USD
222133.52000000
0.012866780323
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179N5W4
2535.66000000
PA
USD
2634.51000000
0.000152600388
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
4.00000000
N
N
N
N
N
N
ZAIS CLO 15 LTD
549300BTYXZYFTGVBO58
ZAIS CLO 15 LTD
98888DAN2
3250000.00000000
PA
USD
3243178.25000000
0.187856664286
Long
ABS-CBDO
CORP
KY
N
2
2032-07-28
Floating
1.62800000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
1625000.00000000
PA
USD
1603452.50000000
0.092877792946
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAH4
1050000.00000000
PA
USD
1051701.00000000
0.060918341964
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
2625000.00000000
PA
USD
2739003.75000000
0.158653045956
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397S7M0
493168.42000000
PA
USD
523080.12000000
0.030298700510
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006023 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006023 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2580000.00000000
OU
Notional Amount
USD
49466.08000000
0.002865255026
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Republic of Chile
Republic of Chile
Y
sell protection
2025-12-20
31071.75000000
USD
0.00000000
USD
2580000.00000000
USD
18394.33000000
N
N
N
American Homes 4 Rent
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAB3
723000.00000000
PA
USD
770508.33000000
0.044630641155
Long
DBT
US
N
2
2029-02-15
Fixed
4.90000000
N
N
N
N
N
N
JAB HOLDINGS BV
529900RRNKUM3INJGF98
JAB Holdings BV
46653KAA6
500000.00000000
PA
USD
446160.00000000
0.025843207766
Long
DBT
CORP
NL
N
2
2030-11-23
Fixed
2.20000000
N
N
N
N
N
N
ABU DHABI CRUDE OIL
549300DONDFW2383FV66
Abu Dhabi Crude Oil Pipeline LLC
00401MAB2
1190000.00000000
PA
USD
1257904.38000000
0.072862390717
Long
DBT
CORP
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
Long: CX002956 CDS USD R F 3.00000 2 CMBX / Short: CX002956 CDS USD P V 01MEVENT 1 CMBX
000000000
1100000.00000000
OU
Notional Amount
USD
-87828.18000000
-0.00508732719
N/A
DCR
US
N
2
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-326244.44000000
USD
1100000.00000000
USD
238416.26000000
N
N
N
SPIRIT REALTY LP
549300GTBVIBJRX5BW73
Spirit Realty LP
84861TAD0
1900000.00000000
PA
USD
1920995.00000000
0.111271007941
Long
DBT
US
N
2
2029-07-15
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 16-C1 Mortgage Trust
23312LAG3
1500000.00000000
PA
USD
1145415.89000000
0.066346648789
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Variable
3.32600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q95B5
737463.79000000
PA
USD
767814.33000000
0.044474594890
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERH60
89502.32000000
PA
USD
92426.92000000
0.005353702924
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BZY5
34884.15000000
PA
USD
36228.01000000
0.002098457928
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBN8
925000.00000000
PA
USD
827662.25000000
0.047941203799
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
1.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WRNS5
57079.32000000
PA
USD
57340.91000000
0.003321393783
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BN5
2300000.00000000
PA
USD
2479446.00000000
0.143618518296
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
5.20000000
N
N
N
N
N
N
LUNDIN ENERGY FI
549300JSNI1KL271GM17
Lundin Energy Finance BV
55037AAA6
2425000.00000000
PA
USD
2264174.00000000
0.131149182134
Long
DBT
CORP
NL
N
2
2026-07-15
Fixed
2.00000000
N
N
N
N
N
N
Arch Capital Group Ltd
549300AYR4P8AFKDCE43
Arch Capital Group Ltd
03937LAA3
1125000.00000000
PA
USD
1473232.50000000
0.085334977554
Long
DBT
CORP
BM
N
2
2034-05-01
Fixed
7.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417G4E3
553060.77000000
PA
USD
555595.39000000
0.032182103052
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAG3
3125000.00000000
PA
USD
2821406.25000000
0.163426098063
Long
DBT
CORP
XX
N
2
2031-05-11
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020642
-70000000.00000000
PA
USD
-66558016.00000000
-3.85528204232
Short
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBPV4
202497.32000000
PA
USD
210146.29000000
0.012172436421
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312933VG6
89793.49000000
PA
USD
96904.80000000
0.005613077998
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAG6
94060000.00000000
PA
USD
93740342.73000000
5.429781139630
Long
DBT
UST
US
N
1
2022-08-31
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NS63
39751.53000000
PA
USD
42541.96000000
0.002464184846
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
7.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS03898A SWAPTION SONIO SEP22 0.281 CALL
000000000
21480000.00000000
NC
2121.94000000
0.000122910472
N/A
DIR
GB
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
21480000.00000000
OU
Notional Amount
N/A
2121.94000000
0.00000000
DIR
GB
N/A
N/A
2023-09-08
0.00000000
N/A
0.00000000
N/A
21480000.00000000
GBP
1.00000000
0.28100000
GBP
2022-09-08
XXXX
-38914.78000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VQU7
504659.43000000
PA
USD
509268.74000000
0.029498695214
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: CX003047 CDS USD R F 3.00000 2 CMBX / Short: CX003047 CDS USD P V 01MEVENT 1 CMBX
000000000
2600000.00000000
OU
Notional Amount
USD
-339625.00000000
-0.01967231360
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-17
0.00000000
USD
-392808.73000000
USD
2600000.00000000
USD
53183.73000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAC7
1950000.00000000
PA
USD
1976461.50000000
0.114483829089
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYKA6
696820.68000000
PA
USD
722753.56000000
0.041864511419
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Diameter Capital CLO 1 Ltd.
25490018I1ROE4V49X69
Diameter Capital Clo 1 Ltd
25255DAA8
5250000.00000000
PA
USD
5198266.50000000
0.301102477102
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
1.48100000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHZ5
225000.00000000
PA
USD
206457.75000000
0.011958782786
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
2.49600000
N
N
N
N
N
N
City of Yuma AZ
N/A
YUMA AZ PLEDGED REVENUE
98851WAH6
35000.00000000
PA
USD
32623.29000000
0.001889659452
Long
DBT
MUN
US
N
2
2028-07-15
Fixed
1.74900000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAB1
800000.00000000
PA
USD
811680.00000000
0.047015453827
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.00000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BG7
2625000.00000000
PA
USD
2399381.25000000
0.138980877161
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.85000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBT1
1110000.00000000
PA
USD
1116804.30000000
0.064689361572
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MCT46
7818.93000000
PA
USD
7854.76000000
0.000454976229
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Tencent Holdings Ltd
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032XAG9
830000.00000000
PA
USD
809125.50000000
0.046867487909
Long
DBT
CORP
KY
N
2
2028-01-19
Fixed
3.59500000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAE2
1150000.00000000
PA
USD
1186305.50000000
0.068715123522
Long
DBT
CORP
FR
N
2
2028-09-12
Fixed
4.62500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABT1
2205000.00000000
PA
USD
1987256.25000000
0.115109100218
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAC0
675000.00000000
PA
USD
615802.50000000
0.035669517550
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
1.35000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 17-C6 Mortgage Trust
23312JAQ6
1757000.00000000
PA
USD
1520418.90000000
0.088068185235
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Variable
3.21800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NVU6
1212.97000000
PA
USD
1298.71000000
0.000075226000
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217685 IRS EUR R F 1.48900 2 CCPVANILLA / Short: SR217685 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
2170000.00000000
OU
Notional Amount
182.92000000
0.000010595390
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-29
32.98000000
EUR
0.00000000
EUR
2170000.00000000
EUR
21737.74000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9EA2
84110.42000000
PA
USD
91514.29000000
0.005300840079
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
7.00000000
N
N
N
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA STWD CMNTYS DEV AUTH REVENUE
13080SZR8
95000.00000000
PA
USD
85962.47000000
0.004979258499
Long
DBT
MUN
US
N
2
2030-02-01
Fixed
1.80700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UML3
2693108.18000000
PA
USD
2756652.34000000
0.159675316393
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
State of Louisiana
N/A
LOUISIANA ST UNCLAIMED PROPERTY SPL REVENUE
54651RDG1
100000.00000000
PA
USD
88107.75000000
0.005103520909
Long
DBT
MUN
US
N
2
2028-09-01
Fixed
1.54300000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAG5
704000.00000000
PA
USD
716101.76000000
0.041479215002
Long
DBT
CORP
US
N
2
2023-05-25
Fixed
4.05700000
N
N
N
N
N
N
WEIR GROUP PLC (THE)
549300KDR56WHY9I3D10
Weir Group PLC/The
94876QAA4
2375000.00000000
PA
USD
2205781.25000000
0.127766861957
Long
DBT
CORP
GB
N
2
2026-05-13
Fixed
2.20000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
275000.00000000
PA
USD
310928.75000000
0.018010122572
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DR0
100000.00000000
PA
USD
76143.75000000
0.004410522573
Long
DBT
NUSS
PE
N
2
2121-07-28
Fixed
3.23000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAG7
600000.00000000
PA
USD
604860.00000000
0.035035688204
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
3.62500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
5225000.00000000
PA
USD
4826646.00000000
0.279576867922
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAR2
2850000.00000000
PA
USD
2860972.50000000
0.165717918978
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406VSY3
133943.99000000
PA
USD
137919.70000000
0.007988809983
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
1.54200000
N
N
N
N
N
N
Port of Oakland
N/A
PORT OF OAKLAND CA
735000TS0
55000.00000000
PA
USD
49652.63000000
0.002876060680
Long
DBT
MUN
US
N
2
2030-05-01
Fixed
2.09900000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AP4
750000.00000000
PA
USD
763282.50000000
0.044212094835
Long
DBT
US
N
2
2026-04-15
Fixed
3.80000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
10600000.00000000
PA
USD
9916194.00000000
0.574381974612
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAD9
1050000.00000000
PA
USD
1050220.50000000
0.060832586027
Long
DBT
CORP
FR
N
2
2024-10-04
Fixed
3.25000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
5025000.00000000
PA
USD
5061330.75000000
0.293170661077
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
San Jose Financing Authority
N/A
SAN JOSE CA FING AUTH LEASE REVENUE
798153NJ7
345000.00000000
PA
USD
319179.72000000
0.018488048724
Long
DBT
MUN
US
N
2
2029-06-01
Fixed
1.81200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CCW2
15537.68000000
PA
USD
16045.39000000
0.000929407269
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD89
14084.84000000
PA
USD
14616.34000000
0.000846631503
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.00000000
N
N
N
N
N
N
AMDOCS LTD
549300HQV672RJ7RQV66
Amdocs Ltd
02342TAE9
1225000.00000000
PA
USD
1114541.75000000
0.064558306458
Long
DBT
CORP
GG
N
2
2030-06-15
Fixed
2.53800000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAK6
3000000.00000000
PA
USD
2910000.00000000
0.168557769858
Long
DBT
NUSS
RO
N
2
2027-02-27
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G0Q22
3700000.00000000
PA
USD
3601543.00000000
0.208614452277
Long
DBT
USGSE
US
N
2
2026-09-24
Fixed
1.87500000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
6965000.00000000
PA
USD
6140622.60000000
0.355687165291
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AE4
475000.00000000
PA
USD
475000.00000000
0.027513725320
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBH76
755796.40000000
PA
USD
783924.12000000
0.045407732441
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
HUARONG FINANCE 2017 CO
5493006V07LYI3HE6G83
Huarong Finance 2017 Co Ltd
000000000
200000.00000000
PA
USD
196000.00000000
0.011353031921
Long
DBT
CORP
VG
N
2
2027-04-27
Fixed
4.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005903 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005903 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1000000.00000000
OU
Notional Amount
USD
17875.60000000
0.001035419680
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF CHILE
REPUBLIC OF CHILE
Y
sell protection
2024-12-20
11527.19000000
USD
0.00000000
USD
1000000.00000000
USD
6348.41000000
N
N
N
CK HUTCHISON INTNTL 21
254900E16YL0NL5TFN79
CK Hutchison International 21 Ltd
12565WAB7
200000.00000000
PA
USD
183936.00000000
0.010654241222
Long
DBT
CORP
KY
N
2
2031-04-15
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217031 IRS AUD R F 2.00000 2 CCPVANILLA / Short: SR217031 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
3700000.00000000
OU
Notional Amount
-259226.92000000
-0.01501536478
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
3860.53000000
AUD
0.00000000
AUD
3700000.00000000
AUD
-261946.98000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329P6B4
279757.46000000
PA
USD
290833.84000000
0.016846152395
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W1LY1
19051.31000000
PA
USD
19138.62000000
0.001108578386
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAY5
410000.00000000
PA
USD
480470.80000000
0.027830613927
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
6.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MQQ6
1708.10000000
PA
USD
1774.69000000
0.000102796490
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV77
425942.75000000
PA
USD
444443.74000000
0.025743795753
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WK2U8
150556.17000000
PA
USD
155665.26000000
0.009016697274
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CF4
600000.00000000
PA
USD
641928.00000000
0.037182801405
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CB0
900000.00000000
PA
USD
845388.00000000
0.048967943623
Long
DBT
CORP
US
N
2
2051-05-12
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPA4
2400063.55000000
PA
USD
2456130.71000000
0.142268012013
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAP0
825000.00000000
PA
USD
821048.25000000
0.047558096895
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MFB4
20582.61000000
PA
USD
21675.13000000
0.001255502259
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WTT97
74882.90000000
PA
USD
75226.08000000
0.004357367793
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAJ4
1225000.00000000
PA
USD
1166114.25000000
0.067545572982
Long
DBT
CORP
LU
N
2
2039-11-15
Fixed
3.25000000
N
N
N
N
N
N
State of Maryland Department of Transportation
N/A
MARYLAND ST DEPT OF TRANSPRTN
57421FAF4
65000.00000000
PA
USD
58931.81000000
0.003413544490
Long
DBT
MUN
US
N
2
2028-08-01
Fixed
1.30300000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABZ7
1350000.00000000
PA
USD
1259091.00000000
0.072931124057
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
1.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBJ9
3700000.00000000
PA
USD
3302620.00000000
0.191299746353
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.50000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBC4
800000.00000000
PA
USD
849528.00000000
0.049207747461
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.05000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017DD8
1775000.00000000
PA
USD
1831782.25000000
0.106103481417
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAC1
740000.00000000
PA
USD
654618.80000000
0.037917898637
Long
DBT
US
N
2
2031-07-15
Fixed
2.37500000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAB2
225000.00000000
PA
USD
230728.50000000
0.013364632784
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.25000000
N
N
N
N
N
N
MOUNTAIN VIEW CLO
N/A
Mountain View CLO 2016-1 LLC
62432FAM6
3500000.00000000
PA
USD
3465616.00000000
0.200741066716
Long
ABS-CBDO
CORP
KY
N
2
2033-04-14
Floating
1.59800000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477BN2
100000.00000000
PA
USD
98498.00000000
0.005705361929
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15200000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
1200000.00000000
PA
USD
1301148.00000000
0.075367218259
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN22
000000000
-229.00000000
NC
USD
370658.65000000
0.021469895334
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT US Long Bond Future
USM2 COMDTY
2022-06-21
-34720658.65000000
USD
370658.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DC26
644666.55000000
PA
USD
669017.65000000
0.038751932329
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2019-3 Trust
949831AA9
130712.48000000
PA
USD
130682.01000000
0.007569576689
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
3.50000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BM8
225000.00000000
PA
USD
292776.75000000
0.016958692799
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
6.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1MA0
483044.27000000
PA
USD
511772.70000000
0.029643733672
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
5.00000000
N
N
N
N
N
N
City of New Orleans LA Sewerage Service Revenue
N/A
NEW ORLEANS LA SEWAGE SVC REVENUE
647719QA4
60000.00000000
PA
USD
54981.45000000
0.003184725290
Long
DBT
MUN
US
N
2
2026-06-01
Fixed
0.95800000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04846A SWAPTION EUR006M
000000000
-4450000.00000000
NC
-72644.46000000
-0.00420783098
N/A
DIR
DE
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
4450000.00000000
OU
Notional Amount
N/A
-72644.46000000
0.00000000
DIR
DE
N/A
N/A
2032-04-27
0.00000000
N/A
0.00000000
N/A
4450000.00000000
EUR
1.00000000
1.09000000
EUR
2022-04-25
XXXX
-30226.26000000
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAV5
1200000.00000000
PA
USD
1225260.00000000
0.070971509655
Long
DBT
CORP
ES
N
2
2038-03-06
Fixed
4.66500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RU4
15240000.00000000
PA
USD
16035337.50000000
0.928824992414
Long
DBT
UST
US
N
1
2046-11-15
Fixed
2.87500000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CC1
1075000.00000000
PA
USD
1052188.50000000
0.060946579735
Long
DBT
CORP
DE
N
2
2024-09-18
Fixed
2.22200000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
325000.00000000
PA
USD
326384.50000000
0.018905375751
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
7580000.00000000
PA
USD
7075930.00000000
0.409863567173
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAN3
5025000.00000000
PA
USD
5126454.75000000
0.296942879704
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296RE37
5808.87000000
PA
USD
6442.19000000
0.000373155044
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRK75
143272.78000000
PA
USD
143839.84000000
0.008331725995
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBL8
2600000.00000000
PA
USD
2527798.00000000
0.146419241763
Long
DBT
CORP
GB
N
2
2026-05-07
Fixed
2.85200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UZT2
1632911.46000000
PA
USD
1651444.68000000
0.095657674331
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
3.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAD0
825000.00000000
PA
USD
802857.00000000
0.046504393620
Long
DBT
CORP
XX
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WVN49
39117.90000000
PA
USD
39297.17000000
0.002276234823
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
5125000.00000000
PA
USD
4737703.75000000
0.274425009742
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
Ameren Corp
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608AJ1
400000.00000000
PA
USD
395332.00000000
0.022899065386
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CP2
550000.00000000
PA
USD
566973.00000000
0.032841135549
Long
DBT
CORP
US
N
2
2047-05-04
Fixed
4.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NYAR6
27211.03000000
PA
USD
27318.73000000
0.001582400070
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCS3
300000.00000000
PA
USD
324852.00000000
0.018816607784
Long
DBT
CORP
US
N
2
2029-01-17
Fixed
5.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GDN0
1576.28000000
PA
USD
1646.14000000
0.000095350407
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Floating
2.31200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBT7
29700000.00000000
PA
USD
27695250.00000000
1.604209476175
Long
DBT
UST
US
N
1
2026-03-31
Fixed
0.75000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AP6
2300000.00000000
PA
USD
2091804.00000000
0.121164885642
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.83200000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04658A SWAPTION SOFRRATE
000000000
21700000.00000000
NC
USD
6870.22000000
0.000397948096
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
21700000.00000000
OU
Notional Amount
N/A
6870.22000000
0.00000000
DIR
US
N/A
N/A
2025-07-14
0.00000000
N/A
0.00000000
N/A
21700000.00000000
USD
1.00000000
1.36100000
USD
2022-07-12
XXXX
-129677.87000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS04768A SWAPTION SOFRRATE
000000000
-62700000.00000000
NC
USD
-21067.20000000
-0.00122028874
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
62700000.00000000
OU
Notional Amount
N/A
-21067.20000000
0.00000000
DIR
US
N/A
N/A
2023-11-18
0.00000000
N/A
0.00000000
N/A
62700000.00000000
USD
1.00000000
1.29000000
USD
2022-11-16
XXXX
54172.80000000
N
N
N
Galaxy CLO Ltd
5493006XOQ2X0XSJ4F36
Galaxy XVIII CLO Ltd
36321JAE4
6000000.00000000
PA
USD
5955318.00000000
0.344953649785
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.54100000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAV0
225000.00000000
PA
USD
228350.25000000
0.013226875906
Long
DBT
CORP
XX
N
2
2023-06-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPGT5
59968.07000000
PA
USD
60242.90000000
0.003489487585
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1358.08000000
-0.00007866492
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
112350.00000000
EUR
123067.18000000
USD
2022-05-05
-1358.08000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS03951A SWAPTION SONIO
000000000
-2420000.00000000
NC
-4952.93000000
-0.00028689169
N/A
DIR
GB
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
2420000.00000000
OU
Notional Amount
N/A
-4952.93000000
0.00000000
DIR
GB
N/A
N/A
2023-10-10
0.00000000
N/A
0.00000000
N/A
2420000.00000000
GBP
1.00000000
0.42450000
GBP
2022-10-10
XXXX
46759.13000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WJS8
922224.66000000
PA
USD
912595.80000000
0.052860863515
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7CE4
234821.82000000
PA
USD
253627.54000000
0.014691028356
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCJA5
2086504.68000000
PA
USD
2055640.89000000
0.119070186958
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
41410000.00000000
PA
USD
37256059.38000000
2.158006282750
Long
DBT
UST
US
N
1
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBL2
375000.00000000
PA
USD
384588.75000000
0.022276777323
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
5.30000000
N
N
N
N
N
N
AFRICAN EXPORT-IMPORT BA
21380068LJCDYA42GJ76
African Export-Import Bank/The
00831TAB7
740000.00000000
PA
USD
688577.40000000
0.039884904095
Long
DBT
NUSS
XX
N
2
2026-05-17
Fixed
2.63400000
N
N
N
N
N
N
KUWAIT INTL BOND
549300FSC1YD0D9XX589
Kuwait International Government Bond
000000000
4120000.00000000
PA
USD
4275272.50000000
0.247639312074
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAG8
1225000.00000000
PA
USD
1312783.50000000
0.076041188682
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513JB59
200000.00000000
PA
USD
213000.00000000
0.012337733670
Long
DBT
NUSS
IL
N
2
2120-04-03
Fixed
4.50000000
N
N
N
N
N
N
Crown City CLO I
549300K60T4GC7BSX929
Crown City CLO I
22823RAN9
4600000.00000000
PA
USD
4509352.40000000
0.261198070120
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
2.00400000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
000000000
100000.00000000
PA
89329.67000000
0.005174298954
Long
DBT
CORP
NL
N
2
2032-08-03
Fixed
2.03100000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS04769A SWAPTION SOFRRATE
000000000
62700000.00000000
NC
USD
62530.71000000
0.003622005850
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
62700000.00000000
OU
Notional Amount
N/A
62530.71000000
0.00000000
DIR
US
N/A
N/A
2023-11-18
0.00000000
N/A
0.00000000
N/A
62700000.00000000
USD
1.00000000
1.80000000
USD
2022-11-16
XXXX
-141244.29000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
420000.00000000
PA
USD
371175.00000000
0.021499804201
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHA3
450000.00000000
PA
USD
513279.00000000
0.029730984039
Long
DBT
CORP
US
N
2
2046-11-15
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMQE8
9645113.30000000
PA
USD
9232512.71000000
0.534780670991
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-8
92538GAA0
498564.91000000
PA
USD
470614.21000000
0.027259684433
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
1.82400000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE JUN22
000000000
-8.00000000
NC
5651.79000000
0.000327372205
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 5 Year Euro BOBL Future
OEM2 COMDTY
2022-06-08
-1036548.96000000
EUR
5651.79000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CA1
1575000.00000000
PA
USD
1523072.25000000
0.088221876904
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.45000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAE8
210000.00000000
PA
USD
152118.75000000
0.008811270533
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
3.83200000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS04851A SWAPTION SOFRRATE
000000000
-5830000.00000000
NC
USD
-66455.00000000
-0.00384931498
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
5830000.00000000
OU
Notional Amount
N/A
-66455.00000000
0.00000000
DIR
US
N/A
N/A
2032-04-27
0.00000000
N/A
0.00000000
N/A
5830000.00000000
USD
1.00000000
2.16500000
USD
2022-04-25
XXXX
2047.50000000
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-16
41161PYW7
81701.36000000
PA
USD
78908.62000000
0.004570673886
Long
ABS-MBS
CORP
US
N
2
2036-01-19
Floating
0.92900000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
1545000.00000000
PA
USD
1390098.30000000
0.080519542725
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAK6
200000.00000000
PA
USD
212000.00000000
0.012279810037
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPK94
1771378.93000000
PA
USD
1894515.80000000
0.109737236498
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
4.50000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2004-8
45254NKQ9
71889.74000000
PA
USD
70153.09000000
0.004063521786
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
1.17700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8G58
1149002.87000000
PA
USD
1187455.40000000
0.068781729907
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005864 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005864 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2950000.00000000
OU
Notional Amount
USD
46426.81000000
0.002689209469
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
PRUDENTIAL FINANCIAL INC
PRUDENTIAL FINANCIAL INC
Y
sell protection
2024-06-20
22108.58000000
USD
0.00000000
USD
2950000.00000000
USD
24318.23000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04659A SWAPTION SOFRRATE
000000000
-6960000.00000000
NC
USD
-28620.22000000
-0.00165778709
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
6960000.00000000
OU
Notional Amount
N/A
-28620.22000000
0.00000000
DIR
US
N/A
N/A
2032-07-14
0.00000000
N/A
0.00000000
N/A
6960000.00000000
USD
1.00000000
1.59400000
USD
2022-07-12
XXXX
108014.40000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5R36
119876.61000000
PA
USD
129255.07000000
0.007486923141
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
3250000.00000000
PA
USD
3352602.50000000
0.194194914302
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BK7
280000.00000000
PA
USD
304640.00000000
0.017645855329
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BM7
4500000.00000000
PA
USD
4531050.00000000
0.262454873923
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.45000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAG5
550000.00000000
PA
USD
555907.00000000
0.032200152635
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K6NY2
1227.58000000
PA
USD
1313.03000000
0.000076055466
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AC1
775000.00000000
PA
USD
776720.50000000
0.044990472605
Long
DBT
CORP
CA
N
2
2023-05-15
Fixed
2.80000000
N
N
N
N
N
N
CELLNEX FINANCE CO SA
549300OUROMFTRFA7T23
Cellnex Finance Co SA
000000000
1900000.00000000
PA
1836681.03000000
0.106387236549
Long
DBT
CORP
ES
N
2
2029-01-15
Fixed
1.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217580 IRS EUR R V 03MEURIB 1 CCPVANILLA / Short: BR217580 IRS EUR P F .25000 2 CCPVANILLA
000000000
18340000.00000000
OU
Notional Amount
113287.60000000
0.006562029281
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
89075.38000000
EUR
0.00000000
EUR
18340000.00000000
EUR
14694.44000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L5TH6
25512.92000000
PA
USD
26612.74000000
0.001541506565
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMWQ0
176428.02000000
PA
USD
177236.57000000
0.010266185902
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAC3
445000.00000000
PA
USD
454781.10000000
0.026342573192
Long
DBT
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MAY6
2761.32000000
PA
USD
2856.50000000
0.000165458855
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4.00000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAJ0
675000.00000000
PA
USD
674406.00000000
0.039064045133
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JVL0
3300000.00000000
PA
USD
3358872.00000000
0.194558066515
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
3.70000000
N
N
N
N
N
N
HUNTSMAN INTERNATIONAL L
3YTEJFW18LGIUQ2N5J61
Huntsman International LLC
44701QBF8
950000.00000000
PA
USD
876375.00000000
0.050762823216
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.95000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBB3
1375000.00000000
PA
USD
1422602.50000000
0.082402304053
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.40000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AR9
450000.00000000
PA
USD
431658.00000000
0.025003199251
Long
DBT
CORP
KY
N
2
2030-04-07
Fixed
3.42500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FXS9
616619.95000000
PA
USD
639892.17000000
0.037064878737
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
1.80300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131Y7RG4
198651.30000000
PA
USD
206300.36000000
0.011949666186
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BR217233 IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR217233 IRS CAD P F 1.96000 2 CCPVANILLA
000000000
7840000.00000000
OU
Notional Amount
257939.54000000
0.014940795058
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-12-18
106887.72000000
CAD
0.00000000
CAD
7840000.00000000
CAD
173619.96000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAP1
640000.00000000
PA
USD
646502.40000000
0.037447767268
Long
DBT
CORP
US
N
2
2024-04-23
Fixed
3.55900000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
Stryker Corp
863667AY7
2825000.00000000
PA
USD
2534335.75000000
0.146797931990
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.95000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BR9
850000.00000000
PA
USD
850620.50000000
0.049271029029
Long
DBT
CORP
GB
N
2
2024-05-18
Floating
1.48800000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPS04780A SWAPTION SOFRRATE
000000000
-62600000.00000000
NC
USD
-24808.38000000
-0.00143699147
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
62600000.00000000
OU
Notional Amount
N/A
-24808.38000000
0.00000000
DIR
US
N/A
N/A
2023-11-25
0.00000000
N/A
0.00000000
N/A
62600000.00000000
USD
1.00000000
1.34750000
USD
2022-11-22
XXXX
50408.07000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217061 IRS SEK R F .50000 2 CCPVANILLA / Short: SR217061 IRS SEK P V 03MSTIBO 1 CCPVANILLA
000000000
204900000.00000000
OU
Notional Amount
-345506.16000000
-0.02001297175
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
SEK
-2638744.77000000
SEK
204900000.00000000
SEK
178011.42000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
1325000.00000000
PA
USD
1259054.75000000
0.072929024326
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.21900000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3133XV5J6
2400000.00000000
PA
USD
2766000.00000000
0.160216766813
Long
DBT
USGSE
US
N
2
2029-09-28
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AF5
1675000.00000000
PA
USD
1638769.75000000
0.094923496347
Long
DBT
CORP
CH
N
2
2029-01-12
Fixed
3.86900000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAN8
4125000.00000000
PA
USD
3710850.00000000
0.214945910748
Long
DBT
CORP
NL
N
2
2028-07-12
Fixed
1.87500000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
514000.00000000
PA
USD
556662.00000000
0.032243884977
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416NFG2
4785.81000000
PA
USD
5034.68000000
0.000291626952
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040644
-8000000.00000000
PA
USD
-8164379.20000000
-0.47291049836
Short
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WWKV0
27590.45000000
PA
USD
27716.89000000
0.001605462943
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAK7
1600000.00000000
PA
USD
1472176.00000000
0.085273781236
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAX3
2100000.00000000
PA
USD
2078874.00000000
0.120415933077
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAB2
978000.00000000
PA
USD
948792.42000000
0.054957503221
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
1.64900000
N
N
N
N
N
N
DUKE REALTY LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YBE6
1075000.00000000
PA
USD
937281.75000000
0.054290763405
Long
DBT
US
N
2
2030-07-01
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMM1
863165.33000000
PA
USD
896746.00000000
0.051942785529
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04508A SWAPTION US0003M
000000000
-18900000.00000000
NC
USD
-321844.32000000
-0.01864239203
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
18900000.00000000
OU
Notional Amount
N/A
-321844.32000000
-0.02000000
DIR
US
N/A
N/A
2023-12-14
0.00000000
N/A
0.00000000
N/A
18900000.00000000
USD
1.00000000
1.29000000
USD
2022-12-12
XXXX
-261364.32000000
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAZ8
1685000.00000000
PA
USD
1684460.80000000
0.097570087925
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.22200000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DU9
1200000.00000000
PA
USD
1176072.00000000
0.068122362031
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR213187 IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187 IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
000000000
38780000.00000000
OU
Notional Amount
USD
10734.30000000
0.000621769645
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-07-25
13033.32000000
USD
0.00000000
USD
38780000.00000000
USD
-2299.02000000
N
N
N
Louisiana State Transportation Authority
N/A
LOUISIANA ST TRANSPRTN AUTH
54651TBF1
60000.00000000
PA
USD
55100.00000000
0.003191592137
Long
DBT
MUN
US
N
2
2030-02-15
Fixed
1.99700000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBN0
680059.19000000
PA
USD
659348.60000000
0.038191865833
Long
ABS-O
CORP
US
N
2
2033-09-26
Floating
0.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371JY81
13148.24000000
PA
USD
13853.88000000
0.000802467050
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
7.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS04070A SWAPTION SONIO
000000000
23970000.00000000
NC
6735.32000000
0.000390134198
N/A
DIR
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
23970000.00000000
OU
Notional Amount
N/A
6735.32000000
0.00000000
DIR
GB
N/A
N/A
2023-11-16
0.00000000
N/A
0.00000000
N/A
23970000.00000000
GBP
1.00000000
0.54400000
GBP
2022-11-16
XXXX
-49713.64000000
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
800000.00000000
PA
USD
862592.00000000
0.049964461793
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.41800000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
900000.00000000
PA
USD
911727.00000000
0.052810539463
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WLA60
1104755.64000000
PA
USD
1168088.19000000
0.067659910757
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AL9
2075000.00000000
PA
USD
1825045.50000000
0.105713264388
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.20000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BJ9
2100000.00000000
PA
USD
2132739.00000000
0.123535989529
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.51900000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGL8
4150000.00000000
PA
USD
4312099.00000000
0.249772436717
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AP2
1125000.00000000
PA
USD
995320.13000000
0.057652557184
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.25000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
850000.00000000
PA
USD
764201.00000000
0.044265297691
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
STERIS PLC
549300BRDKZ1HFI2J358
STERIS Irish FinCo UnLtd Co
85917PAA5
2175000.00000000
PA
USD
1997585.25000000
0.115707393416
Long
DBT
CORP
IE
N
2
2031-03-15
Fixed
2.70000000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HAX7
950000.00000000
PA
USD
853195.00000000
0.049420153420
Long
DBT
CORP
JP
N
2
2031-07-14
Fixed
2.60800000
N
N
N
N
N
N
AIA Group Ltd
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAF2
875000.00000000
PA
USD
896035.00000000
0.051901601826
Long
DBT
CORP
HK
N
2
2028-04-06
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GULV7
551088.75000000
PA
USD
582336.69000000
0.033731056279
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBE8
2400000.00000000
PA
USD
2397384.00000000
0.138865189186
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
2.25000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACA1
3600000.00000000
PA
USD
3298392.00000000
0.191054845236
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
MASCO CORP
5GCSNMQXHEYA1JO8QN11
Masco Corp
574599BS4
1300000.00000000
PA
USD
1147354.00000000
0.066458911160
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
1.50000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470BD8
400000.00000000
PA
USD
353906.00000000
0.020499520996
Long
DBT
CORP
IN
N
2
2052-01-12
Fixed
3.62500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBQ3
20000.00000000
PA
USD
18490.63000000
0.001071044452
Long
DBT
UST
US
N
1
2026-02-28
Fixed
0.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AG5
400000.00000000
PA
USD
442660.00000000
0.025640475053
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
4.95000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAV8
3575000.00000000
PA
USD
3811879.50000000
0.220797906353
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.87500000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAY4
1075000.00000000
PA
USD
1071861.00000000
0.062086082391
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.60000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAB1
400000.00000000
PA
USD
404576.00000000
0.023434511442
Long
DBT
CORP
ES
N
2
2027-04-11
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416MVP6
9410.34000000
PA
USD
9936.26000000
0.000575544270
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470BC0
250000.00000000
PA
USD
224260.00000000
0.012989953769
Long
DBT
CORP
IN
N
2
2062-01-12
Fixed
3.75000000
N
N
N
N
N
N
Arch Capital Finance LLC
549300XG4URFY0200M65
Arch Capital Finance LLC
03939CAA1
1200000.00000000
PA
USD
1234344.00000000
0.071497687930
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.01100000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CM9
2050000.00000000
PA
USD
1899202.00000000
0.110008678223
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
2.27200000
N
N
N
N
N
N
Fiserv Inc
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AR9
1075000.00000000
PA
USD
1107938.00000000
0.064175793271
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.20000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAP5
600000.00000000
PA
USD
477000.00000000
0.027629572585
Long
DBT
NUSS
MX
N
2
2071-04-19
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W4AP6
37268.19000000
PA
USD
37438.99000000
0.002168602288
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
AID-ISRAEL
213800T8ZHTFZIBYPE21
Israel Government AID Bond
46513EFG2
4700000.00000000
PA
USD
5922846.00000000
0.343072753599
Long
DBT
NUSS
IL
N
2
2033-09-18
Fixed
5.50000000
N
N
N
N
N
N
NATURE CONSERVANCY (THE)
549300GJ1IZME7V1JJ28
Nature Conservancy/The
63902HAJ8
60000.00000000
PA
USD
54654.17000000
0.003165768044
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
0.94400000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BS2
210000.00000000
PA
USD
202230.00000000
0.011713896150
Long
DBT
NUSS
PA
N
2
2063-01-19
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS03895A SWAPTION SONIO SEP22 0.300 CALL
000000000
28060000.00000000
NC
2860.42000000
0.000165685916
N/A
DIR
GB
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
28060000.00000000
OU
Notional Amount
N/A
2860.42000000
0.00000000
DIR
GB
N/A
N/A
2023-09-08
0.00000000
N/A
0.00000000
N/A
28060000.00000000
GBP
1.00000000
0.30000000
GBP
2022-09-08
XXXX
-51752.77000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MQHG1
36200.42000000
PA
USD
36343.70000000
0.002105159113
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
2125000.00000000
PA
USD
2041147.50000000
0.118230677165
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.87500000
N
N
N
N
N
N
FIRST-CITIZENS BANK/TRST
L9VVX1KT5TFTKS0MLF66
First-Citizens Bank & Trust Co
12556LBJ4
1500000.00000000
PA
USD
1486500.00000000
0.086103479345
Long
DBT
CORP
US
N
2
2025-09-27
Fixed
2.96900000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCA7
1550000.00000000
PA
USD
1546683.00000000
0.089589497305
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.15000000
N
N
N
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA STWD CMNTYS DEV AUTH REVENUE
13080SZS6
525000.00000000
PA
USD
469703.43000000
0.027206928747
Long
DBT
MUN
US
N
2
2031-02-01
Fixed
1.87700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NXMW4
10100.72000000
PA
USD
10147.01000000
0.000587751675
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WVH46
26468.22000000
PA
USD
26589.52000000
0.001540161578
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY51
944.89000000
PA
USD
958.89000000
0.000055542391
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.50000000
N
N
N
N
N
N
UDR INC
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90265EAT7
475000.00000000
PA
USD
410837.00000000
0.023797171304
Long
DBT
US
N
2
2032-08-01
Fixed
2.10000000
N
N
N
N
N
N
ADVENT HEALTH SYSTEM
5493008YM33UCY5QPW83
Adventist Health System/West
007944AF8
540000.00000000
PA
USD
525550.89000000
0.030441816482
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
2.95200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217101 IRS USD R F 1.00000 2 CCPOIS / Short: SR217101 IRS USD P V 00MSOFR 1 CCPOIS
000000000
40000.00000000
OU
Notional Amount
USD
-2328.24000000
-0.00013486011
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-16
0.00000000
USD
-106.90000000
USD
40000.00000000
USD
-2221.34000000
N
N
N
Bacardi Ltd
549300R32WTQNHNN5055
Bacardi Ltd
067316AH2
1500000.00000000
PA
USD
1686840.00000000
0.097707899830
Long
DBT
CORP
BM
N
2
2048-05-15
Fixed
5.30000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
700000.00000000
PA
USD
632730.00000000
0.036650019835
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AH1
1181000.00000000
PA
USD
1210099.84000000
0.070093378122
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
4.62500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BZ7
100000.00000000
PA
USD
85460.00000000
0.004950153612
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
3.62500000
N
N
N
N
N
N
London Wall Mortgage Capital
213800QSO8J75OTK5919
London Wall Mortgage Capital PLC
000000000
466878.95000000
PA
613514.68000000
0.035536998706
Long
ABS-MBS
CORP
GB
N
2
2049-11-15
Floating
0.95200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GFQ4
220856.90000000
PA
USD
221869.07000000
0.012851462419
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCH2
34040000.00000000
PA
USD
31665178.30000000
1.834162143097
Long
DBT
UST
US
N
1
2028-06-30
Fixed
1.25000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAA0
4520000.00000000
PA
USD
3865865.60000000
0.223924977356
Long
DBT
US
N
2
2031-08-15
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS04857A SWAPTION EUR006M
000000000
-4320000.00000000
NC
-44778.74000000
-0.00259374726
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
4320000.00000000
OU
Notional Amount
N/A
-44778.74000000
0.00000000
DIR
DE
N/A
N/A
2032-05-05
0.00000000
N/A
0.00000000
N/A
4320000.00000000
EUR
1.00000000
1.22600000
EUR
2022-05-03
XXXX
3520.10000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
000000000
690000.00000000
PA
USD
608062.50000000
0.035221188637
Long
DBT
CORP
NL
N
2
2030-01-21
Fixed
3.68000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAC0
875000.00000000
PA
USD
935751.25000000
0.054202111285
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.85000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHK1
3105000.00000000
PA
USD
3380848.20000000
0.195831007842
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
4.85000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAR1
1746000.00000000
PA
USD
1623780.00000000
0.094055235580
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AW6
1900000.00000000
PA
USD
1906859.00000000
0.110452199475
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.45000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
2350000.00000000
PA
USD
2264930.00000000
0.131192972400
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.60000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AHN6
650000.00000000
PA
USD
669773.00000000
0.038795684945
Long
DBT
CORP
FR
N
2
2024-03-25
Fixed
6.62500000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AV8
325000.00000000
PA
USD
327050.75000000
0.018943967371
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ47
10979.47000000
PA
USD
11115.29000000
0.000643837970
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M6P76
20499.39000000
PA
USD
20580.52000000
0.001192098472
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BH9
125000.00000000
PA
USD
129636.25000000
0.007509002471
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.45000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAA6
420000.00000000
PA
USD
370125.00000000
0.021438984387
Long
DBT
CORP
NL
N
2
2030-01-21
Fixed
3.68000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAA4
433000.00000000
PA
USD
446059.28000000
0.025837373698
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
5.45000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDQ6
525000.00000000
PA
USD
535673.25000000
0.031028140341
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
3.87500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCE3
3175000.00000000
PA
USD
2897378.00000000
0.167826657772
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.87500000
N
N
N
N
N
N
BAYLOR SCOTT & WHITE HOL
549300JQDKSBWYRGGV95
Baylor Scott & White Holdings
072863AH6
1140000.00000000
PA
USD
1007793.90000000
0.058375083251
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
1.77700000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
580000.00000000
PA
USD
507500.00000000
0.029396243368
Long
DBT
NUSS
RO
N
2
2051-02-14
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR217001 IRS GBP R F .25000 2 CCPOIS / Short: SR217001 IRS GBP P V 00MSONIA 1 CCPOIS
000000000
7880000.00000000
OU
Notional Amount
-344186.24000000
-0.01993651719
N/A
DIR
GB
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-16
0.00000000
GBP
-253225.82000000
GBP
7880000.00000000
GBP
159845.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217064 IRS SEK R F .75000 2 CCPVANILLA / Short: SR217064 IRS SEK P V 03MSTIBO 1 CCPVANILLA
000000000
49870000.00000000
OU
Notional Amount
-263702.00000000
-0.01527457767
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-16
310919.38000000
SEK
0.00000000
SEK
49870000.00000000
SEK
-297855.99000000
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AK1
700000.00000000
PA
USD
623840.00000000
0.036135078745
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
1.80000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661ED5
1900000.00000000
PA
USD
1721628.00000000
0.099722947149
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
1.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRXV8
42378.20000000
PA
USD
42545.93000000
0.002464414803
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DDE7
256509.39000000
PA
USD
267619.15000000
0.015501473228
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Floating
1.91700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217055 IRS CHF R F .00000 CCPVANILLA / Short: SR217055 IRS CHF P V 12MLIBOR CCPVANILLA
000000000
16450000.00000000
OU
Notional Amount
-1068832.54000000
-0.06191066298
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
-472352.63000000
CHF
16450000.00000000
CHF
-561251.47000000
N
N
N
SUTTER HEALTH
549300MJCC12LU768G81
Sutter Health
86944BAG8
605000.00000000
PA
USD
546659.85000000
0.031664524119
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.29400000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAB6
925000.00000000
PA
USD
946487.75000000
0.054824008363
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.20500000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAJ4
325000.00000000
PA
USD
322500.75000000
0.018680414844
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.60000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-37117.07000000
-0.00214995551
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1040021.49000000
USD
763483.83000000
GBP
2022-04-05
-37117.07000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B4PT7
113574.93000000
PA
USD
124941.45000000
0.007237062603
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566AAH2
599282.18000000
PA
USD
601467.16000000
0.034839162588
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Floating
2.89900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RD71
336547.20000000
PA
USD
350597.10000000
0.020307857489
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
2.13000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAH3
850000.00000000
PA
USD
923831.00000000
0.053511647108
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
Kilroy Realty LP
5493008CT3N3JR7P1552
Kilroy Realty LP
49427RAN2
1025000.00000000
PA
USD
1080083.50000000
0.062562359457
Long
DBT
US
N
2
2028-12-15
Fixed
4.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
8750000.00000000
PA
USD
9060362.50000000
0.524809105535
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828X70
2630000.00000000
PA
USD
2609864.06000000
0.151172806043
Long
DBT
UST
US
N
1
2024-04-30
Fixed
2.00000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AA6
2575000.00000000
PA
USD
2595883.25000000
0.150362986746
Long
DBT
US
N
2
2023-04-15
Fixed
3.75000000
N
N
N
N
N
N
RUSH OBLIGATED GROUP
N/A
Rush Obligated Group
78200JAA0
1320000.00000000
PA
USD
1348059.20000000
0.078084485357
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.92200000
N
N
N
N
N
N
Apidos CLO
635400C39IXGGYE6DH05
Apidos CLO XXIII
03765YAU8
4000000.00000000
PA
USD
3974900.00000000
0.230240645845
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.46100000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032XBA1
1140000.00000000
PA
USD
1045995.60000000
0.060587864473
Long
DBT
CORP
KY
N
2
2031-04-22
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WN5M7
149141.00000000
PA
USD
149824.50000000
0.008678379240
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
1025000.00000000
PA
USD
1084880.50000000
0.062840219121
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AZ7
725000.00000000
PA
USD
677860.50000000
0.039264142321
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
1.30000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAH1
2250000.00000000
PA
USD
2029567.50000000
0.117559921504
Long
DBT
CORP
XX
N
2
2032-02-15
Fixed
2.65000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006064 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006064 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
3875000.00000000
OU
Notional Amount
USD
40777.40000000
0.002361975121
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
GENERAL ELECTRIC CO
GENERAL ELECTRIC CO
Y
sell protection
2026-06-20
44572.72000000
USD
0.00000000
USD
3875000.00000000
USD
-3795.32000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-6
46653PAC1
2731322.10000000
PA
USD
2518897.89000000
0.145903715065
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217647 IRS CAD R F 2.50000 2 CCPVANILLA / Short: SR217647 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
21220000.00000000
OU
Notional Amount
-68267.58000000
-0.00395430619
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-22
0.00000000
CAD
-22878.61000000
CAD
21220000.00000000
CAD
-50065.32000000
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3133834G3
6800000.00000000
PA
USD
6813532.00000000
0.394664521916
Long
DBT
USGSE
US
N
2
2023-06-09
Fixed
2.12500000
N
N
N
N
N
N
ARCHER-DANIELS-MIDLAND C
549300LO13MQ9HYSTR83
Archer-Daniels-Midland Co
039482AD6
1550000.00000000
PA
USD
1516783.50000000
0.087857609662
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.90000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
650000.00000000
PA
USD
647972.00000000
0.037532891838
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.62500000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAC8
440000.00000000
PA
USD
417450.00000000
0.024180220284
Long
DBT
CORP
MX
N
2
2028-04-30
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WQQ39
22643.41000000
PA
USD
22747.18000000
0.001317599289
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AP1
1300000.00000000
PA
USD
1496170.00000000
0.086663600869
Long
DBT
CORP
US
N
2
2034-12-05
Fixed
4.80000000
N
N
N
N
N
N
Mars Inc
54930073HKEO6GZBSS03
Mars Inc
571676AB1
925000.00000000
PA
USD
919551.75000000
0.053263777405
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-HQA1
35564KTB5
780000.00000000
PA
USD
798321.65000000
0.046241689674
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
3.55000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
6675000.00000000
PA
USD
7416459.00000000
0.429588243740
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418PC86
271352.16000000
PA
USD
287970.32000000
0.016680286915
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Port of Oakland
N/A
PORT OF OAKLAND CA
735000TT8
385000.00000000
PA
USD
342724.46000000
0.019851845585
Long
DBT
MUN
US
N
2
2031-05-01
Fixed
2.19900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217108 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217108 IRS USD P F 1.75000 2 CCPOIS
000000000
1050000.00000000
OU
Notional Amount
USD
54500.98000000
0.003156894722
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2052-03-16
0.00000000
USD
-97278.30000000
USD
1050000.00000000
USD
151779.28000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298EPA7
8479.93000000
PA
USD
9507.67000000
0.000550718780
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.50000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Banks Funding Corp
3133ENSY7
7050000.00000000
PA
USD
7035477.00000000
0.407520382477
Long
DBT
USGSE
US
N
2
2034-03-28
Fixed
2.85000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04066A SWAPTION SONIO
000000000
26330000.00000000
NC
7014.52000000
0.000406306476
N/A
DIR
GB
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
26330000.00000000
OU
Notional Amount
N/A
7014.52000000
0.00000000
DIR
GB
N/A
N/A
2023-11-15
0.00000000
N/A
0.00000000
N/A
26330000.00000000
GBP
1.00000000
0.51600000
GBP
2022-11-15
XXXX
-54814.56000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329PZC0
1398642.90000000
PA
USD
1454019.09000000
0.084222067059
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLL7
9761358.58000000
PA
USD
9626118.86000000
0.557579768877
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHX0
1325000.00000000
PA
USD
1255556.75000000
0.072726407460
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88400000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2C4
1175000.00000000
PA
USD
1162733.00000000
0.067349718701
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063A5E0
950000.00000000
PA
USD
1309288.96000000
0.075838772232
Long
DBT
MUN
US
N
2
2034-04-01
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U4B5
20215621.62000000
PA
USD
20059813.76000000
1.161937275312
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BJ2
6675000.00000000
PA
USD
6614925.00000000
0.383160483085
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BK9
1700000.00000000
PA
USD
1677628.00000000
0.097174307330
Long
DBT
CORP
JP
N
2
2039-07-18
Fixed
3.75100000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAZ4
2100000.00000000
PA
USD
1869693.00000000
0.108299409759
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.62500000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CY3
775000.00000000
PA
USD
810223.75000000
0.046931102538
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMKE0
47993.85000000
PA
USD
48213.80000000
0.002792718420
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP Carey Inc
92936UAG4
725000.00000000
PA
USD
653449.75000000
0.037850183015
Long
DBT
US
N
2
2031-02-01
Fixed
2.40000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AL1
2175000.00000000
PA
USD
1970813.18000000
0.114156657879
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W0YR4
10629.98000000
PA
USD
10678.70000000
0.000618549091
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RQ36
30077.75000000
PA
USD
31184.56000000
0.001806322985
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SWAPTION USD OPS04800A
000000000
-5830000.00000000
NC
USD
-223532.69000000
-0.01294782533
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
5830000.00000000
OU
Notional Amount
N/A
-223532.69000000
-0.01000000
DIR
US
N/A
N/A
2032-04-06
0.00000000
N/A
0.00000000
N/A
5830000.00000000
USD
1.00000000
1.69000000
USD
2022-04-04
XXXX
-153485.24000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
900000.00000000
PA
USD
897246.00000000
0.051971747345
Long
DBT
CORP
FR
N
2
2025-01-09
Fixed
3.37500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPS04832A SWAPTION SOFRRATE
000000000
-5830000.00000000
NC
USD
-24843.96000000
-0.00143905240
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
5830000.00000000
OU
Notional Amount
N/A
-24843.96000000
0.00000000
DIR
US
N/A
N/A
2032-04-21
0.00000000
N/A
0.00000000
N/A
5830000.00000000
USD
1.00000000
2.01000000
USD
2022-04-19
XXXX
32144.29000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295WVH7
36989.54000000
PA
USD
38719.72000000
0.002242786822
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
5.00000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CJ6
1225000.00000000
PA
USD
1165122.00000000
0.067488098258
Long
DBT
CORP
US
N
2
2030-05-20
Fixed
2.82300000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-7147.46000000
-0.00041400684
N/A
DFE
GB
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1951248.69000000
USD
1479991.33000000
GBP
2022-04-05
-7147.46000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KA8
2450000.00000000
PA
USD
2525803.00000000
0.146303684117
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KH3R5
770096.69000000
PA
USD
801256.55000000
0.046411689743
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
NEWCREST FINANCE PTY LTD
549300I0XDZ4K7PDSS04
Newcrest Finance Pty Ltd
65120FAD6
525000.00000000
PA
USD
502750.50000000
0.029121135077
Long
DBT
CORP
AU
N
2
2030-05-13
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GAX4
445290.62000000
PA
USD
447331.34000000
0.025911056033
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VFQ8
2365174.01000000
PA
USD
2389921.51000000
0.138432934660
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BT2
420000.00000000
PA
USD
433597.50000000
0.025115542136
Long
DBT
NUSS
ID
N
2
2025-01-15
Fixed
4.12500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006100 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006100 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1950000.00000000
OU
Notional Amount
USD
-44141.37000000
-0.00255682848
N/A
DCR
GB
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
NORDSTROM INC
NORDSTROM INC
Y
sell protection
2024-12-20
0.00000000
USD
-34548.36000000
USD
1950000.00000000
USD
-9593.01000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
2695000.00000000
PA
USD
2398415.25000000
0.138924922932
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.29900000
N
N
N
N
N
N
WILLIS NORTH AMERICA INC
5493004KVU1HWZCP0C66
Willis North America Inc
970648AJ0
700000.00000000
PA
USD
658266.00000000
0.038129157709
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
UNIVERSITY OF CHICAGO
54930099Y7GU6182V326
University of Chicago/The
91412NAF7
320000.00000000
PA
USD
356333.49000000
0.020640130034
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
5.42000000
N
N
N
N
N
N
Dollar Tree Inc
549300PMSTQITB1WHR43
Dollar Tree Inc
256746AG3
975000.00000000
PA
USD
998702.25000000
0.057848461859
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.00000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585ABD3
375000.00000000
PA
USD
377621.25000000
0.021873194416
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPS04781A SWAPTION SOFRRATE
000000000
62600000.00000000
NC
USD
69392.10000000
0.004019442481
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Call
Purchased
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
62600000.00000000
OU
Notional Amount
N/A
69392.10000000
0.00000000
DIR
US
N/A
N/A
2023-11-25
0.00000000
N/A
0.00000000
N/A
62600000.00000000
USD
1.00000000
1.85000000
USD
2022-11-22
XXXX
-142983.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217613 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217613 IRS USD P F 2.50000 2 CCPOIS
000000000
8460000.00000000
OU
Notional Amount
USD
29221.69000000
0.001692626425
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-14
16736.84000000
USD
0.00000000
USD
8460000.00000000
USD
12484.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217648 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217648 IRS USD P F 2.00000 2 CCPOIS
000000000
12910000.00000000
OU
Notional Amount
USD
61392.21000000
0.003556059795
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-24
34948.53000000
USD
0.00000000
USD
12910000.00000000
USD
26443.68000000
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AU8
1325000.00000000
PA
USD
1342821.25000000
0.077781084267
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943UP6
1588.52000000
PA
USD
1687.87000000
0.000097767561
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BS3
275000.00000000
PA
USD
227493.75000000
0.013177264315
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
3.37500000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PBH7
1225000.00000000
PA
USD
1136665.25000000
0.065839779936
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.95000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAB0
200000.00000000
PA
USD
175500.00000000
0.010165597460
Long
DBT
CORP
MX
N
2
2046-10-31
Fixed
5.50000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BK4
700000.00000000
PA
USD
713321.00000000
0.041318143282
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
3.62500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJF7
3725000.00000000
PA
USD
3253117.00000000
0.188432352786
Long
DBT
CORP
US
N
2
2031-07-23
Fixed
1.89800000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBS9
10230000.00000000
PA
USD
9541073.44000000
0.552653629244
Long
DBT
UST
US
N
1
2028-03-31
Fixed
1.25000000
N
N
N
N
N
N
Louisiana State Transportation Authority
N/A
LOUISIANA ST TRANSPRTN AUTH
54651TBB0
50000.00000000
PA
USD
46715.54000000
0.002705933759
Long
DBT
MUN
US
N
2
2026-02-15
Fixed
1.13800000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005871 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005871 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
430000.00000000
OU
Notional Amount
USD
6481.22000000
0.000375415803
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Indonesia Government International Bond
Indonesia Government International Bond
Y
sell protection
2024-06-20
495.42000000
USD
0.00000000
USD
430000.00000000
USD
5985.80000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
500000.00000000
PA
USD
409975.00000000
0.023747241133
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HEAL6
382877.56000000
PA
USD
397096.83000000
0.023001290750
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JERSEY NY
73358W4V3
3320000.00000000
PA
USD
3280495.32000000
0.190018204525
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
1.08600000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BD2
1336000.00000000
PA
USD
1349253.12000000
0.078153641540
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KJ9
2500000.00000000
PA
USD
2594675.00000000
0.150293000517
Long
DBT
CORP
US
N
2
2026-03-09
Fixed
4.60000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
645000.00000000
PA
USD
716304.75000000
0.041490972920
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
Truist Bank
89788KAA4
1250000.00000000
PA
USD
1143537.50000000
0.066237845618
Long
DBT
CORP
US
N
2
2030-03-11
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415RBP8
714.21000000
PA
USD
757.06000000
0.000043851665
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
6.50000000
N
N
N
N
N
N
AID-ISRAEL
213800T8ZHTFZIBYPE21
Israel Government AID Bond
46513EGV8
1200000.00000000
PA
USD
1261656.00000000
0.073079698174
Long
DBT
NUSS
IL
N
2
2023-12-04
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MR5R8
15487.93000000
PA
USD
15558.91000000
0.000901228581
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBA3
2275000.00000000
PA
USD
2324708.75000000
0.134655574732
Long
DBT
CORP
US
N
2
2027-01-29
Fixed
3.96000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS03950A SWAPTION SONIO
000000000
23650000.00000000
NC
4200.37000000
0.000243300687
N/A
DIR
GB
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
23650000.00000000
OU
Notional Amount
N/A
4200.37000000
0.00000000
DIR
GB
N/A
N/A
2023-10-10
0.00000000
N/A
0.00000000
N/A
23650000.00000000
GBP
1.00000000
0.45900000
GBP
2022-10-10
XXXX
-47498.77000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FY67
5146.99000000
PA
USD
5322.53000000
0.000308300270
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDK4
1775000.00000000
PA
USD
1798359.00000000
0.104167485376
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAJ1
1650000.00000000
PA
USD
1449805.50000000
0.083978000621
Long
DBT
CORP
FR
N
2
2032-01-20
Fixed
2.27700000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-5877.02000000
-0.00034041834
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
677048.37000000
CHF
727435.66000000
USD
2022-04-25
-5877.02000000
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDB2
1650000.00000000
PA
USD
1646040.00000000
0.095344615634
Long
DBT
CORP
US
N
2
2024-08-15
Variable
3.07100000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAA9
1010000.00000000
PA
USD
1019170.80000000
0.059034074622
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCUR7
11575993.92000000
PA
USD
11080793.74000000
0.641839821675
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-LTV2
46654VAA1
3910884.25000000
PA
USD
3607269.79000000
0.208946168755
Long
ABS-MBS
CORP
US
N
2
2052-05-25
Variable
2.52000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130A0F70
750000.00000000
PA
USD
763387.50000000
0.044218176817
Long
DBT
USGSE
US
N
2
2023-12-08
Fixed
3.37500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
1475000.00000000
PA
USD
1269149.00000000
0.073513719951
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C7F5
1373127.87000000
PA
USD
1425777.44000000
0.082586208110
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GEV56
4152.03000000
PA
USD
4512.75000000
0.000261394871
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VES9
625000.00000000
PA
USD
650356.25000000
0.037670996258
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452151LF8
1170000.00000000
PA
USD
1244186.66000000
0.072067810548
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
AVANGRID INC
549300OX0Q38NLSKPB49
Avangrid Inc
05351WAC7
925000.00000000
PA
USD
922909.50000000
0.053458270481
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FP67
3287.72000000
PA
USD
3397.38000000
0.000196788589
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.00000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PBJ3
1025000.00000000
PA
USD
1031775.25000000
0.059764170149
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.60000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834AT5
94430000.00000000
PA
USD
62098048.09000000
3.596944501239
Long
DBT
UST
US
N
1
2038-08-15
None
0.00000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
950000.00000000
PA
USD
1196886.00000000
0.069327984513
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VN48
220350.08000000
PA
USD
221861.59000000
0.012851029150
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: CX002981 CDS USD R F 3.00000 2 CMBX / Short: CX002981 CDS USD P V 01MEVENT 1 CMBX
000000000
900000.00000000
OU
Notional Amount
USD
-98156.25000000
-0.00568556652
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.10
137BERAJ6
Y
sell protection
2059-11-17
0.00000000
USD
-152377.52000000
USD
900000.00000000
USD
54221.27000000
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556BY7
300000.00000000
PA
USD
324198.00000000
0.018778725729
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MHKP7
14492.55000000
PA
USD
14549.91000000
0.000842783636
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
2281821.98000000
PA
USD
2377442.64000000
0.137710113183
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022642
35000000.00000000
PA
USD
33397658.00000000
1.934513660127
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAW1
1125000.00000000
PA
USD
1126372.50000000
0.065243586470
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
3.49700000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002829 CDS USD R F 1.00000 2I65BYDN2 / Short: SX002829 CDS USD P V 03MEVENT 2I65BYDN2
000000000
33100000.00000000
OU
Notional Amount
USD
57673.44000000
0.003340655129
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S28
2I65BYDN2
Y
sell protection
2022-06-20
50147.55000000
USD
0.00000000
USD
33100000.00000000
USD
7525.89000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS03820A SWAPTION US0003M
000000000
14170000.00000000
NC
USD
993.32000000
0.000057536702
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
14170000.00000000
OU
Notional Amount
N/A
993.32000000
0.00000000
DIR
US
N/A
N/A
2027-06-23
0.00000000
N/A
0.00000000
N/A
14170000.00000000
USD
1.00000000
1.05250000
USD
2022-06-21
XXXX
-125438.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR216983 IRS EUR R F .25000 2 CCPVANILLA / Short: SR216983 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
15290000.00000000
OU
Notional Amount
-1509238.72000000
-0.08742058860
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
EUR
-815177.91000000
EUR
15290000.00000000
EUR
-289106.00000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEB4
1268319.78000000
PA
USD
1322063.69000000
0.076578730995
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7L3
1822558.87000000
PA
USD
1896453.97000000
0.109849502344
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
3673025.55000000
PA
USD
3826084.20000000
0.221620694172
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
Crown City CLO I
549300K60T4GC7BSX929
Crown City CLO I
22823RAQ2
2900000.00000000
PA
USD
2857036.50000000
0.165489931561
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
2.35400000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CQ9
1200000.00000000
PA
USD
1285668.00000000
0.074470560432
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
4.12500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN22
000000000
-441.00000000
NC
USD
1939385.70000000
0.112336264084
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year US Treasury Note Futures
UXYM2 COMDTY
2022-06-21
-61632870.08000000
USD
1939385.70000000
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AX4
2400000.00000000
PA
USD
2162064.00000000
0.125234600045
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NJM8
15276.36000000
PA
USD
16306.48000000
0.000944530550
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128E2V60
4926.36000000
PA
USD
4972.09000000
0.000288001512
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217258 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217258 IRS USD P F 1.29000 2 CCPOIS
000000000
36490000.00000000
OU
Notional Amount
USD
536432.19000000
0.031072100902
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-01-12
113612.74000000
USD
0.00000000
USD
36490000.00000000
USD
422819.45000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS02949A SWAPTION US0003M
000000000
-2700000.00000000
NC
USD
-13502.97000000
-0.00078214106
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
2700000.00000000
OU
Notional Amount
N/A
-13502.97000000
0.00000000
DIR
US
N/A
N/A
2052-11-16
0.00000000
N/A
0.00000000
N/A
2700000.00000000
USD
1.00000000
1.06000000
USD
2022-11-14
XXXX
126740.93000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217091 IRS NZD R V 03MNZDBB 1 CCPVANILLA / Short: BR217091 IRS NZD P F 2.75000 2 CCPVANILLA
000000000
3470000.00000000
OU
Notional Amount
126745.32000000
0.007341549305
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NZD
-37943.65000000
NZD
3470000.00000000
NZD
157106.57000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217007 IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR217007 IRS GBP P F .75000 2 CCPOIS
000000000
20380000.00000000
OU
Notional Amount
2211679.16000000
0.128108490327
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
553457.29000000
GBP
0.00000000
GBP
20380000.00000000
GBP
1726566.11000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
75000.00000000
PA
USD
84977.25000000
0.004922190978
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
61767EAU8
1400000.00000000
PA
USD
1108658.74000000
0.064217541150
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
2.70000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBY6
1173000.00000000
PA
USD
1189539.30000000
0.068902436964
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
3.30000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN22
000000000
-411.00000000
NC
USD
3014811.45000000
0.174628829744
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term US Treasury Bond Future
WNM2 COMDTY
2022-06-21
-75607686.45000000
USD
3014811.45000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAQ7
850000.00000000
PA
USD
861730.00000000
0.049914531622
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS03819A SWAPTION US0003M
000000000
-7470000.00000000
NC
USD
-3377.19000000
-0.00019561911
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
7470000.00000000
OU
Notional Amount
N/A
-3377.19000000
0.00000000
DIR
US
N/A
N/A
2032-06-23
0.00000000
N/A
0.00000000
N/A
7470000.00000000
USD
1.00000000
1.37800000
USD
2022-06-21
XXXX
123121.49000000
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CK4
3475000.00000000
PA
USD
3137230.00000000
0.181719756815
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.40000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BE3
1675000.00000000
PA
USD
1751983.00000000
0.101481219006
Long
DBT
US
N
2
2025-11-01
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UXT4
26162.68000000
PA
USD
26482.81000000
0.001533980547
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MP2W4
14434.41000000
PA
USD
14500.56000000
0.000839925104
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AQ2
1850000.00000000
PA
USD
1897119.50000000
0.109888052259
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.80000000
N
N
N
N
N
N
San Jose Financing Authority
N/A
SAN JOSE CA FING AUTH LEASE REVENUE
798153NK4
195000.00000000
PA
USD
178675.56000000
0.010349537430
Long
DBT
MUN
US
N
2
2030-06-01
Fixed
1.86200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCA8
7598.13000000
PA
USD
7701.99000000
0.000446127236
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285M8
5560000.00000000
PA
USD
5787612.50000000
0.335239538077
Long
DBT
UST
US
N
1
2028-11-15
Fixed
3.12500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBR5
2550000.00000000
PA
USD
2292501.00000000
0.132789984865
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MMKP6
16138.81000000
PA
USD
16212.77000000
0.000939102527
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020646
72000000.00000000
PA
USD
66826123.20000000
3.870811785179
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAL5
1050000.00000000
PA
USD
1041096.00000000
0.060304061844
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032641
-16000000.00000000
PA
USD
-16028750.40000000
-0.92844344365
Short
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABL8
925000.00000000
PA
USD
781504.75000000
0.045267593743
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.00000000
N
N
N
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TBA3
1700000.00000000
PA
USD
1522248.00000000
0.088174133350
Long
DBT
US
N
2
2031-12-15
Fixed
2.90000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005905 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005905 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
170000.00000000
OU
Notional Amount
USD
3282.89000000
0.000190156913
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
STATE OF QATAR
STATE OF QATAR
Y
sell protection
2024-12-20
1955.62000000
USD
0.00000000
USD
170000.00000000
USD
1327.27000000
N
N
N
EAST OHIO GAS CO/THE
BC95Y6MXLT75BGO7UM71
East Ohio Gas Co/The
27409LAA1
525000.00000000
PA
USD
494712.75000000
0.028655559402
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
1.30000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM8
12659FAA3
684624.14000000
PA
USD
654685.59000000
0.037921767356
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.84100000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAU0
650000.00000000
PA
USD
657501.00000000
0.038084846130
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
3.79700000
N
N
N
N
N
N
BANNER HEALTH
PLD0E0WJKFN8IZJ2WD85
Banner Health
06654DAB3
3235000.00000000
PA
USD
3004647.43000000
0.174040092787
Long
DBT
CORP
US
N
2
2030-01-01
Fixed
2.33800000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286F2
960000.00000000
PA
USD
958500.00000000
0.055519801515
Long
DBT
UST
US
N
1
2026-02-28
Fixed
2.50000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAA0
875000.00000000
PA
USD
858681.25000000
0.049737936948
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.65000000
N
N
N
N
N
N
CFIP CLO LTD
549300NTT3VNL25G1526
CFIP CLO 2021-1 Ltd
12529QAC3
12050000.00000000
PA
USD
11896446.85000000
0.689085412465
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
1.33400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNR2
5537304.31000000
PA
USD
5612992.95000000
0.325124939478
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5FT5
421844.14000000
PA
USD
439205.26000000
0.025440363964
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BX6
1250000.00000000
PA
USD
1366750.00000000
0.079167124382
Long
DBT
CORP
US
N
2
2047-06-06
Fixed
4.66900000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJZ6
1325000.00000000
PA
USD
1220099.75000000
0.070672609231
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217684 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR217684 IRS EUR P F 1.31100 2 CCPVANILLA
000000000
6390000.00000000
OU
Notional Amount
-1557.29000000
-0.00009020389
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-03-30
85.62000000
EUR
0.00000000
EUR
6390000.00000000
EUR
61927.86000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS03896A SWAPTION SONIO SEP22 0.401 CALL
000000000
-2900000.00000000
NC
-3793.96000000
-0.00021975994
N/A
DIR
GB
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
2900000.00000000
OU
Notional Amount
N/A
-3793.96000000
0.00000000
DIR
GB
N/A
N/A
2032-09-08
0.00000000
N/A
0.00000000
N/A
2900000.00000000
GBP
1.00000000
0.40100000
GBP
2022-09-08
XXXX
50901.99000000
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
1625000.00000000
PA
USD
1618272.50000000
0.093736221176
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAF0
50000.00000000
PA
USD
52484.50000000
0.003040092877
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBL3
975000.00000000
PA
USD
952097.25000000
0.055148930978
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
1.45000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBW4
1325000.00000000
PA
USD
1148563.00000000
0.066528940832
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FW1
1800000.00000000
PA
USD
1715688.00000000
0.099378880774
Long
DBT
CORP
US
N
2
2028-01-13
Fixed
2.20000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAC4
975000.00000000
PA
USD
1014458.25000000
0.058761106609
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.49300000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDR2
2175000.00000000
PA
USD
2457597.75000000
0.142352988298
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
4.81200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MUL4
181461.46000000
PA
USD
191122.52000000
0.011070510563
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
1300000.00000000
PA
USD
1342588.00000000
0.077767573580
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032641
34000000.00000000
PA
USD
34061094.60000000
1.972942317769
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MFW52
14347.72000000
PA
USD
14404.51000000
0.000834361540
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
303022.71000000
0.017552176018
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
6233061.07000000
GBP
8490706.95000000
USD
2022-04-05
303022.71000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
3500000.00000000
PA
USD
3282790.00000000
0.190151120726
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAB8
1300000.00000000
PA
USD
1181583.00000000
0.068441579169
Long
DBT
US
N
2
2028-11-15
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QADH0
480031.28000000
PA
USD
499037.06000000
0.028906039144
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
400000.00000000
PA
USD
395000.00000000
0.022879834740
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
4.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BR217104 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217104 IRS USD P F 1.50000 2 CCPOIS
000000000
31410000.00000000
OU
Notional Amount
USD
1738044.08000000
0.100673826130
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-16
868024.23000000
USD
0.00000000
USD
31410000.00000000
USD
870019.85000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
800000.00000000
PA
USD
703344.00000000
0.040740239203
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.74900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GL20
247062.37000000
PA
USD
248194.63000000
0.014376334475
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
975000.00000000
PA
USD
970407.75000000
0.056209541647
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006080 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006080 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
5525000.00000000
OU
Notional Amount
USD
-56404.72000000
-0.00326716625
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
NORDSTROM INC
NORDSTROM INC
Y
sell protection
2024-06-20
0.00000000
USD
-11902.31000000
USD
5525000.00000000
USD
-44502.41000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAEL8
4202951.03000000
PA
USD
4503571.31000000
0.260863208388
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Mars Inc
54930073HKEO6GZBSS03
Mars Inc
571676AA3
525000.00000000
PA
USD
520332.75000000
0.030139562860
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298FT36
4256.45000000
PA
USD
4768.26000000
0.000276194938
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
7.50000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBF1
3175000.00000000
PA
USD
2821463.75000000
0.163429428672
Long
DBT
CORP
CA
N
2
2033-08-01
Fixed
2.50000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CG2
555000.00000000
PA
USD
552685.65000000
0.032013560342
Long
DBT
CORP
US
N
2
2024-07-30
Fixed
2.50000000
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
000000000
200000.00000000
PA
USD
217000.00000000
0.012569428199
Long
DBT
CORP
AE
N
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAE7
975000.00000000
PA
USD
976423.50000000
0.056557995737
Long
DBT
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBF0
1475000.00000000
PA
USD
1367929.75000000
0.079235459787
Long
DBT
CORP
CA
N
2
2031-12-02
Fixed
2.45000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAG8
3825000.00000000
PA
USD
3680568.00000000
0.213191867316
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04847A SWAPTION EUR006M
000000000
-4450000.00000000
NC
-19153.19000000
-0.00110942233
N/A
DIR
DE
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
4450000.00000000
OU
Notional Amount
N/A
-19153.19000000
0.00000000
DIR
DE
N/A
N/A
2032-04-27
0.00000000
N/A
0.00000000
N/A
4450000.00000000
EUR
1.00000000
1.09000000
EUR
2022-04-25
XXXX
23265.01000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
2625000.00000000
PA
USD
2263668.75000000
0.131119916219
Long
DBT
CORP
US
N
2
2032-02-13
Fixed
1.79400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXW0
1122372.22000000
PA
USD
1169719.94000000
0.067754427644
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U4E9
1051020.98000000
PA
USD
1091499.48000000
0.063223614484
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
1135000.00000000
PA
USD
1156054.25000000
0.066962861242
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59261AG76
2670000.00000000
PA
USD
3054963.80000000
0.176954599699
Long
DBT
MUN
US
N
2
2049-11-15
Fixed
5.17500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8DN2
927903.86000000
PA
USD
962581.76000000
0.055756231880
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217132 IRS EUR R F .50000 2 CCPVANILLA / Short: SR217132 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
22280000.00000000
OU
Notional Amount
-1046090.68000000
-0.06059337185
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
-479862.08000000
EUR
22280000.00000000
EUR
-385389.98000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJX1
6700000.00000000
PA
USD
6394145.00000000
0.370372103557
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
4810000.00000000
PA
USD
4929191.80000000
0.285516693131
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CX2
450000.00000000
PA
USD
379174.50000000
0.021963164297
Long
DBT
NUSS
ID
N
2
2071-03-12
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W3FS7
73470.03000000
PA
USD
73806.74000000
0.004275154465
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9UC4
39864.94000000
PA
USD
41583.45000000
0.002408664465
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-56364.67000000
-0.00326484641
N/A
DFE
XX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1759667.33000000
USD
1538000.00000000
EUR
2022-05-05
-56364.67000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394PP72
254127.58000000
PA
USD
269350.46000000
0.015601756992
Long
ABS-MBS
USGSE
US
N
2
2034-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRD24
14759.34000000
PA
USD
14817.76000000
0.000858298481
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
City of Tucson AZ
N/A
TUCSON AZ COPS
898735UQ6
690000.00000000
PA
USD
630189.97000000
0.036502892072
Long
DBT
MUN
US
N
2
2031-07-01
Fixed
1.93200000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
1700000.00000000
PA
USD
1668652.00000000
0.096654384807
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T4R3
1121357.23000000
PA
USD
1169574.58000000
0.067746007865
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
5.00000000
N
N
N
N
N
N
Louisiana State Transportation Authority
N/A
LOUISIANA ST TRANSPRTN AUTH
54651TBD6
50000.00000000
PA
USD
46255.45000000
0.002679283675
Long
DBT
MUN
US
N
2
2028-02-15
Fixed
1.64800000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAP9
3375000.00000000
PA
USD
3221977.50000000
0.186628639839
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.49300000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
275000.00000000
PA
USD
296763.50000000
0.017189619840
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAQ0
422339.74000000
PA
USD
419404.61000000
0.024293438395
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
3.04700000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CV7
1730000.00000000
PA
USD
1730795.80000000
0.100253979425
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005852 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005852 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1225000.00000000
OU
Notional Amount
USD
-895.35000000
-0.00005186192
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
BOEING CO
BOEING CO
Y
sell protection
2024-06-20
11815.00000000
USD
0.00000000
USD
1225000.00000000
USD
-12710.35000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217004 IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR217004 IRS GBP P F .50000 2 CCPOIS
000000000
270000.00000000
OU
Notional Amount
23147.33000000
0.001340777430
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-16
5195.65000000
GBP
0.00000000
GBP
270000.00000000
GBP
16266.36000000
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BN6
775000.00000000
PA
USD
1038376.00000000
0.060146509565
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
6.60000000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AD9
1550000.00000000
PA
USD
1543304.00000000
0.089393773351
Long
DBT
CORP
CA
N
2
2025-05-15
Fixed
3.10000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAJ2
6750000.00000000
PA
USD
6782940.00000000
0.392892522159
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
CubeSmart LP
549300MPHKO3I3FJRA97
CubeSmart LP
22966RAC0
1500000.00000000
PA
USD
1523250.00000000
0.088232172830
Long
DBT
US
N
2
2025-11-15
Fixed
4.00000000
N
N
N
N
N
N
Elmwood CLO IV Ltd
N/A
Elmwood CLO IV Ltd
29002GAB7
12850000.00000000
PA
USD
12796415.50000000
0.741214865587
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.48100000
N
N
N
N
N
N
OVINTIV EXPLORATION INC
T8W3X1PFLPW2YE0UIP44
Ovintiv Exploration Inc
651290AQ1
1649000.00000000
PA
USD
1731450.00000000
0.100291873065
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
5.62500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBQ2
2225000.00000000
PA
USD
2043351.00000000
0.118358311889
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.65000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
6170000.00000000
PA
USD
5488585.20000000
0.317918790718
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGC7
5000000.00000000
PA
USD
5101950.00000000
0.295523475576
Long
DBT
CORP
US
N
2
2027-11-25
Fixed
4.18300000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAJ4
600000.00000000
PA
USD
678792.00000000
0.039318098184
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MN5G1
69477.24000000
PA
USD
69752.22000000
0.004040301940
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006112 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006112 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
3980000.00000000
OU
Notional Amount
USD
-651.13000000
-0.00003771581
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
United Mexican States
United Mexican States
Y
sell protection
2027-06-20
0.00000000
USD
-40125.48000000
USD
3980000.00000000
USD
39474.35000000
N
N
N
State of Louisiana
N/A
LOUISIANA ST UNCLAIMED PROPERTY SPL REVENUE
54651RCR8
105000.00000000
PA
USD
94705.13000000
0.005485665122
Long
DBT
MUN
US
N
2
2026-09-01
Fixed
1.05900000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GQ0
1075000.00000000
PA
USD
1112700.25000000
0.064451640089
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.20000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAH9
200000.00000000
PA
USD
229206.00000000
0.013276444054
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
6.20000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
752.00000000
NC
USD
-2201474.58000000
-0.12751740398
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
161466849.20000000
USD
-2201474.58000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
2400000.00000000
PA
USD
2340288.00000000
0.135557981479
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
1925000.00000000
PA
USD
1902227.25000000
0.110183911692
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DQ2
10000.00000000
PA
USD
7845.63000000
0.000454447386
Long
DBT
NUSS
PE
N
2
2060-12-01
Fixed
2.78000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063A5G5
1650000.00000000
PA
USD
2446697.55000000
0.141721609122
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
7.55000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SK5
38410000.00000000
PA
USD
37521768.75000000
2.173397134584
Long
DBT
UST
US
N
1
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USU7
838497.63000000
PA
USD
857430.49000000
0.049665488385
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04507A SWAPTION US0003M
000000000
-18900000.00000000
NC
USD
-3766.77000000
-0.00021818500
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
18900000.00000000
OU
Notional Amount
N/A
-3766.77000000
0.00000000
DIR
US
N/A
N/A
2023-12-14
0.00000000
N/A
0.00000000
N/A
18900000.00000000
USD
1.00000000
1.29000000
USD
2022-12-12
XXXX
56713.23000000
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAJ4
2850000.00000000
PA
USD
2920623.00000000
0.169173092603
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
325000.00000000
PA
USD
340297.75000000
0.019711281727
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WXWH6
22960.58000000
PA
USD
23065.81000000
0.001336055496
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04809A SWAPTION EUR006M
000000000
-4850000.00000000
NC
-232049.18000000
-0.01344113136
N/A
DIR
DE
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
4850000.00000000
OU
Notional Amount
N/A
-232049.18000000
-0.01000000
DIR
DE
N/A
N/A
2032-04-11
0.00000000
N/A
0.00000000
N/A
4850000.00000000
EUR
1.00000000
0.74300000
EUR
2022-04-07
XXXX
-172215.33000000
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAX9
1000000.00000000
PA
USD
1032350.00000000
0.059797461757
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.05000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CE7
1725000.00000000
PA
USD
1601766.00000000
0.092780104740
Long
DBT
CORP
DE
N
2
2026-11-24
Fixed
2.12900000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AN1
850000.00000000
PA
USD
772488.50000000
0.044745339794
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9CT8
662931.38000000
PA
USD
687603.03000000
0.039828465046
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04818A SWAPTION EUR006M
000000000
-4690000.00000000
NC
-10437.84000000
-0.00060459760
N/A
DIR
DE
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
4690000.00000000
OU
Notional Amount
N/A
-10437.84000000
0.00000000
DIR
DE
N/A
N/A
2032-04-21
0.00000000
N/A
0.00000000
N/A
4690000.00000000
EUR
1.00000000
1.05400000
EUR
2022-04-19
XXXX
41683.26000000
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAH4
1475000.00000000
PA
USD
1376632.25000000
0.079739540197
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.57000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAZ9
2425000.00000000
PA
USD
2460380.75000000
0.142514189767
Long
DBT
CORP
US
N
2
2025-07-13
Fixed
4.30000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAN0
1960000.00000000
PA
USD
1586620.00000000
0.091902793406
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77100000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAW5
2925000.00000000
PA
USD
2696382.00000000
0.156184239383
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAG2
1275000.00000000
PA
USD
1202274.00000000
0.069640077044
Long
DBT
CORP
FR
N
2
2026-06-16
Fixed
1.90700000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBK0
425000.00000000
PA
USD
389682.50000000
0.022571825825
Long
DBT
CORP
US
N
2
2049-09-06
Fixed
4.75800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMZQ7
19976.59000000
PA
USD
20068.14000000
0.001162419561
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RV2
104460000.00000000
PA
USD
112425075.00000000
6.512068700397
Long
DBT
UST
US
N
1
2047-02-15
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
13000000.00000000
PA
USD
15364375.00000000
0.889960407308
Long
DBT
UST
US
N
1
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
AUTONATION INC
N/A
AutoNation Inc
05329WAR3
500000.00000000
PA
USD
448630.00000000
0.025986279137
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
1.95000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAJ5
800000.00000000
PA
USD
812832.00000000
0.047082181852
Long
DBT
CORP
US
N
2
2038-07-24
Fixed
3.88200000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAC4
320000.00000000
PA
USD
288195.20000000
0.016693312782
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
3.25000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAE7
975000.00000000
PA
USD
971850.75000000
0.056293125448
Long
DBT
CORP
GB
N
2
2030-07-18
Fixed
3.96000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAD6
340000.00000000
PA
USD
300475.00000000
0.017404603401
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217101 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217101 IRS USD P F 1.00000 2 CCPOIS
000000000
25480000.00000000
OU
Notional Amount
USD
1483088.88000000
0.085905894884
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-16
920100.70000000
USD
0.00000000
USD
25480000.00000000
USD
562988.18000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENQF9
403261.46000000
PA
USD
437441.10000000
0.025338177409
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
165000.00000000
PA
USD
163350.00000000
0.009461825328
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGF45
107350.94000000
PA
USD
111825.96000000
0.006477365783
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AD2
2800000.00000000
PA
USD
2450952.00000000
0.141968042319
Long
DBT
CORP
US
N
2
2028-02-10
Fixed
1.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312946ZH2
2158.81000000
PA
USD
2346.36000000
0.000135909693
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPC0
1255395.26000000
PA
USD
1307806.88000000
0.075752924776
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMP47
5332.82000000
PA
USD
5357.26000000
0.000310311958
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468J1
1050000.00000000
PA
USD
1038870.00000000
0.060175123839
Long
DBT
CORP
US
N
2
2025-07-22
Fixed
2.72000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CY4
675000.00000000
PA
USD
736870.50000000
0.042682215860
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.78000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217073 IRS NOK R F 1.75000 2 CCPVANILLA / Short: SR217073 IRS NOK P V 06MNIBOR 1 CCPVANILLA
000000000
52420000.00000000
OU
Notional Amount
-89646.04000000
-0.00519262425
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
16199.15000000
NOK
0.00000000
NOK
52420000.00000000
NOK
-87030.11000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217098 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217098 IRS USD P F .25000 2 CCPOIS
000000000
17000000.00000000
OU
Notional Amount
USD
653932.20000000
0.037878128271
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
369953.32000000
USD
0.00000000
USD
17000000.00000000
USD
283978.88000000
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP Carey Inc
92936UAF6
1000000.00000000
PA
USD
1011510.00000000
0.058590333260
Long
DBT
US
N
2
2029-07-15
Fixed
3.85000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
190.00000000
NC
USD
70750.11000000
0.004098103353
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
21687218.64000000
USD
70750.11000000
N
N
N
STANFORD HEALTH CARE
5493005311WCPXQGDG42
Stanford Health Care
85434VAB4
975000.00000000
PA
USD
975745.97000000
0.056518750739
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.31000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAJ5
540000.00000000
PA
USD
713426.40000000
0.041324248433
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
8.10000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
902973BC9
2750000.00000000
PA
USD
2493370.00000000
0.144425046952
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.70000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAH3
240000.00000000
PA
USD
231360.00000000
0.013401211558
Long
DBT
NUSS
MX
N
2
2030-04-16
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCC4
7717689.39000000
PA
USD
8028189.01000000
0.465021867878
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBK6
325000.00000000
PA
USD
303293.25000000
0.017567846678
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
3.41900000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BG6
1325000.00000000
PA
USD
1401465.75000000
0.081177986719
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BN9
1075000.00000000
PA
USD
976132.25000000
0.056541125480
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.65000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
59022CAJ2
350000.00000000
PA
USD
418127.50000000
0.024219463545
Long
DBT
CORP
US
N
2
2037-01-29
Fixed
6.11000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAB6
200000.00000000
PA
USD
179412.50000000
0.010392223671
Long
DBT
CORP
JE
N
2
2036-03-31
Fixed
2.62500000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CQ0
2275000.00000000
PA
USD
2080305.50000000
0.120498850757
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.53900000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAD7
1450000.00000000
PA
USD
1454379.00000000
0.084242914353
Long
DBT
CORP
IE
N
2
2023-01-23
Fixed
3.30000000
N
N
N
N
N
N
Commonwealth Financing Authority
N/A
CMWLTH FING AUTH PA
20281PMP4
125000.00000000
PA
USD
120293.71000000
0.006967848620
Long
DBT
MUN
US
N
2
2030-06-01
Fixed
2.75800000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS03961A SWAPTION SONIO
000000000
25900000.00000000
NC
4320.99000000
0.000250287435
N/A
DIR
GB
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
25900000.00000000
OU
Notional Amount
N/A
4320.99000000
0.00000000
DIR
GB
N/A
N/A
2023-10-10
0.00000000
N/A
0.00000000
N/A
25900000.00000000
GBP
1.00000000
0.42000000
GBP
2022-10-10
XXXX
-51746.78000000
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAP8
100000.00000000
PA
USD
111325.00000000
0.006448348360
Long
DBT
CORP
US
N
2
2048-08-20
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHGK2
44469.77000000
PA
USD
45922.88000000
0.002660020013
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: CX003009 CDS USD R F 3.00000 2 CMBX / Short: CX003009 CDS USD P V 01MEVENT 1 CMBX
000000000
3350000.00000000
OU
Notional Amount
USD
-267476.73000000
-0.01549322374
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-503701.45000000
USD
3350000.00000000
USD
236224.72000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8KK0
527303.17000000
PA
USD
544949.90000000
0.031565477604
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
HUNTSMAN INTERNATIONAL L
3YTEJFW18LGIUQ2N5J61
Huntsman International LLC
44701QBE1
850000.00000000
PA
USD
877048.70000000
0.050801846367
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.50000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY DEDICATED TAX FUND
59259NZM8
395000.00000000
PA
USD
458134.27000000
0.026536800978
Long
DBT
MUN
US
N
2
2030-11-15
Fixed
5.98900000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
225000.00000000
PA
USD
228375.00000000
0.013228309515
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKA9
1250000.00000000
PA
USD
1138700.00000000
0.065957640047
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
3.65000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAB8
2200000.00000000
PA
USD
2185018.00000000
0.126564179099
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.75000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AV6
375000.00000000
PA
USD
382485.00000000
0.022154920482
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
3.85000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AV3
1275000.00000000
PA
USD
1311605.25000000
0.075972940163
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.70000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
1025000.00000000
PA
USD
816340.75000000
0.047285421396
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31359MEU3
4200000.00000000
PA
USD
5198046.00000000
0.301089704941
Long
DBT
USGSE
US
N
2
2029-05-15
Fixed
6.25000000
N
N
N
N
N
N
TSMC GLOBAL LTD
549300N2ZLI21P85T117
TSMC Global Ltd
872882AK1
290000.00000000
PA
USD
263256.20000000
0.015248755317
Long
DBT
CORP
VG
N
2
2031-04-23
Fixed
2.25000000
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital Inc
045054AN3
650000.00000000
PA
USD
594165.00000000
0.034416194958
Long
DBT
CORP
US
N
2
2026-08-12
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMNS0
6719187.79000000
PA
USD
6431753.03000000
0.372550497256
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
JDE PEET'S NV
724500EHG519SE5ZRT89
JDE Peet's NV
47216QAB9
1650000.00000000
PA
USD
1483713.00000000
0.085942046182
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
1.37500000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GT2
2595000.00000000
PA
USD
2633068.65000000
0.152516900181
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030645
56000000.00000000
PA
USD
54788126.40000000
3.173527285464
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
NATURE CONSERVANCY (THE)
549300GJ1IZME7V1JJ28
Nature Conservancy/The
63902HAL3
75000.00000000
PA
USD
66197.07000000
0.003834374738
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
1.30400000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-58696.11000000
-0.00339989189
N/A
DFE
GB
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1867622.82000000
USD
1377086.65000000
GBP
2022-04-05
-58696.11000000
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
390000.00000000
PA
USD
351975.00000000
0.020387670462
Long
DBT
CORP
VG
N
2
2029-11-13
Fixed
3.87500000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
380000.00000000
PA
USD
392302.50000000
0.022723585742
Long
DBT
NUSS
ID
N
2
2025-01-15
Fixed
4.12500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
700000.00000000
PA
USD
717283.00000000
0.041547636713
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WR34
4888282.00000000
PA
USD
4837243.89000000
0.280190736205
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAB9
884000.00000000
PA
USD
837605.38000000
0.048517146004
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
1.74900000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DY0
2500000.00000000
PA
USD
2183975.00000000
0.126503764751
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.70000000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAR5
850000.00000000
PA
USD
867263.50000000
0.050235052041
Long
DBT
CORP
US
N
2
2027-03-26
Fixed
3.30000000
N
N
N
N
N
N
AUTONATION INC
N/A
AutoNation Inc
05329WAQ5
825000.00000000
PA
USD
860887.50000000
0.049865730961
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.75000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAG8
2385000.00000000
PA
USD
2272218.72000000
0.131615161537
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
3.91000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBP0
925000.00000000
PA
USD
867233.75000000
0.050233328813
Long
DBT
CORP
US
N
2
2031-05-13
Fixed
2.95600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8QW8
1412310.31000000
PA
USD
1459574.69000000
0.084543867590
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217312 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217312 IRS USD P F 1.85000 2 CCPOIS
000000000
4410000.00000000
OU
Notional Amount
USD
126436.46000000
0.007323659012
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-02-09
2224.66000000
USD
0.00000000
USD
4410000.00000000
USD
124211.80000000
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494BG7
1250000.00000000
PA
USD
1268850.00000000
0.073496400785
Long
DBT
CORP
US
N
2
2023-09-28
Fixed
3.90000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAW9
1782000.00000000
PA
USD
1865647.08000000
0.108065055377
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.90000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBD3
1100000.00000000
PA
USD
1109812.00000000
0.064284342158
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
3.85000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-725.08000000
-0.00004199926
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
135151.49000000
EUR
148952.35000000
USD
2022-05-05
-725.08000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217067 IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR217067 IRS SEK P F 1.00000 2 CCPVANILLA
000000000
87430000.00000000
OU
Notional Amount
748228.37000000
0.043340104945
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
5531879.19000000
SEK
0.00000000
SEK
87430000.00000000
SEK
165100.13000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBJ4
275000.00000000
PA
USD
291871.25000000
0.016906242950
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
4.49300000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04503A SWAPTION US0003M
000000000
-18900000.00000000
NC
USD
-321844.32000000
-0.01864239203
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
18900000.00000000
OU
Notional Amount
N/A
-321844.32000000
-0.02000000
DIR
US
N/A
N/A
2023-12-14
0.00000000
N/A
0.00000000
N/A
18900000.00000000
USD
1.00000000
1.29000000
USD
2022-12-12
XXXX
-261364.32000000
N
N
N
EMORY UNIVERSITY
95MD72NUUVZ3P8PQ6919
Emory University
29157TAD8
4015000.00000000
PA
USD
3762934.85000000
0.217962854446
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.14300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CAY0
11475.08000000
PA
USD
11850.04000000
0.000686397359
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152BM2
160000.00000000
PA
USD
179552.75000000
0.010400347461
Long
DBT
MUN
US
N
2
2035-02-01
Fixed
6.63000000
N
N
N
N
N
N
GREAT-WEST LIFECO FIN 18
N/A
Great-West Lifeco Finance 2018 LP
39138QAA3
825000.00000000
PA
USD
846879.00000000
0.049054307759
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
4.04700000
N
N
N
N
N
N
Atlas Senior Loan Fund LTD
N/A
Atlas Senior Loan Fund XIII
04942VBE3
2100000.00000000
PA
USD
2035013.40000000
0.117875367813
Long
ABS-CBDO
CORP
KY
N
2
2031-04-22
Floating
2.90900000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006012 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006012 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2150000.00000000
OU
Notional Amount
USD
37429.57000000
0.002168056648
N/A
DCR
GB
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF PERU
REPUBLIC OF PERU
Y
sell protection
2025-12-20
13366.22000000
USD
0.00000000
USD
2150000.00000000
USD
24063.35000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
101795.01000000
0.005896336724
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
2834644.88000000
EUR
3241104.61000000
USD
2022-05-05
101795.01000000
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AU7
3400000.00000000
PA
USD
3153908.00000000
0.182685807154
Long
DBT
CORP
NL
N
2
2026-07-01
Fixed
1.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4G6
684859.59000000
PA
USD
713045.19000000
0.041302167365
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
965000.00000000
PA
USD
1023411.45000000
0.059279708474
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAR9
1900000.00000000
PA
USD
1728259.00000000
0.100107038755
Long
DBT
CORP
AU
N
2
2027-01-12
Fixed
1.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MQTN3
48495.57000000
PA
USD
48687.51000000
0.002820157424
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BH6
875000.00000000
PA
USD
873346.25000000
0.050587387015
Long
DBT
US
N
2
2028-01-15
Fixed
3.40000000
N
N
N
N
N
N
Municipal Improvement Corp of Los Angeles
549300ZJ0YLTZNSR8F57
LOS ANGELES CA MUNI IMPT CORPLEASE REVENUE
544587Y93
245000.00000000
PA
USD
221066.39000000
0.012804968278
Long
DBT
MUN
US
N
2
2029-11-01
Fixed
1.83100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UXS6
4253910.85000000
PA
USD
4228656.36000000
0.244939135924
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329PTE3
199635.05000000
PA
USD
207851.09000000
0.012039490100
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAF0
3100000.00000000
PA
USD
2796603.00000000
0.161989403731
Long
DBT
CORP
FR
N
2
2032-10-19
Fixed
3.11600000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
450000.00000000
PA
USD
397876.50000000
0.023046452068
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2E3
3825000.00000000
PA
USD
3865927.50000000
0.223928562829
Long
DBT
CORP
FR
N
2
2023-03-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QB7
6530000.00000000
PA
USD
8172703.13000000
0.473392650620
Long
DBT
UST
US
N
1
2039-05-15
Fixed
4.25000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AT5
1825000.00000000
PA
USD
1819944.75000000
0.105417810421
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EWUP8
37904.45000000
PA
USD
39143.03000000
0.002267306475
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022648
10000000.00000000
PA
USD
9698341.00000000
0.561763137555
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
2.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006017 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006017 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
690000.00000000
OU
Notional Amount
USD
15139.29000000
0.000876922666
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SAUDI INTERNATIONAL BOND
SAUDI INTERNATIONAL BOND
Y
sell protection
2025-12-20
770.21000000
USD
0.00000000
USD
690000.00000000
USD
14369.08000000
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAJ0
2150000.00000000
PA
USD
2164555.50000000
0.125378916774
Long
DBT
US
N
2
2023-07-15
Fixed
3.15000000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE
549300N8C3A3L0UVQB07
GSK Consumer Healthcare Capital US LLC
36264FAB7
3675000.00000000
PA
USD
3676764.00000000
0.212971525819
Long
DBT
CORP
US
N
2
2027-03-24
Fixed
3.37500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPS04779A SWAPTION SOFRRATE
000000000
-62600000.00000000
NC
USD
-42749.54000000
-0.00247620863
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
62600000.00000000
OU
Notional Amount
N/A
-42749.54000000
0.00000000
DIR
US
N/A
N/A
2023-11-25
0.00000000
N/A
0.00000000
N/A
62600000.00000000
USD
1.00000000
1.59875000
USD
2022-11-22
XXXX
94409.88000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9ME0
2151599.47000000
PA
USD
2223436.86000000
0.128789539018
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
CK HUTCHISON INTL 20 LTD
254900SSPRZHBMNJF043
CK Hutchison International 20 Ltd
12564HAA3
200000.00000000
PA
USD
185422.00000000
0.010740315739
Long
DBT
CORP
KY
N
2
2030-05-08
Fixed
2.50000000
N
N
N
N
N
N
SERVICENOW INC
549300HJTQM36M0E1G39
ServiceNow Inc
81762PAE2
3400000.00000000
PA
USD
2889354.00000000
0.167361878546
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.40000000
N
N
N
N
N
N
Municipal Improvement Corp of Los Angeles
549300ZJ0YLTZNSR8F57
LOS ANGELES CA MUNI IMPT CORPLEASE REVENUE
5445872W7
765000.00000000
PA
USD
695133.54000000
0.040264659538
Long
DBT
MUN
US
N
2
2028-11-01
Fixed
1.64800000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
1275000.00000000
PA
USD
1302769.50000000
0.075461141429
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
1425000.00000000
PA
USD
1476556.50000000
0.085527515707
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MPDQ5
52895.30000000
PA
USD
53104.65000000
0.003076014217
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468V4
5100000.00000000
PA
USD
4690266.00000000
0.271677242956
Long
DBT
CORP
US
N
2
2026-12-10
Fixed
0.98500000
N
N
N
N
N
N
COSTAR GROUP INC
N/A
CoStar Group Inc
22160NAA7
2225000.00000000
PA
USD
2034844.83000000
0.117865603626
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
4079270.77000000
PA
USD
4250214.24000000
0.246187846637
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296PDW9
371.43000000
PA
USD
394.22000000
0.000022834654
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AL9
600000.00000000
PA
USD
622278.00000000
0.036044602031
Long
DBT
CORP
FR
N
2
2024-09-23
Fixed
6.87500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBD6
1050000.00000000
PA
USD
1061518.50000000
0.061487007224
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CL2
4050000.00000000
PA
USD
4133187.00000000
0.239409203823
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.87500000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAJ6
625000.00000000
PA
USD
593075.00000000
0.034353058198
Long
DBT
CORP
US
N
2
2027-04-05
Fixed
2.29300000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS04767A SWAPTION SOFRRATE
000000000
-62700000.00000000
NC
USD
-37513.41000000
-0.00217291296
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
62700000.00000000
OU
Notional Amount
N/A
-37513.41000000
0.00000000
DIR
US
N/A
N/A
2023-11-18
0.00000000
N/A
0.00000000
N/A
62700000.00000000
USD
1.00000000
1.54500000
USD
2022-11-16
XXXX
91021.59000000
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AN4
1425000.00000000
PA
USD
1446845.25000000
0.083806532189
Long
DBT
CORP
US
N
2
2023-01-17
Fixed
4.25000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAY1
375000.00000000
PA
USD
337481.25000000
0.019548139817
Long
DBT
CORP
IE
N
2
2033-10-29
Fixed
3.40000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002944 CDS USD R F 1.00000 2 CCPCDX / Short: SX002944 CDS USD P V 03MEVENT 1 CCPCDX
000000000
150025000.00000000
OU
Notional Amount
USD
2078236.32000000
0.120378996336
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S34
2I65BYDW2
Y
sell protection
2025-06-20
1394401.26000000
USD
0.00000000
USD
150025000.00000000
USD
683835.06000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
75994.74000000
0.004401891372
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1857000.00000000
GBP
2515330.64000000
USD
2022-04-05
75994.74000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXBF6
1143.42000000
PA
USD
1230.35000000
0.000071266340
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
1550000.00000000
PA
USD
1553782.00000000
0.090000697170
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAG3
200000.00000000
PA
USD
183000.00000000
0.010600024702
Long
DBT
CORP
NL
N
2
2027-01-19
Fixed
3.25700000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006003 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006003 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2650000.00000000
OU
Notional Amount
USD
41360.67000000
0.002395760238
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Indonesia Government International Bond
Indonesia Government International Bond
Y
sell protection
2025-12-20
29937.98000000
USD
0.00000000
USD
2650000.00000000
USD
11422.69000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CY1
300000.00000000
PA
USD
307254.00000000
0.017797267704
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
4.12500000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAT7
2100000.00000000
PA
USD
2107833.00000000
0.122093343544
Long
DBT
US
N
2
2024-05-15
Fixed
3.37500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAQ3
2151000.00000000
PA
USD
2168272.53000000
0.125594220653
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.37500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042640
21000000.00000000
PA
USD
21784224.00000000
1.261821379908
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
4.50000000
N
N
N
N
N
N
Capital One NA
207ALC1P1YM0OVDV0K75
Capital One NA
14042RHC8
1700000.00000000
PA
USD
1703638.00000000
0.098680901005
Long
DBT
CORP
US
N
2
2022-08-08
Fixed
2.65000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX003066 CDS USD R F 1.00000 2 CCPCDX / Short: SX003066 CDS USD P V 03MEVENT 1 CCPCDX
000000000
53350000.00000000
OU
Notional Amount
USD
911143.31000000
0.052776730018
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S37
2I65BYDZ5
Y
sell protection
2026-12-20
892998.92000000
USD
0.00000000
USD
53350000.00000000
USD
18144.39000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABW4
2150000.00000000
PA
USD
2021423.55000000
0.117088194339
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BJ8
364000.00000000
PA
USD
304336.76000000
0.017628290567
Long
DBT
CORP
US
N
2
2055-08-18
Fixed
2.75000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDE3
2825000.00000000
PA
USD
2441026.00000000
0.141393092345
Long
DBT
CORP
US
N
2
2031-01-08
Fixed
2.35000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAG1
176000.00000000
PA
USD
191709.76000000
0.011104525637
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.30000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRY8
2150000.00000000
PA
USD
2177305.00000000
0.126117414124
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.78200000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAZ3
1750000.00000000
PA
USD
1704972.50000000
0.098758200092
Long
DBT
US
N
2
2025-03-15
Fixed
2.40000000
N
N
N
N
N
N
San Francisco Municipal Transportation Agency
N/A
SAN FRANCISCO CA MUNI TRANSPRTN AGY REVENUE
797686EQ1
555000.00000000
PA
USD
501157.01000000
0.029028834348
Long
DBT
MUN
US
N
2
2028-03-01
Fixed
1.30200000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
997000.00000000
PA
USD
1005863.33000000
0.058263257624
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
City of New Orleans LA Water System Revenue
N/A
NEW ORLEANS LA WTR REVENUE
647753MB5
45000.00000000
PA
USD
41210.49000000
0.002387061267
Long
DBT
MUN
US
N
2
2026-12-01
Fixed
1.00800000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
125000.00000000
PA
USD
141847.50000000
0.008216322426
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.87500000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
000000000
2987134.40000000
PA
USD
2695888.80000000
0.156155671448
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
City of Yuma AZ
N/A
YUMA AZ PLEDGED REVENUE
98851WAK9
65000.00000000
PA
USD
59921.12000000
0.003470848919
Long
DBT
MUN
US
N
2
2030-07-15
Fixed
2.10200000
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital Inc
045054AP8
1000000.00000000
PA
USD
879070.00000000
0.050918927405
Long
DBT
CORP
US
N
2
2031-08-12
Fixed
2.45000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
5066000.00000000
PA
USD
5347314.98000000
0.309735906446
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EP2E3
216853.22000000
PA
USD
232402.07000000
0.013461572037
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
1700000.00000000
PA
USD
1641027.00000000
0.095054244466
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QDZ1
3094.55000000
PA
USD
3215.19000000
0.000186235483
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
4.00000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
4050000.00000000
PA
USD
4003830.00000000
0.231916376526
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPS04814A SWAPTION SOFRRATE
000000000
-5830000.00000000
NC
USD
-154341.67000000
-0.00894003013
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
5830000.00000000
OU
Notional Amount
N/A
-154341.67000000
-0.01000000
DIR
US
N/A
N/A
2032-04-13
0.00000000
N/A
0.00000000
N/A
5830000.00000000
USD
1.00000000
1.83000000
USD
2022-04-11
XXXX
-89920.17000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDK9
3200000.00000000
PA
USD
2922432.00000000
0.169277876454
Long
DBT
CORP
US
N
2
2026-06-10
Fixed
1.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04817A SWAPTION EUR006M
000000000
-4690000.00000000
NC
-82972.00000000
-0.00480603961
N/A
DIR
DE
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
4690000.00000000
OU
Notional Amount
N/A
-82972.00000000
0.00000000
DIR
DE
N/A
N/A
2032-04-21
0.00000000
N/A
0.00000000
N/A
4690000.00000000
EUR
1.00000000
1.05400000
EUR
2022-04-19
XXXX
-30850.90000000
N
N
N
Pennsylvania Higher Education Assistance Agency
N/A
PHEAA Student Loan Trust 2016-1
69343FAA5
2003644.28000000
PA
USD
1994109.14000000
0.115506044499
Long
ABS-O
CORP
US
N
2
2065-09-25
Floating
1.60700000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152GS4
1595000.00000000
PA
USD
1854891.53000000
0.107442054854
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
7.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202F2M7
860.99000000
PA
USD
890.48000000
0.000051579836
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
4.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006123 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006123 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
7340000.00000000
OU
Notional Amount
USD
57423.76000000
0.003326192756
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Republic of Indonesia
Republic of Indonesia
Y
sell protection
2027-06-20
19081.98000000
USD
0.00000000
USD
7340000.00000000
USD
38341.78000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128E3TE4
15142.10000000
PA
USD
16105.89000000
0.000932911649
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
5.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006024 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006024 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
6530000.00000000
OU
Notional Amount
USD
71947.54000000
0.004167462848
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
UNITED MEXICAN STATES
UNITED MEXICAN STATES
Y
sell protection
2025-12-20
0.00000000
USD
-94770.48000000
USD
6530000.00000000
USD
166718.02000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030645
-36000000.00000000
PA
USD
-35220938.40000000
-2.04012468351
Short
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
STANLEY BLACK & DECKER I
549300DJ09SMTO561131
Stanley Black & Decker Inc
854502AH4
1400000.00000000
PA
USD
1466304.00000000
0.084933653668
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.25000000
N
N
N
N
N
N
AID-ISRAEL
213800T8ZHTFZIBYPE21
Israel Government AID Bond
46513EJX1
2400000.00000000
PA
USD
2544432.00000000
0.147382743462
Long
DBT
NUSS
IL
N
2
2024-04-26
Fixed
5.50000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FX1
2375000.00000000
PA
USD
2283277.50000000
0.132255726243
Long
DBT
CORP
US
N
2
2032-02-14
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292MA78
5142.74000000
PA
USD
5320.90000000
0.000308205854
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAD2
225000.00000000
PA
USD
254830.50000000
0.014760708169
Long
DBT
CORP
US
N
2
2048-05-25
Fixed
5.08500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AR2
683000.00000000
PA
USD
694877.37000000
0.040249821241
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
4.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6A9
524425.79000000
PA
USD
555602.18000000
0.032182496353
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.50000000
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567RAF3
2030000.00000000
PA
USD
2146471.25000000
0.124331411328
Long
DBT
NUSS
ID
N
2
2026-03-29
Fixed
4.55000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CY4
1235000.00000000
PA
USD
1208225.20000000
0.069984792164
Long
DBT
CORP
US
N
2
2025-01-28
Fixed
2.37500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAQ1
550000.00000000
PA
USD
555472.50000000
0.032174984817
Long
DBT
CORP
US
N
2
2024-04-24
Fixed
3.73700000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJY9
2375000.00000000
PA
USD
2224686.25000000
0.128861908224
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.75000000
N
N
N
N
N
N
Dollar Tree Inc
549300PMSTQITB1WHR43
Dollar Tree Inc
256746AH1
1999000.00000000
PA
USD
2073882.54000000
0.120126809584
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.20000000
N
N
N
N
N
N
Cantor Commercial Real Estate Lending
N/A
Cantor Commercial Real Estate Lending 2019-CF2
12528YAV5
2024000.00000000
PA
USD
1460175.86000000
0.084578689540
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
2.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CJ6
3625000.00000000
PA
USD
3417178.75000000
0.197935405260
Long
DBT
CORP
GB
N
2
2026-04-18
Fixed
1.64500000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBE2
85000.00000000
PA
USD
86591.20000000
0.005015676825
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.75000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BG2
3175000.00000000
PA
USD
2839370.75000000
0.164466667154
Long
DBT
CORP
US
N
2
2031-09-23
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q92H5
654497.85000000
PA
USD
681433.91000000
0.039471127208
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health Inc
28414HAE3
650000.00000000
PA
USD
671210.15000000
0.038878929893
Long
DBT
CORP
US
N
2
2023-08-28
Fixed
5.77200000
N
N
N
N
N
N
DENTSPLY SIRONA INC
9NHEHR1SOZCYXDO8HO28
DENTSPLY SIRONA Inc
24906PAA7
1125000.00000000
PA
USD
1084072.50000000
0.062793416826
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217079 IRS NOK R F 2.00000 2 CCPVANILLA / Short: SR217079 IRS NOK P V 06MNIBOR 1 CCPVANILLA
000000000
88190000.00000000
OU
Notional Amount
-645234.44000000
-0.03737432241
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NOK
-1458922.43000000
NOK
88190000.00000000
NOK
-479623.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR216774 IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR216774 IRS GBP P F 1.00000 2 CCPOIS
000000000
3640000.00000000
OU
Notional Amount
86714.42000000
0.005022814175
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
67874.38000000
GBP
0.00000000
GBP
3640000.00000000
GBP
-2180.70000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373T5Q4
6533.43000000
PA
USD
7498.51000000
0.000434340935
Long
ABS-MBS
USGA
US
N
2
2032-02-16
Floating
35.55700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W02A6
13970.74000000
PA
USD
14034.77000000
0.000812944856
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPU7
1975000.00000000
PA
USD
1948024.27000000
0.112836641436
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Floating
1.09900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSJ5
165202.48000000
PA
USD
173836.54000000
0.010069243815
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833Z60
50580000.00000000
PA
USD
33748430.18000000
1.954831658886
Long
DBT
UST
US
N
1
2038-02-15
None
0.00000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAG6
1000000.00000000
PA
USD
1002040.00000000
0.058041796463
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FY69
117347.89000000
PA
USD
117885.68000000
0.006828366776
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W02X6
14450.98000000
PA
USD
14508.18000000
0.000840366482
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAD5
650000.00000000
PA
USD
598000.00000000
0.034638332087
Long
DBT
CORP
QA
N
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BW1
625000.00000000
PA
USD
654843.75000000
0.037930928558
Long
DBT
CORP
US
N
2
2028-12-06
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MNJQ4
15571.77000000
PA
USD
15633.40000000
0.000905543312
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
690000.00000000
PA
USD
716737.50000000
0.041516039372
Long
DBT
NUSS
RO
N
2
2048-06-15
Fixed
5.12500000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND JUN22
000000000
1.00000000
NC
-18144.02000000
-0.00105096754
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
EUX 30 Year Euro BUXL Future
UBM2 COMDTY
2022-06-08
202121.38000000
EUR
-18144.02000000
N
N
N
CFIP CLO LTD
549300NTT3VNL25G1526
CFIP CLO 2021-1 Ltd
12529QAG4
1700000.00000000
PA
USD
1661682.00000000
0.096250657090
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
2.51400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DEV0
1333932.39000000
PA
USD
1384558.06000000
0.080198631901
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABB0
2025000.00000000
PA
USD
2037271.50000000
0.118006165166
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBG3
4325000.00000000
PA
USD
4428800.00000000
0.256532182525
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
6974582.45000000
PA
USD
7247557.15000000
0.419804835094
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006091 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006091 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2540000.00000000
OU
Notional Amount
USD
42213.28000000
0.002445146506
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Republic of Chile
Republic of Chile
Y
sell protection
2026-12-20
22949.70000000
USD
0.00000000
USD
2540000.00000000
USD
19263.58000000
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AQ4
4025000.00000000
PA
USD
3593560.25000000
0.208152062402
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
1375000.00000000
PA
USD
1307735.00000000
0.075748761225
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.97600000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
1700000.00000000
PA
USD
1829642.00000000
0.105979510363
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAE0
200000.00000000
PA
USD
203700.00000000
0.011799043890
Long
DBT
NUSS
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8MQ3
469986.35000000
PA
USD
487477.36000000
0.028236459332
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAH6
1475000.00000000
PA
USD
1364714.25000000
0.079049206348
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: CX003073 CDS USD R F 3.00000 2 CMBX / Short: CX003073 CDS USD P V 01MEVENT 1 CMBX
000000000
3450000.00000000
OU
Notional Amount
USD
-376265.62000000
-0.02179467140
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.10
137BERAJ6
Y
sell protection
2059-11-17
0.00000000
USD
-306237.14000000
USD
3450000.00000000
USD
-70028.48000000
N
N
N
MARTIN MARIETTA
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AX4
3125000.00000000
PA
USD
2665750.00000000
0.154409922680
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
3.20000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE JUN22
000000000
1.00000000
NC
-2767.15000000
-0.00016028337
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
French Government Bond Futures
OATM2 COMDTY
2022-06-08
153911.38000000
EUR
-2767.15000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFR0
650000.00000000
PA
USD
680231.50000000
0.039401479253
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C6A7
1342928.70000000
PA
USD
1395259.68000000
0.080818508602
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006022 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006022 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
4530000.00000000
OU
Notional Amount
USD
75822.69000000
0.004391925612
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF PHILIPPINES
REPUBLIC OF PHILIPPINES
Y
sell protection
2025-12-20
71395.90000000
USD
0.00000000
USD
4530000.00000000
USD
4426.79000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
300000.00000000
PA
USD
268344.00000000
0.015543459173
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006092 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006092 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
4190000.00000000
OU
Notional Amount
USD
100221.03000000
0.005805166085
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SAUDI INTERNATIONAL BOND
SAUDI INTERNATIONAL BOND
Y
sell protection
2026-12-20
87250.12000000
USD
0.00000000
USD
4190000.00000000
USD
12970.91000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR216759 IRS CHF R F .50000 CCPVANILLA / Short: SR216759 IRS CHF P V 12MLIBOR CCPVANILLA
000000000
9160000.00000000
OU
Notional Amount
-348963.24000000
-0.02021321838
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
CHF
-134020.83000000
CHF
9160000.00000000
CHF
-204424.08000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKG6
325000.00000000
PA
USD
296023.00000000
0.017146727390
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDS7
2920000.00000000
PA
USD
2812096.89000000
0.162886866118
Long
DBT
UST
US
N
1
2025-01-15
Fixed
1.12500000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAT7
200000.00000000
PA
USD
223270.00000000
0.012932609373
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RJF7
1921568.83000000
PA
USD
1994080.57000000
0.115504389620
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS04799A SWAPTION SOFRRATE
000000000
-5830000.00000000
NC
USD
-1.17000000
-0.00000006777
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
5830000.00000000
OU
Notional Amount
N/A
-1.17000000
0.00000000
DIR
US
N/A
N/A
2032-04-06
0.00000000
N/A
0.00000000
N/A
5830000.00000000
USD
1.00000000
1.69000000
USD
2022-04-04
XXXX
70046.28000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAD0
230000.00000000
PA
USD
172500.00000000
0.009991826563
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.02700000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04810A SWAPTION EUR006M
000000000
-4850000.00000000
NC
-39.70000000
-0.00000229956
N/A
DIR
DE
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
4850000.00000000
OU
Notional Amount
N/A
-39.70000000
0.00000000
DIR
DE
N/A
N/A
2032-04-11
0.00000000
N/A
0.00000000
N/A
4850000.00000000
EUR
1.00000000
0.74300000
EUR
2022-04-07
XXXX
59794.15000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXFW5
52032.94000000
PA
USD
55534.15000000
0.003216739682
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKF83
163386.60000000
PA
USD
163063.16000000
0.009445210513
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
1300000.00000000
PA
USD
1318759.00000000
0.076387311347
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BM3
1925000.00000000
PA
USD
1922690.00000000
0.111369188497
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
1650000.00000000
PA
USD
1633351.50000000
0.094609651627
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
3025000.00000000
PA
USD
3073460.50000000
0.178025995748
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR216771 IRS SEK R F 1.00000 2 CCPVANILLA / Short: SR216771 IRS SEK P V 03MSTIBO 1 CCPVANILLA
000000000
30560000.00000000
OU
Notional Amount
-138345.56000000
-0.00801347734
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
SEK
-755526.00000000
SEK
30560000.00000000
SEK
-60009.69000000
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd
556079AD3
2550000.00000000
PA
USD
2234157.00000000
0.129410488465
Long
DBT
CORP
AU
N
2
2036-03-03
Fixed
3.05200000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AR2
950000.00000000
PA
USD
844892.00000000
0.048939213502
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
3.26800000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BM2
500000.00000000
PA
USD
496250.00000000
0.028744602505
Long
DBT
CORP
GB
N
2
2029-11-01
Fixed
3.75400000
N
N
N
N
N
N
SPIRIT REALTY LP
549300GTBVIBJRX5BW73
Spirit Realty LP
84861TAF5
1200000.00000000
PA
USD
1156968.00000000
0.067015788961
Long
DBT
US
N
2
2030-01-15
Fixed
3.40000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAD8
2351000.00000000
PA
USD
2550882.02000000
0.147756352049
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VAZ7
1775000.00000000
PA
USD
1869808.08000000
0.108306075610
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174824M3
2200000.00000000
PA
USD
2237290.00000000
0.129591963204
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.87500000
N
N
N
N
N
N
City of New Orleans LA Water System Revenue
N/A
NEW ORLEANS LA WTR REVENUE
647753MD1
105000.00000000
PA
USD
94832.12000000
0.005493020844
Long
DBT
MUN
US
N
2
2028-12-01
Fixed
1.45900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NYHT5
21446.95000000
PA
USD
21531.83000000
0.001247201802
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBN1
875000.00000000
PA
USD
856765.00000000
0.049626940787
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.80000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AM8
1650000.00000000
PA
USD
1744627.50000000
0.101055161729
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9HJ5
279970.35000000
PA
USD
289317.97000000
0.016758347698
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470BB2
480000.00000000
PA
USD
439324.80000000
0.025447288155
Long
DBT
CORP
IN
N
2
2032-01-12
Fixed
2.87500000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS03897A SWAPTION SONIO SEP22 0.363 CALL
000000000
-2210000.00000000
NC
-2574.53000000
-0.00014912612
N/A
DIR
GB
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
2210000.00000000
OU
Notional Amount
N/A
-2574.53000000
0.00000000
DIR
GB
N/A
N/A
2032-09-08
0.00000000
N/A
0.00000000
N/A
2210000.00000000
GBP
1.00000000
0.36300000
GBP
2022-09-08
XXXX
38337.39000000
N
N
N
Stryker Corp
5493002F0SC4JTBU5137
Stryker Corp
863667AH4
475000.00000000
PA
USD
478933.00000000
0.027741538966
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
3.37500000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
180000.00000000
PA
USD
207964.80000000
0.012046076596
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAF9
2250000.00000000
PA
USD
2163510.00000000
0.125318357617
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
2.30000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAQ6
3725000.00000000
PA
USD
3486562.75000000
0.201954378560
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
3.05700000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JZN2
4000000.00000000
PA
USD
4076080.00000000
0.236101358956
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
3.95000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
5100000.00000000
PA
USD
5260089.00000000
0.304683460857
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE
072024XE7
820000.00000000
PA
USD
750790.11000000
0.043488490231
Long
DBT
MUN
US
N
2
2028-04-01
Fixed
1.63300000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
360000.00000000
PA
318599.93000000
0.018454465181
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CB9
100000.00000000
PA
USD
87749.00000000
0.005082740806
Long
DBT
CORP
US
N
2
2048-11-01
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WLCY7
900448.34000000
PA
USD
949254.62000000
0.054984275524
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
839000.00000000
PA
780800.76000000
0.045226816085
Long
DBT
NUSS
MX
N
2
2033-10-25
Fixed
1.45000000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
341271AF1
595000.00000000
PA
USD
543126.35000000
0.031459850964
Long
DBT
MUN
US
N
2
2030-07-01
Fixed
2.15400000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EF6
700000.00000000
PA
USD
690837.00000000
0.040015788335
Long
DBT
CORP
AU
N
2
2034-07-24
Fixed
4.11000000
N
N
N
N
N
N
Higher Education Funding
635400EWI7RHQRLFJW85
Higher Education Funding I
429827AY4
1659211.49000000
PA
USD
1662317.70000000
0.096287479143
Long
ABS-O
CORP
US
N
2
2034-05-25
Floating
1.54800000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAE3
850000.00000000
PA
USD
860701.50000000
0.049854957166
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.87500000
N
N
N
N
N
N
LUKOIL SECURITIES BV
724500IVNQ6LF8OFIO42
Lukoil Securities BV
54988LAB2
590000.00000000
PA
USD
303850.00000000
0.017600095660
Long
DBT
CORP
NL
N
2
2030-05-06
Fixed
3.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217587 IRS AUD R F 2.48000 2 CCPVANILLA / Short: SR217587 IRS AUD P V 03MBBSW 1 CCPVANILLA
000000000
12350000.00000000
OU
Notional Amount
-58635.51000000
-0.00339638171
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-14
64.84000000
AUD
0.00000000
AUD
12350000.00000000
AUD
-58682.74000000
N
N
N
LUKOIL SECURITIES BV
724500IVNQ6LF8OFIO42
Lukoil Securities BV
000000000
2340000.00000000
PA
USD
1251900.00000000
0.072514595218
Long
DBT
CORP
NL
N
2
2030-05-06
Fixed
3.87500000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150AM6
1625000.00000000
PA
USD
1657353.75000000
0.095999949129
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.00000000
N
N
N
N
N
N
SA GLOBAL SUKUK LTD
5493007DFAVKU7UOGR47
SA Global Sukuk Ltd
78397PAD3
5360000.00000000
PA
USD
5078600.00000000
0.294170958763
Long
DBT
CORP
KY
N
2
2031-06-17
Fixed
2.69400000
N
N
N
N
N
N
City of Tucson AZ
N/A
TUCSON AZ COPS
898735UM5
100000.00000000
PA
USD
92460.55000000
0.005355650896
Long
DBT
MUN
US
N
2
2028-07-01
Fixed
1.45700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217311 IRS USD R F 1.81000 2 CCPOIS / Short: SR217311 IRS USD P V 00MSOFR 1 CCPOIS
000000000
8460000.00000000
OU
Notional Amount
USD
-201326.85000000
-0.01166158242
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-09
0.00000000
USD
-5172.33000000
USD
8460000.00000000
USD
-196154.52000000
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBW9
2155000.00000000
PA
USD
1985552.35000000
0.115010404141
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.90000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust
929227ZT6
12554.47000000
PA
USD
12082.98000000
0.000699890090
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Variable
2.61200000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BL7
1550000.00000000
PA
USD
1464347.00000000
0.084820297119
Long
DBT
US
N
2
2032-12-15
Fixed
2.85000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS04856A SWAPTION EUR006M
000000000
-4320000.00000000
NC
-52783.09000000
-0.00305738829
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
4320000.00000000
OU
Notional Amount
N/A
-52783.09000000
0.00000000
DIR
DE
N/A
N/A
2032-05-05
0.00000000
N/A
0.00000000
N/A
4320000.00000000
EUR
1.00000000
1.22600000
EUR
2022-05-03
XXXX
-4484.25000000
N
N
N
HalseyPoint CLO 3, Ltd.
N/A
HalseyPoint CLO 3 Ltd
40638UAA7
6250000.00000000
PA
USD
6226612.50000000
0.360668012636
Long
ABS-CBDO
CORP
KY
N
2
2032-11-30
Floating
1.74900000
N
N
N
N
N
N
AGL CLO 3 Ltd.
549300LS0REDUXQSHW18
AGL CLO 3 LTD
00119MAA7
4100000.00000000
PA
USD
4063911.80000000
0.235396532614
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.54100000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BZ1
1625000.00000000
PA
USD
1633596.25000000
0.094623828436
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
3.80300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBG4
795601.24000000
PA
USD
803925.85000000
0.046566305294
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KU4
4925000.00000000
PA
USD
5002716.50000000
0.289775510815
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.12500000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 5 Ltd
67113GAE7
2000000.00000000
PA
USD
1987654.00000000
0.115132139343
Long
ABS-CBDO
CORP
KY
N
2
2033-04-18
Floating
1.69100000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
2725000.00000000
PA
USD
3144622.75000000
0.182147971747
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7R98
251763.51000000
PA
USD
261172.49000000
0.015128059265
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAG0
700000.00000000
PA
USD
714630.00000000
0.041393965317
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
4.03000000
N
N
N
N
N
N
City of Houston TX Airport System Revenue
N/A
HOUSTON TX ARPT SYS REVENUE
442349ER3
355000.00000000
PA
USD
330192.35000000
0.019125940254
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
2.23500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCU8
3475000.00000000
PA
USD
3279566.00000000
0.189964374935
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
2.96300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBZE1
1472689.26000000
PA
USD
1457348.11000000
0.084414895989
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY36
1069.92000000
PA
USD
1086.96000000
0.000062960671
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
313383YJ4
3500000.00000000
PA
USD
3560550.00000000
0.206239988821
Long
DBT
USGSE
US
N
2
2023-09-08
Fixed
3.37500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04504A SWAPTION US0003M
000000000
-18900000.00000000
NC
USD
-3766.77000000
-0.00021818500
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
18900000.00000000
OU
Notional Amount
N/A
-3766.77000000
0.00000000
DIR
US
N/A
N/A
2023-12-14
0.00000000
N/A
0.00000000
N/A
18900000.00000000
USD
1.00000000
1.29000000
USD
2022-12-12
XXXX
56713.23000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217234 IRS CAD R F 2.10000 2 CCPVANILLA / Short: SR217234 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
2160000.00000000
OU
Notional Amount
-126246.69000000
-0.00731266684
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-12-18
11392.85000000
CAD
0.00000000
CAD
2160000.00000000
CAD
-129817.17000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
1590000.00000000
PA
USD
1530375.00000000
0.088644878710
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2G5
4135000.00000000
PA
USD
3779886.20000000
0.218944738209
Long
DBT
CORP
CH
N
2
2026-08-07
Fixed
1.25000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
3350000.00000000
PA
USD
3320151.50000000
0.192315234512
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
23330JAA9
100000.00000000
PA
USD
120393.75000000
0.006973643300
Long
DBT
CORP
AE
N
2
2037-07-02
Fixed
6.85000000
N
N
N
N
N
N
DOLP Trust
N/A
DOLP Trust 2021-NYC
23345LAA7
4650000.00000000
PA
USD
4370856.83000000
0.253175903654
Long
ABS-MBS
CORP
US
N
2
2041-05-10
Fixed
2.95600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR216634 IRS NZD R F 1.25000 2 CCPVANILLA / Short: SR216634 IRS NZD P V 03MNZDBB 1 CCPVANILLA
000000000
11620000.00000000
OU
Notional Amount
-65949.62000000
-0.00382004153
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-12-15
0.00000000
NZD
-12879.59000000
NZD
11620000.00000000
NZD
-56735.10000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217310 IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217310 IRS USD P F 1.73000 2 CCPOIS
000000000
8150000.00000000
OU
Notional Amount
USD
87297.09000000
0.005056564537
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-02-09
0.00000000
USD
-56.51000000
USD
8150000.00000000
USD
87353.60000000
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBE7
1425000.00000000
PA
USD
1375823.25000000
0.079692679979
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
3.15000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFU1
725000.00000000
PA
USD
830516.50000000
0.048106532326
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
5.15000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAG0
2750000.00000000
PA
USD
2688761.74000000
0.155742846245
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.04300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UXW7
3222917.45000000
PA
USD
3354953.61000000
0.194331099133
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
5.00000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAC3
800000.00000000
PA
USD
775336.00000000
0.044910277337
Long
DBT
CORP
ES
N
2
2029-06-27
Fixed
3.30600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABDT7
295415.87000000
PA
USD
332575.26000000
0.019263967056
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXBH2
7666.51000000
PA
USD
8249.38000000
0.000477834053
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
2750000.00000000
PA
USD
2750852.50000000
0.159339368594
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GMA1
20364.32000000
PA
USD
20457.65000000
0.001184981395
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
UNILEVER CAPITAL CORP
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp
904764BR7
925000.00000000
PA
USD
774687.50000000
0.044872713861
Long
DBT
CORP
US
N
2
2051-08-12
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY28
1393.53000000
PA
USD
1414.16000000
0.000081913283
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KHE2
710000.00000000
PA
USD
699172.15000000
0.040498590498
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
1.74900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217664 IRS USD R F 2.13000 2 CCPOIS / Short: SR217664 IRS USD P V 00MSOFR 1 CCPOIS
000000000
8930000.00000000
OU
Notional Amount
USD
-23735.05000000
-0.00137482030
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-11-15
0.00000000
USD
-45088.75000000
USD
8930000.00000000
USD
21353.70000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296NV61
5175.89000000
PA
USD
5536.17000000
0.000320675075
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9TW3
700114.96000000
PA
USD
739867.70000000
0.042855824571
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300Y43K78UTRMTN21
Palmer Square CLO 2019-1 Ltd
69700GAJ1
6000000.00000000
PA
USD
5960742.00000000
0.345267827567
Long
ABS-CBDO
CORP
KY
N
2
2034-11-14
Floating
1.54500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPS04831A SWAPTION SOFRRATE
000000000
-5830000.00000000
NC
USD
-84530.34000000
-0.00489630432
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
5830000.00000000
OU
Notional Amount
N/A
-84530.34000000
0.00000000
DIR
US
N/A
N/A
2032-04-21
0.00000000
N/A
0.00000000
N/A
5830000.00000000
USD
1.00000000
2.01000000
USD
2022-04-19
XXXX
-27542.09000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBL9
100000.00000000
PA
USD
92599.00000000
0.005363670423
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52200000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
OPS04065A SWAPTION SONIO
000000000
-2720000.00000000
NC
-10804.43000000
-0.00062583183
N/A
DIR
GB
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
2720000.00000000
OU
Notional Amount
N/A
-10804.43000000
0.00000000
DIR
GB
N/A
N/A
2032-11-15
0.00000000
N/A
0.00000000
N/A
2720000.00000000
GBP
1.00000000
0.55250000
GBP
2022-11-15
XXXX
51020.90000000
N
N
N
3650R Commercial Mortgage Trust
N/A
3650R 2021-PF1 Commercial Mortgage Trust
88581EAH4
2526000.00000000
PA
USD
2330131.94000000
0.134969705595
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Fixed
2.77800000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284A5
19650000.00000000
PA
USD
19824240.28000000
1.148292003688
Long
DBT
UST
US
N
1
2023-02-28
Fixed
2.62500000
N
N
N
N
N
N
Recette CLO LLC
549300392I5L5XOJ0016
Recette Clo Ltd
75620TAW8
7000000.00000000
PA
USD
6900250.00000000
0.399687543458
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.33400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y1WP9
1317504.48000000
PA
USD
1393830.41000000
0.080735720092
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJL4
5725000.00000000
PA
USD
4988936.75000000
0.288977337644
Long
DBT
CORP
US
N
2
2031-10-24
Fixed
1.92200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8KG9
165943.27000000
PA
USD
172482.02000000
0.009990785096
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK21
06540BBD0
950000.00000000
PA
USD
917283.62000000
0.053132399077
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
2.85100000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
OPS02950A SWAPTION US0003M
000000000
13700000.00000000
NC
USD
2807.13000000
0.000162599165
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
13700000.00000000
OU
Notional Amount
N/A
2807.13000000
0.00000000
DIR
US
N/A
N/A
2027-11-16
0.00000000
N/A
0.00000000
N/A
13700000.00000000
USD
1.00000000
0.70000000
USD
2022-11-14
XXXX
-135856.84000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FU63
359810.66000000
PA
USD
361459.64000000
0.020937055261
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Entergy Corp
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAJ2
1025000.00000000
PA
USD
1009327.75000000
0.058463929414
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR216597 IRS CAD R F 2.25000 2 CCPVANILLA / Short: SR216597 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
1660000.00000000
OU
Notional Amount
-166563.53000000
-0.00964796465
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-12-15
0.00000000
CAD
-87529.24000000
CAD
1660000.00000000
CAD
-87965.34000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W0FU8
34107.51000000
PA
USD
34242.50000000
0.001983449977
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417JSB7
6256.90000000
PA
USD
6598.85000000
0.000382229360
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
000000000
1600000.00000000
PA
1774796.31000000
0.102802648785
Long
DBT
CORP
NL
N
2
2025-09-22
Fixed
4.37500000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITE
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
71429MAB1
2975000.00000000
PA
USD
2952687.50000000
0.171030384910
Long
DBT
CORP
IE
N
2
2026-03-15
Fixed
4.37500000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAC4
460000.00000000
PA
USD
461667.50000000
0.026741458493
Long
DBT
NUSS
AE
N
2
2022-10-11
Fixed
2.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2N3
3025000.00000000
PA
USD
2755472.50000000
0.159606975775
Long
DBT
CORP
FR
N
2
2027-01-13
Fixed
1.32300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANZG1
45600.08000000
PA
USD
48570.46000000
0.002813377463
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030641
59000000.00000000
PA
USD
58318007.20000000
3.377990802822
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
3.00000000
N
N
N
N
N
N
Educational Funding of the South, Inc.
N/A
Educational Funding of the South Inc
28148WAB9
936254.18000000
PA
USD
933759.72000000
0.054086754634
Long
ABS-O
CORP
US
N
2
2035-04-25
Floating
0.90800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217019 IRS CAD R F 2.00000 2 CCPVANILLA / Short: SR217019 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
21070000.00000000
OU
Notional Amount
-1285439.38000000
-0.07445731793
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
-1008688.85000000
CAD
21070000.00000000
CAD
-489307.97000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2P1
5224189.39000000
PA
USD
5303944.69000000
0.307223741717
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.50000000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BL3
490000.00000000
PA
USD
474800.20000000
0.027502152178
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
2.40000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAF7
75000.00000000
PA
USD
90778.50000000
0.005258220450
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
5.41900000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAQ1
625000.00000000
PA
USD
632362.50000000
0.036628732901
Long
DBT
CORP
US
N
2
2026-12-06
Fixed
3.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217686 IRS EUR R F 1.32300 2 CCPVANILLA / Short: SR217686 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
3120000.00000000
OU
Notional Amount
4279.86000000
0.000247905036
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-31
28.24000000
EUR
0.00000000
EUR
3120000.00000000
EUR
35292.23000000
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BG8
400000.00000000
PA
USD
411368.00000000
0.023827928752
Long
DBT
US
N
2
2027-08-15
Fixed
3.95000000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAA4
825000.00000000
PA
USD
834042.00000000
0.048310742092
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312941Z42
4051.13000000
PA
USD
4354.11000000
0.000252205866
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
2800000.00000000
PA
USD
2811760.00000000
0.162867352225
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057CD4
1235000.00000000
PA
USD
1287746.85000000
0.074590974975
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
4.75000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAH5
1675000.00000000
PA
USD
1548587.75000000
0.089699827343
Long
DBT
CORP
FR
N
2
2026-10-06
Fixed
1.65200000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AC2
1400000.00000000
PA
USD
1400014.00000000
0.081093896086
Long
DBT
CORP
CH
N
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR217028 IRS AUD R F 1.25000 2 CCPVANILLA / Short: SR217028 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
27400000.00000000
OU
Notional Amount
-1610238.65000000
-0.09327087140
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-16
0.00000000
AUD
-667415.75000000
AUD
27400000.00000000
AUD
-958968.48000000
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 3 LTD
67112RAS3
2150000.00000000
PA
USD
2136048.65000000
0.123727696478
Long
ABS-CBDO
CORP
KY
N
2
2035-07-02
Floating
1.39400000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CK3
2095000.00000000
PA
USD
1885500.00000000
0.109215008614
Long
DBT
CORP
DE
N
2
2032-05-28
Fixed
3.03500000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAD5
3000000.00000000
PA
USD
2952660.00000000
0.171028792010
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.65000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX002964 CDS USD R F 3.00000 2 CMBX / Short: CX002964 CDS USD P V 01MEVENT 1 CMBX
000000000
1100000.00000000
OU
Notional Amount
USD
-87828.18000000
-0.00508732719
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-299489.33000000
USD
1100000.00000000
USD
211661.15000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR217043 IRS JPY R V 12MLIBOR CCPVANILLA / Short: BR217043 IRS JPY P F .00000 CCPVANILLA
000000000
659080000.00000000
OU
Notional Amount
139901.56000000
0.008103606513
N/A
DIR
JP
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
15167412.00000000
JPY
0.00000000
JPY
659080000.00000000
JPY
9889.41000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7M1
1034643.26000000
PA
USD
1078808.66000000
0.062488516093
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
5.00000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CK6
450000.00000000
PA
USD
412231.50000000
0.023877945809
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
1.75000000
N
N
N
N
N
N
Municipal Improvement Corp of Los Angeles
549300ZJ0YLTZNSR8F57
LOS ANGELES CA MUNI IMPT CORPLEASE REVENUE
5445872Y3
2295000.00000000
PA
USD
2057464.29000000
0.119175804909
Long
DBT
MUN
US
N
2
2030-11-01
Fixed
2.07400000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AG1
790000.00000000
PA
USD
802442.50000000
0.046480384274
Long
DBT
US
N
2
2024-06-15
Fixed
3.90000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AM5
925000.00000000
PA
USD
918663.75000000
0.053212341219
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L5TJ2
8929.13000000
PA
USD
9314.60000000
0.000539535464
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131Y9XR9
196708.30000000
PA
USD
204282.55000000
0.011832787302
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BE0
1883000.00000000
PA
USD
1884995.98000000
0.109185813945
Long
DBT
CORP
GB
N
2
2023-05-15
Fixed
3.49800000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555CW2
1175000.00000000
PA
USD
1148304.00000000
0.066513938611
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
2.95000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAA8
420000.00000000
PA
USD
430500.00000000
0.024936123685
Long
DBT
NUSS
AE
N
2
2027-10-11
Fixed
3.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032647
51000000.00000000
PA
USD
51299925.90000000
2.971478042475
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
3.50000000
N
N
N
N
N
N
City of New Orleans LA Sewerage Service Revenue
N/A
NEW ORLEANS LA SEWAGE SVC REVENUE
647719QC0
110000.00000000
PA
USD
98713.95000000
0.005717870538
Long
DBT
MUN
US
N
2
2028-06-01
Fixed
1.40900000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAF9
2250000.00000000
PA
USD
2277630.00000000
0.131928602530
Long
DBT
CORP
FR
N
2
2023-09-12
Fixed
4.00000000
N
N
N
N
N
N
TARGET CORP
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612EBN5
900000.00000000
PA
USD
828828.00000000
0.048008728273
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
2.95000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-113.50000000
-0.00000657433
N/A
DFE
NZ
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
45366.83000000
USD
65341.83000000
NZD
2022-05-12
-113.50000000
N
N
N
American Municipal Power Inc
EARKGGZJJEMVD66XQ486
AMERICAN MUNI PWR-OHIO INC OH REVENUE
02765UEQ3
1640000.00000000
PA
USD
2067103.23000000
0.119734127325
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
6.27000000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742BG9
900000.00000000
PA
USD
898533.00000000
0.052046295059
Long
DBT
CORP
CA
N
2
2030-07-15
Fixed
3.90000000
N
N
N
N
N
N
ADOBE INC
FU4LY2G4933NH2E1CP29
Adobe Inc
00724PAC3
1400000.00000000
PA
USD
1359862.00000000
0.078768146403
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.15000000
N
N
N
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAA7
505000.00000000
PA
USD
518332.00000000
0.030023672153
Long
DBT
US
N
2
2024-04-01
Fixed
4.60000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAY6
1150000.00000000
PA
USD
1136154.00000000
0.065810166479
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR216983 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR216983 IRS EUR P F .25000 2 CCPVANILLA
000000000
14390000.00000000
OU
Notional Amount
1420401.91000000
0.082274837887
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
1133022.46000000
EUR
0.00000000
EUR
14390000.00000000
EUR
274808.81000000
N
N
N
WEYERHAEUSER CO
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166CA0
900000.00000000
PA
USD
876789.00000000
0.050786803600
Long
DBT
US
N
2
2033-03-09
Fixed
3.37500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DL1
200000.00000000
PA
USD
208210.00000000
0.012060279471
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAG0
1725000.00000000
PA
USD
1691724.75000000
0.097990842293
Long
DBT
CORP
LU
N
2
2024-11-15
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LSR85
27258.52000000
PA
USD
27366.41000000
0.001585161868
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AS7
2775000.00000000
PA
USD
2759598.75000000
0.159845983162
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
2.75000000
N
N
N
N
N
N
OHIO POWER COMPANY
06ZODLC132CY1O2Y7D77
Ohio Power Co
677415CS8
675000.00000000
PA
USD
637827.75000000
0.036945300032
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NLE6
26842.29000000
PA
USD
27888.76000000
0.001615418278
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
4.00000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PBK0
475000.00000000
PA
USD
494342.00000000
0.028634084215
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
5153478.09000000
PA
USD
5353969.52000000
0.310121361574
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BR216977 IRS EUR R V 06MEURIB CCPVANILLA / Short: BR216977 IRS EUR P F .00000 CCPVANILLA
000000000
300000.00000000
OU
Notional Amount
6499.21000000
0.000376457849
N/A
DIR
ER
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-16
3012.45000000
EUR
0.00000000
EUR
300000.00000000
EUR
3145.28000000
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G3P7
700000.00000000
PA
USD
841610.00000000
0.048749108141
Long
DBT
CORP
US
N
2
2038-01-14
Fixed
5.87500000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
1125000.00000000
PA
USD
1113750.00000000
0.064512445422
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.60000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RG5
210000.00000000
PA
USD
235593.75000000
0.013646445736
Long
DBT
UST
US
N
1
2044-05-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
709092.88000000
PA
USD
736679.50000000
0.042671152446
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WB23
3324185.01000000
PA
USD
3357493.44000000
0.194478215312
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DH7
3875000.00000000
PA
USD
3973231.25000000
0.230143985784
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.90000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR217232 IRS CAD R F 2.07000 2 CCPVANILLA / Short: SR217232 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
9660000.00000000
OU
Notional Amount
-132561.80000000
-0.00767846095
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-12-18
0.00000000
CAD
-47195.71000000
CAD
9660000.00000000
CAD
-95330.95000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A7LX1
39307.73000000
PA
USD
41673.11000000
0.002413857898
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
5.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
275000.00000000
PA
USD
280244.25000000
0.016232764878
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Venture CDO Ltd
549300VI1BOFEK7C6D74
Venture 39 CLO Ltd
92332TAB8
6900000.00000000
PA
USD
6854121.90000000
0.397015636357
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.52100000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LZ2
1795000.00000000
PA
USD
1818209.35000000
0.105317289749
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.04400000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS04069A SWAPTION SONIO
000000000
-2480000.00000000
NC
-11134.36000000
-0.00064494257
N/A
DIR
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
2480000.00000000
OU
Notional Amount
N/A
-11134.36000000
0.00000000
DIR
GB
N/A
N/A
2023-11-16
0.00000000
N/A
0.00000000
N/A
2480000.00000000
GBP
1.00000000
0.59900000
GBP
2022-11-16
XXXX
45395.19000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAB3
2550000.00000000
PA
USD
2597226.00000000
0.150440763703
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
4.12500000
N
N
N
N
N
N
CUBESMART LP
549300MPHKO3I3FJRA97
CubeSmart LP
22966RAJ5
2350000.00000000
PA
USD
2104542.50000000
0.121902745832
Long
DBT
US
N
2
2032-02-15
Fixed
2.50000000
N
N
N
N
N
N
2022-04-28
GOLDMAN SACHS TRUST
Peter Fortner
Peter Fortner
Vice President