NPORT-P
false
0000863520
XXXXXXXX
S000000714
C000117035
C000113704
C000113706
C000002081
C000002082
C000066989
C000113705
Western Asset Funds Inc
811-06110
0000863520
5493004NC00X8WKL1P34
620 Eighth Avenue
47th Floor
New York
10018
1-877-721-1926
Western Asset Core Plus Bond Fund
S000000714
549300M92SFKO7RZX103
2022-12-31
2022-03-31
N
39906620628.22
2942572847.70
36964047780.52
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
561961328.75000000
1712783336.73000000
0.00000000
344441915.63000000
CNY
EUR
IDR
JPY
MXN
USD
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B51
13780000.00000000
PA
USD
12483233.10000000
0.033771282772
Long
DBT
CORP
US
N
2
2028-02-16
Fixed
2.90000000
N
N
N
N
N
N
FINCO I LLC
5493001RSEZ0X6VJMC68
FinCo I LLC
31774BAE4
1637160.48540000
PA
USD
1623653.91000000
0.004392521943
Long
LON
CORP
US
N
2
2025-06-27
Floating
2.70860000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CM5
6900000.00000000
PA
USD
6759136.50000000
0.018285704369
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C14
46640LAJ1
4000000.00000000
PA
USD
3960100.00000000
0.010713382970
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.54853400
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAG5
15590000.00000000
PA
USD
15355835.08000000
0.041542623175
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.73100000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-307.00000000
NC
USD
-119921.88000000
-0.00032442843
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-04-22
XXXX
66625.15000000
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C25
46643PBJ8
5930000.00000000
PA
USD
5922722.70000000
0.016022927832
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
4.06510000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUW5
9813.02000000
PA
USD
10154.27000000
0.000027470665
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJF7
7000000.00000000
PA
USD
6124741.56000000
0.016569455803
Long
DBT
CORP
US
N
2
2031-07-23
Fixed
1.89800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUJ8
1588197.38000000
PA
USD
1479648.46000000
0.004002939474
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-777.00000000
NC
USD
-24281.25000000
-0.00006568882
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
129.00000000
USD
2022-04-22
XXXX
624890.17000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DK8
6250000.00000000
PA
USD
5985625.00000000
0.016193099401
Long
DBT
CORP
US
N
2
2044-07-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417EQW4
293972.79000000
PA
USD
291992.27000000
0.000789935863
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329NAK4
1061584.19000000
PA
USD
1108344.88000000
0.002998440231
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFHS3
17869237.17000000
PA
USD
17692400.88000000
0.047863808057
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CD5
16620000.00000000
PA
USD
15857437.67000000
0.042899624424
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.20000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
2940.00000000
NC
-18058354.15000000
-0.04885383293
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
531472154.45000000
USD
-18058354.15000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-78192161.29000000
-0.21153571100
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-06-04
0.00000000
USD
0.00000000
USD
3597809000.00000000
USD
-78192161.29000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS APACHE CORP
000000000
1.00000000
NC
USD
-859041.98000000
-0.00232399326
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
APACHE CORP
Apache Corp
Y
Default Event
2026-12-20
0.00000000
USD
-2133906.44000000
USD
75119000.00000000
USD
1274864.46000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJX9
20000.00000000
PA
USD
20410.16000000
0.000055216247
Long
DBT
CORP
US
N
2
2024-05-13
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLGL5
33349725.22000000
PA
USD
31089214.81000000
0.084106629757
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AHGQ7
7644314.72000000
PA
USD
1113965.47000000
0.003013645790
Long
ABS-MBS
USGSE
US
N
2
2043-12-25
Floating
5.49343000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGJG0
3878401.39000000
PA
USD
3952014.92000000
0.010691510149
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAE3
2300000.00000000
PA
USD
2303894.41000000
0.006232797943
Long
DBT
CORP
CH
N
2
2023-08-15
Fixed
2.85900000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2004-SL4 Trust
76112BGP9
376352.87000000
PA
USD
205113.41000000
0.000554899753
Long
ABS-MBS
CORP
US
N
2
2032-07-25
Fixed
7.50000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAP6
3510000.00000000
PA
USD
3544421.13000000
0.009588833861
Long
DBT
CORP
DK
N
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHS45
8910267.28000000
PA
USD
8859163.51000000
0.023966973429
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
4570000.00000000
PA
USD
5266956.53000000
0.014248863006
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELYW7
6042372.69000000
PA
USD
6704375.95000000
0.018137558932
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
5160000.00000000
PA
USD
5231548.56000000
0.014153072712
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S5L7
30082250.66000000
PA
USD
30524904.06000000
0.082579982152
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
3.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
37570000.00000000
PA
USD
34803298.99000000
0.094154458398
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
16970000.00000000
PA
USD
17106918.54000000
0.046279884285
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
15913098.47000000
0.043050205335
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-663830588.92000000
EUR
750680997.65000000
USD
2022-04-19
15913098.47000000
N
N
N
AMWINS GROUP INC
549300SJE7MUB8NMRG61
AmWINS Group Inc
03234TAW8
14800543.24910000
PA
USD
14578535.10000000
0.039439769114
Long
LON
CORP
US
N
2
2028-02-19
Floating
3.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
13470000.00000000
PA
USD
12581663.87000000
0.034037570627
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M8NV1
612214.29000000
PA
USD
640816.34000000
0.001733620581
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Commercial Mortgage Trust 2021-MHC
55316VAJ3
159000.00000000
PA
USD
155657.15000000
0.000421104179
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
2.49796200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291X2X6
12001.11000000
PA
USD
12819.86000000
0.000034681970
Long
ABS-MBS
USGA
US
N
2
2035-03-15
Fixed
6.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CX Mortgage Trust
12656KAE7
5000000.00000000
PA
USD
4441422.50000000
0.012015519854
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Fixed
2.44600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384WK41
1754.60000000
PA
USD
1908.31000000
0.000005162611
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
7.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
3610000.00000000
PA
USD
4000249.01000000
0.010821999348
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
000000000
3606154.14990000
PA
USD
3598274.70000000
0.009734525616
Long
LON
CORP
CA
N
2
2025-05-31
Floating
3.50000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BW9
5950000.00000000
PA
USD
5316911.49000000
0.014384007729
Long
DBT
CORP
US
N
2
2051-08-12
Fixed
3.05000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAV7
950000.00000000
PA
USD
895527.00000000
0.002422697333
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KSTZ7
24731.69000000
PA
USD
26172.50000000
0.000070805286
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UY79
3001849.06000000
PA
USD
180815.48000000
0.000489165799
Long
ABS-MBS
USGA
US
N
2
2067-11-20
Variable
2.36781000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAD7
12000000.00000000
PA
USD
10918560.00000000
0.029538323467
Long
DBT
CORP
MA
N
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZU5
9750000.00000000
PA
USD
9546176.25000000
0.025825570583
Long
DBT
CORP
US
N
2
2024-10-28
Fixed
2.90000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAH2
3060000.00000000
PA
USD
2905102.80000000
0.007859265893
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
3.87500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
20450000.00000000
PA
USD
21803649.10000000
0.058986097056
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP MORGAN MORTGAGE TRUST 2018-5
46649KAA3
8170681.90000000
PA
USD
8091463.87000000
0.021890091469
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XWV91
930331.85000000
PA
USD
974297.25000000
0.002635796966
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133D3X67
2769970.28000000
PA
USD
2678624.22000000
0.007246566274
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CF4
4570000.00000000
PA
USD
4889588.65000000
0.013227957822
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYC2
3096000.00000000
PA
USD
2812593.24000000
0.007608996873
Long
DBT
CORP
US
N
2
2042-04-22
Fixed
3.21000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCU3
20418000.00000000
PA
USD
21811785.77000000
0.059008109445
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHK46
2063639.03000000
PA
USD
2085051.27000000
0.005640754720
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
3.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBM0
52120000.00000000
PA
USD
52312621.45000000
0.141522978653
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCH6
5720000.00000000
PA
USD
5855278.00000000
0.015840467566
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TT96
63600.69000000
PA
USD
63339.09000000
0.000171353230
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
3.00000000
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
00109LAA1
810000.00000000
PA
USD
753340.50000000
0.002038035727
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.12500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BU9
26340000.00000000
PA
USD
29187412.47000000
0.078961624125
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
4350000.00000000
PA
USD
4556124.75000000
0.012325827455
Long
DBT
CORP
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBK0
65350000.00000000
PA
USD
67901253.54000000
0.183695394896
Long
DBT
CORP
GB
N
2
2030-06-20
Fixed
5.08800000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-81.00000000
NC
USD
-16453.13000000
-0.00004451116
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
123.00000000
USD
2022-04-01
XXXX
3656.75000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBK82
54213779.52000000
PA
USD
51919160.16000000
0.140458535462
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
INR/USD FORWARD
000000000
1.00000000
NC
USD
-429589.77000000
-0.00116218270
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-57842754.61000000
USD
4359319201.00000000
INR
2022-04-19
-429589.77000000
N
N
N
VanEck J. P. Morgan EM Local Currency Bond ETF
549300CNWPR88MZBEA63
VanEck J. P. Morgan EM Local Currency Bond ETF
92189H300
2000000.00000000
NS
USD
53980000.00000000
0.146033790239
Long
EC
RF
US
N
1
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCN9
100000.00000000
PA
USD
97501.95000000
0.000263775089
Long
DBT
UST
US
N
2
2023-07-31
Fixed
0.12500000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
2696040000.00000000
PA
1659101.54000000
0.004488419530
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BC9
15280000.00000000
PA
USD
15495938.03000000
0.041921648089
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
TARGET CORP
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612EBL9
13960000.00000000
PA
USD
13776211.71000000
0.037269218435
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-624.00000000
NC
USD
-448500.00000000
-0.00121334114
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
153.00000000
USD
2022-04-22
XXXX
77170.48000000
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
15489000.00000000
PA
USD
15360617.26000000
0.041555560557
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD4M0
3162871.87000000
PA
USD
3367927.84000000
0.009111361017
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9FB4
0.01000000
PA
USD
0.01000000
0.000000000027
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
3.00000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AC5
35280000.00000000
PA
USD
34829398.55000000
0.094225066358
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967DR9
133000.00000000
PA
USD
160510.99000000
0.000434235425
Long
DBT
CORP
US
N
2
2036-08-25
Fixed
6.12500000
N
N
N
N
N
N
Sunrun Demeter Issuer LLC
N/A
Sunrun Demeter Issuer 2021-2 LLC
86772HAA5
33750254.24000000
PA
USD
30817968.03000000
0.083372817319
Long
ABS-O
CORP
US
N
2
2057-01-30
Fixed
2.27000000
N
N
N
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAP0
13630000.00000000
PA
USD
12228729.69000000
0.033082766699
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBQ5
6633000.00000000
PA
USD
6680039.58000000
0.018071720985
Long
DBT
CORP
US
N
2
2048-02-15
Fixed
4.25000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFP4
8380000.00000000
PA
USD
8531767.00000000
0.023081257362
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAP6
6442000.00000000
PA
USD
6676582.72000000
0.018062369033
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.15000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AH8
518000.00000000
PA
USD
544418.00000000
0.001472831122
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A65Y6
2553433.18000000
PA
USD
281648.28000000
0.000761951942
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
6.19343000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5MX8
981403.44000000
PA
USD
1002482.93000000
0.002712048572
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAK1
7500000.00000000
PA
USD
7134375.00000000
0.019300848874
Long
DBT
CORP
KY
N
2
2026-01-08
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XECV3
1032111.50000000
PA
USD
1061822.58000000
0.002872581991
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FKP0
455535.09000000
PA
USD
500410.57000000
0.001353776439
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
5.00000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
5539000.00000000
PA
USD
6992503.34000000
0.018917039014
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207KHD5
615.00000000
PA
USD
657.10000000
0.000001777673
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
6.50000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAN9
12373000.00000000
PA
USD
11834836.37000000
0.032017154723
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGRE1
2840348.83000000
PA
USD
2648705.84000000
0.007165627140
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-7
52520QBA1
5972912.49000000
PA
USD
1662255.57000000
0.004496952227
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
6.69343000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAK8
4815399.97990000
PA
USD
4740761.28000000
0.012825330462
Long
LON
CORP
US
N
2
2027-04-15
Floating
2.50000000
N
N
N
N
N
N
TIME WARNER ENTERTAINMEN
N/A
Time Warner Entertainment Co LP
88731EAJ9
2060000.00000000
PA
USD
2693908.54000000
0.007287915425
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUG4
8621038.24000000
PA
USD
8266335.62000000
0.022363177509
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
15862000.00000000
PA
USD
15505105.00000000
0.041946447781
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
33870000.00000000
PA
USD
33471268.47000000
0.090550874375
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
Wachovia Bank Commercial Mortg
N/A
Wachovia Bank Commercial Mortgage Trust Series 2007-C33
92978NAK0
3437156.37000000
PA
USD
2653484.72000000
0.007178555594
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
5.31518900
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
89364MBR4
1943856.30100000
PA
USD
1913784.84000000
0.005177422265
Long
LON
CORP
US
N
2
2025-12-09
Floating
2.25000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
14210000.00000000
PA
USD
12832595.29000000
0.034716423282
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BG4
6660000.00000000
PA
USD
7756361.21000000
0.020983527713
Long
DBT
CORP
US
N
2
2036-11-30
Fixed
4.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFT6
32010000.00000000
PA
USD
27312070.60000000
0.073888202834
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
5370000.00000000
PA
USD
5294336.81000000
0.014322935738
Long
DBT
CORP
DK
N
2
2025-12-20
Fixed
3.24400000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
4660000.00000000
PA
USD
4733958.72000000
0.012806927282
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAN3
13677000.00000000
PA
USD
14502946.51000000
0.039235276926
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C5
46590TAE5
620000.00000000
PA
USD
629572.06000000
0.001703201077
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.69390000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-4190.00000000
NC
USD
-1112968.76000000
-0.00301094935
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.50000000
USD
2022-04-22
XXXX
632970.06000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-466.00000000
NC
USD
-21843.75000000
-0.00005909458
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
128.00000000
USD
2022-04-22
XXXX
377787.57000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFK5
1610000.00000000
PA
USD
1546064.50000000
0.004182616874
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201DY97
55235.44000000
PA
USD
59014.18000000
0.000159652915
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
6.00000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BY5
70000.00000000
PA
USD
66289.32000000
0.000179334580
Long
DBT
CORP
US
N
2
2030-05-11
Fixed
2.23600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397CTW9
741280.33000000
PA
USD
101594.99000000
0.000274848118
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Floating
5.89343000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
03969YAB4
780000.00000000
PA
USD
703794.00000000
0.001903996023
Long
DBT
CORP
N/A
N
2
2029-09-01
Fixed
4.00000000
N
N
N
N
N
N
EFS Volunteer No 2 LLC
N/A
EFS Volunteer No 2 LLC
26845BAB5
6910739.86000000
PA
USD
7013937.25000000
0.018975024844
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
1.80657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374YVW0
51460.43000000
PA
USD
1893.62000000
0.000005122869
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Floating
6.20143000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LUT47
171472.06000000
PA
USD
175847.32000000
0.000475725280
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
CTR PARTNERSHIP/CARETRST
N/A
CTR Partnership LP / CareTrust Capital Corp
126458AE8
3294000.00000000
PA
USD
3109568.94000000
0.008412414566
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFNL1
3845184.99000000
PA
USD
3580043.72000000
0.009685204773
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
9920000.00000000
PA
USD
11485618.74000000
0.031072405295
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVS0
9754000.00000000
PA
USD
10939063.99000000
0.029593793555
Long
DBT
CORP
US
N
2
2045-10-21
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WXVV6
487343.95000000
PA
USD
511560.16000000
0.001383939775
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4F79
4816684.92000000
PA
USD
4483936.43000000
0.012130534125
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
35943000.00000000
PA
USD
40811957.03000000
0.110409869807
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
03852JAR2
4838396.09570000
PA
USD
4755756.29000000
0.012865896933
Long
LON
CORP
US
N
2
2027-01-15
Floating
1.95860000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388JTP0
1821.68000000
PA
USD
1956.81000000
0.000005293819
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
6.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-1123857.49000000
-0.00304040698
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-45398280.00000000
USD
40000000.00000000
EUR
2022-04-19
-1123857.49000000
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAQ7
4530000.00000000
PA
USD
4808638.49000000
0.013008960811
Long
DBT
CORP
US
N
2
2050-03-26
Fixed
3.85000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-4692.00000000
NC
USD
-1832812.50000000
-0.00495836524
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-04-22
XXXX
1238195.34000000
N
N
N
ZEBRA BUYER LLC
N/A
Zebra Buyer LLC
98922AAC0
17724774.19000000
PA
USD
17633402.98000000
0.047704199184
Long
LON
CORP
US
N
2
2028-11-02
Floating
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387XVK8
8585.98000000
PA
USD
9194.98000000
0.000024875468
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VAM5
1030000.00000000
PA
USD
1370279.24000000
0.003707059486
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
7.55000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
279555000000.00000000
PA
18948038.39000000
0.051260723669
Long
DBT
NUSS
ID
N
2
2032-04-15
Fixed
6.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291TBM9
68366.46000000
PA
USD
74056.48000000
0.000200347322
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
6.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDR9
12680000.00000000
PA
USD
10742844.07000000
0.029062953640
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030658
123600000.00000000
PA
USD
121866702.82000000
0.329689820615
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
3.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C30
46644UBF4
19921000.00000000
PA
USD
19649709.85000000
0.053158977519
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Variable
4.26425900
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JM4
18320000.00000000
PA
USD
18696476.00000000
0.050580164031
Long
DBT
CORP
US
N
2
N/A
Fixed
5.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291QZB3
442.34000000
PA
USD
472.75000000
0.000001278945
Long
ABS-MBS
USGA
US
N
2
2035-02-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG74
427228.89000000
PA
USD
456850.95000000
0.001235933230
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H0AZ5
723513.53000000
PA
USD
733988.20000000
0.001985681341
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2003-RS7 Trust
760985YC9
825014.71000000
PA
USD
807887.07000000
0.002185602277
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
1.58157000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BV1
1480000.00000000
PA
USD
1508349.39000000
0.004080585002
Long
DBT
CORP
US
N
2
2024-05-22
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H2UH5
6732474.07000000
PA
USD
1008066.81000000
0.002727154818
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Fixed
2.50000000
N
N
N
N
N
N
Dividend Solar Loans LLC
N/A
Dividend Solar Loans 2018-2 LLC
255387AB8
418894.87000000
PA
USD
428854.93000000
0.001160194718
Long
ABS-O
CORP
US
N
2
2038-12-20
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201UBS2
63310.46000000
PA
USD
67691.87000000
0.000183128943
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMT95
20591916.29000000
PA
USD
19707547.02000000
0.053315446233
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBT9
7837000.00000000
PA
USD
7858943.60000000
0.021261047076
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297VKT4
2831.67000000
PA
USD
3030.73000000
0.000008199129
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGDV8
35942928.34000000
PA
USD
33452953.94000000
0.090501327502
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9M93
13374045.61000000
PA
USD
13350270.03000000
0.036116905024
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBNZ9
1408575.28000000
PA
USD
1403069.68000000
0.003795768494
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AYSU8
7175818.55000000
PA
USD
1085448.04000000
0.002936496691
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
5.74343000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXEP3
18096684.17000000
PA
USD
20181894.51000000
0.054598713403
Long
ABS-MBS
USGSE
US
N
2
2056-09-01
Fixed
5.50000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBS0
11570000.00000000
PA
USD
11701435.20000000
0.031656260346
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS TEVA PHARMACEUT FIN BV
000000000
1.00000000
NC
USD
-1617307.78000000
-0.00437535355
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
TEVA PHARMACEUT FIN BV
Teva Pharmaceutical Finance Co BV
Y
Default Event
2026-06-20
0.00000000
USD
-2082136.31000000
USD
25010000.00000000
USD
464828.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MUN0
4138771.25000000
PA
USD
4503336.94000000
0.012183018934
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617AEBH8
847967.86000000
PA
USD
907718.75000000
0.002455680058
Long
ABS-MBS
USGA
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BM3
14280000.00000000
PA
USD
18184580.40000000
0.049195316779
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AANA8
1193745.15000000
PA
USD
1211543.09000000
0.003277625592
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBH3
2120000.00000000
PA
USD
1882773.44000000
0.005093526150
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
2.87500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAR7
1150000.00000000
PA
USD
1417375.00000000
0.003834469126
Long
DBT
CORP
US
N
2
2039-01-26
Fixed
6.87500000
N
N
N
N
N
N
Countrywide Home Equity Loan T
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2006-I
12668FAB0
2423242.50000000
PA
USD
2314357.25000000
0.006261103393
Long
ABS-MBS
CORP
US
N
2
2037-01-15
Floating
0.53657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K7E5
332632.65000000
PA
USD
353559.39000000
0.000956495327
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSF3
180524.67000000
PA
USD
179782.16000000
0.000486370326
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412W2Z8
242970.83000000
PA
USD
267796.27000000
0.000724477664
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381DND8
9816179.50000000
PA
USD
763752.75000000
0.002066204314
Long
ABS-MBS
USGA
US
N
2
2063-11-16
Variable
0.87898000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAH0
6550000.00000000
PA
USD
6383551.20000000
0.017269621654
Long
DBT
CORP
US
N
2
2025-04-05
Fixed
2.05600000
N
N
N
N
N
N
SPIRIT LOYALTY KY LTD/IP
N/A
Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
84859BAA9
11735997.00000000
PA
USD
12519257.44000000
0.033868740551
Long
DBT
CORP
KY
N
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
LIFEPOINT HEALTH INC
549300G8ZVHRTBBBSZ90
LifePoint Health Inc
75915TAD4
20090130.99600000
PA
USD
20003241.18000000
0.054115396935
Long
LON
CORP
US
N
2
2025-11-16
Floating
4.19400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SYR2
196523.41000000
PA
USD
195823.15000000
0.000529766521
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.00000000
N
N
N
N
N
N
Origen Manufactured Housing
549300IF0XI4ZS5JC782
Origen Manufactured Housing Contract Trust 2006-A
68620BAB8
5795486.15130000
PA
USD
5753180.60000000
0.015564260262
Long
ABS-O
CORP
US
N
2
2037-10-15
Variable
1.86180000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJWA2
3593110.15000000
PA
USD
3639057.41000000
0.009844856363
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
3.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDV1
10385000.00000000
PA
USD
10754007.19000000
0.029093153579
Long
DBT
CORP
US
N
2
2059-08-15
Fixed
3.87500000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AF0
9320000.00000000
PA
USD
9387269.43000000
0.025395674969
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K03Q4
3569.60000000
PA
USD
3795.47000000
0.000010268004
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
9840000.00000000
PA
USD
9788832.00000000
0.026482034808
Long
DBT
CORP
US
N
2
2025-02-01
Variable
3.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380PWC4
24309124.16000000
PA
USD
1627138.52000000
0.004401948968
Long
ABS-MBS
USGA
US
N
2
2060-05-16
Variable
0.84215000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-1257396.93000000
-0.00340167542
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-37783795.50000000
USD
33000000.00000000
EUR
2022-04-19
-1257396.93000000
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BS2
367000.00000000
PA
USD
382554.30000000
0.001034936168
Long
DBT
CORP
US
N
2
2036-08-08
Fixed
3.45000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
3400000.00000000
PA
USD
3398400.57000000
0.009193799851
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212NAM9
262.64000000
PA
USD
283.17000000
0.000000766068
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
-275.00000000
NC
-107054.34000000
-0.00028961747
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Call
Written
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
0.00000000
USD
100000.00000000
162.00000000
EUR
2022-04-22
XXXX
285589.50000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND WEEK 1
000000000
-156.00000000
NC
USD
-12187.50000000
-0.00003297122
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
152.00000000
USD
2022-04-01
XXXX
38730.12000000
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CB6
9310000.00000000
PA
USD
9031318.18000000
0.024432708867
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMWN1
14781762.86000000
PA
USD
14156120.16000000
0.038296996703
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
3690000.00000000
PA
USD
4000771.73000000
0.010823413479
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ5L0
102380.22000000
PA
USD
100842.67000000
0.000272812843
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
5493000HGUJLFEQO2209
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4
16678RET0
257004.74000000
PA
USD
242995.80000000
0.000657384173
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.65657000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BN8
330000.00000000
PA
USD
342232.71000000
0.000925852904
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAQ6
39330000.00000000
PA
USD
38747387.01000000
0.104824523656
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADGQ5
11851165.03000000
PA
USD
12116675.09000000
0.032779621869
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566ABD0
18832000.00000000
PA
USD
19171883.70000000
0.051866299421
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Floating
4.89900000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAW0
17922315.96200000
PA
USD
17717463.89000000
0.047931611806
Long
LON
CORP
US
N
2
2024-11-03
Floating
3.20860000
N
N
N
N
N
N
PHOENIX GUARANTOR INC
N/A
Phoenix Guarantor Inc
71913BAH5
17152146.00000000
PA
USD
16995889.95000000
0.045979515151
Long
LON
CORP
US
N
2
2026-03-05
Floating
3.66170000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
41905000.00000000
PA
USD
37507030.44000000
0.101468948051
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558AW3
399000.00000000
PA
USD
406298.06000000
0.001099170909
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.70000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-RPL6 Trust
12656HAC8
31536738.99000000
PA
USD
30931460.67000000
0.083679852524
Long
ABS-MBS
CORP
US
N
2
2059-03-25
Variable
2.68750000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBN2
7880000.00000000
PA
USD
6392816.03000000
0.017294686090
Long
DBT
CORP
US
N
2
2051-02-04
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291RNU2
2866.08000000
PA
USD
3110.13000000
0.000008413932
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
6.00000000
N
N
N
N
N
N
NATIONAL SECS CLEARING
549300RYC9NELN2ICA34
National Securities Clearing Corp
637639AB1
9000000.00000000
PA
USD
8624389.86000000
0.023331832896
Long
DBT
CORP
US
N
2
2025-04-23
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9NP2
17751441.49000000
PA
USD
18109712.09000000
0.048992773187
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ANV6
88335.28000000
PA
USD
88145.87000000
0.000238463791
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057CD4
6200000.00000000
PA
USD
6466450.52000000
0.017493891790
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
4.75000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
8320000.00000000
PA
USD
7188379.00000000
0.019446947592
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS CAPITAL II
N/A
Goldman Sachs Capital II
381427AA1
303000.00000000
PA
USD
243915.00000000
0.000659870914
Long
DBT
CORP
US
N
2
N/A
Floating
4.00000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAJ3
2120000.00000000
PA
USD
2102806.80000000
0.005688789313
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DB8
3107000.00000000
PA
USD
3341454.22000000
0.009039741101
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
6.95000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAP4
1170000.00000000
PA
USD
1207670.24000000
0.003267148249
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBM2
244000.00000000
PA
USD
260911.84000000
0.000705852999
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
4.20000000
N
N
N
N
N
N
BBCCRE Trust
N/A
BBCCRE Trust 2015-GTP
05490TAJ1
33260000.00000000
PA
USD
31288430.35000000
0.084645573817
Long
ABS-MBS
CORP
US
N
2
2033-08-10
Variable
4.56260000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NAC5
5126000.00000000
PA
USD
5812852.48000000
0.015725692474
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132LMAK2
700060.19000000
PA
USD
719653.04000000
0.001946899983
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
10170000.00000000
PA
USD
10927266.64000000
0.029561877814
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AK31
1135811.17000000
PA
USD
1161092.13000000
0.003141139024
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
JAZZ FINANCING LUX SARL
635400WUEO2NSG5OIU34
Jazz Financing Lux Sarl
000000000
39402250.00000000
PA
USD
39306305.52000000
0.106336583464
Long
LON
CORP
LU
N
2
2028-05-05
Floating
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312941MT1
7712.12000000
PA
USD
8319.02000000
0.000022505706
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HDZR8
572836.36000000
PA
USD
580673.61000000
0.001570914563
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201ATP3
8274.45000000
PA
USD
8851.50000000
0.000023946241
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.00000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AA9
18310000.00000000
PA
USD
18278399.50000000
0.049449128538
Long
DBT
CORP
JP
N
2
2023-09-15
Fixed
3.04300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CMF8
7976823.86000000
PA
USD
8090887.02000000
0.021888530899
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MNZN3
243098.78000000
PA
USD
254371.58000000
0.000688159428
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
RACKSPACE TECHNOLOGY
549300QTYCKLMFSE8I97
Rackspace Technology Global Inc
75009XAB6
22690800.00000000
PA
USD
22305850.58000000
0.060344718501
Long
LON
CORP
US
N
2
2028-02-09
Floating
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKQY7
41735455.34000000
PA
USD
40410617.15000000
0.109324112418
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-415.00000000
NC
USD
-110234.38000000
-0.00029822053
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.50000000
USD
2022-04-22
XXXX
-717.95000000
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA Inc
166756AR7
19795000.00000000
PA
USD
20646627.22000000
0.055855969407
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291S6H8
4907.58000000
PA
USD
5243.67000000
0.000014185865
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWL4
5760000.00000000
PA
USD
5773370.80000000
0.015618881444
Long
DBT
CORP
US
N
2
2028-06-05
Fixed
3.69100000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377REH3
8010000.00000000
PA
USD
7438647.50000000
0.020124006830
Long
ABS-O
CORP
US
N
2
2027-08-20
Fixed
1.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MDHF2
224501.24000000
PA
USD
232788.92000000
0.000629771180
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201C4L5
4917.38000000
PA
USD
5428.82000000
0.000014686757
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAK6
42384005.20370000
PA
USD
42136906.45000000
0.113994297107
Long
LON
CORP
US
N
2
2026-09-23
Floating
3.50000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582AY8
6360000.00000000
PA
USD
7094702.88000000
0.019193522641
Long
DBT
CORP
NL
N
2
2043-08-12
Fixed
4.55000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ME8
7640000.00000000
PA
USD
7769387.98000000
0.021018769443
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X5RY5
10667.47000000
PA
USD
11030.40000000
0.000029840887
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHS1
7370000.00000000
PA
USD
7939055.61000000
0.021477776614
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
4.33000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RHW5
1250000.00000000
PA
USD
1279688.61000000
0.003461981808
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212TW42
5853.16000000
PA
USD
6278.69000000
0.000016985937
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
7.50000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZZ4
17870000.00000000
PA
USD
19426477.00000000
0.052555058675
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.37500000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBB6
58690000.00000000
PA
USD
69736279.66000000
0.188659748721
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B6T83
6064694.00000000
PA
USD
5804261.42000000
0.015702450809
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MHS83
7049262.00000000
PA
USD
6983850.70000000
0.018893630755
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FREM9
15496000.00000000
PA
USD
1464354.95000000
0.003961565461
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Variable
1.38502500
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAG5
37240000.00000000
PA
USD
38103385.19000000
0.103082285295
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KSBK2
1177953.52000000
PA
USD
1161001.97000000
0.003140895112
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFW5
27344701.70000000
PA
USD
27502754.35000000
0.074404065575
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Floating
3.08900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381EX94
28996903.00000000
PA
USD
1961039.38000000
0.005305261457
Long
ABS-MBS
USGA
US
N
2
2063-01-16
Variable
0.56680300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1TN5
3582369.67000000
PA
USD
3342876.58000000
0.009043589056
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DK3
4720000.00000000
PA
USD
4814153.10000000
0.013023879658
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.12500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-619.00000000
NC
USD
-319171.88000000
-0.00086346571
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
154.00000000
USD
2022-04-22
XXXX
366507.26000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212NAN7
37917.04000000
PA
USD
41630.66000000
0.000112624732
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VKQ6
4840316.52000000
PA
USD
775268.17000000
0.002097357341
Long
ABS-MBS
USGSE
US
N
2
2044-08-15
Floating
5.70343000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411YGF4
14330.69000000
PA
USD
15571.65000000
0.000042126474
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
11290000.00000000
PA
USD
11863016.61000000
0.032093391612
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291VMS9
27648.49000000
PA
USD
29532.58000000
0.000079895416
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-628.00000000
NC
USD
-29437.51000000
-0.00007963822
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
128.00000000
USD
2022-04-22
XXXX
376616.70000000
N
N
N
WEA FINANCE LLC/WESTFIEL
N/A
WEA Finance LLC / Westfield UK & Europe Finance PLC
92890HAD4
600000.00000000
PA
USD
567400.23000000
0.001535005671
Long
DBT
CORP
US
N
2
2044-09-17
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDFQ4
1085431.84000000
PA
USD
1010228.14000000
0.002733001932
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYB4
20000000.00000000
PA
USD
18218606.40000000
0.049287368386
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.61500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1KZ7
388631.41000000
PA
USD
25630.79000000
0.000069339781
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Floating
6.24343000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
27030000.00000000
PA
USD
25738641.75000000
0.069631556324
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
30080000.00000000
PA
USD
28629412.45000000
0.077452049137
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FKCJ7
4558075.33000000
PA
USD
4527286.76000000
0.012247811134
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BG3
2269000.00000000
PA
USD
2289272.77000000
0.006193241561
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCY9
3814411.89000000
PA
USD
3953798.78000000
0.010696336081
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
4.00000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
326000.00000000
PA
USD
333289.06000000
0.000901657367
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AEPA6
1349557.23000000
PA
USD
1292711.03000000
0.003497211770
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H7Y76
498164.57000000
PA
USD
511127.90000000
0.001382770369
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-7
41161PPN7
1904469.91000000
PA
USD
1051991.85000000
0.002845986609
Long
ABS-MBS
CORP
US
N
2
2045-06-19
Floating
2.07300000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABS3
16630000.00000000
PA
USD
15201399.85000000
0.041124824695
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
12207000.00000000
PA
USD
12388688.13000000
0.033515507293
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAD5
9270000.00000000
PA
USD
8760613.50000000
0.023700362990
Long
DBT
NUSS
NG
N
2
2030-02-23
Fixed
7.14300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CAH7
15367796.55000000
PA
USD
15356847.30000000
0.041545361566
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
3.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
6000000.00000000
PA
USD
5846445.72000000
0.015816573322
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9AZ8
22059339.13000000
PA
USD
21128275.75000000
0.057158988310
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAB3
4880000.00000000
PA
USD
4975318.80000000
0.013459886291
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K8Z46
1277421.23000000
PA
USD
1282892.55000000
0.003470649528
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAT9
11540000.00000000
PA
USD
11656575.70000000
0.031534900531
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.04300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QK5Z7
4815923.95000000
PA
USD
4865894.89000000
0.013163858349
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
14411682.90000000
0.038988378614
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-02-15
0.00000000
USD
-1688297.60000000
USD
-244183000.00000000
USD
16099980.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403TH98
484.99000000
PA
USD
518.12000000
0.000001401686
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAK6
1170000.00000000
PA
USD
1362231.25000000
0.003685287006
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M92R4
5696802.95000000
PA
USD
5952135.37000000
0.016102498853
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-2112.00000000
NC
USD
-396000.00000000
-0.00107131124
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
115.75000000
USD
2022-04-22
XXXX
326346.24000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201P4V4
21806.93000000
PA
USD
24140.25000000
0.000065307376
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMHT1
1343065.23000000
PA
USD
1426858.91000000
0.003860126246
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XADY5
2720508.23000000
PA
USD
2536215.89000000
0.006861304543
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TMR5
62401.31000000
PA
USD
66750.49000000
0.000180582198
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
1720000.00000000
PA
USD
1411434.75000000
0.003818398781
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-522F
126417AA2
47520000.00000000
PA
USD
47421082.37000000
0.128289744271
Long
ABS-MBS
CORP
US
N
2
2025-09-16
Floating
4.13870000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAB4
26600000.00000000
PA
USD
23594067.00000000
0.063829770863
Long
DBT
CORP
MX
N
2
2031-05-11
Fixed
2.87500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFF6
4820000.00000000
PA
USD
4771529.31000000
0.012908568180
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638AU6
2330000.00000000
PA
USD
2953403.15000000
0.007989934347
Long
DBT
NUSS
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAF8
21910000.00000000
PA
USD
17243936.85000000
0.046650564224
Long
DBT
CORP
NL
N
2
2046-10-01
Fixed
4.10000000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAE3
21990000.00000000
PA
USD
20062488.54000000
0.054275680680
Long
DBT
CORP
QA
N
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CS2
60000.00000000
PA
USD
59201.70000000
0.000160160219
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-9626.00000000
NC
USD
-7670718.77000000
-0.02075183652
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
123.00000000
USD
2022-04-22
XXXX
-2618606.12000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CH6
3720000.00000000
PA
USD
3659952.76000000
0.009901385210
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.10000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBW2
3370000.00000000
PA
USD
3355471.73000000
0.009077663111
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030652
2600000.00000000
PA
USD
2537989.53000000
0.006866102827
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADKM0
2308462.81000000
PA
USD
333834.42000000
0.000903132746
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201NJB7
39520.31000000
PA
USD
42241.12000000
0.000114276229
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413QM21
1647.18000000
PA
USD
1770.91000000
0.000004790898
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMT62
4713384.91000000
PA
USD
4395340.97000000
0.011890854043
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFA27
9932841.41000000
PA
USD
9570910.62000000
0.025892485251
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BKY1
2878612.86000000
PA
USD
2915514.98000000
0.007887434291
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
4690000.00000000
PA
USD
4129112.96000000
0.011170619041
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-470.00000000
NC
USD
-1968125.00000000
-0.00532443040
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.00000000
USD
2022-04-22
XXXX
-1660469.35000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B36
33395000.00000000
PA
USD
31501169.55000000
0.085221103860
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
4.00000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505X98
8680889.36000000
PA
USD
8159753.87000000
0.022074838552
Long
ABS-O
CORP
US
N
2
2031-02-01
Variable
6.53000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADUS5
1586554.65000000
PA
USD
1568591.27000000
0.004243559253
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAH4
5320000.00000000
PA
USD
5336673.89000000
0.014437471571
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBGH3
1081232.40000000
PA
USD
1131192.33000000
0.003060250156
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CH0
19080000.00000000
PA
USD
17668592.68000000
0.047799398986
Long
DBT
CORP
GB
N
2
2031-06-04
Fixed
2.84800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KEYF9
5430122.45000000
PA
USD
5333580.85000000
0.014429103873
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAJ3
7650000.00000000
PA
USD
7611252.75000000
0.020590961236
Long
DBT
CORP
CA
N
2
2025-06-01
Fixed
4.25000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDU3
6465000.00000000
PA
USD
6589630.27000000
0.017827133838
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KVHA1
8924460.15000000
PA
USD
8314004.14000000
0.022492136654
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L5GZ3
2087607.83000000
PA
USD
1946749.46000000
0.005266602487
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131X1BH3
15772.59000000
PA
USD
16586.87000000
0.000044872980
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H2UN2
3316568.62000000
PA
USD
376664.02000000
0.001019001009
Long
ABS-MBS
USGSE
US
N
2
2049-06-25
Fixed
2.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBU4
1550000.00000000
PA
USD
1461342.93000000
0.003953416949
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac Reference Remic
S6XOOCT0IEG5ABCC6L87
Freddie Mac Reference REMIC
31396NRF5
3985065.50000000
PA
USD
4362584.30000000
0.011802236394
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
8050000.00000000
PA
USD
8303841.70000000
0.022464643886
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCK5
2230000.00000000
PA
USD
2297001.69000000
0.006214150851
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BLU8
1830296.52000000
PA
USD
1853761.95000000
0.005015040455
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-18CB
02147FAQ9
5132290.79000000
PA
USD
6447165.21000000
0.017441718635
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
26.77372000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204C4L2
999.62000000
PA
USD
1008.75000000
0.000002729003
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MJF79
424273.18000000
PA
USD
444112.62000000
0.001201471826
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WNCZ3
160028.60000000
PA
USD
167795.89000000
0.000453943493
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
54840000.00000000
PA
USD
49750848.00000000
0.134592532439
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAA6
28040000.00000000
PA
USD
26316100.80000000
0.071193774437
Long
DBT
CORP
MX
N
2
2026-05-11
Fixed
1.87500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
24180000.00000000
PA
USD
22349085.81000000
0.060461684128
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BW9
54640000.00000000
PA
USD
48766746.40000000
0.131930211457
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
SHOW 2022-BIZ A
N/A
SHOW 2022-BIZ A
000000000
15000000.00000000
PA
USD
14838165.75000000
0.040142156070
Long
DBT
CORP
US
N
2
2024-01-15
Floating
3.03420000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS JPY
000000000
1.00000000
NC
2030560.13000000
0.005493338126
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2046-05-09
16342.66000000
USD
0.00000000
USD
-12221800000.00000000
JPY
2014217.47000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D9GU2
13293166.41000000
PA
USD
12521119.51000000
0.033873778067
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HLL2
20670000.00000000
PA
USD
23476636.47000000
0.063512082360
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407DXJ9
44250.63000000
PA
USD
47515.68000000
0.000128545662
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKDU9
18527862.07000000
PA
USD
17966202.35000000
0.048604531778
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6LD1
1650030.55000000
PA
USD
1716817.55000000
0.004644560466
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412GQ38
270.18000000
PA
USD
276.12000000
0.000000746996
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
7.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2R3
18940000.00000000
PA
USD
18720059.25000000
0.050643964538
Long
DBT
CORP
US
N
2
2024-06-02
Fixed
1.65400000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Trust 2005-SC1
86359DTG2
4124843.01000000
PA
USD
3768571.24000000
0.010195234197
Long
ABS-MBS
CORP
US
N
2
2031-05-25
Variable
6.70234000
N
N
N
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
860000.00000000
PA
USD
871352.00000000
0.002357295946
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
CITADEL SECURITIES LP
549300NV5RXBUS3X7L47
Citadel Securities LP
17288YAD4
30102161.51120000
PA
USD
29981150.82000000
0.081108949425
Long
LON
CORP
US
N
2
2028-02-02
Floating
2.70860000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291LEN1
41258.64000000
PA
USD
44200.23000000
0.000119576271
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAL4
14868000.00000000
PA
USD
14514885.00000000
0.039267574498
Long
DBT
CORP
US
N
2
N/A
Fixed
6.75000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
5050000.00000000
PA
USD
5237355.00000000
0.014168781057
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBH5
3770000.00000000
PA
USD
3664511.55000000
0.009913718247
Long
DBT
CORP
US
N
2
2025-05-06
Fixed
2.35000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BT6
12160000.00000000
PA
USD
11107520.51000000
0.030049524272
Long
DBT
CORP
US
N
2
2028-08-12
Fixed
1.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131WHVU8
358.33000000
PA
USD
392.72000000
0.000001062437
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AJ7
2000000.00000000
PA
USD
2035500.00000000
0.005506702112
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J9C63
2011580.57000000
PA
USD
2054068.35000000
0.005556935653
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGNG0
27116.55000000
PA
USD
25270.09000000
0.000068363968
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAE4
11370000.00000000
PA
USD
11517447.87000000
0.031158513641
Long
DBT
CORP
US
N
2
2023-04-11
Fixed
3.25000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAE5
6900000.00000000
PA
USD
6798018.00000000
0.018390891712
Long
DBT
CORP
KY
N
2
2028-08-08
Fixed
5.40000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-14098536.17000000
-0.03814121292
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-11-18
5153026.04000000
USD
0.00000000
USD
520862000.00000000
USD
-19251562.21000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-1239.00000000
NC
USD
-367828.13000000
-0.00099509699
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
126.00000000
USD
2022-05-20
XXXX
452762.79000000
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CC6
1686000.00000000
PA
USD
1460697.63000000
0.003951671198
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.52500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PZF3
769.07000000
PA
USD
822.19000000
0.000002224296
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380VXF3
3767525.06000000
PA
USD
3739334.55000000
0.010116139261
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
2.75000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAH2
1230000.00000000
PA
USD
1300725.00000000
0.003518892215
Long
DBT
CORP
US
N
2
2025-02-01
Variable
6.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213ER73
62681.80000000
PA
USD
67042.34000000
0.000181371749
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJQ9
12528176.28000000
PA
USD
485712.38000000
0.001314012964
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
1.20443100
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
42390000.00000000
PA
USD
39983095.80000000
0.108167525476
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06368BGS1
3780000.00000000
PA
USD
3740713.33000000
0.010119869317
Long
DBT
CORP
CA
N
2
2032-12-15
Fixed
3.80300000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RF0
1840000.00000000
PA
USD
2198068.10000000
0.005946502701
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
5.60600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617AEAN6
1982274.21000000
PA
USD
2121492.92000000
0.005739341461
Long
ABS-MBS
USGA
US
N
2
2047-07-15
Fixed
4.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
27690000.00000000
PA
USD
26215242.78000000
0.070920920067
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
QUIKRETE HOLDINGS INC
5493007KIN86DIZWZT22
Quikrete Holdings Inc
74839XAG4
16700000.00000000
PA
USD
16429794.00000000
0.044448037989
Long
LON
CORP
US
N
2
2028-06-11
Floating
3.44660000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-1906.00000000
NC
USD
-163797.83000000
-0.00044312741
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
116.50000000
USD
2022-04-22
XXXX
607217.29000000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAA1
15350000.00000000
PA
USD
15695185.58000000
0.042460678747
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AQX8
3466879.03000000
PA
USD
3875941.15000000
0.010485705388
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
6.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
1326230000.00000000
PA
816141.54000000
0.002207933354
Long
DBT
NUSS
RU
N
2
2023-01-25
Fixed
7.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-43CB
02149FAK0
3809467.38000000
PA
USD
2707602.94000000
0.007324963315
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
FRESENIUS MED CARE II
5493008GJ5TVVTY4UM62
Fresenius Medical Care US Finance II Inc
35802XAJ2
780000.00000000
PA
USD
805911.72000000
0.002180258300
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292LJA3
384.61000000
PA
USD
413.25000000
0.000001117978
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.00000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AA7
17899399.43000000
PA
USD
17833382.87000000
0.048245211065
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.31700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291RAC6
3929.28000000
PA
USD
4198.18000000
0.000011357468
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LDF3
1162.85000000
PA
USD
1287.60000000
0.000003483384
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
23330JAB7
27030000.00000000
PA
USD
29335740.09000000
0.079362899496
Long
DBT
CORP
AE
N
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHQ5
8130000.00000000
PA
USD
8270449.90000000
0.022374308000
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97400000
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAK3
17500000.00000000
PA
USD
17265643.15000000
0.046709286960
Long
DBT
CORP
SE
N
2
2023-06-02
Fixed
1.30000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MD0
3000000.00000000
PA
USD
3402970.83000000
0.009206163919
Long
DBT
CORP
US
N
2
2048-07-23
Fixed
4.65000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK29
06541TBU2
2500000.00000000
PA
USD
2278887.00000000
0.006165144611
Long
ABS-MBS
CORP
US
N
2
2053-11-15
Variable
3.02776200
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBL8
130000.00000000
PA
USD
134108.65000000
0.000362808345
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BJ3
4080000.00000000
PA
USD
4091314.53000000
0.011068361761
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FKR6
36303.51000000
PA
USD
40312.71000000
0.000109059241
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L8WB9
226696.69000000
PA
USD
232413.75000000
0.000628756221
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T4Q5
1571658.11000000
PA
USD
1643586.80000000
0.004446447017
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MJ7M5
407491.49000000
PA
USD
425691.00000000
0.001151635238
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VX47
849150.76000000
PA
USD
883865.76000000
0.002391149814
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
4.50000000
N
N
N
N
N
N
CINTAS CORPORATION NO. 2
549300QVUQTTKMTE0G41
Cintas Corp No 2
17252MAN0
7500000.00000000
PA
USD
7687949.78000000
0.020798452122
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AQR2
299104.95000000
PA
USD
298459.28000000
0.000807431268
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180JBV5
1164529.27000000
PA
USD
1246582.69000000
0.003372419323
Long
ABS-MBS
USGA
US
N
2
2047-12-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAH3
2349630.04000000
PA
USD
2352912.94000000
0.006365409313
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
4.20657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5W39
21900870.35000000
PA
USD
21775528.16000000
0.058910020594
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DT4
33600000.00000000
PA
USD
32107091.18000000
0.086860322686
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KRQ69
5200932.95000000
PA
USD
4986887.05000000
0.013491182241
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBX62
4069228.32000000
PA
USD
3902061.00000000
0.010556368239
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AEPP5
10487426.93000000
PA
USD
10755238.90000000
0.029096485763
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J92F4
223413.55000000
PA
USD
233859.04000000
0.000632666209
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
4.00000000
N
N
N
N
N
N
DCERT BUYER INC
549300EF826JEEUCHZ67
Dcert Buyer Inc
24022KAB5
45007996.33390000
PA
USD
44748525.24000000
0.121059591486
Long
LON
CORP
US
N
2
2026-10-16
Floating
4.24130000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
6450000.00000000
PA
USD
6235754.48000000
0.016869782543
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200D7L1
49711.44000000
PA
USD
53178.58000000
0.000143865683
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
197677AH0
15410000.00000000
PA
USD
18569050.00000000
0.050235434469
Long
DBT
CORP
US
N
2
2095-11-15
Fixed
7.50000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
7620000.00000000
PA
USD
7997519.11000000
0.021635939758
Long
DBT
NUSS
ID
N
2
2023-10-17
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388UFT2
21970.77000000
PA
USD
23679.86000000
0.000064061869
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
7.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGQ7
16404000.00000000
PA
USD
18174488.48000000
0.049168014790
Long
DBT
CORP
US
N
2
2045-11-17
Fixed
4.90000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BM3
2460000.00000000
PA
USD
2550144.63000000
0.006898986401
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BU9
1260000.00000000
PA
USD
1374539.56000000
0.003718585064
Long
DBT
CORP
US
N
2
2044-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNF1
19288534.67000000
PA
USD
19121306.55000000
0.051729471467
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QAW2
21312632.12000000
PA
USD
21922880.98000000
0.059308658808
Long
ABS-MBS
USGA
US
N
2
2070-05-20
Floating
1.59857000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust 2006-AR3
39538WHC5
125649.50000000
PA
USD
134772.11000000
0.000364603224
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.91657000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
7620000.00000000
PA
USD
7699291.28000000
0.020829134638
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAW7
10920000.00000000
PA
USD
11169315.28000000
0.030216699605
Long
DBT
CORP
IT
N
2
2026-01-15
Fixed
5.71000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-2518396.72000000
-0.00681309778
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-80581602.12000000
USD
59432403.16000000
GBP
2022-04-19
-2518396.72000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F040669
67100000.00000000
PA
USD
68041276.79000000
0.184074204194
Long
ABS-MBS
USGSE
US
N
2
2051-06-15
Fixed
4.00000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BJ9
5090000.00000000
PA
USD
5482915.78000000
0.014833104351
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
4.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHNG6
33913574.23000000
PA
USD
32424154.82000000
0.087718084914
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CR3
3700000.00000000
PA
USD
3131593.68000000
0.008471998788
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
2.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201Q3R2
37539.81000000
PA
USD
41447.24000000
0.000112128520
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
22200000.00000000
PA
USD
7867902.00000000
0.021285282517
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNS0
4363484.64000000
PA
USD
4521223.48000000
0.012231407953
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFMQ1
8260932.87000000
PA
USD
7960077.38000000
0.021534647469
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NXKL0
492377.67000000
PA
USD
491324.50000000
0.001329195608
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCH9
14120000.00000000
PA
USD
13341263.08000000
0.036092538239
Long
DBT
CORP
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LLH4
4670465.11000000
PA
USD
4591887.34000000
0.012422577114
Long
ABS-MBS
USGA
US
N
2
2068-10-20
Floating
0.47763000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L05D5
5055944.19000000
PA
USD
4710438.56000000
0.012743297454
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
J.G. Wentworth XLI LLC
N/A
J.G. Wentworth XLI LLC
46651TAA9
6742423.77000000
PA
USD
6927208.66000000
0.018740395264
Long
ABS-O
CORP
US
N
2
2072-10-17
Fixed
3.74000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RPH0
12370199.04000000
PA
USD
439493.38000000
0.001188975251
Long
ABS-MBS
USGA
US
N
2
2058-07-16
Variable
0.63084000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MY4
20000000.00000000
PA
USD
18075115.60000000
0.048899178215
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.56100000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNWZ9
20527525.22000000
PA
USD
905836.58000000
0.002450588164
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Variable
1.30807200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379R5W9
35025404.63000000
PA
USD
1275120.87000000
0.003449624558
Long
ABS-MBS
USGA
US
N
2
2057-04-16
Variable
0.51786000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WA7H4
104395.74000000
PA
USD
111104.38000000
0.000300574170
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
EDELMAN FINANCIAL CENTER
549300Z31KZXNP05U733
Edelman Financial Engines Center LLC/The
27943UAK2
11544586.12270000
PA
USD
11431564.62000000
0.030926170986
Long
LON
CORP
US
N
2
2028-04-07
Floating
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MLV76
324981.61000000
PA
USD
339113.23000000
0.000917413677
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
Hildene Community Funding CLO
549300845E8YWIPN4S43
Hildene Community Funding CDO Ltd
43133KAC9
41500000.00000000
PA
USD
40047500.00000000
0.108341760182
Long
ABS-CBDO
CORP
KY
N
2
2035-11-01
Fixed
2.60000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2022-JS2
95003GAQ4
10000000.00000000
PA
USD
7415465.00000000
0.020061290484
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
3.45390300
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXUQ1
8406.55000000
PA
USD
9400.57000000
0.000025431657
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
23789700.00000000
PA
USD
23697010.57000000
0.064108267337
Long
ABS-O
CORP
US
N
2
2049-06-05
Fixed
4.19400000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EC23
5410000.00000000
PA
USD
5511573.99000000
0.014910634308
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.85000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDT5
4834000.00000000
PA
USD
4012507.67000000
0.010855163086
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201LHA5
65312.95000000
PA
USD
71727.13000000
0.000194045658
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
3966019.57000000
0.010729397368
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-45776214.11000000
USD
728620000.00000000
ZAR
2022-04-19
3966019.57000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200DMM2
115091.85000000
PA
USD
123119.44000000
0.000333078889
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAU9
387000.00000000
PA
USD
394798.05000000
0.001068059570
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.75000000
N
N
N
N
N
N
FOCUS FINANCIAL PARTNERS LLC
5493007L0E0VKRC2CP39
Focus Financial Partners LLC
34416DAT5
23396802.53470000
PA
USD
23114169.16000000
0.062531488156
Long
LON
CORP
US
N
2
2024-07-03
Floating
2.10500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ5M6
5609866.96000000
PA
USD
5690282.83000000
0.015394100948
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7J2
9203214.23000000
PA
USD
9384186.79000000
0.025387335406
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XADE9
20594669.01000000
PA
USD
19178400.40000000
0.051883929254
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294YN91
11106.69000000
PA
USD
11879.03000000
0.000032136713
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A3X47
232789.41000000
PA
USD
250720.02000000
0.000678280748
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
5.00000000
N
N
N
N
N
N
BRIGHTVIEW LANDSCAPES
549300OSAEQC89PVOW06
Brightview Landscapes LLC
10801XAG2
12165089.20309800
PA
USD
12089057.40000000
0.032704906864
Long
LON
CORP
US
N
3
2025-08-15
Floating
2.96870000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EA9
23030000.00000000
PA
USD
18049992.80000000
0.048831212715
Long
DBT
NUSS
CO
N
2
2042-02-22
Fixed
4.12500000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FLFG6
2000373.55000000
PA
USD
208083.90000000
0.000562935913
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H3K85
41135.99000000
PA
USD
43012.36000000
0.000116362689
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKH4
16870000.00000000
PA
USD
14984486.16000000
0.040538001273
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L9U26
1024957.31000000
PA
USD
1028073.91000000
0.002781280654
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.93000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4R5
195255.13000000
PA
USD
31914.41000000
0.000086339056
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JASZ9
189794.50000000
PA
USD
198711.15000000
0.000537579518
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381EX45
66500000.00000000
PA
USD
4342696.05000000
0.011748432086
Long
ABS-MBS
USGA
US
N
2
2062-02-16
Variable
0.57100000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XY32
22076000.00000000
PA
USD
22192766.59000000
0.060038788830
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Floating
4.70657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413AH71
10868.46000000
PA
USD
11765.81000000
0.000031830415
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292G4U7
14212.18000000
PA
USD
15287.00000000
0.000041356401
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4F53
8657407.18000000
PA
USD
8066338.55000000
0.021822119151
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AHWX0
27892.91000000
PA
USD
30194.42000000
0.000081685913
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHZ6
30910000.00000000
PA
USD
29578242.34000000
0.080018948453
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 30 Year Euro BUXL
000000000
-881.00000000
NC
15062791.60000000
0.040749843440
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
-197937975.75000000
USD
15062791.60000000
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
15750000.00000000
PA
USD
16439062.50000000
0.044473112353
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV69
4493877.48000000
PA
USD
4621835.29000000
0.012503596244
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KA65
22585.46000000
PA
USD
25351.50000000
0.000068584209
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAL9
22006996.81000000
PA
USD
22687333.87000000
0.061376757233
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ4B6
20599848.71000000
PA
USD
1098781.51000000
0.002972568146
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
0.83523300
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBW8
43590379.34530000
PA
USD
43474646.89000000
0.117613328356
Long
LON
CORP
US
N
2
2025-04-30
Floating
1.96000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AMM71
1008903.49000000
PA
USD
10.09000000
0.000000027296
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Variable
2.84221400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GZ83
371350.35000000
PA
USD
61815.24000000
0.000167230711
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1TP0
6232933.16000000
PA
USD
5812377.78000000
0.015724408253
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
7790000.00000000
PA
USD
7451075.56000000
0.020157628851
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
10 YEAR AUSTRALIAN BOND
000000000
3620.00000000
NC
-13580955.43000000
-0.03674098548
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2022-06-15
349014636.39000000
USD
-13580955.43000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200SBX7
16464.44000000
PA
USD
17594.28000000
0.000047598358
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TMH7
50083.52000000
PA
USD
53556.26000000
0.000144887433
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6PH8
23107919.54000000
PA
USD
22384173.72000000
0.060556608553
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
2.50000000
N
N
N
N
N
N
BROWN GROUP HOLDING LLC
25490094PF4HHK9QS109
Brown Group Holding LLC
11565HAB2
4973244.34000000
PA
USD
4916250.96000000
0.013300088207
Long
LON
CORP
US
N
2
2028-06-07
Floating
3.25000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EAD3
13000000.00000000
PA
USD
12058309.25000000
0.032621722928
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
2.25000000
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RAP3
5493000.00000000
PA
USD
5942327.40000000
0.016075965043
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.40000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AL8
2700000.00000000
PA
USD
2671110.00000000
0.007226237818
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00080QAF2
8210000.00000000
PA
USD
8403936.62000000
0.022735433819
Long
DBT
CORP
NL
N
2
2025-07-28
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWQ8
5779402.77000000
PA
USD
5891096.55000000
0.015937368615
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.16000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9S63
34438739.06000000
PA
USD
32075648.18000000
0.086775258950
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS7
52474MAA7
58457319.38000000
PA
USD
58251011.81000000
0.157588292699
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.25000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
28860000.00000000
PA
USD
29894658.42000000
0.080874958818
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
147826.00000000
NC
USD
-401941881.88000000
-1.08738600346
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
17355736256.88000000
USD
-401941881.88000000
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAK8
8260000.00000000
PA
USD
10092103.02000000
0.027302483429
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYK4
7840000.00000000
PA
USD
6776146.03000000
0.018331720785
Long
DBT
CORP
US
N
2
2042-07-21
Fixed
2.90800000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
9510000.00000000
PA
USD
8497758.26000000
0.022989252449
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LW9
16280000.00000000
PA
USD
16609523.97000000
0.044934267125
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.07500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAT8
12820000.00000000
PA
USD
11822193.38000000
0.031982951245
Long
DBT
UST
US
N
2
2025-10-31
Fixed
0.25000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAQ4
2846000.00000000
PA
USD
2888930.80000000
0.007815515273
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413EXX8
6596.97000000
PA
USD
7273.28000000
0.000019676632
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WXWT0
2267219.84000000
PA
USD
2368816.02000000
0.006408432415
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BN3
39170000.00000000
PA
USD
34697177.70000000
0.093867365138
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M8GU1
725880.10000000
PA
USD
742202.78000000
0.002007904503
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGJX6
6236504.08000000
PA
USD
5923572.27000000
0.016025226201
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XB6G0
17941292.32000000
PA
USD
18206745.22000000
0.049255279963
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
324780000.00000000
PA
16921003.06000000
0.045776921295
Long
DBT
NUSS
MX
N
2
2024-12-05
Fixed
10.00000000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174UAF5
28443041.06080000
PA
USD
28313340.79000000
0.076596970543
Long
LON
CORP
US
N
2
2026-05-01
Floating
3.20860000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
JAPANESE YEN CURRENCY
000000000
5891.00000000
NC
USD
-31568396.25000000
-0.08540297436
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
JAPANESE YEN CURRENCY
JAPANESE YEN CURRENCY
2022-06-13
638157302.50000000
USD
-31568396.25000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LXVA4
157440.37000000
PA
USD
161652.68000000
0.000437324074
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2022-LP2
05610HAN3
25260000.00000000
PA
USD
24723924.70000000
0.066886410402
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
4.41080000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WBB1
5650000.00000000
PA
USD
5006302.05000000
0.013543706251
Long
DBT
CORP
KY
N
2
2041-04-22
Fixed
3.68000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EAQJ9
60732.80000000
PA
USD
62068.59000000
0.000167916106
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
17040000.00000000
PA
USD
16976100.00000000
0.045925976778
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.12500000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAP5
2050000.00000000
PA
USD
2088618.45000000
0.005650405124
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.15000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDN7
840000.00000000
PA
USD
807420.60000000
0.002184340321
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.37500000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BWB3
535.35000000
PA
USD
560.39000000
0.000001516040
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
2.64754600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A4CM7
1305729.00000000
PA
USD
1318736.41000000
0.003567619049
Long
ABS-MBS
USGSE
US
N
2
2039-12-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389X5W9
5245.19000000
PA
USD
5261.48000000
0.000014234047
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.00000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BW5
680000.00000000
PA
USD
735346.58000000
0.001989356210
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.40000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKE1
4250000.00000000
PA
USD
3656431.32000000
0.009891858547
Long
DBT
CORP
US
N
2
2052-02-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A65W0
225248.75000000
PA
USD
206813.81000000
0.000559499899
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
None
0.00000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAC4
1280000.00000000
PA
USD
1287283.20000000
0.003482527691
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDN6
4961905.86000000
PA
USD
4943606.10000000
0.013374092927
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
8925000.00000000
PA
USD
10859505.08000000
0.029378560336
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-21638379.99000000
-0.05853898934
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-10-20
312783.43000000
USD
0.00000000
USD
379970000.00000000
USD
-21951163.42000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
3407.00000000
NC
USD
-21007199.20000000
-0.05683143611
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
624472074.20000000
USD
-21007199.20000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BS4
10213000.00000000
PA
USD
9151712.53000000
0.024758415486
Long
DBT
CORP
US
N
2
2030-06-03
Fixed
1.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AR2
3720000.00000000
PA
USD
3788008.22000000
0.010247817670
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
4.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HM98
22769624.95000000
PA
USD
3307360.89000000
0.008947507344
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBH6
10360000.00000000
PA
USD
9186340.98000000
0.024852096920
Long
DBT
CORP
CA
N
2
2051-12-02
Fixed
3.10000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBH3
1710000.00000000
PA
USD
1850248.73000000
0.005005536030
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
4.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-5675371.28000000
-0.01535376026
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-2362710000.00000000
MXN
112719335.91000000
USD
2022-04-19
-5675371.28000000
N
N
N
TELEFONICA EMISIONES SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAU7
6160000.00000000
PA
USD
6626602.57000000
0.017927156163
Long
DBT
CORP
ES
N
2
2047-03-08
Fixed
5.21300000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
14080000.00000000
PA
USD
14429668.21000000
0.039037034839
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAJ9
5400000.00000000
PA
USD
5667089.40000000
0.015331355033
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFB5
12680000.00000000
PA
USD
12922778.13000000
0.034960397753
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5GT6
1523462.04000000
PA
USD
1601308.12000000
0.004332069175
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.50000000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAL2
1395000.00000000
PA
USD
1421591.46000000
0.003845876048
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.25000000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WDQ3
10670000.00000000
PA
USD
9973441.81000000
0.026981465528
Long
DBT
CORP
US
N
2
2025-06-24
Fixed
0.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ACNQ7
1518045.10000000
PA
USD
1453390.71000000
0.003931903558
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9H46
2338050.31000000
PA
USD
2385412.27000000
0.006453330772
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VES9
4900000.00000000
PA
USD
5103308.69000000
0.013806141362
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-TIME
12652XAA1
21200000.00000000
PA
USD
19934283.68000000
0.053928844044
Long
ABS-MBS
CORP
US
N
2
2039-11-13
Fixed
3.64630000
N
N
N
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
2740000.00000000
PA
USD
2385608.40000000
0.006453861368
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H3K51
4398915.47000000
PA
USD
4585199.03000000
0.012404483018
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CN4
3160000.00000000
PA
USD
3053160.94000000
0.008259812231
Long
DBT
NUSS
ID
N
2
2049-10-30
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335HXS7
20972.60000000
PA
USD
21745.55000000
0.000058828919
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201ELX6
10873.88000000
PA
USD
11663.45000000
0.000031553497
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AP3
21610000.00000000
PA
USD
21697282.79000000
0.058698340936
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
3.00000000
N
N
N
N
N
N
Ford Credit Floorplan Master O
5493001DTG5N7T8BG747
Ford Credit Floorplan Master Owner Trust A
34528PAK2
48520000.00000000
PA
USD
50676956.60000000
0.137097963136
Long
ABS-O
CORP
US
N
2
2030-11-15
Fixed
4.06000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212DBQ1
547.49000000
PA
USD
549.46000000
0.000001486471
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
8.00000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAZ3
7160000.00000000
PA
USD
7273915.24000000
0.019678351470
Long
DBT
CORP
US
N
2
2027-04-14
Fixed
3.58800000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
4681000.00000000
PA
USD
4799101.63000000
0.012983160444
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCY3
140000.00000000
PA
USD
150627.18000000
0.000407496443
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LBP6
19588.84000000
PA
USD
21611.77000000
0.000058467000
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
YAMANA GOLD INC
54930002VY22NXG01418
Yamana Gold Inc
98462YAD2
10350000.00000000
PA
USD
10526465.64000000
0.028477578274
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
42385000.00000000
PA
USD
42251275.33000000
0.114303702832
Long
DBT
CORP
US
N
2
2030-02-01
Variable
4.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382JZK5
10376490.50000000
PA
USD
1498133.83000000
0.004052948526
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
2790000.00000000
PA
USD
2857558.20000000
0.007730641992
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C17
46640UAJ1
1602000.00000000
PA
USD
1623898.06000000
0.004393182450
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Variable
4.88632200
N
N
N
N
N
N
HOUSING URBAN DEVELOPMNT
N/A
United States Department of Housing and Urban Development
911759MF2
4537000.00000000
PA
USD
4553682.73000000
0.012319220982
Long
DBT
USGA
US
N
2
2024-08-01
Fixed
2.85000000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2007-FA3
32053GAA1
6788570.02000000
PA
USD
2038226.06000000
0.005514077008
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.78657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B1TB7
4324347.52000000
PA
USD
4156045.77000000
0.011243481219
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
EYECARE PARTNERS LLC
254900ZAACWK09RJ8W93
Eyecare Partners LLC
30233PAB6
11611085.05750000
PA
USD
11482318.12000000
0.031063476024
Long
LON
CORP
US
N
2
2027-02-20
Floating
3.88150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407PQJ0
247359.91000000
PA
USD
264312.90000000
0.000715053994
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABA6
7197000.00000000
PA
USD
7258174.50000000
0.019635767552
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
17140000.00000000
PA
USD
17806130.50000000
0.048171484372
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
10730000.00000000
PA
USD
10646440.66000000
0.028802150465
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
6040000.00000000
PA
USD
5755591.08000000
0.015570781409
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKJ34
20265434.79000000
PA
USD
18880352.51000000
0.051077610931
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corp International/US
817565BT0
3167000.00000000
PA
USD
3484475.92000000
0.009426662200
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD4R9
2217184.06000000
PA
USD
2361171.16000000
0.006387750535
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FW3E8
10376547.28000000
PA
USD
1760099.00000000
0.004761651133
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAP8
6600000.00000000
PA
USD
7252905.00000000
0.019621511808
Long
DBT
CORP
KY
N
2
2026-08-10
Fixed
6.25000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CP1
2693000.00000000
PA
USD
2744078.86000000
0.007423642768
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202SD96
23857.05000000
PA
USD
25526.54000000
0.000069057750
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412X4X9
16739.42000000
PA
USD
18393.18000000
0.000049759647
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493007CD1Q2V06I4172
Wells Fargo Commercial Mortgage Trust 2014-LC18
94989AAW5
5630000.00000000
PA
USD
5628957.89000000
0.015228196661
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.80800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXEF5
79171263.81000000
PA
USD
82937591.25000000
0.224373671797
Long
ABS-MBS
USGSE
US
N
2
2056-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WBS63
3724287.98000000
PA
USD
3951372.90000000
0.010689773272
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGRE6
15487.39000000
PA
USD
17082.89000000
0.000046214879
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AS4
641000.00000000
PA
USD
737920.66000000
0.001996319949
Long
DBT
CORP
CA
N
2
2040-08-15
Fixed
6.00000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAM1
600000.00000000
PA
USD
583458.00000000
0.001578447261
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.12500000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAL4
6957181.95000000
PA
USD
6860095.87000000
0.018558832925
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
3.24700000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCX5
10140000.00000000
PA
USD
10338493.34000000
0.027969050904
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210AN94
1609.86000000
PA
USD
1721.74000000
0.000004657877
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
6.50000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding
N/A
Bear Stearns Mortgage Funding Trust 2007-AR2
07401TAA4
9435642.49000000
PA
USD
8890914.36000000
0.024052870001
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.62657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TJ32
103158.46000000
PA
USD
110649.00000000
0.000299342216
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAQ8
18350000.00000000
PA
USD
18066181.83000000
0.048875009407
Long
DBT
CORP
IE
N
2
2024-02-15
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132LMG83
667522.01000000
PA
USD
684819.73000000
0.001852664334
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
3.50000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140AS9
4050000.00000000
PA
USD
4150859.78000000
0.011229451397
Long
DBT
CORP
US
N
2
2025-07-29
Fixed
3.70000000
N
N
N
N
N
N
TELEFONICA EMISIONES SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAW3
11960000.00000000
PA
USD
12414058.05000000
0.033584141335
Long
DBT
CORP
ES
N
2
2048-03-06
Fixed
4.89500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-559.00000000
NC
USD
-13101.84000000
-0.00003544481
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
118.50000000
USD
2022-04-22
XXXX
57462.41000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBR3
4965000.00000000
PA
USD
4617386.65000000
0.012491561198
Long
DBT
CORP
US
N
2
2078-02-15
Fixed
5.37500000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BJ9
10000000.00000000
PA
USD
10153840.80000000
0.027469504585
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.51900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EAF44
1128766.57000000
PA
USD
1181408.92000000
0.003196102675
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AH4
4400000.00000000
PA
USD
4558180.00000000
0.012331387587
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
29327000.00000000
PA
USD
30440794.59000000
0.082352438160
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAP4
3010000.00000000
PA
USD
2783347.00000000
0.007529876101
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389CLA5
6499.44000000
PA
USD
6597.96000000
0.000017849668
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.00000000
N
N
N
N
N
N
MDC HOLDINGS INC
5299005FV4VNV75R8R35
MDC Holdings Inc
552676AQ1
540000.00000000
PA
USD
555645.65000000
0.001503205637
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
20000000.00000000
PA
USD
18422752.40000000
0.049839650974
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.68700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BLC4
3493020.90000000
PA
USD
3483698.38000000
0.009424558697
Long
ABS-MBS
USGA
US
N
2
2061-03-20
Floating
0.58629000
N
N
N
N
N
N
National Collegiate Student Lo
635400VHKJCABQGBTP36
National Collegiate Student Loan Trust 2006-4
63543WAD3
3192076.94000000
PA
USD
3100803.01000000
0.008388699821
Long
ABS-O
CORP
US
N
2
2032-05-25
Floating
0.76657000
N
N
N
N
N
N
FIRST EAGLE HOLDINGS INC
549300ZKYR56QRODD510
First Eagle Holdings Inc
05554JAH0
10487752.32080000
PA
USD
10323881.19000000
0.027929520195
Long
LON
CORP
US
N
2
2027-02-02
Floating
2.72380000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
115500000.00000000
PA
18544010.67000000
0.050167694783
Long
DBT
NUSS
CN
N
2
2024-11-21
Fixed
3.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HM42
265569.42000000
PA
USD
292125.77000000
0.000790297025
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBZ5
6940000.00000000
PA
USD
6476109.16000000
0.017520021612
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
3.95000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
EURO FOREIGN EXCHANGE CURRENCY
000000000
5521.00000000
NC
USD
10691416.50000000
0.028923825019
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2022-06-13
755278321.00000000
USD
10691416.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XD6Y7
10246802.76000000
PA
USD
9646600.90000000
0.026097252544
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAU3
542000.00000000
PA
USD
542000.00000000
0.001466289631
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FECF9
3932771.36000000
PA
USD
3906036.81000000
0.010567124123
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAC3
12520000.00000000
PA
USD
12323996.90000000
0.033340496076
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
3.95300000
N
N
N
N
N
N
AHOLD LEASE SERIES 2001-
N/A
Ahold Lease Series 2001-A-2 Pass Through Trust
00868PAA3
1261205.85000000
PA
USD
1374157.20000000
0.003717550653
Long
DBT
CORP
US
N
2
2025-01-02
Variable
8.62000000
N
N
N
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc
28368EAD8
3276000.00000000
PA
USD
4198704.01000000
0.011358885896
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
7.80000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAL3
10428000.00000000
PA
USD
10778067.96000000
0.029158245936
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
7503599.48000000
PA
USD
7806653.21000000
0.021119584241
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AX4N2
20338165.81000000
PA
USD
3761480.72000000
0.010176051990
Long
ABS-MBS
USGSE
US
N
2
2057-10-25
Floating
5.64343000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212DLN7
7448.55000000
PA
USD
7585.34000000
0.000020520858
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
8.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBU6
1680000.00000000
PA
USD
1799191.36000000
0.004867408923
Long
DBT
CORP
US
N
2
2049-02-01
Fixed
4.80000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CB4
36400000.00000000
PA
USD
30593836.00000000
0.082766465895
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
43500000.00000000
PA
USD
42436515.05000000
0.114804837668
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
VLS Commercial Mortgage Trust
N/A
VLS Commercial Mortgage Trust 2020-LAB
92858TAA4
64690000.00000000
PA
USD
57598287.59000000
0.155822457356
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Fixed
2.13000000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AD4
635000.00000000
PA
USD
736923.85000000
0.001993623248
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.87500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
1160000.00000000
PA
USD
1214162.87000000
0.003284712965
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNQ4
1140476.45000000
PA
USD
1135897.04000000
0.003072977956
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-10358.00000000
NC
USD
-8092187.50000000
-0.02189204912
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-05-20
XXXX
-2607481.84000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179Q6P1
933552.76000000
PA
USD
954964.24000000
0.002583494766
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412XYU2
16591.50000000
PA
USD
18255.14000000
0.000049386203
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLWQ6
50342494.13000000
PA
USD
46852003.34000000
0.126750196889
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617GQY49
578563.08000000
PA
USD
619380.49000000
0.001675629502
Long
ABS-MBS
USGA
US
N
2
2048-04-15
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDD3
5622000.00000000
PA
USD
5504310.57000000
0.014890984349
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.62500000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAT4
39180000.00000000
PA
USD
39518500.70000000
0.106910641752
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AJYN8
2804791.77000000
PA
USD
459008.10000000
0.001241769036
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Floating
6.09343000
N
N
N
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LEE5
5400000.00000000
PA
USD
5069798.15000000
0.013715484245
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5DA8
5037122.25000000
PA
USD
5116910.12000000
0.013842937738
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCDQ8
40639337.01000000
PA
USD
40119358.72000000
0.108536161835
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MPQP3
98353.34000000
PA
USD
100614.72000000
0.000272196163
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BC3
2437246.01000000
PA
USD
2600646.12000000
0.007035609669
Long
DBT
CORP
US
N
2
2028-01-10
Fixed
5.88000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203ATR7
722.76000000
PA
USD
728.83000000
0.000001971726
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HXQC7
8460983.10000000
PA
USD
8166504.51000000
0.022093101270
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
2.26000000
N
N
N
N
N
N
DIAGEO INVESTMENT CORP
S4G8DPIPDVCF6CB81Z61
Diageo Investment Corp
25245BAB3
15570000.00000000
PA
USD
15578402.51000000
0.042144741838
Long
DBT
CORP
US
N
2
2022-05-11
Fixed
2.87500000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AP4
3085000.00000000
PA
USD
3103085.57000000
0.008394874902
Long
DBT
CORP
US
N
2
2042-03-20
Fixed
4.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254AN0
715000.00000000
PA
USD
785284.12000000
0.002124453806
Long
DBT
CORP
GB
N
2
2044-03-26
Fixed
5.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AVG0
4165.50000000
PA
USD
4422.13000000
0.000011963327
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL52
102162188.41000000
PA
USD
98093318.74000000
0.265374937621
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9CG3
1317002.89000000
PA
USD
1376974.78000000
0.003725173141
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AB7
40950000.00000000
PA
USD
40183192.00000000
0.108708852013
Long
DBT
CORP
JP
N
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-2
33851HAD5
1440305.88000000
PA
USD
1440844.99000000
0.003897963227
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
3.50000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDA3
21110000.00000000
PA
USD
21527843.53000000
0.058239951581
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AWWM2
10253982.01000000
PA
USD
9533398.60000000
0.025791002805
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3PL5
99664.52000000
PA
USD
92760.04000000
0.000250946651
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
42307TAH1
290000.00000000
PA
USD
367873.70000000
0.000995220280
Long
DBT
CORP
US
N
2
2039-08-01
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MPDL6
1636611.51000000
PA
USD
1633146.85000000
0.004418203492
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4J3
121616.88000000
PA
USD
23464.23000000
0.000063478518
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Variable
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDR26
43187189.29000000
PA
USD
6251354.29000000
0.016911985200
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WBC9
39900000.00000000
PA
USD
34694284.51000000
0.093859538100
Long
DBT
CORP
KY
N
2
2051-04-22
Fixed
3.84000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FH7
6070000.00000000
PA
USD
6111466.05000000
0.016533541148
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AUE38
10563177.46000000
PA
USD
10403503.94000000
0.028144926123
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
10540000.00000000
PA
USD
9385237.81000000
0.025390178764
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAZ0
13100000.00000000
PA
USD
13121411.03000000
0.035497765579
Long
DBT
CORP
IT
N
2
2022-07-14
Fixed
3.12500000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAF7
87500000.00000000
PA
USD
80336375.00000000
0.217336519736
Long
DBT
NUSS
AE
N
2
2049-09-30
Fixed
3.12500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CHF FORWARD
000000000
1.00000000
NC
USD
507456.11000000
0.001372836960
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-43000000.00000000
CHF
47071186.96000000
USD
2022-04-19
507456.11000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDZ2
1080000.00000000
PA
USD
961856.04000000
0.002602139369
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AL8
31980000.00000000
PA
USD
27582750.00000000
0.074620480321
Long
DBT
NUSS
KE
N
2
2034-01-23
Fixed
6.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSRR5
3609672.44000000
PA
USD
3716056.13000000
0.010053163419
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDS2
5140000.00000000
PA
USD
4626196.50000000
0.012515394762
Long
DBT
CORP
US
N
2
2032-01-12
Fixed
3.10000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-FACT
126395AQ5
7990000.00000000
PA
USD
8070783.69000000
0.021834144728
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
6.55400000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
94973VAX5
5280000.00000000
PA
USD
5288312.94000000
0.014306639173
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MNP61
76847.62000000
PA
USD
78597.28000000
0.000212631691
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO Logistics Inc
98379EAE6
17030000.00000000
PA
USD
16900486.85000000
0.045721418147
Long
LON
CORP
US
N
2
2025-02-23
Floating
1.99240000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FEXM7
6917737.92000000
PA
USD
6778396.69000000
0.018337809566
Long
ABS-MBS
USGSE
US
N
2
2048-06-15
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4E4
154853.83000000
PA
USD
28028.73000000
0.000075827004
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Variable
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WFEV7
146695.73000000
PA
USD
155220.89000000
0.000419923951
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291FHA9
29264.87000000
PA
USD
31330.60000000
0.000084759656
Long
ABS-MBS
USGA
US
N
2
2035-02-15
Fixed
6.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AW7J0
3692139.54000000
PA
USD
3743109.53000000
0.010126351833
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Variable
3.06100000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
7130000.00000000
PA
USD
7441061.37000000
0.020130537148
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DU8
5940000.00000000
PA
USD
6363628.44000000
0.017215723986
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
3952520.31000000
PA
USD
3937942.66000000
0.010653440021
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
42307TAG3
410000.00000000
PA
USD
496100.00000000
0.001342114919
Long
DBT
CORP
US
N
2
2032-03-15
Variable
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLNF1
2859979.74000000
PA
USD
2827400.42000000
0.007649055203
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLR4
657021.19000000
PA
USD
654416.51000000
0.001770413548
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180JBN3
1827469.89000000
PA
USD
1956262.40000000
0.005292338143
Long
ABS-MBS
USGA
US
N
2
2047-08-15
Fixed
4.00000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAG6
6020000.00000000
PA
USD
6022537.25000000
0.016292959271
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4HL6
9255265.37000000
PA
USD
8623732.34000000
0.023330054087
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Oak Street Investment Grade Ne
N/A
Oak Street Investment Grade Net Lease Fund Series 2020-1
67181DAA9
21039151.21000000
PA
USD
19789036.40000000
0.053535902013
Long
ABS-O
CORP
US
N
2
2050-11-20
Fixed
1.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201F5J2
30175.95000000
PA
USD
32278.62000000
0.000087324364
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
6.50000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AF5
3200000.00000000
PA
USD
3256832.00000000
0.008810809950
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WUH30
563793.03000000
PA
USD
589817.22000000
0.001595651059
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6Q56
134780.03000000
PA
USD
123671.15000000
0.000334571448
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXDP4
27440612.09000000
PA
USD
29152572.88000000
0.078867371487
Long
ABS-MBS
USGSE
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
10510000.00000000
PA
USD
10349756.76000000
0.027999522188
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-311.00000000
NC
USD
-311000.00000000
-0.00084135807
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
152.00000000
USD
2022-04-22
XXXX
-68475.53000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
47110000.00000000
PA
USD
46827615.12000000
0.126684218671
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
309130000.00000000
PA
190233.85000000
0.000514645612
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2006-WM3
81377EAA2
25495475.04000000
PA
USD
10638331.15000000
0.028780211553
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.55657000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
State of Israel
000000000
5000000.00000000
PA
USD
5006250.00000000
0.013543565438
Long
DBT
NUSS
IL
N
2
2060-05-13
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213UPE4
6129.94000000
PA
USD
6552.88000000
0.000017727712
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMVC2
1056497.43000000
PA
USD
1125494.38000000
0.003044835313
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAV1
92550000.00000000
PA
USD
96802209.75000000
0.261882059899
Long
DBT
CORP
NL
N
2
2025-01-27
Fixed
5.29900000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
67950000.00000000
PA
USD
72837906.47000000
0.197050677194
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
206960000.00000000
PA
USD
162407008.86000000
0.439364784463
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAN5
4334.74000000
PA
USD
4638.80000000
0.000012549491
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
5.00000000
N
N
N
N
N
N
ATHENAHEALTH GROUP INC
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
000000000
45977246.35000000
PA
USD
45574945.44000000
0.123295332022
Long
LON
CORP
US
N
2
2029-02-15
Floating
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCV4
1140000.00000000
PA
USD
1204385.98000000
0.003258263237
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
4.27200000
N
N
N
N
N
N
Mortgage Loan Resecuritization
N/A
Mortgage Loan Resecuritization Trust
61914WAA4
35502505.43000000
PA
USD
33769954.76000000
0.091358919782
Long
ABS-MBS
CORP
US
N
2
2036-04-16
Floating
0.57057000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAH5
6365370.84280000
PA
USD
6285803.71000000
0.017005182298
Long
LON
CORP
US
N
3
2026-01-15
Floating
2.49130000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RAV1
5326.76000000
PA
USD
5882.76000000
0.000015914815
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
6.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
4800000.00000000
PA
USD
5376450.43000000
0.014545080295
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBV6
2670000.00000000
PA
USD
2466439.60000000
0.006672536554
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.95000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZW3
586290000.00000000
PA
USD
544780210.69000000
1.473811022874
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.25000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AH6
24949000.00000000
PA
USD
26029381.27000000
0.070418103083
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-466.00000000
NC
USD
-14562.50000000
-0.00003939638
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
128.50000000
USD
2022-04-22
XXXX
414193.82000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BKL5
1291385.34000000
PA
USD
1287194.02000000
0.003482286430
Long
ABS-MBS
USGA
US
N
2
2061-02-20
Floating
0.55629000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210ARL3
29014.07000000
PA
USD
31138.11000000
0.000084238907
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMU7
135398.64000000
PA
USD
150423.10000000
0.000406944339
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LHH9
6666472.12000000
PA
USD
6618236.86000000
0.017904524145
Long
ABS-MBS
USGA
US
N
2
2068-07-20
Floating
0.40629000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030645
294200000.00000000
PA
USD
287810343.75000000
0.778622366952
Long
ABS-MBS
USGSE
US
N
2
2051-04-15
Fixed
3.00000000
N
N
N
N
N
N
DOLLAR GENERAL CORP
OPX52SQVOZI8IVSWYU66
Dollar General Corp
256677AC9
1380000.00000000
PA
USD
1390508.37000000
0.003761785987
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-104.00000000
NC
USD
-82875.00000000
-0.00022420434
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
156.00000000
USD
2022-05-20
XXXX
14445.08000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
MEXICAN PESO CURRENCY
000000000
16585.00000000
NC
USD
29332097.50000000
0.079353045083
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2022-06-13
383053927.50000000
USD
29332097.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387Q2R0
1085.05000000
PA
USD
1088.38000000
0.000002944428
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MG6C4
236314.96000000
PA
USD
242964.66000000
0.000657299929
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE
549300N8C3A3L0UVQB07
GSK Consumer Healthcare Capital US LLC
36264FAC5
9190000.00000000
PA
USD
9103067.10000000
0.024626813475
Long
DBT
CORP
US
N
2
2029-03-24
Fixed
3.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-3975100.34000000
-0.01075396386
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-80805666.41000000
USD
9349983258.00000000
JPY
2022-04-19
-3975100.34000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHD36
18709217.23000000
PA
USD
17887195.78000000
0.048390792821
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Trust 2018-CBM
05549RAG2
16390000.00000000
PA
USD
16019036.94000000
0.043336804007
Long
ABS-MBS
CORP
US
N
2
2037-07-15
Floating
2.78809800
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AA5
6340000.00000000
PA
USD
6193324.10000000
0.016754994303
Long
DBT
CORP
US
N
2
2050-02-01
Variable
5.75000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2014-GC25
17322YAF7
2800000.00000000
PA
USD
2819388.88000000
0.007627381332
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
4.01700000
N
N
N
N
N
N
CBS RADIO INC
549300S5JUSXRHNCHD80
Audacy Capital Corp
12506KAE9
3269597.03990000
PA
USD
3221779.18000000
0.008715980455
Long
LON
CORP
US
N
2
2024-11-17
Floating
2.70860000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WRJQ4
365107.26000000
PA
USD
381394.40000000
0.001031798255
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M84T7
178053.00000000
PA
USD
183043.45000000
0.000495193197
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJFE8
4344658.29000000
PA
USD
4178293.33000000
0.011303668242
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JBDV2
2210539.11000000
PA
USD
2311545.45000000
0.006253496542
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291XRL5
110056.67000000
PA
USD
117684.92000000
0.000318376712
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
11620623.23000000
PA
USD
12040930.25000000
0.032574706973
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGCG7
888752.99000000
PA
USD
961393.76000000
0.002600888749
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201JJH3
31333.73000000
PA
USD
33498.60000000
0.000090624815
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
ENRGY TRANS LP/REG FIN
N/A
Energy Transfer LP / Regency Energy Finance Corp
75886AAJ7
510000.00000000
PA
USD
517999.24000000
0.001401359621
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBAL4
946882.63000000
PA
USD
881536.75000000
0.002384849070
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAH6
6581000.00000000
PA
USD
7950966.77000000
0.021510000250
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-2R
12649QBC7
5664328.36000000
PA
USD
5741487.27000000
0.015532625929
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Variable
2.72019000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFL3
2140000.00000000
PA
USD
2047999.99000000
0.005540518728
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ARQV0
2857594.54000000
PA
USD
2799300.21000000
0.007573034821
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
3.00000000
N
N
N
N
N
N
CLOUDERA INC
549300PGONC4JOI0RG62
Cloudera Inc
74339VAB4
12340000.00000000
PA
USD
12208887.50000000
0.033029086999
Long
LON
CORP
US
N
2
2028-10-08
Floating
4.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MR9
15430000.00000000
PA
USD
15311833.36000000
0.041423583940
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
1.67800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395NQ59
2086186.15000000
PA
USD
144898.15000000
0.000391997518
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Variable
2.38662200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WUHY2
516044.14000000
PA
USD
539588.98000000
0.001459767023
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAW1
18620000.00000000
PA
USD
17756232.17000000
0.048036492852
Long
DBT
CORP
DK
N
2
2024-06-22
Fixed
1.22600000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05581KAC5
9790000.00000000
PA
USD
10024202.55000000
0.027118790153
Long
DBT
CORP
FR
N
2
2027-03-13
Fixed
4.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
-17698.00000000
NC
USD
11351240.46000000
0.030708867512
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
-2185992990.46000000
USD
11351240.46000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RNX3
4262.17000000
PA
USD
4476.24000000
0.000012109712
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412XXC3
3444.96000000
PA
USD
3796.65000000
0.000010271196
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGDU0
10825677.78000000
PA
USD
10085779.94000000
0.027285377402
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7XB7
11635.18000000
PA
USD
12615.55000000
0.000034129243
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9SV8
17999671.43000000
PA
USD
17219519.41000000
0.046584506957
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BX7
5920000.00000000
PA
USD
5862739.10000000
0.015860652314
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BK9
55869000.00000000
PA
USD
56561858.29000000
0.153018572602
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.20000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AD9
3870000.00000000
PA
USD
3831747.26000000
0.010366146269
Long
DBT
CORP
US
N
2
2023-01-13
Floating
1.84443000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJSP6
875104.81000000
PA
USD
874346.79000000
0.002365397846
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
CONOCOPHILLIPS
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAF1
10000.00000000
PA
USD
12104.98000000
0.000032747982
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
5.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200N6L0
154150.16000000
PA
USD
169566.03000000
0.000458732309
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
6.00000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
9594493.36136000
PA
USD
9404138.61000000
0.025441311692
Long
LON
CORP
FR
N
2
2026-01-31
Floating
3.99640000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBJ0
1845000.00000000
PA
USD
1903901.63000000
0.005150684906
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AAK52
14912462.39000000
PA
USD
15270075.47000000
0.041310615008
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
5450000.00000000
PA
USD
4920243.98000000
0.013310890650
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4FT1
7120769.38000000
PA
USD
6633692.66000000
0.017946337206
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
8850000.00000000
PA
USD
9432150.26000000
0.025517092489
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
12076000.00000000
PA
USD
13080387.85000000
0.035386784282
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36195JJM0
139635.90000000
PA
USD
141067.07000000
0.000381633177
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9VA7
1006193.03000000
PA
USD
1106834.39000000
0.002994353855
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B1QD6
2585824.23000000
PA
USD
2471758.07000000
0.006686924778
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-1037.00000000
NC
USD
-972187.50000000
-0.00263008939
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
122.00000000
USD
2022-04-01
XXXX
-447372.13000000
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UBD0
3600000.00000000
PA
USD
4700941.67000000
0.012717605219
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
7.00000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAT7
4790000.00000000
PA
USD
4785338.08000000
0.012945925479
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
3.11900000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2D4
23420000.00000000
PA
USD
24319061.48000000
0.065791121211
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B2DY3
1310839.36000000
PA
USD
148989.48000000
0.000403065922
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
5.85343000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
14390000.00000000
PA
USD
19410455.15000000
0.052511714261
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312935S59
5676.15000000
PA
USD
6153.91000000
0.000016648366
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022642
343200000.00000000
PA
USD
327461064.22000000
0.885890707003
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HY87
10867604.94000000
PA
USD
1566319.64000000
0.004237413741
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1592288.85000000
0.004307669061
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-08-15
1992261.41000000
USD
0.00000000
USD
-19814000.00000000
USD
-399972.56000000
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
14916RAD6
1410000.00000000
PA
USD
1421514.69000000
0.003845668359
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
4.35000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAW1
1400000.00000000
PA
USD
1288014.00000000
0.003484504748
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAE6
4160000.00000000
PA
USD
4448496.00000000
0.012034656016
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JAWQ4
283371.20000000
PA
USD
296438.08000000
0.000801963252
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AH7
2363000.00000000
PA
USD
2414690.63000000
0.006532538439
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A7ER9
26769.03000000
PA
USD
134.70000000
0.000000364408
Long
ABS-MBS
USGSE
US
N
2
2041-02-25
Floating
6.19343000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AS0
41805225.00000000
PA
USD
37589138.80000000
0.101691078377
Long
ABS-O
CORP
US
N
2
2051-11-20
Fixed
2.79100000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-23CB
02147RAT7
2435991.91000000
PA
USD
2321168.75000000
0.006279530758
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
26.57372000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SEH6
7103506.28000000
PA
USD
7233251.96000000
0.019568343821
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBS9
278610000.00000000
PA
USD
259928982.18000000
0.703194043367
Long
DBT
UST
US
N
2
2028-03-31
Fixed
1.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAJ0
2440000.00000000
PA
USD
2258000.79000000
0.006108640491
Long
DBT
UST
US
N
2
2025-08-31
Fixed
0.25000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDB2
38980000.00000000
PA
USD
38461472.45000000
0.104051030012
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
2.39900000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CAH8
38540000.00000000
PA
USD
38088253.39000000
0.103041348761
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
2.09900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHES2
204981.71000000
PA
USD
200975.39000000
0.000543705037
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LES7
3336265.27000000
PA
USD
3612820.51000000
0.009773876853
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
14776000.00000000
PA
USD
15389463.76000000
0.041633599900
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L3G88
5274732.87000000
PA
USD
4915946.38000000
0.013299264218
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BE1
2476000.00000000
PA
USD
2791353.34000000
0.007551535904
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.95000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CP2
9050000.00000000
PA
USD
8153860.22000000
0.022058894275
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418APM4
93201.93000000
PA
USD
93003.62000000
0.000251605615
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AC8
25195000.00000000
PA
USD
25339882.59000000
0.068552780638
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBT9
26093000.00000000
PA
USD
27189591.46000000
0.073556856168
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AN1
2504000.00000000
PA
USD
2516056.76000000
0.006806767416
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1UQ6
15442852.94000000
PA
USD
14372820.75000000
0.038883243619
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CHANGE HEALTHCARE HOLDINGS
549300GHXFJ3EKF50583
Change Healthcare Holdings LLC
15911AAC7
32719265.74640000
PA
USD
32584298.78000000
0.088151327401
Long
LON
CORP
US
N
2
2024-03-01
Floating
3.50000000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674XN5
10093000.00000000
PA
USD
11213574.92000000
0.030336436600
Long
DBT
CORP
CH
N
2
2048-06-26
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F9CW9
7398624.40000000
PA
USD
1133299.83000000
0.003065951642
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AS4
2988000.00000000
PA
USD
3253764.73000000
0.008802511968
Long
DBT
CORP
US
N
2
2035-04-27
Fixed
4.85400000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-5282.00000000
NC
USD
-4374156.26000000
-0.01183354238
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.75000000
USD
2022-05-20
XXXX
-1224511.42000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208LZ42
7817.19000000
PA
USD
8354.77000000
0.000022602421
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1UL7
5163611.00000000
PA
USD
4816999.07000000
0.013031578950
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCH2
366330000.00000000
PA
USD
340844308.34000000
0.922096817869
Long
DBT
UST
US
N
2
2028-06-30
Fixed
1.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BGBA7
274630.26000000
PA
USD
276820.69000000
0.000748891711
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-7756327.23000000
-0.02098343578
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-18
1201809.43000000
USD
0.00000000
USD
3851130000.00000000
MXN
-8958136.66000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HMRW6
13017625.47000000
PA
USD
13651423.71000000
0.036931625538
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELXS7
25584.75000000
PA
USD
27072.01000000
0.000073238759
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2NR0
2287827.18000000
PA
USD
2130310.92000000
0.005763197073
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201UCH5
11702.69000000
PA
USD
12511.50000000
0.000033847754
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-DC1 Mortgage Trust
12629NAJ4
7160000.00000000
PA
USD
7088757.28000000
0.019177437823
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
4.03500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9PU0
312462.86000000
PA
USD
351847.99000000
0.000951865423
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
7.00000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BF2
6800000.00000000
PA
USD
7214639.04000000
0.019517989704
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
3010000.00000000
PA
USD
3091980.24000000
0.008364831304
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312941FV4
7980.04000000
PA
USD
8650.20000000
0.000023401657
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAK7
4000000.00000000
PA
USD
4201560.00000000
0.011366612295
Long
DBT
CORP
NL
N
2
2028-03-01
Fixed
6.75000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-3
41161PMG5
1974472.39000000
PA
USD
1967968.08000000
0.005324005887
Long
ABS-MBS
CORP
US
N
2
2035-06-19
Floating
0.92857000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IDR/USD FORWARD
000000000
1.00000000
NC
USD
-115015.60000000
-0.00031115531
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-179692553873.00000000
IDR
12386695.33000000
USD
2022-04-19
-115015.60000000
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBP4
1140000.00000000
PA
USD
977766.32000000
0.002645181950
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.93900000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TD0
305006000.00000000
PA
USD
292615131.25000000
0.791620909559
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406UHL5
27215.08000000
PA
USD
29229.97000000
0.000079076756
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213UWG1
8917.17000000
PA
USD
9536.39000000
0.000025799095
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208CHE0
306.55000000
PA
USD
327.65000000
0.000000886401
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKDF2
5186777.18000000
PA
USD
5069187.70000000
0.013713832776
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-2644.00000000
NC
USD
-846907.58000000
-0.00229116568
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.00000000
USD
2022-04-22
XXXX
140018.30000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JWCA6
542745.63000000
PA
USD
537834.75000000
0.001455021249
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQN8
2035587.29000000
PA
USD
2027417.20000000
0.005484835459
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
3.00000000
N
N
N
N
N
N
PETCO HEALTH & WELLNESS
N/A
Petco Health & Wellness Co Inc
000000000
20939106.66000000
PA
USD
20772745.46000000
0.056197161045
Long
LON
CORP
US
N
2
2028-03-04
Floating
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201FVV6
3919.66000000
PA
USD
4188.47000000
0.000011331199
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
900000.00000000
PA
USD
1039390.39000000
0.002811895483
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJ6W8
2621689.66000000
PA
USD
2444785.20000000
0.006613954225
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411X6E0
10175.80000000
PA
USD
10959.28000000
0.000029648484
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBUL2
51201900.36000000
PA
USD
52835370.01000000
0.142937186759
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-487.00000000
NC
USD
-22828.13000000
-0.00006175765
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
128.00000000
USD
2022-04-22
XXXX
235673.12000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXFZ0
5087117.18000000
PA
USD
5341677.74000000
0.014451008644
Long
ABS-MBS
USGSE
US
N
2
2057-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KS87
9890452.21000000
PA
USD
1445381.78000000
0.003910236748
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
9215000.00000000
PA
USD
9486638.94000000
0.025664502427
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAA1
32680000.00000000
PA
USD
32729055.62000000
0.088542942629
Long
DBT
CORP
CH
N
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEY6
11725000.00000000
PA
USD
12020295.65000000
0.032518883541
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
GRIFOLS WORLDWIDE OPERAT
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
44602085.66480000
PA
USD
43916328.60000000
0.118808223765
Long
LON
CORP
US
N
2
2027-11-15
Floating
2.46870000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-311.00000000
NC
USD
-306140.63000000
-0.00082821186
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
155.00000000
USD
2022-05-20
XXXX
-36850.53000000
N
N
N
ILFC E-CAPITAL TRUST II
N/A
ILFC E-Capital Trust II
44965UAA2
2870000.00000000
PA
USD
2339050.00000000
0.006327905466
Long
SN
CORP
US
N
2
2065-12-21
Variable
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBYG9
12966499.95000000
PA
USD
12469926.96000000
0.033735285253
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292LFL3
3440.07000000
PA
USD
3680.66000000
0.000009957405
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZR7
8435000.00000000
PA
USD
8499949.50000000
0.022995180480
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
5.11300000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
20750000.00000000
PA
USD
21742006.04000000
0.058819332149
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TEV7
374819.96000000
PA
USD
415794.00000000
0.001124860573
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
6.00000000
N
N
N
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508BJ2
8690000.00000000
PA
USD
7918164.80000000
0.021421260049
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
7907439.54000000
PA
USD
8269201.74000000
0.022370931314
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
TOLL BROS FINANCE CORP
N/A
Toll Brothers Finance Corp
88947EAN0
4740000.00000000
PA
USD
4789913.05000000
0.012958302289
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDKM7
10329905.82000000
PA
USD
9607226.13000000
0.025990730742
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
ICON LUXEMBOURG SARL
635400PUWMHSPI2DDA35
ICON Luxembourg Sarl
000000000
25674397.27900000
PA
USD
25586205.72000000
0.069219166342
Long
LON
CORP
LU
N
2
2028-07-01
Floating
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7Y59
2644.08000000
PA
USD
2858.57000000
0.000007733379
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371JWB6
701.01000000
PA
USD
761.39000000
0.000002059812
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
7.00000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AR0
14100000.00000000
PA
USD
14429666.32000000
0.039037029725
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multifamily PC REMIC Trust 2019-RR01
3137FQ3M3
22500000.00000000
PA
USD
1823124.38000000
0.004932155674
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
1.53400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AHAA5
20794775.62000000
PA
USD
19908315.13000000
0.053858590509
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGL5
4592054.47000000
PA
USD
4674779.32000000
0.012646827392
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
62900000.00000000
PA
USD
49511420.50000000
0.133944801700
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
STRIP PRINC
254900HROIFWPRGM1V77
United States Treasury Strip Principal
912803BD4
6080000.00000000
PA
USD
5700505.37000000
0.015421756307
Long
DBT
UST
US
N
2
2024-11-15
None
0.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBL9
13760000.00000000
PA
USD
12771896.19000000
0.034552212100
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52200000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BG3
2251000.00000000
PA
USD
2426048.90000000
0.006563266324
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.68500000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EY0
16050000.00000000
PA
USD
15827466.43000000
0.042818542287
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAM3
5620000.00000000
PA
USD
5192462.88000000
0.014047332994
Long
DBT
UST
US
N
2
2025-09-30
Fixed
0.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQV2
3344636.59000000
PA
USD
3332689.95000000
0.009016030846
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
3600000.00000000
PA
USD
3396240.00000000
0.009187954793
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BFM90
6054812.17000000
PA
USD
6173795.65000000
0.016702163374
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAL4
5570000.00000000
PA
USD
5989445.51000000
0.016203435147
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
5.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WGQ6
4253435.19000000
PA
USD
4237747.71000000
0.011464512044
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HA2
2824000.00000000
PA
USD
3727308.53000000
0.010083604891
Long
DBT
CORP
US
N
2
2043-09-13
Fixed
6.67500000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAF9
16470000.00000000
PA
USD
18536772.70000000
0.050148113675
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BB4
13485000.00000000
PA
USD
13628864.05000000
0.036870594180
Long
DBT
CORP
GB
N
2
2026-05-25
Fixed
3.90000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2N2
25380000.00000000
PA
USD
24499687.85000000
0.066279775406
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395BT78
949212.13000000
PA
USD
39032.27000000
0.000105595226
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Variable
1.76455700
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAM4
9790000.00000000
PA
USD
9147464.78000000
0.024746923914
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.05000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BR5
19220000.00000000
PA
USD
17470403.40000000
0.047263231299
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NXKQ9
1409161.57000000
PA
USD
1406124.01000000
0.003804031469
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AC1
59186000.00000000
PA
USD
73106547.20000000
0.197777439402
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
7.37500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBG8
4840000.00000000
PA
USD
4850061.25000000
0.013121023105
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.85000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2021-CRE5 Trust
04002PAA2
17080000.00000000
PA
USD
17000106.59000000
0.045990922560
Long
ABS-MBS
CORP
KY
N
2
2026-07-17
Floating
1.47657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BCRN1
850780.98000000
PA
USD
910715.46000000
0.002463787151
Long
ABS-MBS
USGA
US
N
2
2047-09-15
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFD1
24170000.00000000
PA
USD
24631830.69000000
0.066637265583
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MY80
13583.99000000
PA
USD
15141.59000000
0.000040963019
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FKL99
579757.39000000
PA
USD
576067.30000000
0.001558452968
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9Y82
11921428.70000000
PA
USD
11917028.86000000
0.032239512649
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
3.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDD1
1990000.00000000
PA
USD
1999861.50000000
0.005410288158
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213QXQ7
7577.89000000
PA
USD
8182.70000000
0.000022136915
Long
ABS-MBS
USGA
US
N
2
2031-06-15
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2003-HE3
61746REH0
119722.78000000
PA
USD
118846.79000000
0.000321519955
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
1.47657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M33W8
646381.39000000
PA
USD
634130.19000000
0.001715532329
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
7579000.00000000
PA
USD
7824248.25000000
0.021167184655
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDX7
11310000.00000000
PA
USD
10423755.86000000
0.028199714278
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RE0
297160000.00000000
PA
USD
345918616.03000000
0.935824501915
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABQD8
2777729.55000000
PA
USD
283603.41000000
0.000767241216
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
5.69343000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGC31
4189789.85000000
PA
USD
3900586.34000000
0.010552378795
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F6P92
6101620.58000000
PA
USD
892338.82000000
0.002414072250
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
2.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-IG1 Mortgage Trust
08162LAF7
28980000.00000000
PA
USD
27663331.37000000
0.074838479633
Long
ABS-MBS
CORP
US
N
2
2043-09-15
Variable
2.90860000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WSM5
12399352.46000000
PA
USD
1808062.42000000
0.004891408080
Long
ABS-MBS
USGSE
US
N
2
2046-12-15
Floating
5.60343000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9CR0
2103994.56000000
PA
USD
2089378.19000000
0.005652460472
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZP6
4300000.00000000
PA
USD
4331433.00000000
0.011717961803
Long
DBT
CORP
US
N
2
2023-04-19
Fixed
3.80000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFF1
13890000.00000000
PA
USD
14263112.62000000
0.038586446767
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BQ2
1728316.16000000
PA
USD
1934742.68000000
0.005234120168
Long
DBT
CORP
US
N
2
2030-01-10
Fixed
6.94300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W95X4
508547.22000000
PA
USD
541550.97000000
0.001465074856
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYB2
100920561.18000000
PA
USD
93958246.44000000
0.254188196590
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAW1
3155000.00000000
PA
USD
3057823.54000000
0.008272426110
Long
DBT
UST
US
N
2
2023-11-15
Fixed
0.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
3660105.70000000
PA
USD
3809837.40000000
0.010306872836
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
5420000.00000000
PA
USD
5373333.80000000
0.014536648778
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2019-B
63941LAD5
900000.00000000
PA
USD
898251.12000000
0.002430066981
Long
ABS-O
CORP
US
N
2
2059-12-15
Fixed
4.04000000
N
N
N
N
N
N
II-VI INC
549300O5C25A0MMHHU33
II-VI Inc
000000000
20760000.00000000
PA
USD
20656200.00000000
0.055881866949
Long
LON
CORP
US
N
3
2028-12-08
Floating
3.25000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
23976000.00000000
PA
USD
26861568.66000000
0.072669445780
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2007-WF2
86364LAE2
17510000.00000000
PA
USD
17567947.59000000
0.047527120661
Long
ABS-O
CORP
US
N
2
2037-08-25
Floating
2.70657000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AY1
1646000.00000000
PA
USD
1645390.98000000
0.004451327922
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.25000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BF1
10000.00000000
PA
USD
10100.10000000
0.000027324117
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHWE8
575060.77000000
PA
USD
571766.96000000
0.001546819123
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBJ4
6530000.00000000
PA
USD
7447660.90000000
0.020148391064
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BLE0
3131902.27000000
PA
USD
3124859.87000000
0.008453781600
Long
ABS-MBS
USGA
US
N
2
2061-03-20
Floating
0.60629000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213UJB7
19312.78000000
PA
USD
20656.53000000
0.000055882759
Long
ABS-MBS
USGA
US
N
2
2031-06-15
Fixed
6.50000000
N
N
N
N
N
N
PARSLEY ENERGY LLC/FINAN
N/A
Parsley Energy LLC / Parsley Finance Corp
701885AJ4
2070000.00000000
PA
USD
2064016.83000000
0.005583849588
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.12500000
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AE4
4160000.00000000
PA
USD
4339516.06000000
0.011739829159
Long
DBT
CORP
US
N
2
2042-11-02
Fixed
4.15000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFR0
13790000.00000000
PA
USD
12042240.64000000
0.032578252012
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AFXA4
2655907.02000000
PA
USD
2475878.89000000
0.006698072961
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
GAINWELL ACQUISITION COR
N/A
Gainwell Acquisition Corp
59909TAC8
38259293.86980000
PA
USD
38259293.87000000
0.103504069947
Long
LON
CORP
US
N
3
2027-10-01
Floating
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XYWF2
16589076.92000000
PA
USD
17111360.78000000
0.046291902016
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAC7
8130000.00000000
PA
USD
7753581.00000000
0.020976006323
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2H6
9009000.00000000
PA
USD
9619282.00000000
0.026023345866
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
5.19800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LMUT8
1182429.35000000
PA
USD
1221131.79000000
0.003303566203
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.46800000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBG4
28090000.00000000
PA
USD
24371248.61000000
0.065932304694
Long
DBT
CORP
US
N
2
2050-02-24
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EK3S2
948285.02000000
PA
USD
991318.12000000
0.002681844060
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKK99
9967979.93000000
PA
USD
10421683.70000000
0.028194108399
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687EH5
5240000.00000000
PA
USD
7000100.38000000
0.018937591525
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBDJ6
8943476.48000000
PA
USD
8562164.12000000
0.023163491646
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BF8
8340000.00000000
PA
USD
8484633.28000000
0.022953745029
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8HP5
7786267.28000000
PA
USD
7828593.66000000
0.021178940430
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XT6Z8
5082451.32000000
PA
USD
5286846.57000000
0.014302672156
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H24R2
36197347.70000000
PA
USD
5133330.48000000
0.013887360254
Long
ABS-MBS
USGSE
US
N
2
2049-05-25
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-3168.00000000
NC
USD
-940500.01000000
-0.00254436423
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.50000000
USD
2022-04-01
XXXX
-327090.02000000
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057BZ6
4650000.00000000
PA
USD
4770061.84000000
0.012904598187
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
5670000.00000000
PA
USD
6940447.13000000
0.018776209713
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JHYV9
8205179.88000000
PA
USD
8605284.39000000
0.023280146268
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
31415XJF9
4434.12000000
PA
USD
4802.42000000
0.000012992137
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
31418AL55
67545.65000000
PA
USD
67400.10000000
0.000182339608
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EFBZ8
71554.38000000
PA
USD
73137.57000000
0.000197861366
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFWD8
17812.94000000
PA
USD
19185.04000000
0.000051901891
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BY5
52790000.00000000
PA
USD
50078705.60000000
0.135479495907
Long
DBT
NUSS
BR
N
2
2047-02-21
Fixed
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9TS9
108546.56000000
PA
USD
115019.03000000
0.000311164596
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BUZA0
2434185.23000000
PA
USD
2605900.23000000
0.007049823778
Long
ABS-MBS
USGA
US
N
2
2047-12-15
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FLFR2
698121.78000000
PA
USD
113174.76000000
0.000306175234
Long
ABS-MBS
USGSE
US
N
2
2039-11-25
Fixed
4.50000000
N
N
N
N
N
N
FRONERI US INC
N/A
Froneri US Inc
000000000
14049750.00000000
PA
USD
13823970.52000000
0.037398421845
Long
LON
CORP
US
N
2
2027-01-31
Floating
2.45860000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132MAVM0
1216349.04000000
PA
USD
1294363.09000000
0.003501681140
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.50000000
N
N
N
N
N
N
DELTA TOPCO INC
N/A
Delta Topco Inc
24780DAC1
26242725.00000000
PA
USD
25872571.36000000
0.069993880306
Long
LON
CORP
US
N
2
2027-12-01
Floating
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
103093413.73000000
0.278901851718
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2045-07-20
3192609.90000000
USD
0.00000000
USD
-374360000.00000000
USD
99900803.83000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJY95
14149.12000000
PA
USD
14942.47000000
0.000040424333
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KRF8
32190000.00000000
PA
USD
31367468.24000000
0.084859397504
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
2.49900000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057BV5
1350000.00000000
PA
USD
1399022.31000000
0.003784819017
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGGW3
28082529.00000000
PA
USD
26180737.17000000
0.070827570956
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200WY54
8435.89000000
PA
USD
9098.51000000
0.000024614485
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
ATHENAHEALTH GROUP INC
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
000000000
7792753.65000000
PA
USD
7724567.06000000
0.020897514000
Long
LON
CORP
US
N
2
2029-02-15
Floating
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
21841000.00000000
PA
USD
24498815.78000000
0.066277416167
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017DD8
14150000.00000000
PA
USD
14607180.56000000
0.039517264577
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-10367.00000000
NC
USD
-11014937.50000000
-0.02979905654
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
122.50000000
USD
2022-04-22
XXXX
-5849356.78000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
7934.00000000
NC
USD
5454625.00000000
0.014756568415
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.50000000
USD
2022-04-22
XXXX
1356817.34000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-3533.00000000
NC
USD
-82806.45000000
-0.00022401889
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
118.25000000
USD
2022-04-22
XXXX
1511972.09000000
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO Logistics Inc
983793AH3
2567000.00000000
PA
USD
2656331.60000000
0.007186257348
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJWR7
5048476.36000000
PA
USD
5263220.22000000
0.014238755049
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RN0
529920000.00000000
PA
USD
552917701.32000000
1.495825631984
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-4177.00000000
NC
USD
-326328.15000000
-0.00088282579
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
130.00000000
USD
2022-05-20
XXXX
1918305.08000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MN3V3
12132898.30000000
PA
USD
11971898.02000000
0.032387951912
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200WS85
26634.97000000
PA
USD
28491.93000000
0.000077080113
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CF0
16480000.00000000
PA
USD
16021032.00000000
0.043342201306
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.62500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAX4
290000.00000000
PA
USD
295344.70000000
0.000799005297
Long
DBT
CORP
US
N
2
2039-10-01
Fixed
4.62500000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AC7
4140000.00000000
PA
USD
4174717.71000000
0.011293995005
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.35000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
51507626.03000000
0.139345199248
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-15
6366371.11000000
USD
0.00000000
USD
-878109000.00000000
USD
45141254.92000000
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BF8
13770000.00000000
PA
USD
14915670.47000000
0.040351832024
Long
DBT
CORP
NL
N
2
2045-05-11
Fixed
4.37500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BC7
2608000.00000000
PA
USD
3101123.72000000
0.008389567447
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BCAY6
8461858.48000000
PA
USD
1382924.07000000
0.003741267942
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TC2
251870000.00000000
PA
USD
227981704.69000000
0.616766069678
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AVC9
212712.51000000
PA
USD
222353.30000000
0.000601539369
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAF8
2820000.00000000
PA
USD
2899421.46000000
0.007843895985
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.30000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBT2
2340000.00000000
PA
USD
2383242.33000000
0.006447460365
Long
DBT
CORP
US
N
2
2027-01-17
Fixed
4.35000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAW6
7930000.00000000
PA
USD
7932764.64000000
0.021460757455
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABQH9
8723840.65000000
PA
USD
9365887.41000000
0.025337829519
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
5.50000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAJ2
9150000.00000000
PA
USD
9205960.85000000
0.024905175170
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412YBQ4
9177.52000000
PA
USD
10116.19000000
0.000027367646
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAF5
72750000.00000000
PA
USD
60537723.04000000
0.163774604446
Long
DBT
CORP
NL
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAL7
54790000.00000000
PA
USD
55101623.60000000
0.149068153810
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.27900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JBUY0
2960000.00000000
PA
USD
2773415.99000000
0.007503009428
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Variable
2.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209T6Q7
21405.39000000
PA
USD
22881.21000000
0.000061901256
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-11238.00000000
NC
USD
-2107125.00000000
-0.00570047147
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
115.75000000
USD
2022-04-22
XXXX
1782944.05000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KF78
1868.73000000
PA
USD
2096.41000000
0.000005671483
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396L4U1
2521671.75000000
PA
USD
119016.60000000
0.000321979347
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Variable
0.23040300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L05E3
5000342.75000000
PA
USD
4662722.26000000
0.012614209048
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397KL90
1169102.17000000
PA
USD
157598.95000000
0.000426357391
Long
ABS-MBS
USGSE
US
N
2
2037-09-15
Floating
5.63343000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398PFE4
1172123.09000000
PA
USD
171939.20000000
0.000465152520
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Floating
6.02343000
N
N
N
N
N
N
SKYMILES IP LTD
2549008L7P4I8VB90936
SkyMiles IP Ltd
24736CBS2
14290000.00000000
PA
USD
14794579.90000000
0.040024241900
Long
LON
CORP
KY
N
2
2027-10-20
Floating
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFPU9
7765257.53000000
PA
USD
7468150.08000000
0.020203821086
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
1535000.00000000
PA
USD
1680596.88000000
0.004546571549
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CL2
4447000.00000000
PA
USD
4541063.34000000
0.012285081349
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83T2
6703743.33000000
PA
USD
6429462.55000000
0.017393827072
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FGAE9
11788075.11000000
PA
USD
11715586.82000000
0.031694545168
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2003-4
759950BR8
4372025.50000000
PA
USD
4281518.01000000
0.011582925212
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
1.69657000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1
86358LAA8
1082397.37000000
PA
USD
33520.11000000
0.000090683006
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.67657000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
064159VL7
14860000.00000000
PA
USD
14015935.06000000
0.037917749547
Long
DBT
CORP
CA
N
2
2025-06-11
Fixed
1.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FNUJ1
806301.24000000
PA
USD
801252.58000000
0.002167653782
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAL5
2985000.00000000
PA
USD
3063296.55000000
0.008287232416
Long
DBT
CORP
NL
N
2
2024-04-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210BEH4
314.20000000
PA
USD
334.76000000
0.000000905636
Long
ABS-MBS
USGA
US
N
2
2035-03-15
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DZ5
22800000.00000000
PA
USD
19092036.00000000
0.051650284929
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NTU5
1900.36000000
PA
USD
2117.21000000
0.000005727754
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
6.00000000
N
N
N
N
N
N
DANONE SA
969500KMUQ2B6CBAF162
Danone SA
23636TAD2
20650000.00000000
PA
USD
20636397.43000000
0.055828294434
Long
DBT
CORP
FR
N
2
2023-11-02
Fixed
2.58900000
N
N
N
N
N
N
INEOS US PETROCHEM LLC
N/A
INEOS US Petrochem LLC
000000000
17249126.90430000
PA
USD
16975297.01000000
0.045923804424
Long
LON
CORP
US
N
2
2026-01-29
Floating
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LBP3
3435.75000000
PA
USD
3559.82000000
0.000009630492
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB4M8
2667937.20000000
PA
USD
2803127.71000000
0.007583389477
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131WJMG5
10250.71000000
PA
USD
11102.34000000
0.000030035509
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELK28
94744.04000000
PA
USD
97148.57000000
0.000262819079
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/RUB FORWARD
000000000
1.00000000
NC
USD
-553146.47000000
-0.00149644452
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-391217921.00000000
RUB
4162753.28000000
USD
2022-04-19
-553146.47000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AATF2
1338689.19000000
PA
USD
203645.42000000
0.000550928353
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
5.69343000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
22020000.00000000
PA
USD
24524628.13000000
0.066347247129
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AH3
24690000.00000000
PA
USD
26009927.65000000
0.070365474594
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DBY4
252759.92000000
PA
USD
273617.97000000
0.000740227292
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS APACHE CORP
000000000
1.00000000
NC
USD
-302730.19000000
-0.00081898549
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
APACHE CORP
Apache Corp
Y
Default Event
2026-06-20
0.00000000
USD
-2062317.59000000
USD
54561000.00000000
USD
1759587.40000000
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BD4
6165000.00000000
PA
USD
6859472.82000000
0.018557147368
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-FOX
12433AAC3
4253679.10000000
PA
USD
4219391.04000000
0.011414851168
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
1.74700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9VH5
3532823.07000000
PA
USD
3577295.31000000
0.009677769413
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
3.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
11800000.00000000
PA
USD
12085519.17000000
0.032695334779
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCQ68
53154740.16000000
PA
USD
52801653.95000000
0.142845973643
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4ME0
5846.54000000
PA
USD
6333.28000000
0.000017133621
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
58100000.00000000
PA
USD
51307305.90000000
0.138803266905
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LNK8
480212.50000000
PA
USD
523359.11000000
0.001415859846
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.50000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
2120000.00000000
PA
USD
2278385.20000000
0.006163787076
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CD9
14810000.00000000
PA
USD
14877571.22000000
0.040248760926
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-A
78448YAE1
20000000.00000000
PA
USD
18674666.00000000
0.050521160752
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
2.99000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
430000.00000000
PA
USD
430008.38000000
0.001163315182
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X3CH9
3593349.98000000
PA
USD
3670232.11000000
0.009929194258
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHEZ1
1019468.41000000
PA
USD
1079604.62000000
0.002920688303
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FQJU2
775102.74000000
PA
USD
765148.44000000
0.002069980118
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CQ1
2720000.00000000
PA
USD
2475349.60000000
0.006696641057
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCZ2
56510000.00000000
PA
USD
52610589.05000000
0.142329079765
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.87500000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4D6
283427.17000000
PA
USD
46185.51000000
0.000124947111
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Fixed
5.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659T2A8
6530000.00000000
PA
USD
6488069.43000000
0.017552378106
Long
DBT
CORP
FR
N
2
2033-03-01
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMFR1
68487394.92000000
PA
USD
65588596.76000000
0.177438891837
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
6679000000.00000000
PA
320430814.14000000
0.866871550547
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAM8
12350000.00000000
PA
USD
13384312.50000000
0.036209001188
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.20000000
N
N
N
N
N
N
GENESEE & WYOMING INC
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
48301670.58170000
PA
USD
47841355.66000000
0.129426722809
Long
LON
CORP
US
N
2
2026-12-30
Floating
2.22380000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AZY6
1765587.71000000
PA
USD
1996635.17000000
0.005401559866
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
7.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-2906.00000000
NC
USD
-1135156.27000000
-0.00307097392
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-04-22
XXXX
38660.14000000
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90351HAD0
3196121.28220000
PA
USD
3139102.48000000
0.008492312580
Long
LON
CORP
US
N
2
2026-09-13
Floating
2.50790000
N
N
N
N
N
N
BAC CAPITAL TRUST XIV
549300QO5OB3VGJT6S64
BAC Capital Trust XIV
05518VAA3
7226000.00000000
PA
USD
6243202.07000000
0.016889930743
Long
DBT
CORP
US
N
2
N/A
Floating
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VXH2
2528.87000000
PA
USD
2701.02000000
0.000007307154
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BB5
4249000.00000000
PA
USD
5289144.11000000
0.014308887764
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BCD80
54278957.59000000
PA
USD
7851928.87000000
0.021242069907
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Fixed
2.50000000
N
N
N
N
N
N
CSEMC 2020-1OTF A
N/A
CSEMC 2020-1OTF A
000000000
60774472.41000000
PA
USD
59430141.08000000
0.160778228166
Long
DBT
CORP
US
N
2
2024-08-09
Fixed
5.02512500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNA37
6904101.00000000
PA
USD
6603780.06000000
0.017865413710
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2018-D
63940UAB0
18417891.12000000
PA
USD
18809319.19000000
0.050885442259
Long
ABS-O
CORP
US
N
2
2059-12-15
Fixed
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AL4
8060000.00000000
PA
USD
8366604.58000000
0.022634438278
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M15V6
139229.01000000
PA
USD
142789.92000000
0.000386294057
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJZT0
1513493.34000000
PA
USD
1589551.81000000
0.004300264460
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B24E6
199118.98000000
PA
USD
185139.51000000
0.000500863734
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MKRA6
1016205.29000000
PA
USD
1063668.59000000
0.002877576060
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2G8
51040000.00000000
PA
USD
52137262.51000000
0.141048574603
Long
DBT
CORP
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H7D68
8246882.02000000
PA
USD
8436440.48000000
0.022823367532
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
National Collegiate Student Lo
635400WP3MSHUIUNQS85
National Collegiate Student Loan Trust 2005-2
63543PBU9
14759857.87000000
PA
USD
14234336.08000000
0.038508596689
Long
ABS-O
CORP
US
N
2
2033-06-25
Floating
0.82657000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
59562VAM9
156000.00000000
PA
USD
192671.02000000
0.000521238964
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.12500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DD4
14340000.00000000
PA
USD
17520827.10000000
0.047399644119
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKT82
33655661.21000000
PA
USD
32231448.20000000
0.087196749640
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
75150000.00000000
PA
USD
74336900.30000000
0.201105952306
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-103.00000000
NC
USD
-28968.75000000
-0.00007837006
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
156.00000000
USD
2022-04-22
XXXX
51321.81000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIV3
05608EAA2
15530000.00000000
PA
USD
14785001.05000000
0.039998327936
Long
ABS-MBS
CORP
US
N
2
2044-03-09
Variable
3.54387500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201YCJ3
83659.55000000
PA
USD
89610.54000000
0.000242426209
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDWP5
20500208.83000000
PA
USD
20192619.39000000
0.054627727758
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131WLCE6
243745.76000000
PA
USD
264061.14000000
0.000714372899
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCBC1
6282947.14000000
PA
USD
6097120.50000000
0.016494731681
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3ZC4
2785382.77000000
PA
USD
2589630.30000000
0.007005808225
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291PAL0
1085.30000000
PA
USD
1159.97000000
0.000003138103
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6TA2
3091264.63000000
PA
USD
2881718.34000000
0.007796003178
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAR3
314848.06000000
PA
USD
154824.96000000
0.000418852829
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.40763500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXF98
8271776.35000000
PA
USD
8663489.88000000
0.023437611409
Long
ABS-MBS
USGSE
US
N
2
2057-06-01
Fixed
4.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
8066000.00000000
PA
USD
8960163.29000000
0.024240211308
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DF70
728.73000000
PA
USD
796.93000000
0.000002155959
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
12860000.00000000
PA
USD
14419275.51000000
0.039008919141
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A3RZ5
316638.15000000
PA
USD
338487.15000000
0.000915719923
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EWE5
1782047.91000000
PA
USD
1965366.38000000
0.005316967426
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209YUL0
3372.70000000
PA
USD
3511.29000000
0.000009499203
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
7.50000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BW1
1590000.00000000
PA
USD
1666174.29000000
0.004507553663
Long
DBT
CORP
US
N
2
2028-12-06
Fixed
3.90000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-209.00000000
NC
USD
-19593.75000000
-0.00005300758
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
99.00000000
USD
2022-12-19
XXXX
47892.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDGP5
5059437.01000000
PA
USD
4857855.53000000
0.013142109216
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CL7
29575000.00000000
PA
USD
27416025.00000000
0.074169433939
Long
DBT
CORP
US
N
2
2047-02-15
Fixed
4.10000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
52729KAP1
48377251.07000000
PA
USD
47542017.83000000
0.128616914771
Long
LON
CORP
US
N
2
2027-03-01
Floating
2.20740000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLS2
959424.98000000
PA
USD
973562.52000000
0.002633809278
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.50000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AD5
4000000.00000000
PA
USD
4300748.04000000
0.011634948817
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
4.37500000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AJ2
12570000.00000000
PA
USD
12522438.01000000
0.033877345047
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMKV2
1506009.59000000
PA
USD
1630777.70000000
0.004411794156
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
42300000.00000000
PA
USD
48994419.15000000
0.132546141702
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AP4
4910000.00000000
PA
USD
4984215.78000000
0.013483955571
Long
DBT
CORP
GB
N
2
2024-03-14
Fixed
4.25000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
6040000.00000000
PA
USD
5587285.69000000
0.015115459549
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust 2005-2
57643QAE5
1887346.19000000
PA
USD
981256.76000000
0.002654624747
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.80657000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-3632108.18000000
-0.00982605639
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1769270000.00000000
MXN
85025494.15000000
USD
2022-04-19
-3632108.18000000
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAJ0
4650000.00000000
PA
USD
4943441.13000000
0.013373646629
Long
DBT
CORP
US
N
2
2046-02-15
Fixed
5.05000000
N
N
N
N
N
N
Shops at Crystals Trust 2016-C
N/A
Shops at Crystals Trust 2016-CSTL
82510WAA8
6160000.00000000
PA
USD
5978056.39000000
0.016172623803
Long
ABS-MBS
CORP
US
N
2
2036-07-05
Fixed
3.12550000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPC0
95323.32000000
PA
USD
100133.73000000
0.000270894926
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200XYW3
63564.22000000
PA
USD
67994.78000000
0.000183948414
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
38935406.93000000
0.105333179854
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2045-08-19
0.00000000
USD
0.00000000
USD
-163600000.00000000
USD
38935406.93000000
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448ER5
1617000.00000000
PA
USD
1608885.07000000
0.004352567336
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
3542000.00000000
PA
USD
3689860.79000000
0.009982296343
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XCGD8
10243.76000000
PA
USD
10820.29000000
0.000029272470
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CX Mortgage Trust
12656KAA5
15770000.00000000
PA
USD
14100488.45000000
0.038146494490
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Fixed
2.17300000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
154000.00000000
PA
USD
134008.56000000
0.000362537568
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
25260000.00000000
PA
USD
26994703.47000000
0.073029619565
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDL3
3420000.00000000
PA
USD
3756743.77000000
0.010163236970
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDND4
11176832.32000000
PA
USD
10392320.62000000
0.028114671536
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PBN1
10000000.00000000
PA
USD
12604711.20000000
0.034099921293
Long
DBT
CORP
US
N
2
2040-10-15
Fixed
5.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617AEA55
1811917.56000000
PA
USD
1938678.08000000
0.005244766729
Long
ABS-MBS
USGA
US
N
2
2047-09-15
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQXL2
43435472.01000000
PA
USD
1033503.62000000
0.002795969819
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Variable
0.63617700
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-3427.00000000
NC
USD
-1472540.78000000
-0.00398371084
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
115.00000000
USD
2022-04-22
XXXX
-148937.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BMV7
606666.78000000
PA
USD
669619.69000000
0.001811543189
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFM6
4300000.00000000
PA
USD
4381913.02000000
0.011854526988
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-A
78448YAF8
2170000.00000000
PA
USD
2076442.62000000
0.005617465468
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
3.86000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BA9
2470000.00000000
PA
USD
2486571.67000000
0.006727000475
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.15000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACB9
9660000.00000000
PA
USD
8774963.07000000
0.023739183333
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMY54
20782.83000000
PA
USD
22105.13000000
0.000059801702
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAF1
3480000.00000000
PA
USD
3600460.17000000
0.009740438036
Long
DBT
CORP
US
N
2
2028-04-11
Fixed
3.70000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBK7
13120000.00000000
PA
USD
13483051.79000000
0.036476123692
Long
DBT
CORP
US
N
2
2030-03-19
Fixed
3.48200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MWG4
30796.44000000
PA
USD
34181.78000000
0.000092473043
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178DH20
3290406.66000000
PA
USD
3270130.55000000
0.008846786935
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAZ4
43600000.00000000
PA
USD
40317226.51000000
0.109071459785
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.37500000
N
N
N
N
N
N
COMCAST CABLE COMMUNICAT
N/A
Comcast Cable Communications Holdings Inc
00209TAB1
3150000.00000000
PA
USD
3297216.70000000
0.008920063948
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
9.45500000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914908BC1
8091538.08240000
PA
USD
8057836.83000000
0.021799119181
Long
LON
CORP
US
N
2
2026-03-24
Floating
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFNJ6
33815829.25000000
PA
USD
32333176.58000000
0.087471958623
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAD5
23770000.00000000
PA
USD
21886370.12000000
0.059209884831
Long
DBT
CORP
QA
N
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KRRC5
19330247.19000000
PA
USD
18487908.09000000
0.050015918710
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131X1MD0
254256.01000000
PA
USD
267621.28000000
0.000724004258
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
5.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDL2
9010000.00000000
PA
USD
7632034.48000000
0.020647182703
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AWH72
8182578.67000000
PA
USD
7610103.54000000
0.020587852242
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J4AB5
60273.16000000
PA
USD
64094.18000000
0.000173395999
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292CK52
3402.64000000
PA
USD
3636.50000000
0.000009837937
Long
ABS-MBS
USGA
US
N
2
2035-05-15
Fixed
6.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAX3
4880000.00000000
PA
USD
4915283.82000000
0.013297471773
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.37500000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CD2
28325000.00000000
PA
USD
26806977.71000000
0.072521759167
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AQ2
2261000.00000000
PA
USD
2211268.36000000
0.005982213780
Long
DBT
CORP
GB
N
2
2028-11-07
Fixed
3.57400000
N
N
N
N
N
N
Residential Funding Securities
N/A
RFSC Series 2002-RP2 Trust
760985PC9
1238070.62000000
PA
USD
1208699.62000000
0.003269933063
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
1.95657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LCX9
20484736.25000000
PA
USD
20361963.03000000
0.055085858428
Long
ABS-MBS
USGA
US
N
2
2068-05-20
Floating
0.40629000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPDJ0
1173263.98000000
PA
USD
1239048.66000000
0.003352037275
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.50000000
N
N
N
N
N
N
TEVA PHARM FIN CO LLC
5493006PITD7MU7WW480
Teva Pharmaceutical Finance Co LLC
88163VAD1
2420000.00000000
PA
USD
2449197.30000000
0.006625890418
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
6.15000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-2115.00000000
NC
USD
-908790.12000000
-0.00245857846
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
115.00000000
USD
2022-04-22
XXXX
-220417.82000000
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
29750000.00000000
PA
USD
30825867.99000000
0.083394189329
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5GG4
7976462.02000000
PA
USD
8273380.95000000
0.022382237462
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
29510000.00000000
PA
USD
29130877.36000000
0.078808677915
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
10480000.00000000
PA
USD
9590447.12000000
0.025945337959
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-43CB
02149FBA1
12170078.35000000
PA
USD
2208384.85000000
0.005974412929
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
6.17343000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213RXN2
40770.03000000
PA
USD
44390.06000000
0.000120089824
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291Q4J0
5093.77000000
PA
USD
5442.41000000
0.000014723522
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8D67
13017541.37000000
PA
USD
13171740.01000000
0.035633922151
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292CSQ8
2717.09000000
PA
USD
2943.46000000
0.000007963034
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
6.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RBK7
6469000.00000000
PA
USD
6548378.96000000
0.017715535373
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDYC6
28515049.64000000
PA
USD
5044400.68000000
0.013646775672
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICAL INDU
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAP6
6270000.00000000
PA
USD
6026724.00000000
0.016304285817
Long
DBT
CORP
NL
N
2
2027-05-09
Fixed
4.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
10000000.00000000
PA
USD
9950940.10000000
0.026920590945
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213CYW4
25516.19000000
PA
USD
28448.27000000
0.000076961998
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
6.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAC7
15530000.00000000
PA
USD
15860882.96000000
0.042908945075
Long
DBT
CORP
CH
N
2
2028-03-23
Fixed
4.25300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A3MG2
1867214.75000000
PA
USD
2059497.69000000
0.005571623817
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022659
82600000.00000000
PA
USD
78648658.02000000
0.212770685956
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
21650000.00000000
PA
USD
22188540.07000000
0.060027354692
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC2
86362YAD8
21946005.36000000
PA
USD
19843630.72000000
0.053683597742
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.75657000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BF9
1560000.00000000
PA
USD
1588005.68000000
0.004296081666
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
000000000
5558200.00000000
PA
USD
5474827.00000000
0.014811221521
Long
LON
CORP
US
N
3
2027-12-22
Floating
2.75000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAU2
3295000.00000000
PA
USD
3829226.69000000
0.010359327292
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFMA6
5630869.49000000
PA
USD
5233376.33000000
0.014158017436
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBN9
1860000.00000000
PA
USD
1560177.88000000
0.004220798244
Long
DBT
CORP
US
N
2
2050-11-10
Fixed
2.77200000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
2206442.44000000
0.005969158067
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2051-06-07
0.00000000
USD
-6553.25000000
USD
-52426000.00000000
USD
2212995.69000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380R4W7
31380720.08000000
PA
USD
2298662.85000000
0.006218644840
Long
ABS-MBS
USGA
US
N
2
2062-10-16
Variable
0.89709000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4Y0
822562.88000000
PA
USD
150219.97000000
0.000406394805
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
3086795.14000000
PA
USD
3114494.62000000
0.008425740163
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WCTK9
6874354.47000000
PA
USD
7175483.02000000
0.019412059692
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
78009PEH0
3000000.00000000
PA
USD
3199531.59000000
0.008655793350
Long
DBT
CORP
GB
N
2
2030-01-27
Fixed
5.07600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382LDQ6
15229.20000000
PA
USD
16350.09000000
0.000044232412
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NGG4
7585.18000000
PA
USD
8329.02000000
0.000022532759
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JQTK9
39689399.25000000
PA
USD
39020355.05000000
0.105562992672
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
STATION CASINOS LLC
5493004E7Q60TX54WL62
Station Casinos LLC
85769EAZ4
29450982.40320000
PA
USD
29103313.56000000
0.078734108701
Long
LON
CORP
US
N
2
2027-02-08
Floating
2.70510000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210AFQ5
3933.28000000
PA
USD
3947.41000000
0.000010679052
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312932LK0
3799.44000000
PA
USD
4107.60000000
0.000011112419
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FEXL9
10485506.44000000
PA
USD
10274541.20000000
0.027796039170
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
3.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCP5
6210000.00000000
PA
USD
6391955.11000000
0.017292357016
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAD2
28480000.00000000
PA
USD
27208795.20000000
0.073608808649
Long
DBT
NUSS
MX
N
2
2048-02-10
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCUK2
11085772.87000000
PA
USD
10893937.67000000
0.029471711904
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
3.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
6640000.00000000
PA
USD
5977474.28000000
0.016171049002
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
29720000.00000000
PA
USD
29775450.39000000
0.080552461588
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
SERVICEMASTER COMPANY LLC
HZPA4EQ289DXC7NQGK91
Terminix Co LLC/The
81760HAG7
5124484.13000000
PA
USD
5100988.37000000
0.013799864128
Long
LON
CORP
US
N
2
2026-11-05
Floating
1.86530000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5DR5
15053027.32000000
PA
USD
248654.94000000
0.000672694022
Long
ABS-MBS
USGSE
US
N
2
2031-11-25
Variable
0.10060400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A3CG3
3605576.51000000
PA
USD
3712398.10000000
0.010043267236
Long
ABS-MBS
USGA
US
N
2
2048-06-15
Fixed
3.50000000
N
N
N
N
N
N
OWNIT Mortgage Loan Asset-Back
N/A
Ownit Mortgage Loan Trust Series 2004-1
691215AE7
1595928.76000000
PA
USD
1584762.68000000
0.004287308276
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.25657000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
15493000.00000000
PA
USD
14994649.06000000
0.040565495286
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
2385000.00000000
PA
USD
2706007.69000000
0.007320647635
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.87500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAK7
451000.00000000
PA
USD
584699.03000000
0.001581804659
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
6.50000000
N
N
N
N
N
N
SETANTA AIRCRAFT LEASING
N/A
Setanta Aircraft Leasing DAC
000000000
39440000.00000000
PA
USD
38914264.80000000
0.105275983385
Long
LON
CORP
IE
N
2
2028-11-05
Floating
2.00000000
N
N
N
N
N
N
Nelnet Student Loan Trust
5493000EBJ0T2MCM3713
Nelnet Student Loan Trust 2015-2
64033QAB5
15802288.61000000
PA
USD
15450346.36000000
0.041798307511
Long
ABS-O
CORP
US
N
2
2047-09-25
Floating
1.05657000
N
N
N
N
N
N
RBSSP Resecuritization Trust
N/A
RBSSP Resecuritization Trust 2009-12
74928UBB2
5436822.71000000
PA
USD
5051685.26000000
0.013666482875
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
2.77329000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KK3X5
24491411.35000000
PA
USD
23429564.41000000
0.063384736837
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust Series 2022-CNTR, Class A, Variable rate, due 01/01/2024
N/A
Credit Suisse Mortgage Trust Series 2022-CNTR, Class A, Variable rate, due 01/01/2024
000000000
33000000.00000000
PA
USD
32137606.05000000
0.086942875522
Long
ABS-MBS
CORP
US
N
2
2049-04-15
Fixed
4.19410000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ABUS7
7050376.20000000
PA
USD
6760219.59000000
0.018288634486
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
706451BG5
14490000.00000000
PA
USD
13013469.00000000
0.035205746614
Long
DBT
CORP
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
3060000.00000000
PA
USD
2884662.00000000
0.007803966754
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TE35
7055462.60000000
PA
USD
7455981.53000000
0.020170901126
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132LMXZ4
713055.63000000
PA
USD
732995.96000000
0.001982997003
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
3.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAG0
8600000.00000000
PA
USD
8716886.73000000
0.023582067585
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
3.84800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WWKG3
2293742.36000000
PA
USD
2397198.76000000
0.006485217133
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMHY4
2979644.48000000
PA
USD
3098573.12000000
0.008382667229
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AK1
8590000.00000000
PA
USD
8446136.83000000
0.022849599373
Long
DBT
CORP
FR
N
2
2033-01-10
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VDS6
104056.76000000
PA
USD
109346.60000000
0.000295818793
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
59973057.95000000
PA
USD
20241506.79000000
0.054759984377
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FJT4
6647.51000000
PA
USD
7380.56000000
0.000019966860
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWV2
76385000.00000000
PA
USD
77048132.56000000
0.208440734135
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
3.81400000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FG8
23430000.00000000
PA
USD
23637723.82000000
0.063947877030
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AG9
6600000.00000000
PA
USD
6380946.00000000
0.017262573725
Long
DBT
NUSS
KE
N
2
2028-02-28
Fixed
7.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
11732280.50000000
0.031739707105
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
2453764.54000000
USD
0.00000000
USD
-193568000.00000000
USD
9278515.96000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BM5
2380000.00000000
PA
USD
2360626.80000000
0.006386277861
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.87500000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142ET6
4050000.00000000
PA
USD
3690178.28000000
0.009983155259
Long
DBT
CORP
US
N
2
2031-09-22
Fixed
1.80000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAE8
8540000.00000000
PA
USD
8286573.88000000
0.022417928710
Long
DBT
CORP
N/A
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
GLAXOSMITHKLINE CAPITAL
549300U0LV41VX7LEP38
GlaxoSmithKline Capital PLC
377373AD7
1000000.00000000
PA
USD
1001979.76000000
0.002710687330
Long
DBT
CORP
GB
N
2
2022-05-08
Fixed
2.85000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-1146.00000000
NC
USD
-71625.00000000
-0.00019376936
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.00000000
USD
2022-04-22
XXXX
383001.80000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
-138.00000000
NC
-66549.58000000
-0.00018003866
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Call
Written
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
0.00000000
USD
100000.00000000
161.50000000
EUR
2022-04-22
XXXX
45615.55000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200AN54
61872.97000000
PA
USD
66246.91000000
0.000179219847
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AXVT6
6710198.80000000
PA
USD
6238660.05000000
0.016877643073
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
3721000.00000000
PA
USD
3612886.35000000
0.009774054972
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCV1
110330000.00000000
PA
USD
101671681.14000000
0.275055593867
Long
DBT
UST
US
N
2
2028-08-31
Fixed
1.12500000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
15300000.00000000
PA
USD
15443875.39000000
0.041780801393
Long
DBT
CORP
N/A
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5MG5
2665702.64000000
PA
USD
2752981.18000000
0.007447726494
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EXDX8
1015820.29000000
PA
USD
1008535.06000000
0.002728421589
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919XAB7
21180000.00000000
PA
USD
20641710.30000000
0.055842667509
Long
LON
CORP
US
N
2
2027-03-09
Floating
3.00000000
N
N
N
N
N
N
BRIGHTHOUSE FINANCIAL IN
5493003T8SZSHOGGAW52
Brighthouse Financial Inc
10922NAF0
374000.00000000
PA
USD
364713.43000000
0.000986670702
Long
DBT
CORP
US
N
2
2047-06-22
Fixed
4.70000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHF9
20980000.00000000
PA
USD
21109727.73000000
0.057108809769
Long
DBT
CORP
US
N
2
2024-03-05
Fixed
3.55000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B35Z9
5140000.00000000
PA
USD
5441836.22000000
0.014721970527
Long
ABS-MBS
USGSE
US
N
2
2031-02-25
Fixed
3.61000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A76M9
642175.84000000
PA
USD
21658.73000000
0.000058594042
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYV30
664301.98000000
PA
USD
602406.19000000
0.001629708395
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AT2
2940000.00000000
PA
USD
3334830.80000000
0.009021822555
Long
DBT
CORP
US
N
2
2045-04-27
Fixed
5.05400000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AL4
11240000.00000000
PA
USD
10874700.00000000
0.029419667631
Long
DBT
NUSS
PY
N
2
2033-06-28
Fixed
3.84900000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HS3
1789000.00000000
PA
USD
2042814.63000000
0.005526490610
Long
DBT
CORP
US
N
2
2044-05-06
Fixed
5.30000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAD3
25567000.00000000
PA
USD
25249969.20000000
0.068309535118
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
2.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202VS85
12445.39000000
PA
USD
13296.90000000
0.000035972521
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241LW51
2867271.66000000
PA
USD
3054612.68000000
0.008263739669
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FYQ2
350.89000000
PA
USD
385.10000000
0.000001041823
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382LXR7
71599330.50000000
PA
USD
7511779.32000000
0.020321852640
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ANC36
7197387.60000000
PA
USD
6910600.78000000
0.018695465445
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BU3
3960000.00000000
PA
USD
3986395.66000000
0.010784521445
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9BC8
8939817.91000000
PA
USD
9509233.35000000
0.025725627795
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377EEL4
121101.48000000
PA
USD
121108.83000000
0.000327639523
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRW80
564198.00000000
PA
USD
560997.28000000
0.001517683570
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
3140XFBF7
8675206.97000000
PA
USD
8553585.34000000
0.023140283203
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FL7
12515000.00000000
PA
USD
12253857.88000000
0.033150746781
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEH4
2020000.00000000
PA
USD
1825575.00000000
0.004938785413
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.51100000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BV0
5920000.00000000
PA
USD
6705941.86000000
0.018141795237
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/EUR FORWARD
000000000
1.00000000
NC
USD
303047.50000000
0.000819843924
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-8000000.00000000
EUR
9157932.00000000
USD
2022-04-19
303047.50000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCY5
1580000.00000000
PA
USD
1503511.28000000
0.004067496311
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
16970000.00000000
PA
USD
17081943.96000000
0.046212319769
Long
DBT
CORP
N/A
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
ECMC Group Student Loan Trust
N/A
ECMC Group Student Loan Trust 2020-2
26829HAA4
14449643.57000000
PA
USD
14369014.56000000
0.038872946613
Long
ABS-O
CORP
US
N
2
2069-11-25
Floating
1.60657000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBC6
16715000.00000000
PA
USD
17306702.31000000
0.046820365596
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBD4
975000.00000000
PA
USD
1023752.02000000
0.002769588509
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DQ5
10000000.00000000
PA
USD
8560200.00000000
0.023158178051
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2004-AC6
073879LN6
1990793.22000000
PA
USD
1889468.61000000
0.005111638804
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
5.75000000
N
N
N
N
N
N
GREAT OUTDOORS GROUP LLC
549300IYLDI2E8I2AU46
Great Outdoors Group LLC
07014QAN1
10060420.00000000
PA
USD
10036828.32000000
0.027152947046
Long
LON
CORP
US
N
2
2028-03-05
Floating
4.50000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AN7
5780000.00000000
PA
USD
5398635.60000000
0.014605098532
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.60000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NN7
28570000.00000000
PA
USD
28354629.34000000
0.076708669754
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBR2
14210000.00000000
PA
USD
11394572.70000000
0.030826095582
Long
DBT
CORP
MX
N
2
2045-01-23
Fixed
6.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUU9
563184.79000000
PA
USD
561176.20000000
0.001518167607
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
3.00000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
1120000.00000000
PA
USD
1061900.00000000
0.002872791438
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KHTP1
3681680.85000000
PA
USD
3776416.57000000
0.010216458415
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
ACADEMY LTD
549300BN53IR80C35Z14
Academy Ltd
00400YAK7
4979868.75090000
PA
USD
4954994.31000000
0.013404901810
Long
LON
CORP
US
N
2
2027-11-06
Floating
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XA5B4
3056133.61000000
PA
USD
3179438.67000000
0.008601435343
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C27
28210000.00000000
PA
USD
28719190.50000000
0.077694928516
Long
DBT
CORP
US
N
2
2027-05-28
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WBYL3
79236.71000000
PA
USD
83760.73000000
0.000226600534
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SU3
725390000.00000000
PA
USD
634744583.73000000
1.717194468254
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225A3K4
6929.12000000
PA
USD
7450.17000000
0.000020155179
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ANN4
498965.56000000
PA
USD
520165.98000000
0.001407221371
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8PM3
13690067.91000000
PA
USD
13445647.22000000
0.036374931933
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAG7
8454000.00000000
PA
USD
10308285.31000000
0.027887328171
Long
DBT
CORP
US
N
2
2041-05-30
Fixed
5.70000000
N
N
N
N
N
N
GLOBAL MEDICAL RESPONSE
549300ZFWD4ZFCEJCQ87
Global Medical Response Inc
00169QAF6
15544351.05500000
PA
USD
15464219.93000000
0.041835840116
Long
LON
CORP
US
N
2
2025-10-02
Floating
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHWR4
2202685.65000000
PA
USD
2186442.96000000
0.005915052845
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBY8
23477000.00000000
PA
USD
21553563.20000000
0.058309531813
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NY24
7129507.12000000
PA
USD
7298661.81000000
0.019745299144
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Fixed
4.00000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
279479000000.00000000
PA
20009820.75000000
0.054133196853
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MGH4
2579.83000000
PA
USD
2852.12000000
0.000007715929
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFX2
16160000.00000000
PA
USD
16375776.56000000
0.044301902911
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABQF3
3214197.96000000
PA
USD
3599498.98000000
0.009737837699
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
6.50000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CX6
6290000.00000000
PA
USD
5390094.17000000
0.014581991133
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.60000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAU7
49600000.00000000
PA
USD
54203544.14000000
0.146638551226
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
27181000.00000000
PA
USD
26926591.55000000
0.072845354247
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RE3
1802000.00000000
PA
USD
1856692.77000000
0.005022969294
Long
DBT
CORP
US
N
2
2024-01-16
Fixed
4.48000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXDJ8
7779527.60000000
PA
USD
8168810.34000000
0.022099339305
Long
ABS-MBS
USGSE
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHEM5
1413908.24000000
PA
USD
1406079.84000000
0.003803911975
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
10180000.00000000
PA
USD
9751472.90000000
0.026380966061
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VZV5
12390297.08000000
PA
USD
12915182.90000000
0.034939850139
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEA6
8805081.15000000
PA
USD
9167505.42000000
0.024801140487
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
13440000.00000000
PA
USD
14529590.48000000
0.039307357695
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NEQ0
2576.54000000
PA
USD
2871.91000000
0.000007769468
Long
ABS-MBS
USGA
US
N
2
2034-02-15
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
210430000.00000000
PA
USD
249100622.20000000
0.673899740848
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FNW2
45001.24000000
PA
USD
49983.16000000
0.000135221013
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413K6Y2
2491.42000000
PA
USD
2651.54000000
0.000007173294
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-9
60688CAJ5
206855.79000000
PA
USD
203843.45000000
0.000551464090
Long
ABS-MBS
CORP
US
N
2
2049-09-12
Variable
6.19300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VVH4
17357.46000000
PA
USD
18568.45000000
0.000050233811
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
10633000.00000000
PA
USD
10686710.26000000
0.028911093080
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
HORIZON THERAPEUTICS USA
N/A
Horizon Therapeutics USA Inc
44055UAD7
23899400.00000000
PA
USD
23697808.56000000
0.064110426165
Long
LON
CORP
US
N
2
2028-03-15
Floating
2.50000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CB51
4441538.09000000
PA
USD
4458355.97000000
0.012061330502
Long
ABS-MBS
USGA
US
N
2
2039-04-01
Fixed
2.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390BFZ6
18285.96000000
PA
USD
18973.06000000
0.000051328415
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.00000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAN0
7700000.00000000
PA
USD
6073952.50000000
0.016432054563
Long
DBT
NUSS
AE
N
2
2070-09-02
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FFT8
29790.83000000
PA
USD
31740.27000000
0.000085867949
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
4.50000000
N
N
N
N
N
N
FannieMae Grantor Trust
N/A
Fannie Mae Grantor Trust 2017-T1
3136AV6R5
3989386.36000000
PA
USD
4004531.67000000
0.010833585363
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Fixed
2.89800000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBE0
21490000.00000000
PA
USD
24210118.24000000
0.065496393641
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030666
91400000.00000000
PA
USD
89900468.75000000
0.243210563095
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGU0
2763696.65000000
PA
USD
2753256.23000000
0.007448470595
Long
ABS-MBS
USGA
US
N
2
2070-07-20
Floating
0.89857000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAN3
3380000.00000000
PA
USD
3454710.10000000
0.009346135792
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VJ21
5182.10000000
PA
USD
5646.91000000
0.000015276763
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AJ6
10344000.00000000
PA
USD
10814962.32000000
0.029258057408
Long
DBT
CORP
US
N
2
2047-07-15
Variable
5.35000000
N
N
N
N
N
N
CONOCOPHILLIPS
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAQ7
40000.00000000
PA
USD
53656.35000000
0.000145158209
Long
DBT
CORP
US
N
2
2039-02-01
Fixed
6.50000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AT4
3620000.00000000
PA
USD
3361656.93000000
0.009094396127
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXAT7
2651.95000000
PA
USD
2849.35000000
0.000007708436
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AU3
15970000.00000000
PA
USD
16165647.67000000
0.043733434622
Long
DBT
CORP
GB
N
2
2025-08-18
Fixed
4.25000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Home Equity Loan Trust 2004-HE3
361856DG9
1361304.54000000
PA
USD
1361144.38000000
0.003682346663
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
0.95657000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
23970000.00000000
PA
USD
25599893.12000000
0.069256195295
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBJ9
179230000.00000000
PA
USD
162616219.59000000
0.439930768825
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-4
46649CAA1
5463580.88000000
PA
USD
5440611.44000000
0.014718657091
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FNN83
1231770.44000000
PA
USD
1223443.18000000
0.003309819279
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFN9
9140000.00000000
PA
USD
9252450.33000000
0.025030944622
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.30000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBJ4
15000000.00000000
PA
USD
15918495.45000000
0.043064805955
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
4.49300000
N
N
N
N
N
N
CME GROUP INC
LCZ7XYGSLJUHFXXNXD88
CME Group Inc
12572QAF2
4500000.00000000
PA
USD
5515605.23000000
0.014921540148
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
5.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J3CZ2
51143.19000000
PA
USD
52653.22000000
0.000142444410
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.50000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300FCX3YXSYSLU895
WFRBS Commercial Mortgage Trust 2014-C19
92938VAW5
40247609.03000000
PA
USD
537064.09000000
0.001452936359
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
0.99623200
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-311.00000000
NC
USD
-379031.25000000
-0.00102540515
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
122.25000000
USD
2022-04-22
XXXX
-114631.78000000
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AW5
12719000.00000000
PA
USD
12839639.72000000
0.034735480800
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.10000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BR4
74200000.00000000
PA
USD
73656122.90000000
0.199264223813
Long
DBT
CORP
US
N
2
2026-08-08
Fixed
2.40000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-1407.00000000
NC
USD
-1099218.75000000
-0.00297375102
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-05-20
XXXX
41534.64000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCDC7
3646124.46000000
PA
USD
3744347.12000000
0.010129699924
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WVRU7
791786.05000000
PA
USD
827356.18000000
0.002238272672
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust
92922F6B9
16843966.87000000
PA
USD
9454815.06000000
0.025578408285
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
1.41657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417VLW1
11110.90000000
PA
USD
11827.09000000
0.000031996198
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BM1
11385000.00000000
PA
USD
13319143.91000000
0.036032698553
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
Suntrust Alternative Loan Trus
N/A
SunTrust Alternative Loan Trust 2006-1F
86800RAF8
16007604.02000000
PA
USD
2698249.74000000
0.007299659810
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.80657000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764CA6
7800000.00000000
PA
USD
7386217.41000000
0.019982166059
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
3.07800000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multiclass Certificates Series 2015-P001
3137FQXW8
15503008.00000000
PA
USD
1394359.92000000
0.003772205707
Long
ABS-MBS
USGSE
US
N
2
2028-08-27
Variable
1.66580000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBR83
8934314.02000000
PA
USD
8830114.99000000
0.023888387555
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241LL79
36381.88000000
PA
USD
39555.98000000
0.000107012035
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBQ60
4702149.36000000
PA
USD
4508986.38000000
0.012198302541
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
GUARDIAN LIFE GLOB FUND
635400NHILJ5JEKILC36
Guardian Life Global Funding
40139LAG8
5940000.00000000
PA
USD
5595037.41000000
0.015136430520
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.10000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAP9
3490000.00000000
PA
USD
4105095.05000000
0.011105642635
Long
DBT
CORP
LU
N
2
2039-10-15
Variable
7.00000000
N
N
N
N
N
N
KKR GROUP FIN CO II
N/A
KKR Group Finance Co II LLC
48249DAA9
1398000.00000000
PA
USD
1599446.08000000
0.004327031740
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
5.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBD4
1248000.00000000
PA
USD
1294240.43000000
0.003501349304
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHG7
85750000.00000000
PA
USD
87180320.29000000
0.235851659990
Long
DBT
CORP
US
N
2
2029-03-05
Fixed
3.97000000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAF7
7740000.00000000
PA
USD
7878228.89000000
0.021313220177
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CL31
485.48000000
PA
USD
519.39000000
0.000001405122
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNFK3
52417787.39000000
PA
USD
50096053.15000000
0.135526426779
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PZG1
563.98000000
PA
USD
602.48000000
0.000001629908
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X82N6
4020883.37000000
PA
USD
4047785.29000000
0.010950600740
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
3.50000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
22301000.00000000
PA
USD
18322613.11000000
0.049568741006
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCK8
12748000.00000000
PA
USD
14686985.46000000
0.039733163281
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86200000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACE3
13570000.00000000
PA
USD
12790267.80000000
0.034601913394
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBZ3
750390000.00000000
PA
USD
699181743.05000000
1.891518340203
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF14
32027LAE5
8719596.37000000
PA
USD
8629868.24000000
0.023346653730
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.61657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KQ61
141454.76000000
PA
USD
156612.34000000
0.000423688284
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.00000000
N
N
N
N
N
N
NEXSTAR MEDIA INC
5493006PK6I4I2OOT688
Nexstar Media Inc
65336RAW8
46474473.61800000
PA
USD
46354104.73000000
0.125403216133
Long
LON
CORP
US
N
2
2026-09-19
Floating
2.73060000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAP6
900000.00000000
PA
USD
872455.08000000
0.002360280143
Long
DBT
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2012-K20 Mortgage Trust
30290QAE8
20415072.90000000
PA
USD
204.15000000
0.000000552293
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Fixed
0.20000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BJ6
8121000.00000000
PA
USD
9164846.78000000
0.024793947985
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377EEZ3
226028.30000000
PA
USD
34552.29000000
0.000093475395
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Floating
6.03143000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RLZ4
13928166.03000000
PA
USD
438277.60000000
0.001185686163
Long
ABS-MBS
USGA
US
N
2
2058-08-16
Variable
0.42271000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERRD4
3261943.32000000
PA
USD
3243209.65000000
0.008773956979
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
GVC HOLDINGS GIBRALTAR L
N/A
GVC Holdings Gibraltar Ltd
000000000
9349350.00000000
PA
USD
9273386.53000000
0.025087583981
Long
LON
CORP
GI
N
3
2027-03-16
Floating
3.00000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
32030000.00000000
PA
USD
31673049.03000000
0.085686094818
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
04650NAB0
4390000.00000000
PA
USD
5039343.95000000
0.013633095541
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.35000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ES3
8730000.00000000
PA
USD
8953339.76000000
0.024221751397
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
CINTAS CORPORATION NO. 2
549300QVUQTTKMTE0G41
Cintas Corp No 2
17252MAM2
7980000.00000000
PA
USD
7980000.00000000
0.021588544759
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412XLH5
4458.29000000
PA
USD
4866.47000000
0.000013165414
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2022-NQM1
36264EAG9
29372083.36000000
PA
USD
29321924.65000000
0.079325524152
Long
ABS-MBS
CORP
US
N
2
2062-05-25
Variable
4.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAK5
2000000.00000000
PA
USD
2185121.00000000
0.005911476505
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
6.10000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAP0
10960000.00000000
PA
USD
10895390.80000000
0.029475643102
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC
N/A
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp
432891AK5
4930000.00000000
PA
USD
4971954.30000000
0.013450784203
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.87500000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687DZ6
260000.00000000
PA
USD
327951.94000000
0.000887218688
Long
DBT
CORP
US
N
2
2034-12-15
Fixed
6.20000000
N
N
N
N
N
N
OASIS PETROLEUM INC
529900FA4V2YNIKZ0M71
Oasis Petroleum Inc
674215AL2
2500000.00000000
PA
USD
2565712.50000000
0.006941102649
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XQYC9
440288.52000000
PA
USD
460498.46000000
0.001245800954
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAZ4
1430000.00000000
PA
USD
1275016.60000000
0.003449342473
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.62500000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAJ6
6770000.00000000
PA
USD
6121073.43000000
0.016559532295
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.80000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
42045000.00000000
PA
USD
39528608.01000000
0.106937985376
Long
DBT
CORP
CH
N
2
2026-06-05
Fixed
2.19300000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
5770000.00000000
PA
USD
5972605.47000000
0.016157877258
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A9T64
2710598.31000000
PA
USD
2739686.23000000
0.007411759248
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M34Q0
2291383.83000000
PA
USD
2130318.34000000
0.005763217147
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS JPY
000000000
1.00000000
NC
-277158.20000000
-0.00074980478
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2046-05-09
0.88000000
USD
0.00000000
USD
-12221800000.00000000
JPY
-277159.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MGZF5
307525.05000000
PA
USD
321818.87000000
0.000870626701
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397UUU1
590253.80000000
PA
USD
638806.78000000
0.001728184055
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030645
-71500000.00000000
PA
USD
-69947109.38000000
-0.18923011298
Short
ABS-MBS
USGSE
US
N
2
2051-04-15
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HQ7
3700000.00000000
PA
USD
3728675.00000000
0.010087301645
Long
DBT
CORP
US
N
2
N/A
Fixed
6.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WBTG0
96943.93000000
PA
USD
103104.25000000
0.000278931167
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T2N4
1957.61000000
PA
USD
2093.85000000
0.000005664558
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAN2
590000.00000000
PA
USD
585533.70000000
0.001584062718
Long
DBT
CORP
CA
N
2
2025-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MN4E7
61657.63000000
PA
USD
63040.42000000
0.000170545229
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDW98
1852104.06000000
PA
USD
1974272.70000000
0.005341061973
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200EBT7
11761.09000000
PA
USD
12569.20000000
0.000034003851
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505ND0
116089.51000000
PA
USD
139.32000000
0.000000376906
Long
ABS-O
CORP
US
N
2
2026-07-15
Variable
8.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9YP4
1098783.22000000
PA
USD
1087558.93000000
0.002942207348
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
HERSHEY COMPANY
21X2CX66SU2BR6QTAD08
Hershey Co/The
427866BF4
4030000.00000000
PA
USD
3798240.02000000
0.010275498080
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.90000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBF9
1595000.00000000
PA
USD
1647459.55000000
0.004456924089
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31283BCC0
339656.42000000
PA
USD
18623.67000000
0.000050383199
Long
ABS-MBS
USGSE
US
N
2
2027-10-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032666
391000000.00000000
PA
USD
389559825.79000000
1.053888438038
Long
ABS-MBS
USGSE
US
N
2
2051-06-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J4CZ0
16172.03000000
PA
USD
17018.94000000
0.000046041873
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFR0
25460000.00000000
PA
USD
26665636.66000000
0.072139384783
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
5422870000.00000000
PA
3337150.77000000
0.009028098843
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415WQA4
4230.31000000
PA
USD
4497.03000000
0.000012165956
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GDKC5
10128.38000000
PA
USD
10976.48000000
0.000029695016
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-836.00000000
NC
USD
-156750.00000000
-0.00042406070
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.00000000
USD
2022-05-20
XXXX
605959.97000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBJ7
22950000.00000000
PA
USD
19725984.00000000
0.053365324374
Long
DBT
CORP
NL
N
2
2051-06-10
Fixed
5.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CL0
14560000.00000000
PA
USD
14574555.63000000
0.039429003329
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABV6
9713000.00000000
PA
USD
9251632.50000000
0.025028732120
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAF2
930000.00000000
PA
USD
989282.85000000
0.002676337980
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.87500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-HY2
89177HAA0
21264231.88000000
PA
USD
21285491.86000000
0.057584309993
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Floating
1.45657000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
26460000.00000000
PA
USD
27348701.17000000
0.073987300666
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
UFC HOLDINGS LLC
549300JEOTH7UMZ3C491
UFC Holdings LLC
90266UAJ2
28119108.74470000
PA
USD
27880658.70000000
0.075426422088
Long
LON
CORP
US
N
2
2026-04-29
Floating
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
12867800.60000000
0.034811665314
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-20
0.00000000
USD
-1014018.84000000
USD
-591904000.00000000
USD
13881819.44000000
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
32450000.00000000
PA
USD
33005625.13000000
0.089291154816
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7H1
14190000.00000000
PA
USD
13407375.95000000
0.036271395464
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KSGT5
461215.88000000
PA
USD
473176.05000000
0.001280098036
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCJ8
59610000.00000000
PA
USD
55685287.14000000
0.150647157125
Long
DBT
UST
US
N
2
2026-06-30
Fixed
0.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2QJ5
8741409.28000000
PA
USD
8142042.49000000
0.022026923399
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAN7
8130000.00000000
PA
USD
7843076.69000000
0.021218121826
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WX4Z7
285958.95000000
PA
USD
297775.29000000
0.000805580849
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BF2
1450000.00000000
PA
USD
1739108.06000000
0.004704863683
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
6.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ABH0
986122.71000000
PA
USD
1026865.65000000
0.002778011910
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
4.50000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BL3
4000.00000000
PA
USD
4019.81000000
0.000010874918
Long
DBT
CORP
US
N
2
2026-05-16
Fixed
2.95400000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
5790000.00000000
PA
USD
5789106.49000000
0.015661451701
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-634.00000000
NC
USD
-9906.26000000
-0.00002679971
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
119.00000000
USD
2022-04-22
XXXX
296091.01000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9NM0
828160.92000000
PA
USD
827875.27000000
0.002239676982
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AKJH4
4844720.08000000
PA
USD
4519329.25000000
0.012226283433
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
Virgin Media Bristol LLC
000000000
39153073.86000000
PA
USD
38737072.45000000
0.104796619352
Long
LON
CORP
US
N
2
2028-01-31
Floating
2.69110000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBF8
3000000.00000000
PA
USD
3237638.94000000
0.008758886362
Long
DBT
CORP
US
N
2
2040-03-19
Fixed
4.22700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617X5VE7
500000.00000000
PA
USD
503152.83000000
0.001361195161
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KXAB2
3897885.69000000
PA
USD
3732854.86000000
0.010098609552
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MCV76
518219.05000000
PA
USD
538459.88000000
0.001456712433
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
12769000.00000000
PA
USD
12894646.96000000
0.034884293615
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AF2
4150000.00000000
PA
USD
4256107.91000000
0.011514182470
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.75000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBD6
12390000.00000000
PA
USD
10567431.00000000
0.028588403149
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BG2
1990000.00000000
PA
USD
2026784.85000000
0.005483124743
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F8ZX4
27903026.60000000
PA
USD
1524225.15000000
0.004123534194
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Variable
0.77434600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7M48
8244970.90000000
PA
USD
8432779.55000000
0.022813463503
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
4.00000000
N
N
N
N
N
N
TENNESSEE GAS PIPELINE
N/A
Tennessee Gas Pipeline Co LLC
880451AZ2
18290000.00000000
PA
USD
17182262.49000000
0.046483714640
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2S5
6026.80000000
PA
USD
6452.95000000
0.000017457368
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 30 Day Federal Funds
000000000
-12123.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
FEDERAL RESERVE BANK OF NEW YORK
30 DAY FEDERAL FUNDS
2022-04-29
-5033290411.67000000
USD
0.00000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBC2
3210000.00000000
PA
USD
3273072.33000000
0.008854745425
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXCA8
282806.79000000
PA
USD
300460.18000000
0.000812844366
Long
ABS-MBS
USGSE
US
N
2
2055-09-01
Fixed
4.00000000
N
N
N
N
N
N
Springcastle SPV
N/A
SpringCastle America Funding LLC
85022WAP9
16100580.34000000
PA
USD
15527043.86000000
0.042005799668
Long
ABS-O
CORP
US
N
2
2037-09-25
Fixed
1.97000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R4E6
17557889.85000000
PA
USD
17940534.74000000
0.048535092386
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312940ZX0
4597.40000000
PA
USD
4983.34000000
0.000013481586
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413DUU9
34828.23000000
PA
USD
38154.29000000
0.000103219999
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
857524AC6
39880000.00000000
PA
USD
40975942.28000000
0.110853504257
Long
DBT
NUSS
PL
N
2
2024-01-22
Fixed
4.00000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAC9
14510000.00000000
PA
USD
14576905.61000000
0.039435360803
Long
DBT
CORP
MA
N
2
2025-10-22
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L06A0
15829907.15000000
PA
USD
14767451.27000000
0.039950849965
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BX7
5740000.00000000
PA
USD
5515482.43000000
0.014921207933
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
1.99500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J4C23
62176.55000000
PA
USD
65432.67000000
0.000177017058
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
5.00000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBL5
4230000.00000000
PA
USD
4457574.00000000
0.012059215014
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
ALLIED UNIVERSAL HOLDCO
98450038B4549046D794
Allied Universal Holdco LLC
01957TAH0
43323082.25440000
PA
USD
42715692.64000000
0.115560105575
Long
LON
CORP
US
N
2
2028-05-14
Floating
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202WHX0
82340.42000000
PA
USD
88070.02000000
0.000238258592
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BFP0
8140000.00000000
PA
USD
9477097.16000000
0.025638688750
Long
DBT
CORP
US
N
2
2043-11-02
Fixed
5.37500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCQ5
2200000.00000000
PA
USD
2346915.21000000
0.006349183465
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.40000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAH8
6200000.00000000
PA
USD
6234496.92000000
0.016866380427
Long
DBT
CORP
ES
N
2
2023-04-12
Floating
1.35829000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5S4
1134342.11000000
PA
USD
1196501.74000000
0.003236933755
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.00000000
N
N
N
N
N
N
Thrust Engine Leasing
N/A
Thrust Engine Leasing 2021 DAC
88603UAA7
19107863.04000000
PA
USD
17901598.93000000
0.048429758116
Long
ABS-O
CORP
US
N
2
2040-07-15
Fixed
4.16300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200CC86
2143.70000000
PA
USD
2290.64000000
0.000006196940
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
3650281000000.00000000
PA
250171007.61000000
0.676795488133
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566AAH2
25986315.04000000
PA
USD
26048884.89000000
0.070470866839
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Floating
2.89900000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
16300000.00000000
PA
USD
17078021.66000000
0.046201708647
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EAE60
2058823.59000000
PA
USD
2155036.02000000
0.005830086663
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290S7E5
708.98000000
PA
USD
774.38000000
0.000002094954
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDY93
6963589.38000000
PA
USD
1146701.23000000
0.003102206870
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
700000.00000000
PA
USD
757914.50000000
0.002050409913
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-622.00000000
NC
USD
-58312.50000000
-0.00015775463
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
126.00000000
USD
2022-04-22
XXXX
185189.57000000
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BT8
5450000.00000000
PA
USD
5466802.02000000
0.014789511290
Long
DBT
CORP
NL
N
2
2026-05-10
Fixed
2.87500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285M8
5000.00000000
PA
USD
5207.03000000
0.000014086741
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.12500000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516CB0
9750000.00000000
PA
USD
9402193.52000000
0.025436049579
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.35000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-312.00000000
NC
USD
-19500.00000000
-0.00005275396
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
123.50000000
USD
2022-04-01
XXXX
75147.74000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
18650000.00000000
PA
USD
19237252.88000000
0.052043144717
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4H36
12231788.57000000
PA
USD
11391013.22000000
0.030816466009
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-318.00000000
NC
USD
-1177593.75000000
-0.00318578137
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
126.50000000
USD
2022-04-22
XXXX
-845237.64000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VHX5
14941075.22000000
PA
USD
2614972.04000000
0.007074366031
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Floating
5.70143000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AW6
150000.00000000
PA
USD
151125.75000000
0.000408845240
Long
DBT
CORP
US
N
2
2026-04-01
Variable
4.70000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TA6
214870000.00000000
PA
USD
186366151.56000000
0.504182206090
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAN0
7375000.00000000
PA
USD
7266588.68000000
0.019658530697
Long
DBT
CORP
US
N
2
N/A
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AC3A7
2429423.65000000
PA
USD
341644.50000000
0.000924261601
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6GP6
1151601.15000000
PA
USD
1188875.88000000
0.003216303276
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200DQZ9
2081.04000000
PA
USD
2224.02000000
0.000006016711
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Bonos del Tesoro
000000000
70110000.00000000
PA
244573.23000000
0.000661651644
Long
DBT
NUSS
AR
N
2
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAQ2
9759638.55000000
PA
USD
9413878.96000000
0.025467662567
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
4.28700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSH9
4750334.99000000
PA
USD
4921908.44000000
0.013315393566
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
13615895.79000000
0.036835510739
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-11-01
0.00000000
USD
-14685.50000000
USD
-251692000.00000000
USD
13630581.29000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR7
362341WX3
572368.15000000
PA
USD
381212.24000000
0.001031305451
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
2.43487800
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EDE6
624238.25000000
PA
USD
677067.94000000
0.001831693173
Long
ABS-MBS
USGA
US
N
2
2035-04-20
Fixed
5.00000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2010-RR9 Trust
05533GCP2
9256368.44000000
PA
USD
8806499.68000000
0.023824500315
Long
ABS-MBS
CORP
US
N
2
2035-10-26
Variable
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EDT1
6482087.46000000
PA
USD
958398.02000000
0.002592784279
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300V2DF3KW9L1CV04
Wells Fargo Commercial Mortgage Trust 2013-LC12
94988QAQ4
450000.00000000
PA
USD
432766.85000000
0.001170777758
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.30536300
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A86
8460000.00000000
PA
USD
8279717.40000000
0.022399379659
Long
DBT
CORP
US
N
2
2027-08-17
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210XV53
3171.07000000
PA
USD
3387.04000000
0.000009163065
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412XC44
16787.95000000
PA
USD
18504.47000000
0.000050060724
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
000000000
7439554.93000000
PA
USD
7367837.62000000
0.019932442636
Long
LON
CORP
CA
N
2
2026-10-30
Floating
4.25000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BD1
6418000.00000000
PA
USD
8063742.84000000
0.021815096895
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
4040000.00000000
PA
USD
3263951.71000000
0.008830071125
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CN3
20750000.00000000
PA
USD
19438392.50000000
0.052587294052
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.20000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
139610800.00000000
PA
USD
125927851.24000000
0.340676573052
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
000000000
7780000.00000000
PA
USD
7831425.80000000
0.021186602307
Long
DBT
NUSS
KE
N
2
2024-06-24
Fixed
6.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QDH2
2064466.02000000
PA
USD
2058023.44000000
0.005567635482
Long
ABS-MBS
USGA
US
N
2
2070-07-20
Floating
0.94857000
N
N
N
N
N
N
FRETE 2020-ML07 TRUST
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily ML Certificates
35833FAC9
33889238.47000000
PA
USD
5951289.17000000
0.016100209601
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Variable
1.97542000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBJ9
10110000.00000000
PA
USD
9626092.94000000
0.026041771716
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M33H1
10166382.26000000
PA
USD
9773866.58000000
0.026441548387
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407XUW9
9250.60000000
PA
USD
9665.33000000
0.000026147920
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
1.87600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378D2U8
1016671.03000000
PA
USD
163646.83000000
0.000442718911
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Floating
5.60143000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
25910000.00000000
PA
USD
24940966.00000000
0.067473579051
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAV8
18900000.00000000
PA
USD
19568313.83000000
0.052938774308
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.20300000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BY7
690000.00000000
PA
USD
700298.88000000
0.001894540565
Long
DBT
CORP
NL
N
2
2046-09-12
Fixed
3.75000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAD0
24470000.00000000
PA
USD
18523422.22000000
0.050111996202
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.02700000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCE3
42310000.00000000
PA
USD
38643324.86000000
0.104543001051
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.87500000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AR8
15860000.00000000
PA
USD
14313351.99000000
0.038722360914
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201JGG8
7557.48000000
PA
USD
8077.78000000
0.000021853072
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5LS0
1293537.48000000
PA
USD
1319999.30000000
0.003571035585
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGCH5
1288122.78000000
PA
USD
1393364.27000000
0.003769512143
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2A0
23440000.00000000
PA
USD
23431684.19000000
0.063390471544
Long
DBT
CORP
US
N
2
2028-05-22
Fixed
3.58400000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-4SZN
12663FAA7
50000000.00000000
PA
USD
48753110.00000000
0.131893320475
Long
ABS-MBS
CORP
US
N
2
2023-11-15
Floating
4.26766000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDX4
13640000.00000000
PA
USD
12752986.71000000
0.034501055689
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
3.49900000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BT5
2960000.00000000
PA
USD
3127214.60000000
0.008460151925
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AA3
9380000.00000000
PA
USD
9303110.26000000
0.025167996522
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFPJ4
22720035.66000000
PA
USD
21815090.51000000
0.059017049862
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387TA46
7167.47000000
PA
USD
7625.86000000
0.000020630478
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XJ4A2
363146.66000000
PA
USD
385868.50000000
0.001043902178
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KL6J1
23944763.13000000
PA
USD
22276996.73000000
0.060266659274
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.00000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BT2
16950000.00000000
PA
USD
14197718.16000000
0.038409533080
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
18680000.00000000
PA
USD
19427930.76000000
0.052558991578
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211SC54
10272.55000000
PA
USD
10976.37000000
0.000029694718
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
6.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DE2
4792000.00000000
PA
USD
5987843.60000000
0.016199101450
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
7.87500000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS1
52474JAA4
24234908.94000000
PA
USD
23539878.41000000
0.063683172767
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.89200000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
AUSTRALIAN DOLLAR CURRENCY
000000000
10644.00000000
NC
USD
19800084.70000000
0.053565791326
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
AUD USD EURO CURRENCY
2022-06-13
778127375.30000000
USD
19800084.70000000
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31359MGK3
45010000.00000000
PA
USD
59030649.21000000
0.159697470256
Long
DBT
USGSE
US
N
2
2030-11-15
Fixed
6.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJDQ1
207543.32000000
PA
USD
215151.93000000
0.000582057277
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
3138WRXK1
352442.35000000
PA
USD
368923.21000000
0.000998059552
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
3394000.00000000
PA
USD
2914597.50000000
0.007884952203
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HS35
7831783.21000000
PA
USD
1106688.92000000
0.002993960311
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
36000.00000000
PA
USD
35938.80000000
0.000097226364
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-DC1 Mortgage Trust
12629NAL9
3070000.00000000
PA
USD
2943185.67000000
0.007962292678
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
4.33179400
N
N
N
N
N
N
MONDELEZ INTL HLDINGS NE
549300CW356R8I7N8D33
Mondelez International Holdings Netherlands BV
60920LAE4
7900000.00000000
PA
USD
7911579.43000000
0.021403444441
Long
DBT
CORP
NL
N
2
2022-09-19
Fixed
2.12500000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
28139000.00000000
PA
USD
28099042.62000000
0.076017222969
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKC2
2620000.00000000
PA
USD
2256708.00000000
0.006105143066
Long
DBT
CORP
US
N
2
2036-09-21
Fixed
2.48200000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-156.00000000
NC
USD
-2437.50000000
-0.00000659424
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.25000000
USD
2022-04-01
XXXX
33855.12000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AF4
6789000.00000000
PA
USD
5803237.20000000
0.015699679955
Long
DBT
CORP
CA
N
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AT6
200000.00000000
PA
USD
206570.85000000
0.000558842611
Long
DBT
CORP
GB
N
2
2028-08-16
Fixed
4.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AARL1
4427066.80000000
PA
USD
718339.40000000
0.001943346151
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
5.69343000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAU0
36130000.00000000
PA
USD
35352377.62000000
0.095639898070
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
3.54700000
N
N
N
N
N
N
WYETH LLC
549300Q9GR3WRH4N4836
Wyeth LLC
983024AN0
5098000.00000000
PA
USD
6503229.90000000
0.017593392202
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
5.95000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2005-3AR
61745M4P5
616359.88000000
PA
USD
585355.93000000
0.001583581791
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
2.50028100
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBB8
1440000.00000000
PA
USD
1526129.37000000
0.004128685740
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFU74
49695867.83000000
PA
USD
47504686.07000000
0.128515919988
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ACE6
211998.26000000
PA
USD
220717.92000000
0.000597115124
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNAJ9
6300000.00000000
PA
USD
501495.12000000
0.001356710506
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Variable
1.23940800
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329N4B1
3630264.45000000
PA
USD
3673380.30000000
0.009937711156
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178NF95
3977400.04000000
PA
USD
3962732.54000000
0.010720504863
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust 2007-1
12559QAF9
47370000.00000000
PA
USD
47515605.91000000
0.128545461774
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.95657000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CL6
11060000.00000000
PA
USD
11158158.27000000
0.030186516196
Long
DBT
CORP
US
N
2
2063-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XA4L3
7861182.71000000
PA
USD
8259338.01000000
0.022344246655
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBG8
730000.00000000
PA
USD
658232.15000000
0.001780736119
Long
DBT
CORP
CA
N
2
2041-12-02
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GEU9
28960000.00000000
PA
USD
29292195.53000000
0.079245097030
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
3.30000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
20000000.00000000
PA
USD
23037947.40000000
0.062325283033
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
19990000.00000000
PA
USD
24573951.88000000
0.066480684220
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GXX1
42949.46000000
PA
USD
39982.29000000
0.000108165345
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.46174000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132LME44
375655.54000000
PA
USD
378873.61000000
0.001024978682
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057CV4
20000.00000000
PA
USD
20981.76000000
0.000056762614
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040665
22400000.00000000
PA
USD
22684374.94000000
0.061368752347
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
4.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DC0
22730000.00000000
PA
USD
23384388.29000000
0.063262520460
Long
DBT
CORP
GB
N
2
2033-03-29
Fixed
4.76200000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-414.00000000
NC
USD
-478687.50000000
-0.00129500833
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
121.75000000
USD
2022-04-01
XXXX
-301466.22000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KHKH8
10655022.65000000
PA
USD
10497216.54000000
0.028398449764
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412XMX9
11317.36000000
PA
USD
12438.72000000
0.000033650860
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412YBH4
279616.96000000
PA
USD
309564.41000000
0.000837474325
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
SOHO Trust 2021-SOHO
N/A
Soho Trust 2021-SOHO
83410JAE8
23410000.00000000
PA
USD
20285045.92000000
0.054877772154
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
2.69658900
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2021-2R
12657PAA3
31307692.76000000
PA
USD
31814288.80000000
0.086068195206
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Floating
1.99143000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DH0
5590000.00000000
PA
USD
5691751.19000000
0.015398073348
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2R38
3332384.00000000
PA
USD
3410337.49000000
0.009226093176
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-13
41162KAA1
110049.98000000
PA
USD
86618.08000000
0.000234330613
Long
ABS-MBS
CORP
US
N
2
2046-11-19
Floating
0.62857000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUB9
4902223.73000000
PA
USD
5079403.63000000
0.013741470252
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DE2
11330000.00000000
PA
USD
10965146.47000000
0.029664355308
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
PILOT TRAVEL CENTERS LLC
549300115UILLXNE1Z49
Pilot Travel Centers LLC
72165NBH1
62862118.57450000
PA
USD
62102429.87000000
0.168007655002
Long
LON
CORP
US
N
2
2028-08-06
Floating
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JWB41
3266850.47000000
PA
USD
3226562.56000000
0.008728921083
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEU4
1719000.00000000
PA
USD
1748703.55000000
0.004730822664
Long
DBT
CORP
US
N
2
2025-05-26
Fixed
3.37500000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FG9
2490000.00000000
PA
USD
2494338.38000000
0.006748012000
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBS76
6409922.09000000
PA
USD
6128503.95000000
0.016579634314
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
4744000.00000000
PA
USD
4453406.28000000
0.012047939950
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
WEA FINANCE LLC/WESTFIEL
N/A
WEA Finance LLC / Westfield UK & Europe Finance PLC
92890HAC6
23980000.00000000
PA
USD
23957011.57000000
0.064811656213
Long
DBT
CORP
US
N
2
2024-09-17
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L3H79
3664236.22000000
PA
USD
3418290.23000000
0.009247607973
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL2Trust
12656TAA6
14895387.69000000
PA
USD
14145687.93000000
0.038268774063
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFMF5
2969979.15000000
PA
USD
2923316.56000000
0.007908540150
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
9240000.00000000
PA
USD
9420357.32000000
0.025485188678
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAD2
1267500.00000000
PA
USD
1294663.64000000
0.003502494228
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AJ9
26282000.00000000
PA
USD
28860252.64000000
0.078076548356
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
ZIGGO FINANCING PARTNERS
N/A
Ziggo Financing Partnership
000000000
7475074.12000000
PA
USD
7376963.77000000
0.019957131896
Long
LON
CORP
US
N
2
2028-04-30
Floating
2.69110000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BW9
1790000.00000000
PA
USD
1840086.15000000
0.004978042883
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
4.55000000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2006-WM3
81377EAC8
35227043.39000000
PA
USD
14989663.55000000
0.040552007829
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.89657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MKLU1
6976081.84000000
PA
USD
7123170.15000000
0.019270536041
Long
ABS-MBS
USGA
US
N
2
2050-05-15
Fixed
3.50000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AQ2
306000.00000000
PA
USD
324606.74000000
0.000878168813
Long
DBT
CORP
IT
N
2
2034-04-02
Fixed
7.29600000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBE2
1124000.00000000
PA
USD
1190355.62000000
0.003220306463
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GUX2
341050.79000000
PA
USD
356481.42000000
0.000964400387
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
32800000.00000000
PA
USD
37175192.00000000
0.100571215091
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
23345000.00000000
PA
USD
25109335.03000000
0.067929073079
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200STX8
5581.69000000
PA
USD
5970.34000000
0.000016151748
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MNX96
1027751.33000000
PA
USD
1075625.34000000
0.002909923032
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGNJ3
18093034.13000000
PA
USD
17991824.05000000
0.048673846968
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CN6
12042000.00000000
PA
USD
12239344.90000000
0.033111484360
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617K1Y72
2641932.05000000
PA
USD
2743408.40000000
0.007421828951
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B5QY4
54930195.68000000
PA
USD
1827472.68000000
0.004943919266
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Variable
0.58800400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AJ42
3633887.84000000
PA
USD
3874786.73000000
0.010482582299
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAT51
10095354.19000000
PA
USD
9664976.42000000
0.026146964416
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-11779163.48000000
-0.03186654110
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-03-04
0.00000000
USD
-611524.16000000
USD
400173000.00000000
USD
-11167639.32000000
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EBX8
6150000.00000000
PA
USD
6182790.88000000
0.016726498452
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.15000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-155.00000000
NC
USD
-4843.75000000
-0.00001310394
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
129.00000000
USD
2022-04-22
XXXX
67544.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JRN0
553.00000000
PA
USD
596.53000000
0.000001613811
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AT2
1750000.00000000
PA
USD
1834962.50000000
0.004964181712
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
6.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L13J2
3130561.99000000
PA
USD
2914214.27000000
0.007883915439
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHMG7
4601338.58000000
PA
USD
4497025.41000000
0.012165944153
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91086QAZ1
9190000.00000000
PA
USD
9349584.35000000
0.025293724338
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXW0
5282995.85000000
PA
USD
5524878.66000000
0.014946627849
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131X1DH1
34199.31000000
PA
USD
35968.50000000
0.000097306713
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJB82
5717.81000000
PA
USD
6198.97000000
0.000016770268
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCFR4
1834836.65000000
PA
USD
1857930.84000000
0.005026318684
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
12591KAG0
1723000.00000000
PA
USD
1735011.38000000
0.004693780806
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Fixed
4.30000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHG8
18602356.40000000
PA
USD
2478289.63000000
0.006704594812
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Variable
1.33023100
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DN7
10000000.00000000
PA
USD
8776681.00000000
0.023743830903
Long
DBT
CORP
US
N
2
2030-08-21
Fixed
1.75000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE19 Mortgage Trust
12592GBG7
8410000.00000000
PA
USD
8490969.80000000
0.022970887415
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
4.70300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L3JA0
9450614.24000000
PA
USD
8806478.52000000
0.023824443070
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CQB3
7335251.84000000
PA
USD
7557343.46000000
0.020445118740
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR97
1978697.47000000
PA
USD
2040810.01000000
0.005521067449
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LGF0
11917.60000000
PA
USD
12347.98000000
0.000033405378
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ74
8305789.70000000
PA
USD
8848426.96000000
0.023937927503
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
4.50000000
N
N
N
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
TSE Japanese 10 Year Bond
000000000
-305.00000000
NC
2603548.55000000
0.007043461704
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2022-06-13
-397711557.09000000
USD
2603548.55000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GB83
1701054.40000000
PA
USD
273685.53000000
0.000740410064
Long
ABS-MBS
USGA
US
N
2
2042-08-16
Floating
5.66943000
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
39483408.24000000
PA
USD
39136151.66000000
0.105876260880
Long
LON
CORP
US
N
2
2026-06-21
Floating
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGXA7
231559.11000000
PA
USD
251815.69000000
0.000681244899
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
45320000.00000000
PA
USD
46798508.35000000
0.126605475211
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-1857.00000000
NC
USD
-43524.37000000
-0.00011774784
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
118.50000000
USD
2022-04-22
XXXX
820802.17000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AJX7
1140076.68000000
PA
USD
1165491.70000000
0.003153041319
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A54N3
3530353.05000000
PA
USD
4047259.58000000
0.010949178520
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMK5
4214780.16000000
PA
USD
4277364.12000000
0.011571687563
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FF3K5
1310030.27000000
PA
USD
1302782.10000000
0.003524457353
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380RKU3
7787130.99000000
PA
USD
547570.80000000
0.001481360491
Long
ABS-MBS
USGA
US
N
2
2060-11-16
Variable
0.91338000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WN4B5
348081.85000000
PA
USD
365399.55000000
0.000988526884
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
HUDBAY MINERALS INC
549300WI524AL577IX21
Hudbay Minerals Inc
443628AH5
870000.00000000
PA
USD
897422.40000000
0.002427825018
Long
DBT
CORP
CA
N
2
2029-04-01
Fixed
6.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KTHM0
1243115.54000000
PA
USD
1192426.06000000
0.003225907690
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 Year US Treasury Note
000000000
-6043.00000000
NC
USD
16250540.45000000
0.043963097728
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
-1296894437.11000000
USD
16250540.45000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-4R
12650BAS2
39524573.57000000
PA
USD
19272889.56000000
0.052139553748
Long
ABS-MBS
CORP
US
N
2
2036-10-27
Floating
0.80686000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B2HC9
2437951.02000000
PA
USD
2453893.76000000
0.006638595898
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
3.12080600
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2P8
10000000.00000000
PA
USD
9114632.10000000
0.024658100633
Long
DBT
CORP
FR
N
2
2032-04-19
Fixed
2.87100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WNBT8
97262.04000000
PA
USD
102458.49000000
0.000277184172
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208V4Q5
4667.05000000
PA
USD
4990.59000000
0.000013501199
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285D8
560000.00000000
PA
USD
566354.69000000
0.001532177139
Long
DBT
UST
US
N
2
2023-09-30
Fixed
2.87500000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDQ4
26770000.00000000
PA
USD
26064369.57000000
0.070512758031
Long
ABS-O
CORP
US
N
2
2026-03-20
Fixed
2.36000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B2MQ9
4383539.56000000
PA
USD
4313415.90000000
0.011669219576
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BZ2
18440000.00000000
PA
USD
18521597.00000000
0.050107058377
Long
DBT
NUSS
BR
N
2
2028-01-13
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397RCW4
442623.13000000
PA
USD
2775.51000000
0.000007508674
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Variable
0.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBZ3
2990000.00000000
PA
USD
3063314.14000000
0.008287280002
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
27937000.00000000
PA
USD
29514572.22000000
0.079846699677
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 Month Euro Euribor
000000000
-35328.00000000
NC
3885281.53000000
0.010510974212
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
ICE FUTURES EUROPE
3 MONTH EURO INTERBANK OFFER RATE
2022-06-13
-9846862132.13000000
USD
3885281.53000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
33008000.00000000
PA
USD
33476545.92000000
0.090565151627
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
19090000.00000000
PA
USD
19659756.32000000
0.053186156550
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAQ6
39790000.00000000
PA
USD
40803481.14000000
0.110386939715
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AMB1
2405685.23000000
PA
USD
2521845.14000000
0.006822426902
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAE5
8529000.00000000
PA
USD
9127080.52000000
0.024691777735
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.85000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
24380000.00000000
PA
USD
21485228.02000000
0.058124662503
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AE3
29539000.00000000
PA
USD
29806742.97000000
0.080637118388
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
NATIONAL SECS CLEARING
549300RYC9NELN2ICA34
National Securities Clearing Corp
637639AA3
7360000.00000000
PA
USD
7298254.83000000
0.019744198128
Long
DBT
CORP
US
N
2
2023-04-23
Fixed
1.20000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
1996000.00000000
PA
USD
2087883.27000000
0.005648416218
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.37500000
N
N
N
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAF2
340000.00000000
PA
USD
343777.40000000
0.000930031802
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.50000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
59000000.00000000
PA
9495443.78000000
0.025688322438
Long
DBT
NUSS
CN
N
2
2025-05-21
Fixed
3.39000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAD8
4248000.00000000
PA
USD
4195813.32000000
0.011351065621
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201V3F7
11732.11000000
PA
USD
12757.18000000
0.000034512399
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.38
000000000
1.00000000
NC
USD
129730219.66000000
0.350963239822
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.38.V1
Y
Default Event
2027-06-20
110988922.55000000
USD
0.00000000
USD
8050999000.00000000
USD
18741297.11000000
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAJ4
13410000.00000000
PA
USD
15218373.37000000
0.041170743692
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A5J49
2256237.90000000
PA
USD
2478549.76000000
0.006705298550
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B6J0
25166285.34000000
PA
USD
25109384.62000000
0.067929207236
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294SN37
11394.51000000
PA
USD
12194.91000000
0.000032991273
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
6.00000000
N
N
N
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2006-AR6
86360UAA4
94034.68000000
PA
USD
82907.08000000
0.000224291128
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
0.81657000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJY7
3195000.00000000
PA
USD
3265602.12000000
0.008834536031
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AK4
7140000.00000000
PA
USD
6495914.95000000
0.017573602838
Long
DBT
CORP
CH
N
2
2033-02-11
Fixed
2.74600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FHY5
2915130.12000000
PA
USD
3190852.40000000
0.008632313265
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XUX0
16048862.48000000
PA
USD
16250856.67000000
0.043963953207
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
2.85657000
N
N
N
N
N
N
Prime Mortgage Trust
N/A
Prime Mortgage Trust 2006-1
74161BAM7
8212553.57000000
PA
USD
1386228.12000000
0.003750206493
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
6.69343000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312935NT2
3256.42000000
PA
USD
3493.63000000
0.000009451427
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2RA3
6364713.91000000
PA
USD
5928266.83000000
0.016037926542
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FX6
5400000.00000000
PA
USD
5389036.87000000
0.014579130786
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.35000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAP6
2850000.00000000
PA
USD
2958934.10000000
0.008004897400
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BS0
1736000.00000000
PA
USD
1815923.10000000
0.004912673825
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
3.90000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MS7
35480000.00000000
PA
USD
32567425.51000000
0.088105679614
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57200000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142ES8
8480000.00000000
PA
USD
7798519.47000000
0.021097579778
Long
DBT
CORP
US
N
2
2028-09-22
Fixed
1.50000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAY6
13127400.00000000
PA
USD
12881261.25000000
0.034848080833
Long
LON
CORP
US
N
2
2027-07-31
Floating
3.70510000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380R4L1
34113288.57000000
PA
USD
2398464.38000000
0.006488641055
Long
ABS-MBS
USGA
US
N
2
2063-05-16
Variable
0.82283000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBF2
3350000.00000000
PA
USD
3453113.00000000
0.009341815107
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YYC5
412158.29000000
PA
USD
429616.59000000
0.001162255260
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
4.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
760000.00000000
PA
USD
738963.20000000
0.001999140365
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
-14923.00000000
NC
USD
1534686.70000000
0.004151836154
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-06-13
-3675204211.70000000
USD
1534686.70000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABB0
57300000.00000000
PA
USD
57737926.14000000
0.156200225913
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBM7
10000000.00000000
PA
USD
9068468.80000000
0.024533213607
Long
DBT
CORP
US
N
2
2041-04-22
Fixed
3.10900000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAY1
17050000.00000000
PA
USD
15936784.19000000
0.043114283058
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EDLX7
514625.45000000
PA
USD
535483.37000000
0.001448659987
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAF1
7890000.00000000
PA
USD
7772469.22000000
0.021027105218
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EZH5
3159.19000000
PA
USD
3507.89000000
0.000009490005
Long
ABS-MBS
USGA
US
N
2
2039-01-20
Fixed
6.00000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAG2
11750000.00000000
PA
USD
11104702.93000000
0.030041901785
Long
DBT
CORP
FR
N
2
2026-06-16
Fixed
1.90700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEQ7
1115.44000000
PA
USD
1250.95000000
0.000003384234
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213EMK9
8892.42000000
PA
USD
9511.85000000
0.000025732706
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6JM1
2366.00000000
PA
USD
2564.57000000
0.000006938011
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
8042300000.00000000
PA
4949107.69000000
0.013388976551
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFL74
31036732.28000000
PA
USD
28867465.19000000
0.078096060694
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCC3
221000.00000000
PA
USD
225467.02000000
0.000609963014
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.96900000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAD9
7900000.00000000
PA
USD
6913533.08000000
0.018703398288
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.10000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDK4
12400000.00000000
PA
USD
12560167.58000000
0.033979416038
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
11238006.08880000
PA
USD
11159227.67000000
0.030189409277
Long
LON
CORP
US
N
2
2027-02-01
Floating
1.75000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CE2
3247000.00000000
PA
USD
3056053.31000000
0.008267637051
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
2.92100000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBP5
20000000.00000000
PA
USD
20276854.20000000
0.054855610836
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MLBZ6
1747426.37000000
PA
USD
1822324.84000000
0.004929992653
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BU2
1780000.00000000
PA
USD
1841071.32000000
0.004980708094
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390HYH2
17633.10000000
PA
USD
18949.37000000
0.000051264326
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203UTF9
333.21000000
PA
USD
334.37000000
0.000000904581
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.50000000
N
N
N
N
N
N
SOTERA HEALTH HLDGS LLC
549300OVT7MBXFLOFU20
Sotera Health Holdings LLC
83600VAE1
42349289.12000000
PA
USD
41908009.53000000
0.113375055077
Long
LON
CORP
US
N
2
2026-12-13
Floating
3.25000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DJ6
21210000.00000000
PA
USD
21609824.83000000
0.058461738168
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XLY1
403096.48000000
PA
USD
435952.52000000
0.001179396051
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FYTY2
12985212.50000000
PA
USD
626207.98000000
0.001694100125
Long
ABS-MBS
USGSE
US
N
2
2036-02-25
Variable
0.47169900
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-3
46649TAA4
7080152.68000000
PA
USD
7066761.28000000
0.019117931353
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CUA0
5265734.19000000
PA
USD
5328955.54000000
0.014416590876
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APTN2
1955468.90000000
PA
USD
338265.61000000
0.000915120584
Long
ABS-MBS
USGSE
US
N
2
2045-08-25
Floating
5.69343000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L9T85
3150000.00000000
PA
USD
3150200.91000000
0.008522337512
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
2.81000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2012-C7
92936TAF9
64834.49000000
PA
USD
0.65000000
0.000000001758
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
1.20079600
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550AQ9
1497000.00000000
PA
USD
1859302.26000000
0.005030028829
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
7.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGC9
1858040.99000000
PA
USD
1908164.51000000
0.005162217410
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FGSM8
5269417.75000000
PA
USD
5151972.97000000
0.013937794368
Long
ABS-MBS
USGSE
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKG6
37680000.00000000
PA
USD
34399188.84000000
0.093061206511
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGX4
70957.91000000
PA
USD
70757.52000000
0.000191422542
Long
ABS-MBS
USGA
US
N
2
2070-08-20
Floating
0.84857000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJF21
5886.59000000
PA
USD
6380.55000000
0.000017261502
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DQ0
3810000.00000000
PA
USD
3359054.88000000
0.009087356720
Long
DBT
CORP
US
N
2
2031-02-28
Fixed
1.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AHY7
2748281.37000000
PA
USD
2888886.80000000
0.007815396238
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
15851000.00000000
PA
USD
15454178.46000000
0.041808674612
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DL1
11275000.00000000
PA
USD
11738790.36000000
0.031757318434
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FD5K8
2009049.56000000
PA
USD
1998820.38000000
0.005407471583
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust 2021-EBO1
55349B109
41920000.00000000
PA
USD
41904204.54000000
0.113364761318
Long
ABS-MBS
CORP
US
N
2
2022-04-15
Floating
1.98057000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-RIO
12597HAA4
148347500.00000000
PA
USD
148145124.34000000
0.400781660113
Long
ABS-MBS
CORP
US
N
2
2022-12-15
Floating
4.02351100
N
N
N
N
N
N
JANE STREET GROUP LLC
5493002N1IVX6KHGYO08
Jane Street Group LLC
47077DAG5
20777276.37080000
PA
USD
20539272.67000000
0.055565539769
Long
LON
CORP
US
N
2
2028-01-26
Floating
2.95860000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200GB70
4036.85000000
PA
USD
4311.78000000
0.000011664793
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-5002.00000000
NC
USD
-312625.00000000
-0.00084575423
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.00000000
USD
2022-04-22
XXXX
3155080.92000000
N
N
N
PRA HEALTH SCIENCES INC
549300R1HR1VWWHIAK47
PRA Health Sciences Inc
000000000
6398002.14530000
PA
USD
6376025.01000000
0.017249260816
Long
LON
CORP
US
N
2
2028-07-01
Floating
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV77
10975648.37000000
PA
USD
11493432.05000000
0.031093542888
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BCN0
335107.90000000
PA
USD
337106.08000000
0.000911983671
Long
ABS-MBS
USGA
US
N
2
2060-05-20
Floating
1.23057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418U3V4
190106.36000000
PA
USD
205366.33000000
0.000555583985
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Nomura Asset Acceptance Corpor
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP2
65535VLL0
48661.07000000
PA
USD
30599.30000000
0.000082781247
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
5.47600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617B14D2
555283.53000000
PA
USD
560673.49000000
0.001516807610
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HBH73
3274567.25000000
PA
USD
3413255.36000000
0.009233986981
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A1F25
7513.75000000
PA
USD
8133.38000000
0.000022003488
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201H6L2
6480.03000000
PA
USD
6921.33000000
0.000018724491
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAD88
35757975.82000000
PA
USD
36275646.18000000
0.098137645518
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
41210000.00000000
PA
USD
36181143.70000000
0.097881984989
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
PROGRESS ENERGY INC
549300FBMTW0JYWMNB26
Progress Energy Inc
743263AP0
4800000.00000000
PA
USD
5733628.70000000
0.015511365892
Long
DBT
CORP
US
N
2
2039-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKS2
11039143.39000000
PA
USD
10903535.24000000
0.029497676511
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294YN83
3636.13000000
PA
USD
3923.22000000
0.000010613610
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WBA21
309791.63000000
PA
USD
323441.79000000
0.000875017238
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FG26
32981.02000000
PA
USD
36636.83000000
0.000099114767
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
6.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/RUB FORWARD
000000000
1.00000000
NC
USD
-1602100.39000000
-0.00433421252
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1295652615.00000000
RUB
14016222.59000000
USD
2022-04-19
-1602100.39000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADXW4
716100.46000000
PA
USD
14918.81000000
0.000040360325
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Fixed
3.00000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CF9
3169000.00000000
PA
USD
2970471.02000000
0.008036108592
Long
DBT
CORP
US
N
2
2062-03-17
Fixed
3.04100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291K6G7
152218.53000000
PA
USD
163523.98000000
0.000442386561
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE21 Mortgage Trust
12592RBF5
539048.64000000
PA
USD
536260.57000000
0.001450762571
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Fixed
3.52800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L23B7
7343391.28000000
PA
USD
6836501.87000000
0.018495003335
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B5PC3
15499130.90000000
PA
USD
820252.76000000
0.002219055566
Long
ABS-MBS
USGSE
US
N
2
2034-06-25
Variable
0.83508100
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L5FC5
6946180.68000000
PA
USD
6463361.11000000
0.017485533912
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABW4
14350000.00000000
PA
USD
13525449.00000000
0.036590822196
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403CUZ2
155658.76000000
PA
USD
173669.21000000
0.000469832771
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207EJL9
15957.95000000
PA
USD
17314.79000000
0.000046842245
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
7230000.00000000
PA
USD
7252317.13000000
0.019619921424
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213RXM4
2896.12000000
PA
USD
3100.35000000
0.000008387474
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAXW0
1841022.22000000
PA
USD
299565.06000000
0.000810422770
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
5.69343000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L0FH5
3789203.86000000
PA
USD
3529019.31000000
0.009547166833
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395TLN2
6279677.28000000
PA
USD
6691703.23000000
0.018103275024
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Fixed
5.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAF8
60000.00000000
PA
USD
72016.94000000
0.000194829690
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WT69
86407.66000000
PA
USD
91998.53000000
0.000248886514
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2DH2
2149245.50000000
PA
USD
2386222.96000000
0.006455523957
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
5.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KA8
36920000.00000000
PA
USD
38144176.01000000
0.103192637982
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMTH8
22413284.20000000
PA
USD
20868408.47000000
0.056455961192
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-6
576433PD2
169721.10000000
PA
USD
160423.81000000
0.000433999574
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
2.73680800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRU55
4080141.03000000
PA
USD
3917556.35000000
0.010598288296
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
53874.00000000
NC
USD
-141208908.61000000
-0.38201689773
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
13251446808.61000000
USD
-141208908.61000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BR6
21140000.00000000
PA
USD
19526732.82000000
0.052826283896
Long
DBT
CORP
US
N
2
2027-06-03
Fixed
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUH2
7542256.56000000
PA
USD
7232478.21000000
0.019566250571
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/RUB FORWARD
000000000
1.00000000
NC
USD
-30339571.22000000
-0.08207859539
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-427568943.08000000
USD
32953043355.56000000
RUB
2022-04-19
-30339571.22000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
18789000.00000000
PA
USD
19076847.48000000
0.051609194948
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDLR5
6128064.06000000
PA
USD
5856634.52000000
0.015844137402
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BQ4
8940000.00000000
PA
USD
9361387.79000000
0.025325656555
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AKTB9
3121133.47000000
PA
USD
146999.46000000
0.000397682258
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Variable
1.61071000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAW2
22720000.00000000
PA
USD
24521922.52000000
0.066339927557
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.11400000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
17050000.00000000
PA
USD
17832589.71000000
0.048243065304
Long
DBT
NUSS
ID
N
2
2043-04-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7FP9
66322753.14000000
PA
USD
67377662.95000000
0.182278908819
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKZ24
4510634.51000000
PA
USD
4732045.32000000
0.012801750901
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A9T23
2561348.48000000
PA
USD
2588832.77000000
0.007003650642
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QC6R2
8980350.41000000
PA
USD
9444893.70000000
0.025551567718
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
519997000.00000000
PA
99821273.23000000
0.270049627201
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31383SAY6
1561.00000000
PA
USD
1597.52000000
0.000004321821
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
7.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAD7
5450000.00000000
PA
USD
5518933.13000000
0.014930543220
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAK0
26836231.53000000
PA
USD
26991221.50000000
0.073020199682
Long
ABS-MBS
CORP
US
N
2
2024-07-25
Floating
3.45657000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
27550000.00000000
PA
USD
32429518.25000000
0.087732594770
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AFRX1
3382149.52000000
PA
USD
3153943.14000000
0.008532461484
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292L6V2
637806.03000000
PA
USD
637516.20000000
0.001724692608
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CM5
5050000.00000000
PA
USD
4851557.02000000
0.013125069659
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S5P8
10519.99000000
PA
USD
11304.88000000
0.000030583447
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380RWG1
22344077.56000000
PA
USD
1455093.25000000
0.003936509493
Long
ABS-MBS
USGA
US
N
2
2061-01-16
Variable
0.80494000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967EW7
2195000.00000000
PA
USD
3333557.19000000
0.009018377018
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EW9
14195000.00000000
PA
USD
13798283.11000000
0.037328928887
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.62500000
N
N
N
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA1 Trust
94984TAM1
7044461.90000000
PA
USD
636708.05000000
0.001722506295
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.00343000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EX7
20340000.00000000
PA
USD
19257000.56000000
0.052096568737
Long
DBT
CORP
US
N
2
2025-05-28
Fixed
0.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XRVL0
77404.31000000
PA
USD
81324.75000000
0.000220010401
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-3R
69349MAA4
6088007.42000000
PA
USD
6078959.42000000
0.016445599941
Long
ABS-MBS
CORP
US
N
2
2022-10-27
Floating
3.14514000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
20407135.09000000
0.055208063822
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2051-07-09
0.00000000
USD
-712817.83000000
USD
-159937000.00000000
USD
21119952.92000000
N
N
N
METLIFE CAPITAL TRUST IV
N/A
MetLife Capital Trust IV
591560AA5
8900000.00000000
PA
USD
10635500.00000000
0.028772552354
Long
DBT
CORP
US
N
2
2037-12-15
Fixed
7.87500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/AUD FORWARD
000000000
1.00000000
NC
USD
8828298.75000000
0.023883474024
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-200984975.49000000
USD
280324720.48000000
AUD
2022-04-19
8828298.75000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BF0
190000.00000000
PA
USD
196737.40000000
0.000532239870
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BY0
3780000.00000000
PA
USD
3330227.14000000
0.009009368129
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L9QU2
829220.60000000
PA
USD
817048.28000000
0.002210386386
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312926WU8
7804.04000000
PA
USD
8459.05000000
0.000022884533
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203N5V6
1869.68000000
PA
USD
1907.63000000
0.000005160771
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2021-AFC1 Trust
69357TAA8
30725671.38000000
PA
USD
28629234.24000000
0.077451567019
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
1.51000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AL5
9038000.00000000
PA
USD
9161007.18000000
0.024783560594
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200N5X5
205008.78000000
PA
USD
224566.90000000
0.000607527891
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
6.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIVA
12433XAG4
4190000.00000000
PA
USD
3774044.04000000
0.010210039935
Long
ABS-MBS
CORP
US
N
2
2044-03-11
Variable
3.54875000
N
N
N
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AL6
4810000.00000000
PA
USD
4846075.00000000
0.013110238978
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MBEB4
498106.67000000
PA
USD
463291.37000000
0.001253356701
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
ASPLUNDH TREE EXPERT LLC
N/A
Asplundh Tree Expert LLC
04538FAD1
12710452.84480000
PA
USD
12598346.65000000
0.034082703076
Long
LON
CORP
US
N
2
2027-09-04
Floating
1.75000000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multiclass Certificates Series 2020-RR07
3137FRVC2
34072000.00000000
PA
USD
4602803.52000000
0.012452108998
Long
ABS-MBS
USGSE
US
N
2
2028-09-27
Variable
2.46823000
N
N
N
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
9506317775.00000000
PA
81764952.70000000
0.221201295879
Long
DBT
NUSS
JP
N
2
2026-03-10
Fixed
0.10000000
N
N
N
N
N
N
PCI GAMING AUTHORITY
549300KPXAJ1LRW5LP59
PCI Gaming Authority
70455DAG9
11357769.79360000
PA
USD
11288544.19000000
0.030539253322
Long
LON
CORP
US
N
2
2026-05-31
Floating
2.70860000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X5JF5
41710.79000000
PA
USD
43972.58000000
0.000118960402
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FGD2
1041920.26000000
PA
USD
1109979.36000000
0.003002862042
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AU9
22350000.00000000
PA
USD
21372326.96000000
0.057819227717
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RLQ0
11538.74000000
PA
USD
12133.98000000
0.000032826437
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJZ4
14330000.00000000
PA
USD
14846431.71000000
0.040164518231
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.12500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CNY FORWARD
000000000
1.00000000
NC
USD
1454252.18000000
0.003934234120
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-476478648.51000000
USD
3035168991.00000000
CNY
2022-04-19
1454252.18000000
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DAZ8
40000.00000000
PA
USD
40486.60000000
0.000109529671
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.87500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RK6
56680000.00000000
PA
USD
55258572.16000000
0.149492751681
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAN0
2120000.00000000
PA
USD
2482127.93000000
0.006714978686
Long
DBT
CORP
CA
N
2
2041-11-15
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBT7
22930000.00000000
PA
USD
21387151.28000000
0.057859332416
Long
DBT
UST
US
N
2
2026-03-31
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTAM0
235422.99000000
PA
USD
244088.01000000
0.000660338963
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FVQ54
9052157.82000000
PA
USD
1364776.64000000
0.003692173130
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DL9
3441000.00000000
PA
USD
3910435.29000000
0.010579023469
Long
DBT
CORP
US
N
2
2048-02-20
Fixed
4.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XABM3
3580163.15000000
PA
USD
3337876.50000000
0.009030062183
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AY36
2526804.59000000
PA
USD
2711974.62000000
0.007336790159
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
2849530000.00000000
PA
462946325.66000000
1.252423242196
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFQ2
9300000.00000000
PA
USD
9481480.11000000
0.025650546082
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MFF69
3229141.43000000
PA
USD
3378734.05000000
0.009140595397
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-623.00000000
NC
USD
-19468.75000000
-0.00005266942
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
129.00000000
USD
2022-04-22
XXXX
582969.09000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388FSE4
7155.67000000
PA
USD
7355.42000000
0.000019898848
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4HK8
12628113.04000000
PA
USD
11760345.48000000
0.031815632178
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
14430000.00000000
PA
USD
16715053.41000000
0.045219759235
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFLM1
15908764.96000000
PA
USD
15600794.02000000
0.042205318293
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAS3
840000.00000000
PA
USD
771468.94000000
0.002087079165
Long
DBT
CORP
US
N
2
2050-04-05
Fixed
3.57700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381XEZ5
5241450.91000000
PA
USD
5185132.57000000
0.014027502076
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.00000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAH7
3290000.00000000
PA
USD
3349220.00000000
0.009060750110
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EDP9
19256680.72000000
PA
USD
2905286.23000000
0.007859762132
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVS5
59310203.04000000
PA
USD
55883364.49000000
0.151183022005
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397EWH4
4104707.34000000
PA
USD
599682.14000000
0.001622338937
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
6.03343000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BJE3
3948617.40000000
PA
USD
3932261.04000000
0.010638069356
Long
ABS-MBS
USGA
US
N
2
2060-12-20
Floating
0.50629000
N
N
N
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corp Trust 2007-OPT1
40431JAA1
66186249.42000000
PA
USD
59818543.17000000
0.161828984545
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.59657000
N
N
N
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
12591KAH8
1470000.00000000
PA
USD
1471013.86000000
0.003979580019
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Variable
4.76200000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/CAD FORWARD
000000000
1.00000000
NC
USD
21862073.18000000
0.059144153556
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-1220630919.12000000
USD
1553435939.22000000
CAD
2022-04-19
21862073.18000000
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BU5
20320000.00000000
PA
USD
25424021.08000000
0.068780403139
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25000000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAP2
1640000.00000000
PA
USD
1529857.60000000
0.004138771838
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABT1
8370000.00000000
PA
USD
7553925.00000000
0.020435870673
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAC4
1170000.00000000
PA
USD
1178886.51000000
0.003189278720
Long
DBT
CORP
KY
N
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387EKT3
3522.57000000
PA
USD
3789.62000000
0.000010252178
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBH3
3110000.00000000
PA
USD
2865998.64000000
0.007753476180
Long
DBT
UST
US
N
2
2026-01-31
Fixed
0.37500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
24060000.00000000
PA
USD
26148157.54000000
0.070739432259
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BK6
6490000.00000000
PA
USD
7063151.43000000
0.019108165512
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
5.00000000
N
N
N
N
N
N
Small Business Administration
N/A
SBA Small Business Investment Cos
831641FL4
5476790.21000000
PA
USD
5516632.76000000
0.014924319957
Long
ABS-MBS
USGA
US
N
2
2028-09-10
Fixed
3.54800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412TZM8
3217.48000000
PA
USD
3739.35000000
0.000010116181
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
7.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAZ9
8180000.00000000
PA
USD
8628918.40000000
0.023344084098
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDZU8
3607149.15000000
PA
USD
3822650.09000000
0.010341535409
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
11840000.00000000
PA
USD
12060663.74000000
0.032628092603
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDEF1
20838879.69000000
PA
USD
2651764.11000000
0.007173900774
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Fixed
2.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-6CB
12668BRZ8
3147305.49000000
PA
USD
2950753.43000000
0.007982765977
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
5.50000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAQ8
9050000.00000000
PA
USD
8721422.01000000
0.023594337021
Long
DBT
CORP
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWT7
12610000.00000000
PA
USD
12727319.53000000
0.034431617461
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AS9
17580000.00000000
PA
USD
18340607.49000000
0.049617421768
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
4.35000000
N
N
N
N
N
N
CLARIOS GLOBAL LP
549300474L1ZLXZY2P98
Clarios Global LP
000000000
14413363.00430000
PA
USD
14254816.01000000
0.038564001687
Long
LON
CORP
CA
N
2
2026-04-30
Floating
3.45860000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032662
71400000.00000000
PA
USD
71388843.75000000
0.193130482283
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
3.50000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAG2
14987934.86000000
PA
USD
14706256.11000000
0.039785296776
Long
ABS-MBS
CORP
US
N
2
2037-04-29
Floating
0.71657000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BG6
600000.00000000
PA
USD
681073.60000000
0.001842529811
Long
DBT
CORP
US
N
2
2047-03-15
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAH96
22891245.76000000
PA
USD
21318467.47000000
0.057673519947
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAN1
12960000.00000000
PA
USD
13342020.11000000
0.036094586256
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
Origen Manufactured Housing
5493001P8LORMOBBQA95
Origen Manufactured Housing Contract Trust 2007-A
68620CAB6
7351513.76000000
PA
USD
6957105.05000000
0.018821274908
Long
ABS-O
CORP
US
N
2
2037-04-15
Variable
2.62670000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
5149403.99520200
PA
USD
1771755.43000000
0.004793185639
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A60
3120000.00000000
PA
USD
3186206.40000000
0.008619744295
Long
DBT
CORP
US
N
2
2025-06-16
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAD39
3401017.76000000
PA
USD
3457023.48000000
0.009352394252
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AR1
9785000.00000000
PA
USD
10165583.66000000
0.027501272913
Long
DBT
CORP
GB
N
2
2027-04-10
Fixed
4.75000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
6330000.00000000
PA
USD
6041193.75000000
0.016343431287
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BG5
5450000.00000000
PA
USD
5673108.83000000
0.015347639586
Long
DBT
CORP
GB
N
2
2029-05-18
Fixed
4.89200000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-4145.00000000
NC
USD
-2525859.38000000
-0.00683328675
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.50000000
USD
2022-05-20
XXXX
-298577.10000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650BZ2
16440000.00000000
PA
USD
16523528.02000000
0.044701619579
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179Q6Q9
11703.92000000
PA
USD
12303.43000000
0.000033284855
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390FC49
780.05000000
PA
USD
801.36000000
0.000002167944
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.00000000
N
N
N
N
N
N
RBSGC Mortgage Pass Through Ce
N/A
RBSGC Mortgage Loan Trust 2007-B
74927XAD4
5643323.71000000
PA
USD
2095839.00000000
0.005669939105
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.90657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132LMEB8
402286.38000000
PA
USD
408473.09000000
0.001105055086
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
BRITISH POUND CURRENCY
000000000
2720.00000000
NC
USD
604460.50000000
0.001635265984
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
BRITISH POUND CURRENCY
BRITISH POUND CURRENCY
2022-06-13
222622539.50000000
USD
604460.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFB90
29540.32000000
PA
USD
31746.01000000
0.000085883478
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470BB2
10420000.00000000
PA
USD
9571609.75000000
0.025894376630
Long
DBT
CORP
IN
N
2
2032-01-12
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A86C6
140994.27000000
PA
USD
138469.21000000
0.000374605104
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJ70
4131621.15000000
PA
USD
4151069.52000000
0.011230018813
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.60657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFSJ1
8471809.50000000
PA
USD
8359833.87000000
0.022616121263
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-7758.00000000
NC
USD
-666707.00000000
-0.00180366339
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
116.50000000
USD
2022-04-22
XXXX
2505286.35000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
6090000.00000000
PA
USD
5474727.30000000
0.014810951799
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RV34
5079477.35000000
PA
USD
201384.51000000
0.000544811843
Long
ABS-MBS
USGA
US
N
2
2059-02-16
Variable
0.53595000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-P7
17325HBS2
9194000.00000000
PA
USD
9012653.87000000
0.024382215723
Long
ABS-MBS
CORP
US
N
2
2050-04-14
Variable
4.13700000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PED0
2750000.00000000
PA
USD
2586489.90000000
0.006997312403
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
26672000.00000000
PA
USD
29920649.60000000
0.080945273574
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
3299070000.00000000
PA
2030196.92000000
0.005492355523
Long
DBT
NUSS
RU
N
2
2023-08-16
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B2M7
11503971.38000000
PA
USD
11482785.67000000
0.031064740902
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
3.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAL0
1661000.00000000
PA
USD
1776904.58000000
0.004807115796
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
5.00000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAH6
10560000.00000000
PA
USD
10726766.16000000
0.029019457565
Long
DBT
CORP
GB
N
2
2024-03-12
Fixed
3.90000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967BL4
1660000.00000000
PA
USD
2010434.98000000
0.005438892926
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
6.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B1TH4
2751594.15000000
PA
USD
2558905.76000000
0.006922688162
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412XSD7
218.78000000
PA
USD
241.11000000
0.000000652282
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
VERSCEND HOLDING CORP
N/A
Verscend Holding Corp
92531HAD9
21894262.52860000
PA
USD
21866894.70000000
0.059157197366
Long
LON
CORP
US
N
3
2025-08-27
Floating
4.00000000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Resecuritization Trust 2015-R7
61765PAD3
18137842.00000000
PA
USD
18073216.87000000
0.048894041521
Long
ABS-O
CORP
US
N
2
2029-02-26
Variable
7.11669900
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
20000000.00000000
PA
USD
17541528.00000000
0.047455646914
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDMP8
9067445.20000000
PA
USD
8977713.22000000
0.024287689685
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
39580000.00000000
PA
USD
38272851.50000000
0.103540747829
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291TA73
295.55000000
PA
USD
315.58000000
0.000000853748
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-3500.00000000
NC
USD
-2734375.00000000
-0.00739739061
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-05-20
XXXX
158007.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LWC2
11519232.63000000
PA
USD
11451188.87000000
0.030979261086
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.00000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CN2
9820000.00000000
PA
USD
9165937.82000000
0.024796899610
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.55000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
8206736200.00000000
PA
384903767.30000000
1.041292256696
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DWU9
10291.84000000
PA
USD
11274.32000000
0.000030500772
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BBMQ2
19314944.97000000
PA
USD
3244966.77000000
0.008778710571
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ARAC9
6491794.82000000
PA
USD
6041666.56000000
0.016344710395
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBUW8
843794.90000000
PA
USD
874344.38000000
0.002365391326
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBQ8
41130000.00000000
PA
USD
40585031.61000000
0.109795961337
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
1.51400000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CR4
19417000.00000000
PA
USD
19108366.79000000
0.051694465128
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418A3V8
2218247.49000000
PA
USD
2353531.39000000
0.006367082425
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDN1
14550000.00000000
PA
USD
14517183.49000000
0.039273792676
Long
DBT
CORP
NL
N
2
2028-04-06
Fixed
3.64900000
N
N
N
N
N
N
USAA CAPITAL CORP
5493007XLF4LU3U2W757
USAA Capital Corp
90327QD55
1100000.00000000
PA
USD
1015600.96000000
0.002747537190
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.12500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-FACT
126395AL6
4450000.00000000
PA
USD
4450856.63000000
0.012041042302
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
4.10700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XXLE9
291903.54000000
PA
USD
302793.52000000
0.000819156824
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CY3
7780000.00000000
PA
USD
8143713.91000000
0.022031445144
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERTC4
9005122.24000000
PA
USD
9120983.04000000
0.024675282031
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202SDK1
52455.03000000
PA
USD
56106.83000000
0.000151787570
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCZ68
20672742.34000000
PA
USD
19849012.11000000
0.053698156186
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAV5
6950000.00000000
PA
USD
5908763.79000000
0.015985164355
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.87500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
28780000.00000000
PA
USD
26196457.39000000
0.070870099361
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WN2H4
8961752.62000000
PA
USD
9269076.84000000
0.025075924841
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377REQ3
5000000.00000000
PA
USD
4581494.00000000
0.012394459684
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
3.34000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAG8
12430000.00000000
PA
USD
11964798.55000000
0.032368745493
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HJM9
946.82000000
PA
USD
1055.20000000
0.000002854665
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XEB69
1520664.74000000
PA
USD
1564500.81000000
0.004232493203
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBB9
7061713.08000000
PA
USD
7189949.55000000
0.019451196450
Long
ABS-MBS
CORP
US
N
2
2025-07-25
Floating
5.45657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291SZF0
1943.97000000
PA
USD
2077.20000000
0.000005619514
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EVVB0
502661.25000000
PA
USD
499055.71000000
0.001350111094
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CG5
14090000.00000000
PA
USD
13684324.81000000
0.037020633917
Long
DBT
CORP
NL
N
2
2030-04-06
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A5YC0
3039111.09000000
PA
USD
3219565.33000000
0.008709991257
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A9HC2
72559.34000000
PA
USD
71297.35000000
0.000192882961
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS54
6403609.54000000
PA
USD
6613438.02000000
0.017891541692
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JASY2
346907.99000000
PA
USD
362528.90000000
0.000980760825
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EPZ6
939203.08000000
PA
USD
1056061.31000000
0.002856995847
Long
ABS-MBS
USGA
US
N
2
2037-10-20
Fixed
6.50000000
N
N
N
N
N
N
SEATTLE SPINCO INC
213800AAQDP1DDU8BK05
Seattle SpinCo Inc
81271EAB7
1308945.98210000
PA
USD
1295038.43000000
0.003503508159
Long
LON
CORP
US
N
2
2024-06-21
Floating
2.71600000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJX1
25680000.00000000
PA
USD
24510990.93000000
0.066310353983
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210JBJ6
1039.32000000
PA
USD
1042.58000000
0.000002820524
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
7.00000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2006-OA1
576433G42
81131.96000000
PA
USD
75979.58000000
0.000205549945
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
0.66657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131WJYU1
2634.84000000
PA
USD
2829.95000000
0.000007655952
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617JYLP6
2834768.65000000
PA
USD
2865994.93000000
0.007753466143
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.50000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CC68
8642475.51000000
PA
USD
8698374.18000000
0.023531985002
Long
ABS-O
USGA
US
N
2
2044-07-01
Fixed
2.69000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36189XM43
2800362.90000000
PA
USD
2838376.93000000
0.007678750300
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNJF1
14978705.91000000
PA
USD
14432955.86000000
0.039045929021
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
40850000.00000000
PA
USD
42647604.25000000
0.115375903914
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
92858RAB6
1140000.00000000
PA
USD
1076154.30000000
0.002911354044
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H14D5
76000000.00000000
PA
USD
3769303.60000000
0.010197215473
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Variable
0.92590500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405SBM5
2509.69000000
PA
USD
2726.55000000
0.000007376221
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292DB27
25284.51000000
PA
USD
27510.96000000
0.000074426264
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
6.00000000
N
N
N
N
N
N
DANONE SA
969500KMUQ2B6CBAF162
Danone SA
23636TAE0
6540000.00000000
PA
USD
6511455.78000000
0.017615645934
Long
DBT
CORP
FR
N
2
2026-11-02
Fixed
2.94700000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
20337EAQ4
1950000.00000000
PA
USD
1902059.25000000
0.005145700658
Long
LON
CORP
US
N
2
2026-04-04
Floating
3.45860000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVR2
24160000.00000000
PA
USD
24774645.86000000
0.067023627950
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
97980411.28000000
0.265069485522
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-05-15
4605388.23000000
USD
0.00000000
USD
-1429588000.00000000
USD
93375023.05000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31386GJU8
21808.20000000
PA
USD
23313.21000000
0.000063069959
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
6.00000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBK6
5225000.00000000
PA
USD
4931408.79000000
0.013341095161
Long
ABS-O
CORP
US
N
2
2039-07-01
Variable
1.95700000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-C41
95001ABE5
30822493.39000000
PA
USD
1507192.19000000
0.004077454392
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
1.18408500
N
N
N
N
N
N
MEDTRONIC INC
D56MRZY2INAN94ZONZ37
Medtronic Inc
585055BS4
6594000.00000000
PA
USD
6733975.19000000
0.018217634686
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381ETV0
9271998.95000000
PA
USD
590618.92000000
0.001597819923
Long
ABS-MBS
USGA
US
N
2
2061-02-16
Variable
0.64050000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205GAG6
56200.93000000
PA
USD
60134.23000000
0.000162683022
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H0GP7
20489590.71000000
PA
USD
712240.71000000
0.001926847173
Long
ABS-MBS
USGSE
US
N
2
2028-03-25
Variable
0.77904700
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAG8
4100000.00000000
PA
USD
4382127.97000000
0.011855108498
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36195R7E3
3278724.69000000
PA
USD
3509955.31000000
0.009495592395
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.00000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
1675317000000.00000000
PA
122403996.54000000
0.331143378200
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AK9
12240000.00000000
PA
USD
12099958.61000000
0.032734398250
Long
DBT
CORP
US
N
2
2030-03-27
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y2J5
486277.66000000
PA
USD
505718.03000000
0.001368134877
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GFD1
8640000.00000000
PA
USD
10917780.57000000
0.029536214850
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDQ2
10480000.00000000
PA
USD
11857575.88000000
0.032078672634
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.45000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DR8
13700000.00000000
PA
USD
12260959.54000000
0.033169959125
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.12500000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AV8
2188000.00000000
PA
USD
2211931.25000000
0.005984007117
Long
DBT
CORP
US
N
2
2023-04-01
Variable
4.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AF6L0
4548768.13000000
PA
USD
4236916.46000000
0.011462263237
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582AD4
4655000.00000000
PA
USD
6174747.32000000
0.016704737956
Long
DBT
CORP
NL
N
2
2038-12-15
Fixed
6.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5QJ5
5298861.57000000
PA
USD
5597535.35000000
0.015143188276
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380JBV9
4421532.54000000
PA
USD
182425.80000000
0.000493522249
Long
ABS-MBS
USGA
US
N
2
2059-12-16
Variable
0.59830000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FKN5
27557.67000000
PA
USD
29364.04000000
0.000079439460
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.50000000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742BG9
5000000.00000000
PA
USD
5000594.65000000
0.013528265842
Long
DBT
CORP
CA
N
2
2030-07-15
Fixed
3.90000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BR4
19860000.00000000
PA
USD
21054427.07000000
0.056959203156
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAS8
7710000.00000000
PA
USD
8563959.60000000
0.023168349015
Long
DBT
CORP
NL
N
2
2027-01-17
Fixed
7.37500000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
11110000.00000000
PA
USD
11953692.73000000
0.032338700569
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.41800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A0MR2
1907135.51000000
PA
USD
1874559.06000000
0.005071303530
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCB5
107300000.00000000
PA
USD
101050613.01000000
0.273375398738
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BW8
4060000.00000000
PA
USD
4444969.20000000
0.012025114853
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617GRCQ2
921213.40000000
PA
USD
986197.20000000
0.002667990274
Long
ABS-MBS
USGA
US
N
2
2048-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L0AZ0
5645447.82000000
PA
USD
5257294.32000000
0.014222723526
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAR1
610000.00000000
PA
USD
564558.05000000
0.001527316633
Long
DBT
CORP
N/A
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CNH FORWARD
000000000
1.00000000
NC
USD
-786133.32000000
-0.00212675117
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-3024529271.00000000
CNY
474556643.75000000
USD
2022-04-19
-786133.32000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LBS1
11160759.20000000
PA
USD
11095460.95000000
0.030016899166
Long
ABS-MBS
USGA
US
N
2
2068-02-20
Floating
0.40629000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB89
4848817.10000000
PA
USD
4941819.93000000
0.013369260745
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG58
18238675.04000000
PA
USD
18850055.31000000
0.050995646964
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/BRL FORWARD
000000000
1.00000000
NC
USD
377504.04000000
0.001021273541
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-369020000.00000000
BRL
77470877.16000000
USD
2022-04-19
377504.04000000
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C3
90276GAS1
6000000.00000000
PA
USD
5965887.00000000
0.016139701570
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
3.42600000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367WB85
26710000.00000000
PA
USD
25689098.66000000
0.069497525846
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LYKP1
170411.82000000
PA
USD
175149.88000000
0.000473838474
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDC5
9310000.00000000
PA
USD
9600117.38000000
0.025971499217
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.12500000
N
N
N
N
N
N
GSRPM Mortgage Loan Trust
N/A
GSRPM Mortgage Loan Trust 2007-1
362707AA9
4788076.95000000
PA
USD
4428670.49000000
0.011981021440
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
0.85657000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-LUAU
36256AAS1
12548000.00000000
PA
USD
12251520.88000000
0.033144424422
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
4.84657000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BL7
1560000.00000000
PA
USD
1611604.80000000
0.004359925107
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8TL1
6399090.38000000
PA
USD
6587213.85000000
0.017820596621
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BM3
16925000.00000000
PA
USD
16977586.65000000
0.045929998659
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
Open Text Holdings Inc
683720AA4
820000.00000000
PA
USD
779164.00000000
0.002107896853
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.12500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B93
825000.00000000
PA
USD
735999.00000000
0.001991121222
Long
DBT
CORP
US
N
2
2029-02-10
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EU6W4
6565220.38000000
PA
USD
6519316.95000000
0.017636913004
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599ED3
17260000.00000000
PA
USD
19827425.00000000
0.053639755899
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
6.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ALHV3
3397950.28000000
PA
USD
3278360.68000000
0.008869052165
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
7326.00000000
NC
USD
-526534.60000000
-0.00142445059
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2022-09-20
1807576009.60000000
USD
-526534.60000000
N
N
N
ROCHE HOLDINGS INC
PVJRP0EQNV6OGDPZGY95
Roche Holdings Inc
771196BY7
20900000.00000000
PA
USD
18144851.86000000
0.049087837911
Long
DBT
CORP
US
N
2
2051-12-13
Fixed
2.60700000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AB9
5815000.00000000
PA
USD
5942575.34000000
0.016076635803
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SJS7
769901.33000000
PA
USD
767154.85000000
0.002075408122
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AM9
20974000.00000000
PA
USD
16364544.02000000
0.044271515168
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJ62
8520000.00000000
PA
USD
8438409.92000000
0.022828695520
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
4.20657000
N
N
N
N
N
N
SOUTHERN NATURAL GAS
N/A
Southern Natural Gas Co LLC
843452AZ6
9413000.00000000
PA
USD
11964837.47000000
0.032368850784
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LWXQ9
367950.66000000
PA
USD
384694.37000000
0.001040725767
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6FG8
9722.70000000
PA
USD
10481.58000000
0.000028356147
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.00000000
N
N
N
N
N
N
VFH PARENT LLC
549300FRO9M476YHHY64
VFH Parent LLC
000000000
13940000.00000000
PA
USD
13829664.90000000
0.037413827030
Long
LON
CORP
US
N
2
2029-01-13
Floating
3.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CNY/USD FORWARD
000000000
1.00000000
NC
USD
-5763804.49000000
-0.01559300140
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3450408099.00000000
CNY
537554724.47000000
USD
2022-04-19
-5763804.49000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAJ9
7870000.00000000
PA
USD
8161761.44000000
0.022080269694
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XUM38
3533624.47000000
PA
USD
3600852.70000000
0.009741499960
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
FOUR SEASONS HOTELS LTD
5493009FUVX8LHYY2202
Four Seasons Hotels Ltd
35100DAR7
11234386.05380000
PA
USD
11215062.91000000
0.030340462106
Long
LON
CORP
CA
N
2
2023-11-30
Floating
2.20860000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200FPE2
62409.89000000
PA
USD
66830.02000000
0.000180797353
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
7630000.00000000
PA
USD
9084847.96000000
0.024577524663
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X62B6
19165761.58000000
PA
USD
19476391.43000000
0.052690093751
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202V2T7
10923.88000000
PA
USD
11649.31000000
0.000031515244
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P8F48
1458182.76000000
PA
USD
1452476.64000000
0.003929430696
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XEAL8
27720086.88000000
PA
USD
26023863.16000000
0.070403174767
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
52790000.00000000
PA
USD
54883137.75000000
0.148477077174
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08300000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BH8
1720000.00000000
PA
USD
2021969.82000000
0.005470098491
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.37500000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAC5
300000.00000000
PA
USD
278619.00000000
0.000753756735
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W1VK0
41966.54000000
PA
USD
41331.24000000
0.000111814702
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
3138MKQ82
1350504.08000000
PA
USD
1413710.63000000
0.003824555791
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2CE0
8179669.22000000
PA
USD
8213208.15000000
0.022219450095
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409VMV2
2010.87000000
PA
USD
2148.04000000
0.000005811160
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131WJ2A0
8000.14000000
PA
USD
8665.01000000
0.000023441723
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.00000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAV2
5697544.87380000
PA
USD
5671193.73000000
0.015342458606
Long
LON
CORP
US
N
2
2023-11-03
Floating
3.33360000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAQ4
8770000.00000000
PA
USD
9559184.50000000
0.025860762210
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402WQN1
22586.68000000
PA
USD
23829.48000000
0.000064466641
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3XW2
2956568.04000000
PA
USD
2748696.41000000
0.007436134771
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AJ1
1177000.00000000
PA
USD
1196608.82000000
0.003237223442
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGGN3
8477166.00000000
PA
USD
8139545.32000000
0.022020167727
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AXV5
3010713.46000000
PA
USD
3206366.12000000
0.008674283019
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLVJ3
80054933.12000000
PA
USD
74738351.32000000
0.202192010365
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DA5
20250000.00000000
PA
USD
18119902.50000000
0.049020341623
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
03746AAA8
5170000.00000000
PA
USD
6089717.15000000
0.016474703166
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
7.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
-260.00000000
NC
USD
-117546.00000000
-0.00031800088
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-04-14
-64230829.00000000
USD
-117546.00000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SS8
498870000.00000000
PA
USD
409424165.47000000
1.107628060381
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
N/A
Hertz Vehicle Financing III LP
42806MAE9
62630000.00000000
PA
USD
57245498.48000000
0.154868045891
Long
ABS-O
CORP
US
N
2
2027-12-27
Fixed
1.68000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L5D65
8775.57000000
PA
USD
9511.92000000
0.000025732896
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXLU4
40698882.58000000
PA
USD
43452499.79000000
0.117553413111
Long
ABS-MBS
USGSE
US
N
2
2059-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KDM0
6331.39000000
PA
USD
7028.95000000
0.000019015639
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
7.00000000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAD5
2935000.00000000
PA
USD
2972568.00000000
0.008041781618
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.00000000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AF5
2690000.00000000
PA
USD
2732111.95000000
0.007391268310
Long
DBT
CORP
CA
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXFD9
18927934.25000000
PA
USD
20129494.66000000
0.054456954442
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
5.00000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2007-A
452550AA4
4191629.71000000
PA
USD
4149327.78000000
0.011225306829
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.95657000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BJ4
8290000.00000000
PA
USD
9045621.73000000
0.024471404711
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBL5
1420000.00000000
PA
USD
1416181.72000000
0.003831240908
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
1.57100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388SE50
7733.11000000
PA
USD
8407.12000000
0.000022744045
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AETS6
3543235.22000000
PA
USD
591150.88000000
0.001599259051
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Floating
5.69343000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2F0
46530000.00000000
PA
USD
47407470.65000000
0.128252920057
Long
DBT
CORP
FR
N
2
2028-08-14
Fixed
4.40000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BK0
24850000.00000000
PA
USD
26392918.61000000
0.071401592073
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAF7
3640000.00000000
PA
USD
4140701.51000000
0.011201969910
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225B2X5
11430.85000000
PA
USD
12822.07000000
0.000034687948
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7A97
3074.02000000
PA
USD
3330.31000000
0.000009009592
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FDW3
804419.53000000
PA
USD
856960.96000000
0.002318363413
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6ZK0
1408345.16000000
PA
USD
1450424.33000000
0.003923878517
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BK4
2420000.00000000
PA
USD
2676546.72000000
0.007240945948
Long
DBT
CORP
US
N
2
2036-05-15
Fixed
4.50000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FQ6
28460000.00000000
PA
USD
26650731.77000000
0.072099062116
Long
DBT
CORP
US
N
2
2036-04-06
Fixed
2.89100000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7G3
20990000.00000000
PA
USD
20896201.36000000
0.056531150170
Long
DBT
CORP
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8AH8
1977940.34000000
PA
USD
2005778.23000000
0.005426294874
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FXC89
18847081.84000000
PA
USD
2640664.64000000
0.007143873029
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H3ZJ8
1738863.42000000
PA
USD
1735663.04000000
0.004695543762
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WBP66
33472.04000000
PA
USD
35651.51000000
0.000096449150
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KVHC7
9615801.72000000
PA
USD
8957282.77000000
0.024232418546
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388UEA4
2879.40000000
PA
USD
3044.33000000
0.000008235921
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
7.00000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CNY/USD FORWARD
000000000
1.00000000
NC
USD
-2535922.46000000
-0.00686051071
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1479625000.00000000
CNY
230453235.73000000
USD
2022-04-19
-2535922.46000000
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAJ0
830000.00000000
PA
USD
806656.17000000
0.002182272284
Long
DBT
CORP
US
N
2
2030-12-31
Fixed
6.00000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
10350000.00000000
PA
USD
10194750.00000000
0.027580177529
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MQGP2
55351.30000000
PA
USD
56572.39000000
0.000153047064
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MBF4
2057.76000000
PA
USD
2192.09000000
0.000005930329
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A35F4
354107.20000000
PA
USD
374681.32000000
0.001013637148
Long
ABS-MBS
USGSE
US
N
2
2039-06-25
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UGA9
1126379.22000000
PA
USD
26268.29000000
0.000071064430
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Variable
1.12032000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
26340000.00000000
PA
USD
24747694.06000000
0.066950714399
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BR0
6984000.00000000
PA
USD
6781184.64000000
0.018345351895
Long
DBT
NUSS
BR
N
2
2041-01-07
Fixed
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFQS3
99604.30000000
PA
USD
92611.81000000
0.000250545639
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398WQK3
2395986.70000000
PA
USD
2498273.77000000
0.006758658534
Long
ABS-MBS
USGSE
US
N
2
2030-02-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5B1
1396789.59000000
PA
USD
1462227.18000000
0.003955809138
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291QYB4
551.61000000
PA
USD
589.97000000
0.000001596064
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KHPF2
353554.74000000
PA
USD
347239.57000000
0.000939398120
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FJ2
4380000.00000000
PA
USD
4216936.98000000
0.011408212122
Long
DBT
CORP
US
N
2
2027-02-05
Fixed
2.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298YSP7
1451.38000000
PA
USD
1560.23000000
0.000004220939
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NWU3
345892.60000000
PA
USD
348729.54000000
0.000943428982
Long
ABS-MBS
USGA
US
N
2
2048-06-16
Variable
3.35604000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197LFL9
948741.28000000
PA
USD
1015108.60000000
0.002746205193
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8FA3
583607.66000000
PA
USD
28578.04000000
0.000077313069
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3ZF7
4387065.41000000
PA
USD
4217765.05000000
0.011410452326
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412ACJ1
350682.70000000
PA
USD
384952.23000000
0.001041423364
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGB4
20000000.00000000
PA
USD
18874280.40000000
0.051061183861
Long
DBT
CORP
US
N
2
2051-03-22
Fixed
3.55000000
N
N
N
N
N
N
VERTIV GROUP CORPORATION
549300ZT8RQ5VK10E643
Vertiv Group Corp
92535UAB0
5265000.00000000
PA
USD
4811157.00000000
0.013015774215
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.12500000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
18548000.00000000
PA
USD
16272345.88000000
0.044022088643
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AX4
12830000.00000000
PA
USD
11494397.00000000
0.031096153398
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
3.12500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
5770000.00000000
PA
USD
5490348.76000000
0.014853213026
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BW9
15860000.00000000
PA
USD
15312686.15000000
0.041425891019
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55400000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCQ4
11470000.00000000
PA
USD
10698298.40000000
0.028942442839
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132LMAR7
494820.73000000
PA
USD
502416.96000000
0.001359204389
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FES60
335051.90000000
PA
USD
62781.12000000
0.000169843736
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Fixed
5.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CM0
10000000.00000000
PA
USD
9170415.30000000
0.024809012677
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.37500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCE9
9626000.00000000
PA
USD
9750821.59000000
0.026379204052
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.99900000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-420.00000000
NC
USD
-22968.96000000
-0.00006213864
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
117.00000000
USD
2022-04-22
XXXX
73101.42000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VQU7
4222923.66000000
PA
USD
4257427.52000000
0.011517752453
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6P39
23731081.01000000
PA
USD
24040249.30000000
0.065036841859
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
6620000.00000000
PA
USD
7556218.34000000
0.020442074917
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
18686448.34000000
0.050553035887
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-10-20
0.00000000
USD
-198855.18000000
USD
-379970000.00000000
USD
18885303.52000000
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
State of Israel
46513JXN6
8320000.00000000
PA
USD
7904000.00000000
0.021382939571
Long
DBT
NUSS
IL
N
2
2050-01-15
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AGE55
2859308.40000000
PA
USD
387350.51000000
0.001047911506
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Floating
5.55343000
N
N
N
N
N
N
SINOPEC GRP OVERSEA 2015
5299002Z28NLP3WPFH36
Sinopec Group Overseas Development 2015 Ltd
82938BAC4
6000000.00000000
PA
USD
6011516.76000000
0.016263145193
Long
DBT
CORP
VG
N
2
2025-04-28
Fixed
3.25000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BA9
1.00000000
PA
USD
1.40000000
0.000000003787
Long
DBT
NUSS
UY
N
2
2033-01-15
Fixed
7.87500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
40670000.00000000
PA
USD
36746184.84000000
0.099410608540
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAC7
36230000.00000000
PA
USD
33421233.02000000
0.090415511900
Long
DBT
CORP
QA
N
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HNJ5
4050000.00000000
PA
USD
4187464.65000000
0.011328479702
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.25000000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE
549300N8C3A3L0UVQB07
GSK Consumer Healthcare Capital US LLC
36264FAD3
14120000.00000000
PA
USD
14120794.81000000
0.038201429924
Long
DBT
CORP
US
N
2
2032-03-24
Fixed
3.62500000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017BT5
4109000.00000000
PA
USD
4547382.39000000
0.012302176474
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CH3
27710000.00000000
PA
USD
26114176.39000000
0.070647501986
Long
DBT
CORP
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
PHOENIX NEWCO INC
254900PHGVI5379Z9791
Phoenix Newco Inc
71911KAC8
17480000.00000000
PA
USD
17373896.40000000
0.047002147879
Long
LON
CORP
US
N
2
2028-11-15
Floating
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZT0
739870000.00000000
PA
USD
688743828.80000000
1.863280322786
Long
DBT
UST
US
N
2
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHLP5
4260166.91000000
PA
USD
4236604.23000000
0.011461418552
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FF3Z8
43153539.80000000
PA
USD
1225901.44000000
0.003316469687
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Variable
0.57206500
N
N
N
N
N
N
MAGNOLIA FINANCE X DAC 2019-1
213800FNSN9L4EI3LC40
Credit Suisse European Mortgage Capital Ltd
55960WAB7
56168325.00000000
PA
USD
54942648.46000000
0.148638073368
Long
ABS-O
CORP
IE
N
2
2024-08-09
Floating
3.19900000
N
N
N
N
N
N
AVOLON TLB BORROWER 1 US
635400O84AGITYFZQB55
Avolon TLB Borrower 1 US LLC
05400KAH3
7567053.72000000
PA
USD
7503528.30000000
0.020299530897
Long
LON
CORP
US
N
2
2027-12-01
Floating
2.75000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AS8
3790000.00000000
PA
USD
3856931.40000000
0.010434277714
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.37500000
N
N
N
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust 2015-5R
65540XAN7
9226596.85000000
PA
USD
8129519.42000000
0.021993044344
Long
ABS-MBS
CORP
US
N
2
2046-02-26
Floating
0.70686000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAT7
8120000.00000000
PA
USD
9056999.12000000
0.024502184321
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDP4
2622000.00000000
PA
USD
2752290.80000000
0.007445858787
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297AJ46
276249.39000000
PA
USD
310965.31000000
0.000841264224
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
6.50000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470BD8
31080000.00000000
PA
USD
27639593.49000000
0.074774260800
Long
DBT
CORP
IN
N
2
2052-01-12
Fixed
3.62500000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBF1
20400000.00000000
PA
USD
17811667.18000000
0.048186462926
Long
DBT
CORP
US
N
2
2051-12-10
Fixed
2.75000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAM1
14259000.00000000
PA
USD
14967387.12000000
0.040491742703
Long
DBT
CORP
NL
N
2
2024-03-17
Fixed
6.25000000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
9100000.00000000
PA
USD
9010845.84000000
0.024377324403
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
47667840.00410000
PA
USD
14593985.90000000
0.039481568649
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.12500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMN9
1520000.00000000
PA
USD
1392804.30000000
0.003767997239
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EZ7
13210000.00000000
PA
USD
11893723.76000000
0.032176464630
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
DELOS FINANCE SARL
549300HX549YWOJQT076
Delos Finance Sarl
000000000
5500000.00000000
PA
USD
5472500.00000000
0.014804926215
Long
LON
CORP
LU
N
2
2023-10-06
Floating
1.88150000
N
N
N
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAN5
24175000.00000000
PA
USD
22499238.32000000
0.060867896431
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
1.37500000
N
N
N
N
N
N
DBCG Mortgage Trust
N/A
DBCG 2017-BBG Mortgage Trust
233062AA6
20260000.00000000
PA
USD
20061723.48000000
0.054273610939
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
1.09700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-1263.00000000
NC
USD
-434156.25000000
-0.00117453654
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
122.75000000
USD
2022-04-01
XXXX
-133028.73000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6WH0
47006894.51000000
PA
USD
47755563.45000000
0.129194626447
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAC9
4000000.00000000
PA
USD
4345892.20000000
0.011757078731
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SWW3
7929883.76000000
PA
USD
7901647.35000000
0.021376574873
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAFA5
7071853.97000000
PA
USD
6790099.92000000
0.018369470682
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-630.00000000
NC
USD
-24609.69000000
-0.00006657736
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
117.50000000
USD
2022-04-22
XXXX
161347.60000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209M3V4
382.62000000
PA
USD
384.14000000
0.000001039226
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
7.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
381940000.00000000
PA
18374213.59000000
0.049708337406
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAG9
17250000.00000000
PA
USD
17415720.92000000
0.047115297067
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDG3
7960000.00000000
PA
USD
8074407.01000000
0.021843947010
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225B2S6
251005.43000000
PA
USD
281576.16000000
0.000761756833
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291QUS1
2258979.60000000
PA
USD
2418368.73000000
0.006542488918
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3XG7
15731280.68000000
PA
USD
15104714.94000000
0.040863259970
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
197677AG2
723000.00000000
PA
USD
800393.54000000
0.002165329794
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.69000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2005-SL1 Trust
76112BMS6
166321.08000000
PA
USD
124759.47000000
0.000337515714
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Fixed
8.00000000
N
N
N
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
12591KAK1
730000.00000000
PA
USD
706194.55000000
0.001910490307
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Variable
5.06293000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AK6
8400000.00000000
PA
USD
9453318.50000000
0.025574359594
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.90000000
N
N
N
N
N
N
STRIP PRINC
254900HROIFWPRGM1V77
United States Treasury Strip Principal
912803FJ7
152060000.00000000
PA
USD
79059690.58000000
0.213882665257
Long
DBT
UST
US
N
2
2049-05-15
None
0.00000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2004-5AR
61748HAQ4
8750.67000000
PA
USD
8879.59000000
0.000024022233
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
2.40090500
N
N
N
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments Trust 2003-AR1
86358HRV3
52300.56000000
PA
USD
50578.18000000
0.000136830739
Long
ABS-MBS
CORP
US
N
2
2033-10-19
Floating
1.18857000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJCJ7
10680.58000000
PA
USD
11579.37000000
0.000031326033
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CA8
8648000.00000000
PA
USD
8503387.54000000
0.023004481518
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.50000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR13
45660LQW2
114053.75000000
PA
USD
74696.63000000
0.000202079140
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.77993800
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255TAA0
131383174.60000000
PA
USD
118955797.77000000
0.321814857713
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Floating
1.94700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-155.00000000
NC
USD
-7265.63000000
-0.00001965593
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.50000000
USD
2022-04-22
XXXX
50591.23000000
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
15802000.00000000
PA
USD
15929443.13000000
0.043094423058
Long
DBT
CORP
US
N
2
2027-07-15
Variable
4.40000000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
000000000
14730000.00000000
PA
USD
14607225.45000000
0.039517386019
Long
LON
CORP
CA
N
2
2028-08-11
Floating
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENPE3
8986830.68000000
PA
USD
9997755.67000000
0.027047242578
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
RUB/USD FORWARD
000000000
1.00000000
NC
USD
-54875703.00000000
-0.14845696371
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-22622648232.96000000
RUB
217826889.30000000
USD
2022-04-19
-54875703.00000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UM72
9818365.28000000
PA
USD
703506.49000000
0.001903218214
Long
ABS-MBS
USGA
US
N
2
2067-10-20
Variable
2.03782000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
16560000.00000000
PA
USD
14734226.55000000
0.039860966086
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.10900000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAQ2
2000000.00000000
PA
USD
2065590.10000000
0.005588105805
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
5.35000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-258.00000000
NC
USD
-32250.00000000
-0.00008724693
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
125.50000000
USD
2022-04-22
XXXX
80991.16000000
N
N
N
VOC ESCROW LTD
N/A
VOC Escrow Ltd
91832VAA2
9225000.00000000
PA
USD
8598991.50000000
0.023263121915
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
2350000.00000000
PA
USD
2544672.78000000
0.006884183234
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291LMD4
128455.80000000
PA
USD
139084.73000000
0.000376270290
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BM5
8130000.00000000
PA
USD
7976180.40000000
0.021578211475
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292HRK1
50202.34000000
PA
USD
53706.06000000
0.000145292691
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TLX3
202058.04000000
PA
USD
218874.28000000
0.000592127467
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HRA5
73500.69000000
PA
USD
80086.35000000
0.000216660119
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AAP3
940934.49000000
PA
USD
979784.58000000
0.002650642012
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGM0
60729000.00000000
PA
USD
54953651.45000000
0.148667840103
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FQGW1
412913.01000000
PA
USD
408213.88000000
0.001104353837
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust 2005-1
576436AT6
1753305.00000000
PA
USD
1585945.90000000
0.004290509279
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
7.00000000
N
N
N
N
N
N
REALPAGE INC
5493001RSFZX4122A604
RealPage Inc
75605VAD4
44908825.24270000
PA
USD
44459736.99000000
0.120278323559
Long
LON
CORP
US
N
2
2028-04-22
Floating
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617GQY31
330341.95000000
PA
USD
345848.01000000
0.000935633489
Long
ABS-MBS
USGA
US
N
2
2048-04-15
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-423.00000000
NC
USD
-125578.13000000
-0.00033973046
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.50000000
USD
2022-04-01
XXXX
-7223.97000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SZ2
136330000.00000000
PA
USD
123037825.00000000
0.332858094250
Long
DBT
UST
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292K2L0
7863.87000000
PA
USD
8524.99000000
0.000023062923
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6QL8
4178451.38000000
PA
USD
4327194.22000000
0.011706494498
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5NT6
6913282.30000000
PA
USD
7138163.28000000
0.019311097427
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200AKR9
6675.74000000
PA
USD
7129.55000000
0.000019287795
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBM23
6419274.13000000
PA
USD
6631620.06000000
0.017940730136
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AT8
11559000.00000000
PA
USD
12660803.88000000
0.034251670583
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGU8
22515000.00000000
PA
USD
24570350.90000000
0.066470942375
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290SAR2
8638.12000000
PA
USD
9237.32000000
0.000024990012
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
20490393.99888700
PA
USD
8805951.72000000
0.023823017901
Long
DBT
NUSS
AR
N
2
2037-09-01
Variable
3.90000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAN1
10230000.00000000
PA
USD
10774183.83000000
0.029147738077
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
7.12500000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BP8
10600000.00000000
PA
USD
9903103.00000000
0.026791175735
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
Countrywide Home Equity Loan T
N/A
Countrywide Home Equity Loan Trust
126686AH7
299096.10000000
PA
USD
252829.07000000
0.000683986427
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
0.54657000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
Countrywide Asset-Backed Certificates
232433AA0
41384.32000000
PA
USD
34468.39000000
0.000093248418
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.13657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137APW48
2034716.48000000
PA
USD
257058.76000000
0.000695429141
Long
ABS-MBS
USGSE
US
N
2
2039-08-15
Floating
5.65343000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210AMT1
676.42000000
PA
USD
723.36000000
0.000001956928
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBH4
37170000.00000000
PA
USD
37360737.48000000
0.101073177109
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6X74
230175.07000000
PA
USD
33066.47000000
0.000089455760
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
6.14343000
N
N
N
N
N
N
New York Mortgage Trust
N/A
NYMT Loan Trust 2020-SP2
62955DAA4
26568186.24000000
PA
USD
26062466.13000000
0.070507608595
Long
ABS-MBS
CORP
US
N
2
2060-10-25
Variable
2.94390000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DC9
400000.00000000
PA
USD
400483.92000000
0.001083441733
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.80000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
9511000.00000000
PA
USD
9429982.45000000
0.025511227844
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BCW4
39356373.57000000
PA
USD
39140054.80000000
0.105886820167
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFF97
7858479.27000000
PA
USD
7545341.74000000
0.020412650110
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
REDWOOD FUNDING TRUST 2019-1
N/A
Redwood Funding Trust 2019-1
75806BAA1
28153630.31000000
PA
USD
28104079.92000000
0.076030850535
Long
ABS-MBS
CORP
US
N
2
2024-09-27
Variable
4.21300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201X5M6
75091.51000000
PA
USD
80533.30000000
0.000217869267
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLZK7
628087.20000000
PA
USD
622688.00000000
0.001684577413
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BH9
32320000.00000000
PA
USD
29013502.40000000
0.078491139748
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKD3
26840000.00000000
PA
USD
23239675.15000000
0.062871023454
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BF4Y4
3015813.51000000
PA
USD
125850.80000000
0.000340468123
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Variable
1.56999900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CEE0
28900650.03000000
PA
USD
28886943.03000000
0.078148754707
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAG8
6560000.00000000
PA
USD
6559001.90000000
0.017744273946
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8CP0
12459925.66000000
PA
USD
11931387.45000000
0.032278357394
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
BARRICK GOLD CORP
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901AH1
1590000.00000000
PA
USD
1845925.16000000
0.004993839340
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAX8
29143183.22860000
PA
USD
28554199.50000000
0.077248573179
Long
LON
CORP
US
N
2
2026-12-23
Floating
3.45860000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KQ97
32348233.29000000
PA
USD
4227480.62000000
0.011436736163
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADR98
15063.74000000
PA
USD
16249.27000000
0.000043959660
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NXKR7
256182.15000000
PA
USD
252973.62000000
0.000684377483
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AL7
6300000.00000000
PA
USD
6148098.68000000
0.016632644553
Long
DBT
CORP
US
N
2
2040-03-27
Fixed
3.25000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAE6
790000.00000000
PA
USD
671069.45000000
0.001815465270
Long
DBT
CORP
KY
N
2
2029-12-15
Fixed
5.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U4E9
326941.33000000
PA
USD
339151.31000000
0.000917516696
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.50000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCK7
9610000.00000000
PA
USD
8733519.95000000
0.023627065958
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
TRITON WATER HOLDINGS IN
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89678QAB2
28534390.23880000
PA
USD
27887230.27000000
0.075444200363
Long
LON
CORP
US
N
2
2028-03-31
Floating
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KLRY0
191195.75000000
PA
USD
189901.84000000
0.000513747415
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225B7K8
954.69000000
PA
USD
1071.82000000
0.000002899628
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
6.00000000
N
N
N
N
N
N
DEERFIELD DAKOTA HOLDING
549300FDREJLOIGXY104
Deerfield Dakota Holding LLC
24440EAB3
37157519.32640000
PA
USD
37022080.17000000
0.100156996846
Long
LON
CORP
US
N
2
2027-04-09
Floating
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WRJU5
546758.37000000
PA
USD
578792.82000000
0.001565826403
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DG7
21860000.00000000
PA
USD
20691210.29000000
0.055976581387
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.19600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B5FE7
294041.69000000
PA
USD
273945.71000000
0.000741113937
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WMKZ6
75730.71000000
PA
USD
78631.06000000
0.000212723077
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAE8
3740000.00000000
PA
USD
2734886.78000000
0.007398775145
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
3.83200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3G50
697399.90000000
PA
USD
648653.71000000
0.001754823264
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Prime Mortgage Trust
N/A
Prime Mortgage Trust 2006-DR1
74159UAD9
21742754.01000000
PA
USD
20083310.06000000
0.054332009792
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFVE8
897776.99000000
PA
USD
836694.85000000
0.002263536869
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RXC8
1501004.84000000
PA
USD
1496117.60000000
0.004047493956
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAL0
920000.00000000
PA
USD
931760.97000000
0.002520722231
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.25000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BZ8
9530000.00000000
PA
USD
8867593.81000000
0.023989780184
Long
DBT
CORP
US
N
2
2031-05-12
Fixed
2.10000000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081CY7
5000.00000000
PA
USD
7350.84000000
0.000019886458
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
7.20000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2006-RZ4 Trust
75156XAD3
17250000.00000000
PA
USD
16859408.25000000
0.045610286920
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.80657000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032658
72000000.00000000
PA
USD
71909177.04000000
0.194538156283
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long Gilt
000000000
7.00000000
NC
-16012.95000000
-0.00004332033
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
UNITED KINGDOM GILT
United Kingdom Gilt
2022-06-28
1171333.14000000
USD
-16012.95000000
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2006-R2
125435AB3
8536671.27000000
PA
USD
603753.51000000
0.001633353342
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
5.62740700
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-2
41161PJ38
460827.73000000
PA
USD
197445.51000000
0.000534155542
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
2.59787300
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374YFX6
736783.28000000
PA
USD
739057.58000000
0.001999395694
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379U6W1
18469358.92000000
PA
USD
771605.49000000
0.002087448578
Long
ABS-MBS
USGA
US
N
2
2057-02-16
Variable
0.65430000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAE5
11820000.00000000
PA
USD
9869700.00000000
0.026700809550
Long
DBT
CORP
MA
N
2
2051-06-23
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFR6
54968980.84000000
PA
USD
55238421.19000000
0.149438236629
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Floating
3.01200000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FFWF2
641972.37000000
PA
USD
145156.24000000
0.000392695737
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
6.00000000
N
N
N
N
N
N
CORECIVIC INC
529900JFA3K6PTLT8B15
CoreCivic Inc
21871NAA9
540000.00000000
PA
USD
471665.70000000
0.001276012039
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BYV2
15222972.34000000
PA
USD
15194949.74000000
0.041107375009
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201MCK6
9479.17000000
PA
USD
10562.98000000
0.000028576361
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.00000000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAH0
3590000.00000000
PA
USD
3353272.56000000
0.009071713628
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.45000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CW8
3050000.00000000
PA
USD
2714664.73000000
0.007344067798
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FLEV4
85317.80000000
PA
USD
4235.51000000
0.000011458458
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5JV6
18343528.85000000
PA
USD
18130012.01000000
0.049047691198
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAR0
3300000.00000000
PA
USD
3804530.76000000
0.010292516616
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312929VG4
3844.21000000
PA
USD
4053.40000000
0.000010965790
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.00000000
N
N
N
N
N
N
FLEETCOR TECHNOLOGIES INC
549300FKKKZCXLK48427
FleetCor Technologies Operating Co LLC
33903RAY5
12336836.43480000
PA
USD
12154004.52000000
0.032880610349
Long
LON
CORP
US
N
2
2028-04-30
Floating
1.95860000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAJ0
4900000.00000000
PA
USD
4896729.89000000
0.013247277243
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.80000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DQ7
7979000.00000000
PA
USD
7810504.19000000
0.021130002418
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SWISS FRANC CURRENCY
000000000
344.00000000
NC
USD
265740.00000000
0.000718914772
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
SINGAPORE EXCHANGE
SWISS FRANC
2022-06-13
46479560.00000000
USD
265740.00000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JAV69
198482.58000000
PA
USD
206821.78000000
0.000559521460
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBD6
10900000.00000000
PA
USD
11418202.35000000
0.030890021617
Long
DBT
CORP
GB
N
2
2029-05-16
Fixed
4.97200000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739GCR8
11260000.00000000
PA
USD
11266302.56000000
0.030479082342
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
Medline Borrower, LP
N/A
Mozart Borrower LP
58503UAC7
35430000.00000000
PA
USD
35117684.55000000
0.095004975533
Long
LON
CORP
US
N
2
2028-10-21
Floating
3.75000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B4KJ6
9809680.80000000
PA
USD
10107385.97000000
0.027343828873
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADME5
8235755.52000000
PA
USD
8227180.95000000
0.022257251150
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
33120000.00000000
PA
USD
35499084.45000000
0.096036788667
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
Residential Asset Securitizati
N/A
Residential Asset Securitization Trust 2004-A2
45660NB46
7434.65000000
PA
USD
7169.71000000
0.000019396441
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
0.85657000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
8450000.00000000
PA
USD
8629985.00000000
0.023346969604
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBE1
3860000.00000000
PA
USD
2917445.90000000
0.007892658069
Long
DBT
CORP
MX
N
2
2044-06-27
Fixed
5.50000000
N
N
N
N
N
N
BRAZOS Student Finance Corp
N/A
Brazos Student Finance Corp
10623PDS6
1990627.40000000
PA
USD
2016068.81000000
0.005454134303
Long
ABS-O
CORP
US
N
2
2039-12-27
Floating
3.46571000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAH7
3000000.00000000
PA
USD
3550944.39000000
0.009606481441
Long
DBT
CORP
US
N
2
2040-02-15
Fixed
5.30000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B28
4120000.00000000
PA
USD
4031543.60000000
0.010906661586
Long
DBT
CORP
US
N
2
2025-11-13
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CNE0
19280561.28000000
PA
USD
19890179.66000000
0.053809528053
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKLG8
2966707.23000000
PA
USD
3026471.99000000
0.008187609776
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDY7
5755000.00000000
PA
USD
5988563.16000000
0.016201048098
Long
DBT
CORP
US
N
2
2027-03-16
Fixed
4.12500000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-OA9
02146YAD8
289446.04000000
PA
USD
223101.36000000
0.000603563119
Long
ABS-MBS
CORP
US
N
2
2046-07-20
Floating
0.64857000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TB4
196898000.00000000
PA
USD
172777995.00000000
0.467421739160
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFL8
14500000.00000000
PA
USD
14941735.40000000
0.040422346299
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
GO DADDY OPERATING CO LLC
5493005GJOH8HLL11157
Go Daddy Operating Co LLC
38017BAN6
8940517.52550000
PA
USD
8893937.43000000
0.024061048407
Long
LON
CORP
US
N
2
2024-02-15
Floating
1.95860000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
2930000.00000000
PA
USD
2982074.01000000
0.008067498526
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MB5P0
673262.17000000
PA
USD
695733.96000000
0.001882190944
Long
ABS-MBS
USGA
US
N
2
2050-03-15
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
8459.00000000
NC
USD
-50162078.95000000
-0.13570504845
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-06-19
2098720403.95000000
USD
-50162078.95000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
39972000.00000000
PA
USD
40088047.11000000
0.108451453553
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXG4
10000000.00000000
PA
USD
9287934.50000000
0.025126941062
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
2.60000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
32524000.00000000
PA
USD
29101505.33000000
0.078729216840
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KR1
2080000.00000000
PA
USD
2234955.99000000
0.006046296669
Long
DBT
CORP
US
N
2
2046-05-18
Fixed
4.75000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CC4
10560000.00000000
PA
USD
10207727.80000000
0.027615286779
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
3.30000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BF3
2720000.00000000
PA
USD
2295095.20000000
0.006208993164
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ABUR9
10026890.53000000
PA
USD
9624687.08000000
0.026037968398
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376R5X0
23162674.96000000
PA
USD
1850929.36000000
0.005007377360
Long
ABS-MBS
USGA
US
N
2
2067-07-20
Variable
2.19696000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AR0
920000.00000000
PA
USD
932760.40000000
0.002523426020
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.37500000
N
N
N
N
N
N
SLM Student Loan Trust
5493000NQN5E3MSIIG77
SLM Student Loan Trust 2003-10
78442GJH0
14100000.00000000
PA
USD
13915817.34000000
0.037646897933
Long
ABS-O
CORP
US
N
2
2068-12-17
Floating
1.49600000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AV2
5700000.00000000
PA
USD
5788006.75000000
0.015658476540
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFSM4
23211436.82000000
PA
USD
22236078.32000000
0.060155961414
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AXES8
1504655.88000000
PA
USD
86806.16000000
0.000234839432
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Fixed
3.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JE8
21610000.00000000
PA
USD
21587730.68000000
0.058401966170
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GYA9
1709394.95000000
PA
USD
68344.00000000
0.000184893170
Long
ABS-MBS
USGA
US
N
2
2026-07-16
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P7NU3
210915.83000000
PA
USD
224386.82000000
0.000607040715
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
5.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JC6
11500000.00000000
PA
USD
11844802.78000000
0.032044117165
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
4.30000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B6XU2
6883832.46000000
PA
USD
6879775.82000000
0.018612073712
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Variable
2.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGFQ7
89749983.00000000
PA
USD
88861762.42000000
0.240400518221
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384KME3
2665.40000000
PA
USD
2681.34000000
0.000007253913
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
7.00000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
5520000.00000000
PA
USD
5520800.40000000
0.014935594804
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
20000000.00000000
PA
USD
19933500.00000000
0.053926723930
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398W2M5
1538365.64000000
PA
USD
220743.01000000
0.000597183001
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
Floating
5.83343000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVM3
5100000.00000000
PA
USD
5206564.55000000
0.014085482685
Long
DBT
CORP
US
N
2
2024-03-03
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
47510000.00000000
PA
USD
39842811.02000000
0.107788008652
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650AW0
182528.47000000
PA
USD
189714.92000000
0.000513241734
Long
DBT
CORP
US
N
2
2027-01-11
Fixed
5.29800000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAW5
25990000.00000000
PA
USD
24018084.38000000
0.064976878405
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
National Collegiate Student Lo
635400ZLDAQQL4PJBJ98
National Collegiate Student Loan Trust 2006-1
63543PCD6
7953910.61000000
PA
USD
7706487.52000000
0.020848602852
Long
ABS-O
CORP
US
N
2
2033-03-25
Floating
0.80657000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AT6
4200000.00000000
PA
USD
4220622.71000000
0.011418183244
Long
DBT
CORP
US
N
2
2022-08-22
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBY38
21934710.20000000
PA
USD
22078640.72000000
0.059730040527
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
13030049.89000000
0.035250603417
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-05-15
7064629.99000000
USD
0.00000000
USD
-159450000.00000000
USD
5965419.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GQ4H6
1488510.31000000
PA
USD
1535667.60000000
0.004154489814
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDJ8
4480000.00000000
PA
USD
4540078.64000000
0.012282417409
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCQ90
16086930.71000000
PA
USD
15810939.47000000
0.042773831383
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-5867.00000000
NC
USD
-137510.75000000
-0.00037201215
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
118.25000000
USD
2022-04-22
XXXX
1453058.09000000
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AC7M7
1316225.20000000
PA
USD
1334776.08000000
0.003611011672
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Variable
3.35392000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2021-1R
69356UAA6
20613624.90000000
PA
USD
20735381.34000000
0.056096078717
Long
ABS-MBS
CORP
US
N
2
2024-02-27
Floating
3.35657000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAC4
26930000.00000000
PA
USD
27076014.46000000
0.073249592741
Long
DBT
NUSS
AE
N
2
2022-10-11
Fixed
2.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAQ2
9430000.00000000
PA
USD
9562784.02000000
0.025870500105
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
33540000.00000000
PA
USD
31469976.94000000
0.085136717512
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.31900000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust 2007-1
12559QAH5
108930000.00000000
PA
USD
106033551.30000000
0.286855898276
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
2.20657000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
2039.00000000
NC
USD
-11144256.90000000
-0.03014890838
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-09-18
504990056.90000000
USD
-11144256.90000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFC8
33160000.00000000
PA
USD
38291512.65000000
0.103591232424
Long
DBT
CORP
US
N
2
2044-01-21
Fixed
5.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEA6
1570000.00000000
PA
USD
1403679.60000000
0.003797418530
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZJ6
40115.53000000
PA
USD
40831.19000000
0.000110461901
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201FSR9
29217.03000000
PA
USD
31231.39000000
0.000084491260
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCN1
27063000.00000000
PA
USD
24792414.30000000
0.067071697469
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WT57
172657.19000000
PA
USD
181284.34000000
0.000490434221
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MDZ88
1996990.36000000
PA
USD
2087000.83000000
0.005646028926
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FLEU6
1573423.72000000
PA
USD
68607.58000000
0.000185606242
Long
ABS-MBS
USGSE
US
N
2
2026-11-25
Fixed
3.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K103 Mortgage Trust
30315DAN8
687432200.54000000
PA
USD
4163020.66000000
0.011262350608
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Fixed
0.10000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BY9
40450000.00000000
PA
USD
41537889.40000000
0.112373757459
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SP4
923530000.00000000
PA
USD
711839607.81000000
1.925762059492
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAF6
8100000.00000000
PA
USD
8200589.04000000
0.022185311221
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
4.80657000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YT4
550000.00000000
PA
USD
522079.25000000
0.001412397400
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
3.81500000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAR6
10910000.00000000
PA
USD
8946200.00000000
0.024202435980
Long
DBT
CORP
KY
N
2
2031-08-08
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJ22
504870.81000000
PA
USD
538451.55000000
0.001456689898
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
5.00000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
8681000.00000000
PA
USD
8759146.01000000
0.023696392943
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-208.00000000
NC
USD
-39000.00000000
-0.00010550792
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
125.00000000
USD
2022-04-22
XXXX
-6859.84000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/RUB FORWARD
000000000
1.00000000
NC
USD
-735909.61000000
-0.00199087939
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-178710000.00000000
RUB
1418333.33000000
USD
2022-04-19
-735909.61000000
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2005-CL1
073879U97
835249.50000000
PA
USD
810362.49000000
0.002192299108
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
0.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-C
83208AAA1
39383372.59000000
PA
USD
36428127.02000000
0.098550156726
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
1.39000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B4KB3
9980000.00000000
PA
USD
10234887.20000000
0.027688761958
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
3.27300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617AD7J1
2022608.60000000
PA
USD
2165210.46000000
0.005857611895
Long
ABS-MBS
USGA
US
N
2
2047-05-15
Fixed
4.00000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBA8
22950000.00000000
PA
USD
24553241.10000000
0.066424654696
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GYN7
1156739.45000000
PA
USD
1240301.65000000
0.003355427028
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CB0
10000000.00000000
PA
USD
9431321.50000000
0.025514850418
Long
DBT
CORP
US
N
2
2051-05-12
Fixed
3.10000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGT1
3070000.00000000
PA
USD
3196006.95000000
0.008646258031
Long
DBT
CORP
US
N
2
2046-06-14
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GUU8
321397.47000000
PA
USD
336442.61000000
0.000910188765
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCJ8
8310000.00000000
PA
USD
8587181.88000000
0.023231172979
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.90000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
6700000.00000000
PA
USD
5558170.52000000
0.015036693364
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J4D89
151866.27000000
PA
USD
159982.51000000
0.000432805711
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJE90
5109206.38000000
PA
USD
4767616.23000000
0.012897982002
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
17780000.00000000
PA
USD
16678828.24000000
0.045121758144
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BM1
3035000.00000000
PA
USD
4131239.06000000
0.011176370846
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X66J5
12048076.00000000
PA
USD
12615399.90000000
0.034128837769
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAC9
14230000.00000000
PA
USD
14452343.75000000
0.039098379689
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBSR2
4063294.02000000
PA
USD
3915247.58000000
0.010592042308
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300GD7VLLBVPDNJ81
SMB Private Education Loan Trust 2015-C
78448R106
49649.00000000
PA
USD
22613470.06000000
0.061176931147
Long
ABS-O
CORP
US
N
2
2046-09-18
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WDM27
85360.51000000
PA
USD
88421.44000000
0.000239209300
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213TFS7
106684.69000000
PA
USD
119079.12000000
0.000322148485
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6TB0
5697410.15000000
PA
USD
5314745.99000000
0.014378149334
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212F2S2
15306.46000000
PA
USD
17153.37000000
0.000046405550
Long
ABS-MBS
USGA
US
N
2
2034-02-15
Fixed
6.00000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CP7
19580000.00000000
PA
USD
17936796.08000000
0.048524978071
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
0.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MN2Q2
1121470.16000000
PA
USD
1173923.84000000
0.003175853053
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GDBU5
2054.15000000
PA
USD
2226.15000000
0.000006022473
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DD6
12460000.00000000
PA
USD
12674444.82000000
0.034288573846
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM5J0
10134795.98000000
PA
USD
9743686.20000000
0.026359900457
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGM0
29580000.00000000
PA
USD
38317646.26000000
0.103661932501
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291PV60
109372.95000000
PA
USD
118926.68000000
0.000321736084
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAF4
12760000.00000000
PA
USD
10098507.33000000
0.027319809210
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.05000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAQ2
13470000.00000000
PA
USD
11463643.50000000
0.031012954988
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAZ8
9130000.00000000
PA
USD
8118109.14000000
0.021962175755
Long
DBT
CORP
US
N
2
2030-06-24
Fixed
1.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412XS88
466.60000000
PA
USD
514.27000000
0.000001391270
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AA7
112444285.90000000
PA
USD
111245596.08000000
0.300956206800
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
1.29657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATQK3
5269401.90000000
PA
USD
603094.64000000
0.001631570880
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Floating
5.64343000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YQD4
16.27000000
PA
USD
16.30000000
0.000000044096
Long
ABS-MBS
USGA
US
N
2
2023-03-15
Fixed
7.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31352DC24
639626.73000000
PA
USD
29090.93000000
0.000078700607
Long
ABS-MBS
USGSE
US
N
2
2038-02-15
Variable
1.67871000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBN0
3400000.00000000
PA
USD
3384790.58000000
0.009156980318
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.05000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
2870000.00000000
PA
USD
3005207.97000000
0.008130083555
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AFRZ6
4184884.94000000
PA
USD
3901218.00000000
0.010554087645
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412NXE1
98424.22000000
PA
USD
106841.65000000
0.000289042073
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.00000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AH0
23330000.00000000
PA
USD
21764319.50000000
0.058879697454
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
2.90000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2018-J1 Trust
12653TAB7
39781218.50000000
PA
USD
39151720.50000000
0.105918379752
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KQ87
11653.02000000
PA
USD
12933.26000000
0.000034988754
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
7.00000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
17811000.00000000
PA
USD
16784215.98000000
0.045406866909
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGHT4
4803694.58000000
PA
USD
4895018.72000000
0.013242647961
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRTA6
4307452.52000000
PA
USD
4130471.87000000
0.011174295343
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KG64
7106826.33000000
PA
USD
1061753.46000000
0.002872394999
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFS4
19571914.09000000
PA
USD
19729574.27000000
0.053375037244
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Floating
2.87200000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
8447000.00000000
PA
USD
9099683.89000000
0.024617660771
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BK1
370000.00000000
PA
USD
370556.91000000
0.001002479252
Long
DBT
NUSS
ID
N
2
2022-04-25
Fixed
3.75000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FLFM3
1472848.51000000
PA
USD
239198.99000000
0.000647112544
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AN6C2
3691950.73000000
PA
USD
3997977.01000000
0.010815852835
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM3S2
17719506.72000000
PA
USD
17390868.34000000
0.047048062601
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
89166.78000000
PA
USD
93710.53000000
0.000253518041
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
623000.00000000
PA
USD
627107.98000000
0.001696534924
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129337A6
7864.83000000
PA
USD
8297.32000000
0.000022447000
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-3968.00000000
NC
USD
-3162000.02000000
-0.00855425801
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
123.00000000
USD
2022-04-22
XXXX
-613817.78000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
11940000.00000000
PA
USD
12670489.20000000
0.034277872583
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAM8
29830000.00000000
PA
USD
29723726.15000000
0.080412530376
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.50900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AZ68
1632420.78000000
PA
USD
1734273.50000000
0.004691784596
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZY9
850000.00000000
PA
USD
829829.10000000
0.002244962740
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.12500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
1000710000.00000000
PA
USD
747639827.66000000
2.022613519220
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KQR3
16225004.22000000
PA
USD
199374.47000000
0.000539374018
Long
ABS-MBS
USGA
US
N
2
2047-11-16
Variable
0.38508000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KLH47
9356409.32000000
PA
USD
8961180.65000000
0.024242963604
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BAS21
13359105.07000000
PA
USD
10719738.67000000
0.029000445875
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QBK6
23159233.79000000
PA
USD
24337653.42000000
0.065841418571
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
Wingstop Funding LLC
N/A
Wingstop Funding LLC
974153AB4
3910350.00000000
PA
USD
3643588.27000000
0.009857113841
Long
ABS-O
CORP
US
N
2
2050-12-05
Fixed
2.84100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6KQ3
5806679.41000000
PA
USD
6099390.52000000
0.016500872837
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BB2
750000.00000000
PA
USD
658653.75000000
0.001781876687
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.12500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
2067380000.00000000
PA
104719951.24000000
0.283302174755
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGRB7
4141480.90000000
PA
USD
3858831.33000000
0.010439417654
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BHZ4
263.69000000
PA
USD
282.15000000
0.000000763309
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
6.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
55830000.00000000
PA
USD
58753167.80000000
0.158946791078
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGE4
20450000.00000000
PA
USD
21829795.45000000
0.059056831599
Long
DBT
CORP
US
N
2
2044-11-04
Fixed
4.65000000
N
N
N
N
N
N
CASTLELAKE AVIATION ONE
2138003EQK2PETKID103
Castlelake Aviation One DAC
14855NAB2
42436750.00000000
PA
USD
41402566.40000000
0.112007663895
Long
LON
CORP
IE
N
2
2026-10-22
Floating
3.25000000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2006-WM3
81377EAB0
69493230.71000000
PA
USD
29381355.73000000
0.079486304921
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.77657000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
35640000.00000000
PA
USD
36225778.68000000
0.098002737403
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
35353000.00000000
PA
USD
35660151.46000000
0.096472528311
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJBJ1
6451750.08000000
PA
USD
6013430.63000000
0.016268322846
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZS9
36616563.70000000
PA
USD
3998719.16000000
0.010817860597
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.69715400
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/BRL FORWARD
000000000
1.00000000
NC
USD
22707105.57000000
0.061430246235
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-140084606.85000000
USD
779229073.63000000
BRL
2022-04-19
22707105.57000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-1245.00000000
NC
USD
-486328.13000000
-0.00131567877
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-04-22
XXXX
-119013.23000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
8490000.00000000
PA
USD
8260271.55000000
0.022346772190
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AM5
15332000.00000000
PA
USD
15281383.70000000
0.041341207518
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.37500000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B7GA3
11590300.07000000
PA
USD
11349255.44000000
0.030703497375
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Fixed
2.23200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371H2F4
1168.57000000
PA
USD
1290.85000000
0.000003492177
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFBC4
11521329.98000000
PA
USD
11407311.10000000
0.030860557176
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL1 Trust
12660KAC5
15302490.25000000
PA
USD
14758895.30000000
0.039927703231
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.66773000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AP4
16620000.00000000
PA
USD
15064451.10000000
0.040754332938
Long
DBT
CORP
CO
N
2
2031-11-02
Fixed
4.62500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGK4
4410000.00000000
PA
USD
4145820.80000000
0.011215819286
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
17675091.21000000
0.047816979663
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
0.00000000
USD
-2452601.93000000
USD
-174372000.00000000
USD
20127693.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LN5G8
3164387.39000000
PA
USD
3034371.26000000
0.008208979920
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGQ64
275711.47000000
PA
USD
298565.92000000
0.000807719765
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFB0
230000.00000000
PA
USD
236181.16000000
0.000638948313
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.12500000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AB1
4880000.00000000
PA
USD
4842574.45000000
0.013100768830
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBC0
17880000.00000000
PA
USD
17924706.62000000
0.048492272075
Long
DBT
CORP
IT
N
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31347AX33
3626274.90000000
PA
USD
3602750.71000000
0.009746634706
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Floating
2.13000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2013-GC16
36248GAJ9
4302000.00000000
PA
USD
4331211.44000000
0.011717362410
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
5.16100000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BU8
4740000.00000000
PA
USD
4542432.91000000
0.012288786490
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.80000000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE
549300N8C3A3L0UVQB07
GSK Consumer Healthcare Capital US LLC
36264FAB7
12990000.00000000
PA
USD
13004443.06000000
0.035181328455
Long
DBT
CORP
US
N
2
2027-03-24
Fixed
3.37500000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAH7
49120000.00000000
PA
USD
49797222.35000000
0.134717990425
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200KZ59
95561.28000000
PA
USD
102547.85000000
0.000277425921
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132LMEK8
401348.53000000
PA
USD
406583.27000000
0.001099942496
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCDZ8
2746090.76000000
PA
USD
2655588.97000000
0.007184248288
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FVQG0
24626201.18000000
PA
USD
4156725.45000000
0.011245319978
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202VYM7
90848.04000000
PA
USD
97320.62000000
0.000263284531
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388EF84
24248.13000000
PA
USD
25871.59000000
0.000069991225
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KYP8
3988716.42000000
PA
USD
3888422.14000000
0.010519470603
Long
ABS-MBS
CORP
US
N
2
2047-11-16
Variable
2.76409000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BM7
3240000.00000000
PA
USD
3682316.86000000
0.009961887512
Long
DBT
CORP
US
N
2
2057-08-22
Fixed
4.25000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-3
64830EAC5
29602032.33000000
PA
USD
29574552.76000000
0.080008966917
Long
ABS-MBS
CORP
US
N
2
2058-11-25
Variable
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HYU1
1403.77000000
PA
USD
1495.86000000
0.000004046797
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AUH59
318203.16000000
PA
USD
332295.40000000
0.000898969187
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A1AK0
9642.58000000
PA
USD
10439.27000000
0.000028241685
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VFS4
338105.46000000
PA
USD
350187.66000000
0.000947373680
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust
92922FBW7
4767.82000000
PA
USD
4718.04000000
0.000012763861
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.51941700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LAS1
833231.16000000
PA
USD
906638.66000000
0.002452758056
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CR0
19600000.00000000
PA
USD
21561933.74000000
0.058332176898
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P8FW6
1661399.88000000
PA
USD
1654891.63000000
0.004477030329
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389NBG9
15962.97000000
PA
USD
17188.79000000
0.000046501373
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
7.00000000
N
N
N
N
N
N
Trinity Rail Leasing L.P.
N/A
Trinity Rail Leasing 2020 LLC
89656YAB1
28400000.00000000
PA
USD
27056063.72000000
0.073195619377
Long
ABS-O
CORP
US
N
2
2050-11-19
Fixed
2.56000000
N
N
N
N
N
N
CAESARS RESORT COLLECTIO
549300V3UCT773B1KR38
Caesars Resort Collection LLC
12769LAD1
19040050.00050000
PA
USD
19001969.90000000
0.051406626278
Long
LON
CORP
US
N
2
2025-07-20
Floating
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BSJ6
2589036.44000000
PA
USD
2582218.24000000
0.006985756146
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JASV8
254778.35000000
PA
USD
266548.70000000
0.000721102574
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
9423889000.00000000
PA
5799316.31000000
0.015689072648
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2L6
15920000.00000000
PA
USD
16878804.77000000
0.045662760935
Long
DBT
CORP
US
N
2
2031-04-04
Fixed
4.47800000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EQ7
1580000.00000000
PA
USD
1564558.14000000
0.004232648300
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AU5
7190000.00000000
PA
USD
6722650.00000000
0.018186996294
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.26800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BBEL2
13895605.08000000
PA
USD
2265984.11000000
0.006130238017
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Fixed
2.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CJ2
9750000.00000000
PA
USD
9281122.50000000
0.025108512344
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9TA3
12860651.56000000
PA
USD
12311695.68000000
0.033307217199
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAH9
21370000.00000000
PA
USD
18605363.10000000
0.050333673439
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.62500000
N
N
N
N
N
N
BIG Commercial Mortgage Trust
N/A
BIG Commercial Mortgage Trust 2022-BIG
05551UAF2
19160000.00000000
PA
USD
19151042.70000000
0.051809917608
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
5.73676000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBZ29
2116702.41000000
PA
USD
2190085.67000000
0.005924907583
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJFA6
6072837.23000000
PA
USD
5658372.83000000
0.015307773822
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9UJ9
285240.38000000
PA
USD
308099.78000000
0.000833512016
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
9440000.00000000
PA
USD
8661564.29000000
0.023432402050
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BBBW1
44399438.17000000
PA
USD
4097233.43000000
0.011084374347
Long
ABS-MBS
USGSE
US
N
2
2034-09-25
Variable
1.46024000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022642
-109500000.00000000
PA
USD
-104478398.99000000
-0.28264869586
Short
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAH4
7043000.00000000
PA
USD
6329121.52000000
0.017122371331
Long
DBT
CORP
FR
N
2
2029-10-15
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
18447.00000000
NC
USD
-59083394.20000000
-0.15984016293
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
4531097369.20000000
USD
-59083394.20000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
911055.29000000
PA
USD
828058.15000000
0.002240171733
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.22198500
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JU6
24812000.00000000
PA
USD
27348547.14000000
0.073986883964
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
4.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M8BA0
307071.31000000
PA
USD
318962.01000000
0.000862897948
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X3CE6
10315757.78000000
PA
USD
10641311.65000000
0.028788274793
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300AGZIS1CJS4RM30
Wells Fargo Commercial Mortgage Trust 2018-C44
95001JAX5
7530000.00000000
PA
USD
7862687.45000000
0.021271175431
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Fixed
4.21200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390KJ66
60465.74000000
PA
USD
64384.61000000
0.000174181708
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
7.00000000
N
N
N
N
N
N
HOUSING URBAN DEVELOPMNT
N/A
United States Department of Housing and Urban Development
911759MD7
9000000.00000000
PA
USD
9050173.83000000
0.024483719650
Long
DBT
USGA
US
N
2
2022-08-01
Fixed
2.45000000
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust 2005-1
576436AR0
1364681.70000000
PA
USD
1093664.24000000
0.002958724235
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9MC6
2502716.53000000
PA
USD
2530737.47000000
0.006846483602
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBK1
24800000.00000000
PA
USD
23950393.91000000
0.064793753249
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3VA2
896592.32000000
PA
USD
834069.35000000
0.002256434021
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
French Government Bond
000000000
1520.00000000
NC
-12372547.79000000
-0.03347184232
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
FRANCE (GOVT OF)
French Republic Government Bond OAT
2022-06-08
267257352.42000000
USD
-12372547.79000000
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CU2
15310000.00000000
PA
USD
14386797.05000000
0.038921054142
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
1.45000000
N
N
N
N
N
N
SCHLUMBERGER HLDGS CORP
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AK7
5110000.00000000
PA
USD
5169459.60000000
0.013985101498
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6GM7
5666692.92000000
PA
USD
5756515.22000000
0.015573281514
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCG1
27800000.00000000
PA
USD
27305532.80000000
0.073870515918
Long
DBT
CORP
CA
N
2
2023-06-12
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9HZ9
9958450.35000000
PA
USD
10456378.94000000
0.028287970522
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394UEC2
1426982.59000000
PA
USD
61965.86000000
0.000167638188
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Variable
1.51708600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
362194MY5
771.45000000
PA
USD
779.05000000
0.000002107588
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCQ76
29835388.67000000
PA
USD
29540166.31000000
0.079915940173
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932RAJ3
28076400.00000000
PA
USD
27793670.65000000
0.075191090583
Long
LON
CORP
US
N
2
2028-04-21
Floating
4.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBM1
5000000.00000000
PA
USD
4428471.90000000
0.011980484189
Long
DBT
CORP
US
N
2
2030-08-10
Fixed
1.74900000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BG9
12190000.00000000
PA
USD
11755243.65000000
0.031801830037
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.35000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617K1ZG1
2143749.04000000
PA
USD
2168282.51000000
0.005865922809
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHWQ6
1110687.76000000
PA
USD
1102275.92000000
0.002982021683
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
3540000.00000000
PA
USD
3583985.53000000
0.009695868675
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
12410000.00000000
PA
USD
14049326.62000000
0.038008084783
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.12500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RBA9
5040000.00000000
PA
USD
5895489.85000000
0.015949253948
Long
DBT
CORP
US
N
2
2041-08-15
Fixed
5.55000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300FCX3YXSYSLU895
WFRBS Commercial Mortgage Trust 2014-C19
92938VAT2
270000.00000000
PA
USD
269346.82000000
0.000728672415
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
4.72300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382NT31
485581.90000000
PA
USD
91783.19000000
0.000248303948
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XNX8
15218360.64000000
PA
USD
15307392.62000000
0.041411570266
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.65657000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BK3
1740000.00000000
PA
USD
1759921.49000000
0.004761170909
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9R23
6647034.73000000
PA
USD
6391756.03000000
0.017291818439
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BH2
10150000.00000000
PA
USD
12397022.83000000
0.033538055419
Long
DBT
CORP
US
N
2
2046-11-30
Fixed
4.90000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AN1
3130000.00000000
PA
USD
2845749.05000000
0.007698694328
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AHB63
7473608.30000000
PA
USD
6957746.37000000
0.018823009891
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAC0
10000000.00000000
PA
USD
10090011.40000000
0.027296824903
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B5NJ7
911899.95000000
PA
USD
921295.20000000
0.002492408854
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.50000000
N
N
N
N
N
N
Loanpal Solar Loan 2020-3 Ltd
N/A
Loanpal Solar Loan Ltd
53948NAA1
22535992.72000000
PA
USD
21109426.07000000
0.057107993678
Long
ABS-O
CORP
US
N
2
2047-12-20
Fixed
2.47000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBL2
10000000.00000000
PA
USD
10315251.60000000
0.027906174294
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
5.30000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911363AM1
28270000.00000000
PA
USD
26689141.60000000
0.072202973436
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBX0
32967000.00000000
PA
USD
31730721.02000000
0.085842116665
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ML2
20000000.00000000
PA
USD
18566484.80000000
0.050228494753
Long
DBT
CORP
US
N
2
2031-01-29
Fixed
2.66600000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BL7
13510000.00000000
PA
USD
13347889.59000000
0.036110465145
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9GA7
2825608.41000000
PA
USD
2902967.75000000
0.007853489875
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
4.00000000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
Virgin Media Bristol LLC
000000000
4840000.00000000
PA
USD
4818074.80000000
0.013034489157
Long
LON
CORP
US
N
2
2029-01-31
Floating
3.44110000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WXWP8
3185707.19000000
PA
USD
3328741.94000000
0.009005350170
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAEW8
23109160.93000000
PA
USD
21522413.15000000
0.058225260604
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBA0
970000.00000000
PA
USD
1031303.14000000
0.002790016791
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.85000000
N
N
N
N
N
N
1011778 BC ULC
549300RHSHNRWI5LLA86
1011778 BC ULC
000000000
33034556.41740000
PA
USD
32384106.00000000
0.087609739583
Long
LON
CORP
CA
N
2
2026-11-19
Floating
1.95860000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387NR74
3688.12000000
PA
USD
3960.06000000
0.000010713274
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MLCK8
508085.14000000
PA
USD
531710.53000000
0.001438453205
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AH6
34600000.00000000
PA
USD
39697787.54000000
0.107395672074
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
1460000.00000000
PA
USD
1372396.35000000
0.003712786971
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202SYR3
467026.83000000
PA
USD
520193.20000000
0.001407295010
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
5.50000000
N
N
N
N
N
N
REYNOLDS CONSUMER PRODUC
549300DWNZYMOSR1X343
Reynolds Consumer Products LLC
76171JAB7
27417442.73130000
PA
USD
27025784.56000000
0.073113704214
Long
LON
CORP
US
N
2
2027-02-04
Floating
1.95860000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412X2W3
1817.04000000
PA
USD
1973.99000000
0.000005340297
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCRW7
24639031.27000000
PA
USD
24518884.45000000
0.066331708571
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBH1
5000000.00000000
PA
USD
5069250.00000000
0.013714001318
Long
DBT
CORP
NL
N
2
2031-01-03
Fixed
5.60000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B8UA5
3551249.38000000
PA
USD
3480623.55000000
0.009416240263
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L5GE0
4488126.58000000
PA
USD
4316264.86000000
0.011676926957
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYN8
2000000.00000000
PA
USD
1812514.04000000
0.004903451187
Long
DBT
CORP
US
N
2
2032-10-21
Fixed
2.65000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAK5
27165000.00000000
PA
USD
28371126.00000000
0.076753298687
Long
DBT
CORP
NL
N
2
2044-03-17
Fixed
7.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3
46590RAL3
1510000.00000000
PA
USD
1411893.79000000
0.003819640636
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
3.43473100
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AR4L6
6411859.80000000
PA
USD
5967265.22000000
0.016143430111
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208YJC4
813.15000000
PA
USD
822.97000000
0.000002226406
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAM7
20750000.00000000
PA
USD
18125125.00000000
0.049034470217
Long
DBT
CORP
KY
N
2
2027-03-08
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MFDE4
155377.62000000
PA
USD
159526.37000000
0.000431571701
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAK5
1225000.00000000
PA
USD
1261835.75000000
0.003413683905
Long
DBT
CORP
CA
N
2
2025-04-15
Fixed
5.75000000
N
N
N
N
N
N
Cosmopolitan Hotel Trust
N/A
CHT 2017-COSMO Mortgage Trust
12546DAA5
17095000.00000000
PA
USD
17047633.17000000
0.046119497710
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
1.32657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WLWX0
167391.35000000
PA
USD
176127.21000000
0.000476482475
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.50000000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-MZB
05549GAS0
93060000.00000000
PA
USD
89573041.80000000
0.242324764679
Long
ABS-MBS
CORP
US
N
2
2020-07-15
Floating
7.03307000
N
N
N
N
N
N
THE VANGUARD GROUP INC
N/A
THE VANGUARD GROUP INC
000000000
21230000.00000000
PA
USD
18236782.30000000
0.049336540219
Long
DBT
CORP
US
N
3
2050-08-22
Fixed
3.05000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FW33
199249.77000000
PA
USD
217047.98000000
0.000587186720
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7HG7
25219871.78000000
PA
USD
24802805.46000000
0.067099809001
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
29025632.33000000
PA
USD
30197793.89000000
0.081695040730
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust 2005-AR5
39538WEE4
11778163.10000000
PA
USD
7591413.62000000
0.020537289814
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
1.01657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292CEU4
12276.26000000
PA
USD
13135.15000000
0.000035534934
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
6.00000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAM6
13982000.00000000
PA
USD
13009093.29000000
0.035193908868
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJKJ1
8343145.01000000
PA
USD
7771156.68000000
0.021023554363
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CH6
9455000.00000000
PA
USD
9411554.28000000
0.025461373537
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ARUS5
11314928.35000000
PA
USD
1809006.98000000
0.004893963428
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Floating
5.54343000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBE9
17380000.00000000
PA
USD
17589255.37000000
0.047584765268
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389X7D9
6486.86000000
PA
USD
6727.38000000
0.000018199792
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.00000000
N
N
N
N
N
N
Waterfall Commercial Mortgage
N/A
Waterfall Commercial Mortgage Trust 2015-SBC5
94132LAA5
4120294.95000000
PA
USD
4082817.57000000
0.011045374668
Long
ABS-MBS
CORP
US
N
2
2022-09-14
Variable
4.10370000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YY84
1444040.02000000
PA
USD
1501707.09000000
0.004062615379
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
4.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DF9
23185000.00000000
PA
USD
27279471.00000000
0.073800010112
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
6.45000000
N
N
N
N
N
N
CONOCOPHILLIPS HLDG CO
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
208251AE8
693000.00000000
PA
USD
857064.45000000
0.002318643388
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
6.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJNU0
1575.76000000
PA
USD
1698.82000000
0.000004595871
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4CZ0
4904847.21000000
PA
USD
4570266.69000000
0.012364086090
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
23483134.85000000
0.063529662631
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-15
0.00000000
USD
-194285.41000000
USD
-441554000.00000000
USD
23677420.26000000
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
7332630000.00000000
PA
4512387.69000000
0.012207504212
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A92X4
16705.91000000
PA
USD
17579.16000000
0.000047557453
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
5.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CJ1
18970000.00000000
PA
USD
18940137.24000000
0.051239348440
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BD8
7755000.00000000
PA
USD
8580387.29000000
0.023212791361
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CCK8
54738185.95000000
PA
USD
54766090.93000000
0.148160426734
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAJ3
16020000.00000000
PA
USD
16304333.21000000
0.044108624972
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.70000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAB9
3300000.00000000
PA
USD
3403408.31000000
0.009207347448
Long
DBT
CORP
FR
N
2
2024-07-21
Fixed
5.15000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BR2
4440000.00000000
PA
USD
3897937.94000000
0.010545213995
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LH6Y5
691053.51000000
PA
USD
708040.01000000
0.001915482888
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617WHHM0
6660558.77000000
PA
USD
6600736.43000000
0.017857179682
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-A
78448YAD3
10985000.00000000
PA
USD
10269804.00000000
0.027783223474
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
2.31000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291GUQ7
2318.77000000
PA
USD
2477.99000000
0.000006703784
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
6.00000000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-FXD2
68403BAA3
24515534.19000000
PA
USD
22814232.12000000
0.061720059057
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
5.82000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBU5
1520000.00000000
PA
USD
1464611.20000000
0.003962258702
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNLM2
29871235.75000000
PA
USD
28548152.99000000
0.077232215366
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ASRX4
713921.77000000
PA
USD
112206.73000000
0.000303556392
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
5.60343000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDB2
472000.00000000
PA
USD
515859.99000000
0.001395572241
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.75000000
N
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAK5
8500000.00000000
PA
USD
8539312.50000000
0.023101670441
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
38622421.48000000
0.104486450481
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
1683512.28000000
USD
0.00000000
USD
-289607000.00000000
USD
36938909.20000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCZ2
2427000.00000000
PA
USD
2280907.92000000
0.006170611870
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AWH7
965953.62000000
PA
USD
1009733.83000000
0.002731664659
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
5493004IHDYOZ9K9WF47
Hertz Vehicle Financing LLC
42806MAA7
1660000.00000000
PA
USD
1573953.57000000
0.004258066052
Long
ABS-O
CORP
US
N
2
2025-12-26
Fixed
1.21000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CA2
10410000.00000000
PA
USD
10873926.33000000
0.029417574597
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416YWR5
2319600.86000000
PA
USD
2522579.18000000
0.006824412723
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
5.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAQ2
11042000.00000000
PA
USD
11246223.56000000
0.030424761992
Long
DBT
CORP
US
N
2
2051-03-24
Fixed
4.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3TS6
698295.95000000
PA
USD
649270.17000000
0.001756490993
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BZ92
7260.48000000
PA
USD
8146.76000000
0.000022039685
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
6.00000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDP6
8720000.00000000
PA
USD
8705183.50000000
0.023550406469
Long
DBT
CORP
NL
N
2
2033-04-06
Fixed
3.75800000
N
N
N
N
N
N
Multifamily Trust
N/A
Multifamily Trust 2016-1
62547L103
1933331.60000000
PA
USD
2186623.17000000
0.005915540373
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Variable
14.50782000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412NUP9
58770.26000000
PA
USD
63940.21000000
0.000172979459
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMZJ7
13114163.10000000
PA
USD
12217058.09000000
0.033051191153
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.38.V1
000000000
1.00000000
NC
USD
36344168.44000000
0.098323020941
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.38.V1
Y
Default Event
2027-06-20
33640817.59000000
USD
0.00000000
USD
656390000.00000000
USD
2703350.85000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
24750000.00000000
PA
USD
24787252.71000000
0.067057733658
Long
DBT
NUSS
ID
N
2
2022-04-25
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGQ9
6642138.12000000
PA
USD
6615080.04000000
0.017895983901
Long
ABS-MBS
USGA
US
N
2
2070-07-20
Floating
0.89857000
N
N
N
N
N
N
MOLSON COORS BEVERAGE
54930073LBBH6ZCBE225
Molson Coors Beverage Co
60871RAH3
3390000.00000000
PA
USD
3299070.88000000
0.008925080119
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FKPT1
805034.91000000
PA
USD
799439.96000000
0.002162750044
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADJC3
958695.01000000
PA
USD
972551.56000000
0.002631074296
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGL8
23620000.00000000
PA
USD
24556456.00000000
0.066433352066
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDH4
33050000.00000000
PA
USD
30882215.80000000
0.083546628830
Long
DBT
CORP
NL
N
2
2026-06-24
Fixed
1.33900000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
25651000.00000000
PA
USD
22711097.85000000
0.061441046675
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMBT0
373460.92000000
PA
USD
372765.43000000
0.001008454031
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS8
36254KAL6
5490000.00000000
PA
USD
5495371.97000000
0.014866802474
Long
ABS-MBS
CORP
US
N
2
2050-11-10
Fixed
3.46900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XYU47
87431.43000000
PA
USD
92229.80000000
0.000249512176
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
12450000.00000000
PA
USD
12580457.70000000
0.034034307537
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KXZX7
4931622.26000000
PA
USD
4715501.02000000
0.012756993086
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5HZ1
284275.98000000
PA
USD
292779.93000000
0.000792066744
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
28360000.00000000
PA
USD
30774866.48000000
0.083256213342
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFWY2
48629.23000000
PA
USD
52660.61000000
0.000142464403
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
6895000.00000000
PA
USD
6864674.41000000
0.018571219393
Long
DBT
CORP
FR
N
2
2025-01-09
Fixed
3.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-4227.00000000
NC
USD
17850355.39000000
0.048291127357
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
-590476761.64000000
USD
17850355.39000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LVU3
3261067.92000000
PA
USD
3342818.72000000
0.009043432526
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
3.50000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C1
90276EAE7
5440000.00000000
PA
USD
5444884.03000000
0.014730215863
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
3.46000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L8QJ9
146100.93000000
PA
USD
152402.80000000
0.000412300083
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
ALTERRA MOUNTAIN COMPANY
549300C5O4FSVNUEI843
Alterra Mountain Co
46124CAJ6
14614813.06590000
PA
USD
14523470.48000000
0.039290801067
Long
LON
CORP
US
N
3
2028-08-17
Floating
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8W67
407621.38000000
PA
USD
441371.06000000
0.001194054998
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
256110000.00000000
PA
157606.15000000
0.000426376870
Long
DBT
NUSS
RU
N
2
2026-09-16
Fixed
7.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CANADIAN DOLLAR CURRENCY
000000000
364.00000000
NC
USD
874189.68000000
0.002364972811
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CANADIAN DOLLAR
CANADIAN DOLLAR
2022-06-14
28278570.32000000
USD
874189.68000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BPZ5
591.19000000
PA
USD
650.56000000
0.000001759980
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201RR60
20512.53000000
PA
USD
21942.15000000
0.000059360787
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
CAESARS RESORT COLLECTIO
549300V3UCT773B1KR38
Caesars Resort Collection LLC
12769LAB5
31473058.91190000
PA
USD
31350628.71000000
0.084813840995
Long
LON
CORP
US
N
2
2024-12-22
Floating
3.70370000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376GUU2
814591.80000000
PA
USD
8.15000000
0.000000022048
Long
ABS-MBS
USGA
US
N
2
2053-04-16
Variable
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LHFT6
274519.47000000
PA
USD
279980.57000000
0.000757440233
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.20000000
N
N
N
N
N
N
SUZANO AUSTRIA G
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAK8
10070000.00000000
PA
USD
8938031.30000000
0.024180336940
Long
DBT
CORP
AT
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QM57
18696152.48000000
PA
USD
19311945.04000000
0.052245211765
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GD7
6050000.00000000
PA
USD
6129255.00000000
0.016581666154
Long
DBT
CORP
US
N
2
N/A
Fixed
5.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418Q4R1
75421.50000000
PA
USD
79345.03000000
0.000214654602
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKQF5
1094689.90000000
PA
USD
1133222.67000000
0.003065742898
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JBDR1
1765603.96000000
PA
USD
1847005.45000000
0.004996761883
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
MAGENTA BUYER LLC
N/A
Magenta Buyer LLC
55910RAB9
52269000.00000000
PA
USD
51955386.00000000
0.140556538365
Long
LON
CORP
US
N
2
2028-07-27
Floating
5.75000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AQ9
10095000.00000000
PA
USD
12303590.36000000
0.033285289622
Long
DBT
CORP
US
N
2
2044-12-05
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKDE5
16117093.04000000
PA
USD
15780125.40000000
0.042690469111
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBS9
9960000.00000000
PA
USD
10055221.68000000
0.027202707181
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
2920000.00000000
PA
USD
2941958.49000000
0.007958972749
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FPG5
194143.00000000
PA
USD
208500.42000000
0.000564062738
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.50000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
11864000.00000000
PA
USD
11850534.36000000
0.032059622989
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WGN3
6683.11000000
PA
USD
6641.93000000
0.000017968621
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SY5
116890000.00000000
PA
USD
110442785.94000000
0.298784339301
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P7JH7
246852.35000000
PA
USD
260175.59000000
0.000703861199
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
5.00000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNATIO
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAP6
46295386.31330000
PA
USD
46179879.32000000
0.124931878657
Long
LON
CORP
US
N
2
2024-08-14
Floating
3.18060000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-3347.00000000
NC
USD
-627562.50000000
-0.00169776455
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.00000000
USD
2022-05-20
XXXX
2158115.95000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MD5Y4
300736.57000000
PA
USD
312127.53000000
0.000844408415
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
KUWAIT INTL BOND
549300FSC1YD0D9XX589
Kuwait International Government Bond
501499AB3
29270000.00000000
PA
USD
30516609.30000000
0.082557542077
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
03852JAL5
3770134.64000000
PA
USD
3707927.42000000
0.010031172565
Long
LON
CORP
US
N
2
2025-03-11
Floating
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDU28
15840312.22000000
PA
USD
15531209.59000000
0.042017069348
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAG3
2572928.83000000
PA
USD
2089740.51000000
0.005653440668
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.88657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202WL56
43299.67000000
PA
USD
46259.57000000
0.000125147468
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
6.00000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AR6
1006000.00000000
PA
USD
1131699.70000000
0.003061622760
Long
DBT
CORP
US
N
2
2037-01-15
Fixed
6.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BB7
3460000.00000000
PA
USD
3697408.21000000
0.010002714615
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
4.62500000
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2006-1
759950GX0
13504200.48000000
PA
USD
8907952.67000000
0.024098964277
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.16600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLMX1
18383437.14000000
PA
USD
17097280.77000000
0.046253810923
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558AZ6
5000000.00000000
PA
USD
5070768.95000000
0.013718110581
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
MOLSON COORS BEVERAGE
54930073LBBH6ZCBE225
Molson Coors Beverage Co
60871RAG5
3245000.00000000
PA
USD
3208940.75000000
0.008681248247
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P7RC9
9141.02000000
PA
USD
9896.53000000
0.000026773393
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
5.00000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBG6
3930000.00000000
PA
USD
3988989.30000000
0.010791538101
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDK4
3300000.00000000
PA
USD
3122689.45000000
0.008447909894
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGBJ2
4466871.65000000
PA
USD
4548113.37000000
0.012304154017
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
162180000.00000000
PA
USD
193330408.87000000
0.523022830232
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAF0
4888000.00000000
PA
USD
5140674.50000000
0.013907228262
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CD4
671000.00000000
PA
USD
580851.22000000
0.001571395057
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
2.67500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
9600000.00000000
PA
USD
9472665.79000000
0.025626700425
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KJP5
49620583.26000000
PA
USD
131439.96000000
0.000355588654
Long
ABS-MBS
USGA
US
N
2
2048-10-16
Variable
0.05719000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384VQF2
5586.39000000
PA
USD
5925.42000000
0.000016030224
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
7.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GK1
704000.00000000
PA
USD
710041.12000000
0.001920896553
Long
DBT
CORP
US
N
2
2022-07-30
Fixed
4.05000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
-3436.00000000
NC
USD
13748414.13000000
0.037194016769
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
-529363164.13000000
USD
13748414.13000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APB68
6810183.95000000
PA
USD
243724.23000000
0.000659354818
Long
ABS-MBS
USGSE
US
N
2
2055-08-25
Variable
1.40169700
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AN5
6740000.00000000
PA
USD
5652342.74000000
0.015291460430
Long
DBT
CORP
US
N
2
2040-07-16
Fixed
2.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201EGC8
50941.79000000
PA
USD
55145.30000000
0.000149186312
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XRLA5
31928.28000000
PA
USD
33965.64000000
0.000091888313
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7NR3
3324.02000000
PA
USD
3602.11000000
0.000009744901
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379XGR5
2706744.55000000
PA
USD
518687.23000000
0.001403220862
Long
ABS-MBS
USGA
US
N
2
2045-11-16
Fixed
4.50000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAY1
5360000.00000000
PA
USD
5331833.20000000
0.014424375900
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387NWV5
6354.78000000
PA
USD
6776.54000000
0.000018332786
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
7.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-451328.39000000
-0.00122099287
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-8668515.95000000
USD
1000000000.00000000
JPY
2022-04-19
-451328.39000000
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAP0
14360000.00000000
PA
USD
12277800.00000000
0.033215518151
Long
DBT
CORP
KY
N
2
2029-03-08
Fixed
3.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31383JXE5
17435.58000000
PA
USD
18727.15000000
0.000050663147
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201LK45
222635.50000000
PA
USD
244886.87000000
0.000662500144
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
6.00000000
N
N
N
N
N
N
HARBOR FREIGHT TOOLS
549300Y48HLCFTTB4249
Harbor Freight Tools USA Inc
41151PAP0
19802122.18020000
PA
USD
19424693.73000000
0.052550234339
Long
LON
CORP
US
N
2
2027-10-19
Floating
3.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCE9
325570000.00000000
PA
USD
303161628.97000000
0.820152681248
Long
DBT
UST
US
N
2
2028-05-31
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVX4
5217235.36000000
PA
USD
4731127.44000000
0.012799267731
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
1.50000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CQ0
8220000.00000000
PA
USD
8127583.12000000
0.021987806011
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MJ6K6
4047554.00000000
PA
USD
3873773.04000000
0.010479839932
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131WHGE1
7393.42000000
PA
USD
8007.53000000
0.000021663022
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNL26
16528477.14000000
PA
USD
15849602.01000000
0.042878426367
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BG8
5413000.00000000
PA
USD
5504479.70000000
0.014891441902
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.87500000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAS4
12310000.00000000
PA
USD
11652747.68000000
0.031524544468
Long
DBT
CORP
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397WW9
1190000.00000000
PA
USD
1177618.05000000
0.003185847115
Long
DBT
CORP
US
N
2
2024-09-08
Fixed
3.66400000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-1372178.44000000
-0.00371219745
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2022-06-15
0.00000000
USD
-589.61000000
USD
1182383000.00000000
USD
-1371588.83000000
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAH5
1993845.78000000
PA
USD
980465.69000000
0.002652484640
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.40763500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200GGA8
1516.13000000
PA
USD
1641.10000000
0.000004439719
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201RYD7
10316.69000000
PA
USD
11018.48000000
0.000029808640
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L05B9
3823956.44000000
PA
USD
3567296.88000000
0.009650720346
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAF0
11850000.00000000
PA
USD
11819846.13000000
0.031976601156
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
1.35000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378B2Q1
26837654.48000000
PA
USD
504886.06000000
0.001365884123
Long
ABS-MBS
USGA
US
N
2
2054-01-16
Variable
0.60484000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H5EK0
1453270.31000000
PA
USD
1525390.01000000
0.004126685527
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6EW3
5747926.23000000
PA
USD
6423649.85000000
0.017378101792
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
1170000.00000000
PA
USD
1160505.45000000
0.003139551861
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A5LM6
1403937.87000000
PA
USD
226488.03000000
0.000612725184
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Floating
6.04343000
N
N
N
N
N
N
CONOCO FUNDING CO
XX71EBFZWSRCIL200314
Conoco Funding Co
20825UAC8
810000.00000000
PA
USD
1069643.57000000
0.002893740361
Long
DBT
CORP
CA
N
2
2031-10-15
Fixed
7.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6ZU8
1204674.46000000
PA
USD
1221642.56000000
0.003304948005
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAZ2
21560000.00000000
PA
USD
22438785.60000000
0.060704351788
Long
DBT
CORP
NL
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WXV79
3777607.65000000
PA
USD
3960133.11000000
0.010713472543
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08579JBG6
9703283.59000000
PA
USD
9583496.55000000
0.025926534363
Long
LON
CORP
US
N
2
2026-07-01
Floating
1.75000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AG6
10770000.00000000
PA
USD
11032788.00000000
0.029847348065
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BH1
13115000.00000000
PA
USD
13440776.86000000
0.036361755995
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LCR8
15750.17000000
PA
USD
16318.95000000
0.000044148168
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XB2V1
8148801.00000000
PA
USD
7581831.55000000
0.020511367139
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381DXB1
21834125.62000000
PA
USD
1650679.55000000
0.004465635256
Long
ABS-MBS
USGA
US
N
2
2063-07-16
Variable
0.88155000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
00440EAV9
5420000.00000000
PA
USD
5499412.16000000
0.014877732527
Long
DBT
CORP
US
N
2
2026-05-03
Fixed
3.35000000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAG7
7388000.00000000
PA
USD
7353793.56000000
0.019894448799
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CM8
25023000.00000000
PA
USD
25221715.40000000
0.068233099225
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAB1
2379000.00000000
PA
USD
2571141.67000000
0.006955790354
Long
DBT
CORP
GB
N
2
2045-09-15
Fixed
5.62500000
N
N
N
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
685301579.11000000
NS
USD
685301579.11000000
1.853967896533
Long
STIV
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X65C1
1437401.25000000
PA
USD
1490324.48000000
0.004031821646
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Hunter Douglas Inc
529900811T142NS3H544
Hunter Douglas Inc
000000000
48000000.00000000
PA
USD
47115120.00000000
0.127462014657
Long
LON
CORP
US
N
2
2029-02-25
Floating
4.00000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust 2005-AR4
39538WBR8
1664798.44000000
PA
USD
1678449.12000000
0.004540761147
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
1.09657000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BK6
10710000.00000000
PA
USD
10839412.79000000
0.029324204032
Long
DBT
CORP
GB
N
2
2025-03-22
Fixed
4.26900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396L4S6
2299754.01000000
PA
USD
166252.44000000
0.000449767950
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Variable
0.23040300
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2006-AC4
07388WAB2
1689471.27000000
PA
USD
1969248.56000000
0.005327470010
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
33.58300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GBA0
7914.54000000
PA
USD
8844.16000000
0.000023926383
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AH6
7830000.00000000
PA
USD
7782809.69000000
0.021055079617
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGRD3
3656600.44000000
PA
USD
3411019.39000000
0.009227937941
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
JP Morgan ReRemic
N/A
JP Morgan Resecuritization Trust Series 2015-1
46644BAK6
13068573.88000000
PA
USD
12082210.20000000
0.032686382919
Long
ABS-MBS
CORP
US
N
2
2036-09-27
Variable
0.50329000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202WLY3
20963.19000000
PA
USD
22416.74000000
0.000060644711
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BGS5
877787.24000000
PA
USD
873790.76000000
0.002363893600
Long
ABS-MBS
USGA
US
N
2
2058-08-20
Floating
0.45629000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
17970000.00000000
PA
USD
17102117.83000000
0.046266896773
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.21900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9H53
14638404.69000000
PA
USD
14936473.20000000
0.040408110304
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APK73
2082049.42000000
PA
USD
1996508.02000000
0.005401215883
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
HUDSON RIVER TRADING LLC
549300SMOBUC8O5UOE10
Hudson River Trading LLC
44413EAF5
15760800.00000000
PA
USD
15545743.88000000
0.042056389420
Long
LON
CORP
US
N
2
2028-03-18
Floating
3.30490000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBFY1
161101.08000000
PA
USD
158271.58000000
0.000428177078
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
3.00000000
N
N
N
N
N
N
PERATON CORP
549300EQPCK07ZW63836
Peraton Corp
71360HAB3
39223906.37000000
PA
USD
39027786.84000000
0.105583098127
Long
LON
CORP
US
N
2
2028-02-01
Floating
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLS57
7178966.31000000
PA
USD
6680076.47000000
0.018071820785
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
45810000.00000000
PA
USD
43768240.05000000
0.118407595158
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
4629433.67000000
0.012524152380
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-10-20
1496858.95000000
USD
0.00000000
USD
-379990000.00000000
USD
3132574.72000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8GH0
604856.11000000
PA
USD
601873.67000000
0.001628267752
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AUUN7
2100865.30000000
PA
USD
213880.48000000
0.000578617583
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Fixed
3.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AU3
1000000.00000000
PA
USD
1063240.98000000
0.002876419233
Long
DBT
CORP
GB
N
2
N/A
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377LAC2
21819358.92000000
PA
USD
23623294.06000000
0.063908839746
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LHPM0
620615.05000000
PA
USD
642668.06000000
0.001738630097
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFC65
165851.44000000
PA
USD
179114.65000000
0.000484564491
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
LYONDELLBASELL IND NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
552081AK7
1533000.00000000
PA
USD
1601336.45000000
0.004332145817
Long
DBT
CORP
NL
N
2
2024-04-15
Fixed
5.75000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BA2
10830000.00000000
PA
USD
10257634.50000000
0.027750300943
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.75000000
N
N
N
N
N
N
MOLSON COORS BEVERAGE
54930073LBBH6ZCBE225
Molson Coors Beverage Co
60871RAC4
1370000.00000000
PA
USD
1371766.83000000
0.003711083910
Long
DBT
CORP
US
N
2
2022-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L7PC0
4775399.45000000
PA
USD
4454661.56000000
0.012051335899
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/BRL FORWARD
000000000
1.00000000
NC
USD
13576545.86000000
0.036729056137
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-63566468.87000000
USD
369257617.66000000
BRL
2022-04-19
13576545.86000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416RRB1
11006.82000000
PA
USD
11683.52000000
0.000031607793
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDU5
11010000.00000000
PA
USD
12864322.26000000
0.034802255251
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BQ8
17270000.00000000
PA
USD
16351112.35000000
0.044235178049
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
0.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F2T1
4144.77000000
PA
USD
4566.04000000
0.000012352651
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE21 Mortgage Trust
12592RBM0
11948000.00000000
PA
USD
11341617.49000000
0.030682834188
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
4.42091600
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCC7
36230000.00000000
PA
USD
33831865.29000000
0.091526408284
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65000000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
00186XAB9
26199546.97130000
PA
USD
25943053.41000000
0.070184557611
Long
LON
CORP
US
N
2
2026-10-01
Floating
2.70860000
N
N
N
N
N
N
ALI GROUP NORTH AMERICA
N/A
Ali Group North America Corp
000000000
32730000.00000000
PA
USD
32307292.05000000
0.087401932390
Long
LON
CORP
US
N
2
2028-12-20
Floating
2.44660000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1HM0
1829355.19000000
PA
USD
1737564.86000000
0.004700688816
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XA7H9
5668605.01000000
PA
USD
5435397.52000000
0.014704551710
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AK72
22570027.46000000
PA
USD
23644303.89000000
0.063965678300
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
SUNRUN CALLISTO ISSUER LLC
N/A
Sunrun Atlas Issuer 2019-2 LLC
86772FAA9
2454418.73000000
PA
USD
2411863.77000000
0.006524890846
Long
ABS-O
CORP
US
N
2
2055-02-01
Fixed
3.61000000
N
N
N
N
N
N
Jimmy John's Funding LLC
N/A
Jimmy Johns Funding LLC
47760QAB9
6384315.00000000
PA
USD
6414325.11000000
0.017352875280
Long
ABS-O
CORP
US
N
2
2047-07-30
Fixed
4.84600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2N6
788994.21000000
PA
USD
786187.85000000
0.002126898695
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201HY80
6668.20000000
PA
USD
7127.62000000
0.000019282574
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213EUP9
6973.44000000
PA
USD
7455.32000000
0.000020169111
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-9
54251WAD4
3190634.28000000
PA
USD
1239922.92000000
0.003354402438
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.61657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QG5Y9
4358626.50000000
PA
USD
4180921.51000000
0.011310778340
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378ES38
460886.46000000
PA
USD
16432.91000000
0.000044456467
Long
ABS-MBS
USGA
US
N
2
2027-04-20
Fixed
3.50000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2C4
13780000.00000000
PA
USD
13639182.18000000
0.036898508142
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L7M41
2235280.14000000
PA
USD
2083758.73000000
0.005637257971
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617B8HH4
7272178.73000000
PA
USD
7364008.17000000
0.019922082705
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
SINOPEC GRP OVERSEA 2014
549300ZIMV82UUECOQ45
Sinopec Group Overseas Development 2014 Ltd
82937WAE5
17660000.00000000
PA
USD
18144308.37000000
0.049086367590
Long
DBT
CORP
VG
N
2
2024-04-10
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380AK63
5271717.62000000
PA
USD
1104073.74000000
0.002986885382
Long
ABS-MBS
USGA
US
N
2
2046-10-16
Floating
5.66943000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QCS5
2390000.00000000
PA
USD
2429569.03000000
0.006572789442
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
3.53500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
41290000.00000000
PA
USD
38418035.24000000
0.103933517963
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B57A7
6094658.59000000
PA
USD
6015371.96000000
0.016273574787
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
2.56000000
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2021-1 Ltd
53948PAA6
14866740.12000000
PA
USD
13621640.23000000
0.036851051353
Long
ABS-O
CORP
US
N
2
2048-01-20
Fixed
2.29000000
N
N
N
N
N
N
Jefferies & Co
N/A
Jefferies Resecuritization Trust 2015-R1
47234DAB6
15685327.88000000
PA
USD
9509166.97000000
0.025725448215
Long
ABS-MBS
CORP
US
N
2
2036-12-26
Floating
0.32686000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-225927.56000000
-0.00061120892
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-26500000.00000000
AUD
19608398.00000000
USD
2022-04-19
-225927.56000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGNF4
8091890.85000000
PA
USD
7769565.91000000
0.021019250803
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QBN1
5490283.81000000
PA
USD
5597821.45000000
0.015143962271
Long
ABS-MBS
USGA
US
N
2
2070-04-20
Floating
1.69857000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A9YC5
154360.26000000
PA
USD
162458.49000000
0.000439504058
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QTR2
669.86000000
PA
USD
743.74000000
0.000002012063
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KKH80
3538517.18000000
PA
USD
3298290.40000000
0.008922968662
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKQ2
85923.32000000
PA
USD
90782.57000000
0.000245596939
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
5.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
15750000.00000000
PA
USD
15822230.76000000
0.042804378064
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YTW0
82723.08000000
PA
USD
3947.69000000
0.000010679809
Long
ABS-MBS
USGA
US
N
2
2026-10-16
Fixed
4.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AW9
1750000.00000000
PA
USD
1797459.84000000
0.004862724587
Long
DBT
CORP
GB
N
2
2026-03-08
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ALB2
167869.18000000
PA
USD
178784.03000000
0.000483670054
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDV3
1455000.00000000
PA
USD
1823329.96000000
0.004932711836
Long
DBT
CORP
US
N
2
2047-03-16
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDB4
20670000.00000000
PA
USD
19735005.37000000
0.053389730170
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.62500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-1261819.62000000
-0.00341364026
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-655864428.69000000
MXN
31603355.11000000
USD
2022-04-19
-1261819.62000000
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FY4
4490000.00000000
PA
USD
4636775.27000000
0.012544013841
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BJK9
237700.25000000
PA
USD
236585.34000000
0.000640041754
Long
ABS-MBS
USGA
US
N
2
2060-12-20
Floating
0.48629000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CR9
7590000.00000000
PA
USD
7775270.38000000
0.021034683285
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BP4
6847624.62000000
PA
USD
7333889.58000000
0.019840601937
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LS8
65050000.00000000
PA
USD
64529164.82000000
0.174572777319
Long
DBT
CORP
US
N
2
2028-10-27
Fixed
3.52000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7
46644PAG4
10175200.44000000
PA
USD
9406972.81000000
0.025448979142
Long
ABS-MBS
CORP
US
N
2
2028-05-15
Floating
4.14657000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KAH2
34330000.00000000
PA
USD
33664512.95000000
0.091073664740
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
1.89900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31287MC32
513.14000000
PA
USD
551.48000000
0.000001491936
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BPC6
17361.88000000
PA
USD
19585.33000000
0.000052984808
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMC7
89263.53000000
PA
USD
98033.10000000
0.000265212025
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412XG65
882.08000000
PA
USD
971.89000000
0.000002629284
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRUQ9
1995870.20000000
PA
USD
1913867.48000000
0.005177645834
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LEB5
9878405.75000000
PA
USD
9808564.43000000
0.026535417571
Long
ABS-MBS
USGA
US
N
2
2068-05-20
Floating
0.40629000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFV31
61314.93000000
PA
USD
66398.86000000
0.000179630922
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
AMBAC ASSURANCE CORP
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
298643.31000000
PA
USD
340453.37000000
0.000921039200
Long
DBT
CORP
US
N
2
N/A
Fixed
5.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202SYF9
11147.80000000
PA
USD
12517.13000000
0.000033862985
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
Terrier Media Buyer Inc
88145LAE4
25352511.46340000
PA
USD
24999858.03000000
0.067632901511
Long
LON
CORP
US
N
2
2026-12-17
Floating
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374MJ26
385885.40000000
PA
USD
48797.87000000
0.000132014411
Long
ABS-MBS
USGA
US
N
2
2036-04-20
Floating
6.54143000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131Y6Q93
2655955.28000000
PA
USD
2715188.63000000
0.007345485121
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFU8
3050000.00000000
PA
USD
3157323.49000000
0.008541606451
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
4.45000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHV5
9355971.11000000
PA
USD
886521.30000000
0.002398333930
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Variable
1.42610800
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132FGBJ4
19128.89000000
PA
USD
20139.52000000
0.000054484076
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291NZV6
638.10000000
PA
USD
681.88000000
0.000001844711
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4B40
5723785.49000000
PA
USD
5327813.32000000
0.014413500793
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AF4T5
7745211.56000000
PA
USD
7404083.09000000
0.020030498645
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAR2
8754000.00000000
PA
USD
8795844.12000000
0.023795673493
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F86B4
29925099.86000000
PA
USD
4967883.78000000
0.013439772098
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Fixed
2.50000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JY8
40290000.00000000
PA
USD
40576021.53000000
0.109771586085
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GXM3
2583033.20000000
PA
USD
2699377.10000000
0.007302709692
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
10440000.00000000
PA
USD
9764336.77000000
0.026415767093
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
3.14900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209BHF8
3612.49000000
PA
USD
3872.91000000
0.000010477505
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CHOP
12651QAS8
23400000.00000000
PA
USD
20843550.00000000
0.056388710792
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
5.74700000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BF5
1072000.00000000
PA
USD
1090304.34000000
0.002949634592
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FJR8
272.24000000
PA
USD
298.99000000
0.000000808867
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
5.00000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607GRK2
15070000.00000000
PA
USD
14794344.99000000
0.040023606391
Long
DBT
CORP
CA
N
2
2023-06-23
Fixed
0.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXG89
20362138.94000000
PA
USD
21741511.77000000
0.058817994985
Long
ABS-MBS
USGSE
US
N
2
2057-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290WMW9
17904.28000000
PA
USD
19311.04000000
0.000052242763
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329L6Z0
720083.34000000
PA
USD
750015.95000000
0.002029041717
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
BROOKFIELD WEC HOLDINGS
5493002M6GRSU1IWMG57
Brookfield WEC Holdings Inc
11284EAM5
8275905.03150000
PA
USD
8142745.72000000
0.022028825869
Long
LON
CORP
US
N
2
2025-08-01
Floating
3.25000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CB0
3900000.00000000
PA
USD
4182507.50000000
0.011315068968
Long
DBT
NUSS
ID
N
2
2047-07-18
Fixed
4.75000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
273500000.00000000
PA
43931802.27000000
0.118850085171
Long
DBT
NUSS
CN
N
2
2025-11-30
Fixed
3.31000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203RZW2
663.91000000
PA
USD
669.69000000
0.000001811733
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9FH0
7277.89000000
PA
USD
7882.97000000
0.000021326046
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAD4
26130000.00000000
PA
USD
26449472.17000000
0.071554588196
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BU3
4490000.00000000
PA
USD
4520442.20000000
0.012229294331
Long
DBT
NUSS
BR
N
2
2023-01-05
Fixed
2.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KHTT3
3825260.59000000
PA
USD
3847125.66000000
0.010407749938
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAG5
9800000.00000000
PA
USD
10158295.64000000
0.027481556403
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
4.87500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBB4
3892000.00000000
PA
USD
4155858.61000000
0.011242974889
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
7.60000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFF6
4300000.00000000
PA
USD
4432480.46000000
0.011991328672
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-7870695.86000000
-0.02129284083
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-20
1462019.60000000
USD
0.00000000
USD
3847470000.00000000
MXN
-9332715.46000000
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C31
46644YBA7
10543000.00000000
PA
USD
10667491.74000000
0.028859100614
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Variable
4.62213500
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 5 Year Euro BOBL
000000000
1460.00000000
NC
-3999328.26000000
-0.01081950841
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
210587822.33000000
USD
-3999328.26000000
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
203372AX5
840000.00000000
PA
USD
774799.20000000
0.002096088622
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERNP1
730016.46000000
PA
USD
724789.10000000
0.001960794727
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131WHFU6
4564.40000000
PA
USD
4930.78000000
0.000013339394
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DF6
32540000.00000000
PA
USD
30717760.00000000
0.083101721387
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375K4K5
1505712.71000000
PA
USD
136927.41000000
0.000370434025
Long
ABS-MBS
USGA
US
N
2
2037-08-20
Floating
6.13143000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CF5
1933000.00000000
PA
USD
2136384.65000000
0.005779628526
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.66300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M5Y45
357469.16000000
PA
USD
373694.77000000
0.001010968204
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LNV0
11964916.88000000
PA
USD
12732673.41000000
0.034446101481
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
49585000.00000000
PA
USD
49845926.19000000
0.134849750454
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBN0
3940000.00000000
PA
USD
3994403.36000000
0.010806184927
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AQPP6
29241174.28000000
PA
USD
28076036.30000000
0.075954983249
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDZM6
2479805.44000000
PA
USD
2589335.62000000
0.007005011018
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XC6P8
3019530.02000000
PA
USD
2909507.56000000
0.007871182228
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLS4
3065877.04000000
PA
USD
3118622.33000000
0.008436906987
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A4KN7
3497662.65000000
PA
USD
3784824.64000000
0.010239205030
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BKV81
525761.26000000
PA
USD
530384.73000000
0.001434866476
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXBD3
251956.09000000
PA
USD
267683.96000000
0.000724173828
Long
ABS-MBS
USGSE
US
N
2
2055-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXKP6
2632929.09000000
PA
USD
2811065.17000000
0.007604862937
Long
ABS-MBS
USGSE
US
N
2
2058-08-01
Fixed
4.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAB6
33650000.00000000
PA
USD
31193213.50000000
0.084387980681
Long
DBT
NUSS
MX
N
2
2047-01-15
Fixed
4.35000000
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAJ4
5365000.00000000
PA
USD
5854261.18000000
0.015837716731
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KLVW9
2813910.20000000
PA
USD
2622885.43000000
0.007095774373
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AJ8
320000.00000000
PA
USD
329819.20000000
0.000892270245
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WVAJ0
85103.29000000
PA
USD
87954.13000000
0.000237945071
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BB9
4322000.00000000
PA
USD
4352678.38000000
0.011775437597
Long
DBT
CORP
US
N
2
2025-02-12
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31383BZ75
5904.80000000
PA
USD
6309.88000000
0.000017070316
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
6.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
14260310.06000000
0.038578864914
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-11-18
0.00000000
USD
-1921594.48000000
USD
-520862000.00000000
USD
16181904.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A9Z49
45572.84000000
PA
USD
48530.25000000
0.000131290410
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-RPL3 Trust
12656PAC0
22427006.87000000
PA
USD
22035707.18000000
0.059613891072
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
2.69100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBQ52
14740180.64000000
PA
USD
14152904.57000000
0.038288297466
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
11430000.00000000
PA
USD
11192198.16000000
0.030278605380
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-2174.00000000
NC
USD
-1188906.25000000
-0.00321638543
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.75000000
USD
2022-04-22
XXXX
489.61000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A0MT8
1219888.77000000
PA
USD
1202040.93000000
0.003251919100
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513JB34
14340000.00000000
PA
USD
14218841.34000000
0.038466678282
Long
DBT
NUSS
IL
N
2
2030-07-03
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FZD1
34435.88000000
PA
USD
38259.48000000
0.000103504573
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
6.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBV0
10890000.00000000
PA
USD
10804074.74000000
0.029228602895
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFSY8
3341420.31000000
PA
USD
3200955.19000000
0.008659644660
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCS8
40660000.00000000
PA
USD
36972011.14000000
0.100021543526
Long
DBT
UST
US
N
2
2031-08-15
Fixed
1.25000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAH6
6750000.00000000
PA
USD
6292402.72000000
0.017023034807
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.30000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBL6
16140000.00000000
PA
USD
14059974.61000000
0.038036891125
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296UYN5
7618.62000000
PA
USD
8137.44000000
0.000022014472
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CX4
4650000.00000000
PA
USD
4688620.53000000
0.012684272452
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WQMU3
6075115.55000000
PA
USD
6198946.76000000
0.016770205462
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EP9
4750000.00000000
PA
USD
4414294.99000000
0.011942130948
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
2.87500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BY1
23930000.00000000
PA
USD
27355018.82000000
0.074004392003
Long
DBT
NUSS
ID
N
2
2047-01-08
Fixed
5.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SX7
255615000.00000000
PA
USD
250787271.07000000
0.678462685036
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300L45M7638EL0H21
GS Mortgage Securities Trust 2015-GC30
36250GAU9
16340000.00000000
PA
USD
16179662.12000000
0.043771348354
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
4.02808400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M3XW9
378383.52000000
PA
USD
396046.22000000
0.001071436284
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
42910000.00000000
PA
USD
42742024.94000000
0.115631343173
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AJ3Q3
39918.74000000
PA
USD
41421.56000000
0.000112059047
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG33
237338.78000000
PA
USD
236422.37000000
0.000639600866
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B7QQ5
366297.84000000
PA
USD
15713.22000000
0.000042509467
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AWL77
16569213.27000000
PA
USD
15404846.77000000
0.041675216040
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411WCS4
2878.56000000
PA
USD
3067.25000000
0.000008297927
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EY5
13010000.00000000
PA
USD
11803259.14000000
0.031931727851
Long
DBT
CORP
US
N
2
2030-05-28
Fixed
1.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAHA5
2561991.96000000
PA
USD
2554338.50000000
0.006910332210
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376R6U5
18941695.17000000
PA
USD
1161069.09000000
0.003141076694
Long
ABS-MBS
USGA
US
N
2
2067-09-20
Variable
1.61368000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XC5B0
711404.30000000
PA
USD
710530.29000000
0.001922219920
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BZA7
26246608.46000000
PA
USD
26103568.64000000
0.070618804507
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3TR8
893118.76000000
PA
USD
830692.90000000
0.002247299605
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAL5
19660000.00000000
PA
USD
17908195.70000000
0.048447604565
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
RUB/USD FORWARD
000000000
1.00000000
NC
USD
-3099929.01000000
-0.00838633536
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1312892768.00000000
RUB
12726213.78000000
USD
2022-04-19
-3099929.01000000
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-G
63941UAA1
2917031.04000000
PA
USD
2822144.10000000
0.007634835115
Long
ABS-O
CORP
US
N
2
2069-09-16
Fixed
1.17000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291NXP1
30705.69000000
PA
USD
33534.90000000
0.000090723018
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDW9
4790000.00000000
PA
USD
4509312.23000000
0.012199184074
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
8650000.00000000
PA
USD
8503914.30000000
0.023005906578
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032654
35700000.00000000
PA
USD
35800406.25000000
0.096851964001
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9K38
5598165.23000000
PA
USD
5353118.48000000
0.014481959637
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382KW20
18013.67000000
PA
USD
19348.82000000
0.000052344970
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291LJ48
64621.46000000
PA
USD
70311.00000000
0.000190214557
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129296L1
12736.45000000
PA
USD
13768.93000000
0.000037249518
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.00000000
N
N
N
N
N
N
CONTL AIRLINES 2007-1
N/A
Continental Airlines 2007-1 Class A Pass Through Trust
21079NAA9
1758907.55000000
PA
USD
1761458.67000000
0.004765329491
Long
DBT
CORP
US
N
2
2022-04-19
Fixed
5.98300000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBG7
1842000.00000000
PA
USD
2064430.29000000
0.005584968135
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413AGT4
23656.67000000
PA
USD
25256.36000000
0.000068326824
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6AY0
11202547.63000000
PA
USD
10724974.29000000
0.029014609962
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201FBJ5
10422.57000000
PA
USD
11137.06000000
0.000030129438
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B4A30
1323132.06000000
PA
USD
58812.43000000
0.000159107114
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3HD2
796943.04000000
PA
USD
740992.07000000
0.002004629131
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X75N9
149187.12000000
PA
USD
158829.26000000
0.000429685788
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BBKQ3
600754.83000000
PA
USD
611847.46000000
0.001655250159
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
PHOENIX GUARANTOR INC
N/A
Phoenix Guarantor Inc
71913BAE2
23742584.71150000
PA
USD
23516317.88000000
0.063619433725
Long
LON
CORP
US
N
2
2026-03-05
Floating
3.45860000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBX0
5450000.00000000
PA
USD
5403184.50000000
0.014617404814
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-7
45254NQX8
1642992.45000000
PA
USD
1535070.52000000
0.004152874515
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.97657000
N
N
N
N
N
N
FORD MOTOR CREDI
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B69
17640000.00000000
PA
USD
15964376.40000000
0.043188929131
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
3.62500000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BX1
19298000.00000000
PA
USD
19550947.18000000
0.052891791765
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
2.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
2077752.38000000
0.005621008803
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2032-03-18
1620828.16000000
USD
0.00000000
USD
-199961000.00000000
USD
456924.22000000
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
13125000.00000000
PA
USD
13173809.91000000
0.035639521916
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBK5
166075.99000000
PA
USD
175093.61000000
0.000473686245
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2PV9
9336982.48000000
PA
USD
8693987.45000000
0.023520117443
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
AETNA INC
549300QKBENKLBXQ8968
Aetna Inc
00817YAV0
2610000.00000000
PA
USD
2621107.51000000
0.007090964511
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
2.80000000
N
N
N
N
N
N
2022-05-20
Western Asset Funds Inc
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer
XXXX