NPORT-P false 0001028621 XXXXXXXX S000062249 C000201585 C000201586 METROPOLITAN WEST FUNDS 811-07989 0001028621 549300KGDNJW6FXNDC82 865 South Figueroa Street SUITE 1800 Los Angeles 90017 800-241-4671 Metropolitan West Investment Grade Credit Fund S000062249 5493002BN5Y3E3XLWK38 2022-03-31 2022-03-31 N 13133728.04 2290754.29 10842973.75 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1805255.59000000 0.00000000 122986.96000000 USD N NARRAGANSETT ELECTRIC VAI0KZ806W8MCH0BCZ61 631005BJ3 35000.00000000 PA USD 34449.05000000 0.317708506856 Long DBT CORP US N 2 2030-04-09 Fixed 3.39500000 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 64990FQY3 25000.00000000 PA USD 23729.61000000 0.218847804551 Long DBT MUN US N 2 2032-02-15 Fixed 2.95700000 N N N N N N LXP INDUSTRIAL TRUST 549300S4MH2ICXDBFV43 529043AE1 25000.00000000 PA USD 23109.45000000 0.213128340368 Long DBT CORP US N 2 2030-09-15 Fixed 2.70000000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAS6 20000.00000000 PA USD 19689.20000000 0.181584871954 Long DBT CORP US N 2 2025-05-15 Fixed 3.60000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAE0 60000.00000000 PA USD 63236.97000000 0.583206890084 Long DBT CORP US N 2 2028-03-20 Fixed 5.15200000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAW1 50000.00000000 PA USD 46000.50000000 0.424242473149 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AN2 35000.00000000 PA USD 33666.08000000 0.310487517319 Long DBT CORP US N 2 2024-10-01 Fixed 1.80000000 N N N N N N Morgan Stanley BAML Trust N/A 61690FAN3 676165.58000000 PA USD 15099.25000000 0.139253772517 Long ABS-MBS CORP US N 2 2048-04-15 Variable 1.01887600 N N N N N N Long Beach Mortgage Loan Trust N/A 542514RH9 5027.45000000 PA USD 4957.48000000 0.045720667727 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.89657000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XXC7 100000.00000000 PA USD 84149.13000000 0.776070586724 Long DBT MUN US N 2 2033-02-01 Fixed 1.97000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AT5 45000.00000000 PA USD 40243.42000000 0.371147444675 Long DBT CORP CH N 2 2027-02-02 Fixed 1.30500000 N N N N N N COMM Mortgage Trust 549300FVY7JUBJ0PIH53 12625FAF3 486773.09000000 PA USD 3812.36000000 0.035159727284 Long ABS-MBS CORP US N 2 2046-03-10 Variable 1.16707500 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAH0 25000.00000000 PA USD 25097.41000000 0.231462425148 Long DBT CORP US N 2 2029-04-01 Fixed 3.90000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDY4 163000.00000000 PA USD 156569.14000000 1.443968634527 Long DBT UST US N 1 2032-02-15 Fixed 1.87500000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAR2 21000.00000000 PA USD 18587.72000000 0.171426404126 Long DBT CORP KY N 2 2027-11-18 Fixed 2.52800000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DE7 30000.00000000 PA USD 29764.15000000 0.274501725137 Long DBT CORP US N 2 2032-02-22 Fixed 3.35000000 N N N N N N BACARDI LTD 549300R32WTQNHNN5055 067316AF6 15000.00000000 PA USD 15625.03000000 0.144102811279 Long DBT CORP BM N 2 2028-05-15 Fixed 4.70000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92556HAD9 30000.00000000 PA USD 30061.67000000 0.277245621847 Long DBT CORP US N 2 2032-05-19 Fixed 4.20000000 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98389BAY6 20000.00000000 PA USD 19991.60000000 0.184373774768 Long DBT CORP US N 2 2030-06-01 Fixed 3.40000000 N N N N N N SLM Student Loan Trust 549300Z0R4ETZBES8I71 78443XAE8 70000.00000000 PA USD 64919.64000000 0.598725418845 Long ABS-O CORP US N 2 2025-07-25 Floating 0.42771000 N N N N N N BALTIMORE MD REVENUE N/A 059231Y38 15000.00000000 PA USD 13348.74000000 0.123109585135 Long DBT MUN US N 2 2033-07-01 Fixed 2.12500000 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PAV9 10000.00000000 PA USD 9152.41000000 0.084408670637 Long DBT CORP US N 2 2032-03-15 Fixed 2.65000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEC5 35000.00000000 PA USD 32285.96000000 0.297759274756 Long DBT CORP US N 2 2027-07-20 Fixed 1.51200000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDP4 20000.00000000 PA USD 21065.97000000 0.194282218934 Long DBT CORP US N 2 2028-12-15 Fixed 3.87500000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAR0 40000.00000000 PA USD 43026.26000000 0.396812359708 Long DBT CORP US N 2 2035-05-14 Fixed 4.50000000 N N N N N N 321 Henderson Receivables LLC N/A 46617LAA9 33049.42000000 PA USD 34281.75000000 0.316165572198 Long ABS-O CORP US N 2 2073-01-17 Fixed 4.08000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMM1 144000.00000000 PA USD 128222.28000000 1.182537954590 Long DBT CORP US N 2 2033-12-01 Fixed 2.55000000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BS1 15000.00000000 PA USD 13626.90000000 0.125674933041 Long DBT CORP US N 2 2032-04-15 Fixed 2.70300000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAF9 10000.00000000 PA USD 9562.82000000 0.088193702396 Long DBT CORP US N 2 2024-11-15 Fixed 1.50000000 N N N N N N GSR Mortgage Loan Trust N/A 362341RX9 11643.13000000 PA USD 11776.47000000 0.108609227242 Long ABS-MBS CORP US N 2 2035-09-25 Variable 2.91022700 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBJ7 35000.00000000 PA USD 34048.69000000 0.314016161848 Long DBT CORP US N 2 2030-05-15 Fixed 3.62500000 N N N N N N ALCON FINANCE CORP 549300CUZUI9VU7XNK42 01400EAA1 30000.00000000 PA USD 29090.82000000 0.268291897321 Long DBT CORP US N 2 2026-09-23 Fixed 2.75000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 45000.00000000 PA USD 46065.42000000 0.424841201888 Long DBT CORP US N 2 2028-12-15 Fixed 4.37500000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAR8 10000.00000000 PA USD 9719.13000000 0.089635281096 Long DBT CORP US N 2 2029-07-15 Fixed 4.95000000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAZ3 30000.00000000 PA USD 27393.87000000 0.252641670372 Long DBT CORP US N 2 2026-10-15 Fixed 1.57300000 N N N N N N EQUITABLE FINANCIAL LIFE 635400B4JJBON4TCHF02 29449WAF4 25000.00000000 PA USD 22504.72000000 0.207551180320 Long DBT CORP US N 2 2028-03-08 Fixed 1.80000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYG3 140000.00000000 PA USD 128374.67000000 1.183943380846 Long DBT CORP US N 2 2027-09-10 Fixed 1.54200000 N N N N N N HEALTHPEAK PROPERTIES PZ9HF5U52KPF0MH0QN75 40414LAN9 65000.00000000 PA USD 66143.92000000 0.610016417313 Long DBT CORP US N 2 2025-06-01 Fixed 4.00000000 N N N N N N AMERICAN HOMES 4 RENT 549300N4PXZ37U8QKI55 02666TAC1 30000.00000000 PA USD 26560.87000000 0.244959276047 Long DBT CORP US N 2 2031-07-15 Fixed 2.37500000 N N N N N N Natixis Commercial Mortgage Se N/A 63875DAE1 570000.00000000 PA USD 12769.00000000 0.117762896917 Long ABS-MBS CORP US N 2 2038-12-15 Variable 0.80797900 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GNR5 41532.41000000 PA USD 40250.47000000 0.371212463739 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.08657000 N N N N N N COMM Mortgage Trust N/A 20048EAZ4 2058633.18000000 PA USD 8794.89000000 0.081111420195 Long ABS-MBS CORP US N 2 2046-01-10 Variable 1.26277800 N N N N N N BARNABAS HEALTH INC 549300P076255Y69C077 06769QAA8 15000.00000000 PA USD 15320.67000000 0.141295832243 Long DBT CORP US N 2 2028-07-01 Fixed 4.00000000 N N N N N N PROV ST JOSEPH HLTH OBL N/A 743756AB4 20000.00000000 PA USD 19815.03000000 0.182745346957 Long DBT CORP US N 2 2026-10-01 Fixed 2.74600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380Y2X2 27918.76000000 PA USD 28263.25000000 0.260659581510 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.50000000 N N N N N N GS Mortgage Securities Trust N/A 36258PAC1 375000.00000000 PA USD 3509.72000000 0.032368611055 Long ABS-MBS CORP US N 2 2037-02-10 Variable 0.35158300 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9VM7 28514.38000000 PA USD 27667.58000000 0.255165977875 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 2.50000000 N N N N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAG3 60000.00000000 PA USD 52512.00000000 0.484295187009 Long DBT CORP US N 2 2032-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381RME6 25320.71000000 PA USD 25515.33000000 0.235316718349 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N PROGRESSIVE CORP 529900TACNVLY9DCR586 743315AZ6 10000.00000000 PA USD 9741.05000000 0.089837439659 Long DBT CORP US N 2 2032-03-15 Fixed 3.00000000 N N N N N N EVERGY MISSOURI WEST INC EZIFUDC0VSUS6T6LCG85 30037EAA1 25000.00000000 PA USD 25212.68000000 0.232525509895 Long DBT CORP US N 2 2032-03-15 Fixed 3.75000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020653 325000.00000000 PA USD 301150.59000000 2.777380052220 Long ABS-MBS USGSE US N 2 2052-05-15 Fixed 2.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 10000.00000000 PA USD 9009.00000000 0.083086062990 Long DBT CORP CH N 2 2032-05-14 Fixed 3.09100000 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WAN6 40000.00000000 PA USD 39991.20000000 0.368821330034 Long DBT CORP KY N 2 2029-04-11 Fixed 3.97500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020646 25000.00000000 PA USD 23193.48000000 0.213903312271 Long ABS-MBS USGSE US N 2 2051-04-15 Fixed 2.00000000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 882384AC4 10000.00000000 PA USD 10035.36000000 0.092551731945 Long DBT CORP US N 2 2022-10-15 Fixed 2.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A1L60 78330.06000000 PA USD 8237.59000000 0.075971686272 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 5.54343000 N N N N N N HUDSON PACIFIC PROPERTIE 5493007NTUGLGZ8T3526 44409MAA4 75000.00000000 PA USD 75448.31000000 0.695826732956 Long DBT CORP US N 2 2027-11-01 Fixed 3.95000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 10.00000000 NC USD -29731.18000000 -0.27419765726 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 1176606.18000000 USD -29731.18000000 N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659BD2 25000.00000000 PA USD 21802.38000000 0.201073805975 Long DBT CORP US N 2 2031-05-15 Fixed 1.65000000 N N N N N N ILLUMINA INC SQ95QG8SR5Q56LSNF682 452327AM1 30000.00000000 PA USD 27289.10000000 0.251675422528 Long DBT CORP US N 2 2031-03-23 Fixed 2.55000000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAK6 30000.00000000 PA USD 29015.54000000 0.267597622838 Long DBT CORP US N 2 2030-11-15 Fixed 3.87500000 N N N N N N DELTA AIR LINES 2020-AA N/A 247361ZV3 22757.72760000 PA USD 20889.35000000 0.192653329996 Long DBT CORP US N 2 2028-06-10 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -16673.72000000 -0.15377442004 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-07-24 0.00000000 USD 0.00000000 USD 470000.00000000 USD -16673.72000000 N N N CIM Trust N/A 12598HAB1 80928.88000000 PA USD 76736.76000000 0.707709543242 Long ABS-MBS CORP US N 2 2061-05-01 Variable 2.00000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XUY2 50000.00000000 PA USD 44485.72000000 0.410272320358 Long DBT MUN US N 2 2033-11-01 Fixed 2.50000000 N N N N N N FRESENIUS MED CARE III 5299006ZHLMXOOUVTU44 35805BAC2 20000.00000000 PA USD 18583.41000000 0.171386654883 Long DBT CORP US N 2 2026-12-01 Fixed 1.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381AYA8 3164.59000000 PA USD 3197.92000000 0.029493016157 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 3.50000000 N N N N N N PERKINELMER INC 549300IKL1SDPFI7N655 714046AN9 35000.00000000 PA USD 31031.03000000 0.286185604756 Long DBT CORP US N 2 2031-09-15 Fixed 2.25000000 N N N N N N GS Mortgage Securities Trust N/A 36251PAF1 209630.98000000 PA USD 8965.37000000 0.082683682601 Long ABS-MBS CORP US N 2 2049-10-10 Variable 1.19896200 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FQ6 30000.00000000 PA USD 28065.18000000 0.258832868612 Long DBT CORP US N 2 2036-04-06 Fixed 2.89100000 N N N N N N SLM Student Loan Trust 549300R59P5DXM48DO55 78445GAE3 30000.00000000 PA USD 30066.36000000 0.277288875664 Long ABS-O CORP US N 2 2075-10-25 Floating 2.50771000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 35000.00000000 PA USD 32680.73000000 0.301400065641 Long DBT CORP US N 2 2033-04-15 Fixed 3.41900000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAD2 56250.00000000 PA USD 57455.49000000 0.529886831091 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BX1 100000.00000000 PA USD 85564.65000000 0.789125307990 Long DBT CORP US N 2 2032-02-01 Fixed 2.30000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AP4 20000.00000000 PA USD 19558.00000000 0.180374871791 Long DBT CORP US N 2 2030-01-15 Fixed 4.00000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397WF6 25000.00000000 PA USD 25183.25000000 0.232254089889 Long DBT CORP US N 2 2022-09-20 Fixed 4.25000000 N N N N N N COMM Mortgage Trust 549300C72XVZH4MIKU63 12625UBC6 13811967.60000000 PA USD 3708.51000000 0.034201964198 Long ABS-MBS CORP US N 2 2045-07-10 Variable 0.05143100 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AV2 40000.00000000 PA USD 40617.59000000 0.374598250779 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46643PBG4 1477974.81000000 PA USD 26536.30000000 0.244732677693 Long ABS-MBS CORP US N 2 2047-11-15 Variable 0.82488200 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BLN38 250000.00000000 PA USD 11135.95000000 0.102701991693 Long ABS-MBS USGSE US N 2 2043-10-25 Variable 1.55360100 N N N N N N LOS ANGELES CA UNIF SCH DIST N/A 544646ZR6 10000.00000000 PA USD 12707.92000000 0.117199582817 Long DBT MUN US N 2 2034-07-01 Fixed 6.75800000 N N N N N N NEW YORK ST URBAN DEV CORP SAL 54930039Y2EMGXN6LM88 64985TDM0 25000.00000000 PA USD 22284.32000000 0.205518527608 Long DBT MUN US N 2 2035-03-15 Fixed 2.59000000 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAG2 10000.00000000 PA USD 10240.25000000 0.094441342717 Long DBT CORP US N 2 2026-01-15 Fixed 4.12500000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738BC1 10000.00000000 PA USD 9244.02000000 0.085253549562 Long DBT CORP US N 2 2030-06-01 Fixed 2.65000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -27519.07000000 -0.25379633516 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-09-28 0.00000000 USD 0.00000000 USD 1010000.00000000 USD -27519.07000000 N N N HEALTHCARE REALTY TRUST 549300CB86LH2IOKHH22 421946AJ3 20000.00000000 PA USD 20252.08000000 0.186776067773 Long DBT CORP US N 2 2025-05-01 Fixed 3.87500000 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAP7 5000.00000000 PA USD 4684.66000000 0.043204568303 Long DBT CORP US N 2 2030-02-15 Fixed 3.05000000 N N N N N N Credit Suisse Mortgage Trust N/A 12594PAX9 318388.64000000 PA USD 8638.07000000 0.079665137988 Long ABS-MBS CORP US N 2 2049-12-15 Variable 0.71314400 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAR2 25000.00000000 PA USD 23943.37000000 0.220819219450 Long DBT CORP US N 2 2030-07-01 Fixed 3.30000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 6757.24000000 0.062319066298 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2053-09-28 0.00000000 USD 0.00000000 USD 85000.00000000 USD 6757.24000000 N N N SL GREEN OPERATING PARTN 2K1OXW4LY7IS2U150Y32 78444FAF3 35000.00000000 PA USD 35013.00000000 0.322909570817 Long DBT CORP US N 2 2022-10-15 Fixed 3.25000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022659 450000.00000000 PA USD 428473.32000000 3.951621850970 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.50000000 N N N N N N LXP INDUSTRIAL TRUST 549300S4MH2ICXDBFV43 529537AA0 25000.00000000 PA USD 22223.31000000 0.204955859088 Long DBT CORP US N 2 2031-10-01 Fixed 2.37500000 N N N N N N Fannie Mae or Freddie Mac N/A 01F030652 100000.00000000 PA USD 97625.01000000 0.900352728420 Long ABS-MBS USGSE US N 2 2052-05-15 Fixed 3.00000000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAD4 29092.35000000 PA USD 28746.99000000 0.265120903755 Long ABS-O CORP US N 2 2023-07-25 Floating 1.35771000 N N N N N N NEW YORK ST URBAN DEV CORP SAL 54930039Y2EMGXN6LM88 64985TBJ9 15000.00000000 PA USD 14074.63000000 0.129804150821 Long DBT MUN US N 2 2034-03-15 Fixed 2.97000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAF0 65000.00000000 PA USD 68360.03000000 0.630454629662 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N MMI CAPITAL TRUST I N/A 553086AC3 50000.00000000 PA USD 58701.15000000 0.541375007940 Long DBT CORP US N 2 2027-12-15 Fixed 7.62500000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46642NBF2 1906476.07000000 PA USD 29571.35000000 0.272723615142 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.81835500 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBA7 15000.00000000 PA USD 13993.43000000 0.129055278769 Long DBT CORP US N 2 2030-01-15 Fixed 2.90000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1902.70000000 0.017547769125 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2053-07-24 0.00000000 USD 0.00000000 USD 20000.00000000 USD 1902.70000000 N N N SES SA 5493008JPA4HYMH1HX51 78413HAA7 15000.00000000 PA USD 15087.91000000 0.139149188662 Long DBT CORP LU N 2 2023-04-04 Fixed 3.60000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAB2 45000.00000000 PA USD 46098.90000000 0.425149973271 Long DBT CORP N/A N 2 2030-01-15 Fixed 5.50000000 N N N N N N CBOE GLOBAL MARKETS INC 529900RLNSGA90UPEH54 12503MAD0 15000.00000000 PA USD 14521.83000000 0.133928480643 Long DBT CORP US N 2 2032-03-16 Fixed 3.00000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71643VAB1 13000.00000000 PA USD 12382.50000000 0.114198376621 Long DBT CORP MX N 2 2032-02-16 Fixed 6.70000000 N N N N N N MSILF Government Portfolio 549300BI6Y5SI6BYPB26 61747C707 150000.00000000 NS USD 150000.00000000 1.383384332181 Long STIV RF US N 1 N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 6499022E2 50000.00000000 PA USD 55810.29000000 0.514713871736 Long DBT MUN US N 2 2033-03-15 Fixed 5.28900000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAM8 25000.00000000 PA USD 23701.09000000 0.218584777077 Long DBT CORP CA N 2 2030-01-25 Fixed 2.95000000 N N N N N N LIFE STORAGE LP X0MIGH67XZCB7HL1A534 53227JAC8 40000.00000000 PA USD 35407.19000000 0.326545012617 Long DBT CORP US N 2 2030-10-15 Fixed 2.20000000 N N N N N N WRKCO INC 549300JEB576INN13W07 92940PAG9 10000.00000000 PA USD 9345.17000000 0.086186411730 Long DBT CORP US N 2 2033-06-15 Fixed 3.00000000 N N N N N N Morgan Stanley BAML Trust N/A 61764PBV3 1828271.83000000 PA USD 36255.73000000 0.334370725558 Long ABS-MBS CORP US N 2 2047-12-15 Variable 0.95896900 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 453140AF2 40000.00000000 PA USD 40347.37000000 0.372106130018 Long DBT CORP GB N 2 2025-07-21 Fixed 4.25000000 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBD5 15000.00000000 PA USD 14548.62000000 0.134175553085 Long DBT CORP US N 2 2031-01-30 Fixed 3.25000000 N N N N N N American Home Mortgage Investm N/A 02660TCC5 56893.61000000 PA USD 56979.13000000 0.525493571355 Long ABS-MBS CORP US N 2 2045-02-25 Floating 1.13657000 N N N N N N AMCOR FINANCE USA INC 549300ZMT7FVT8R77U18 02343UAG0 25000.00000000 PA USD 25355.95000000 0.233846826383 Long DBT CORP US N 2 2026-04-28 Fixed 3.62500000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BT8 10000.00000000 PA USD 10035.28000000 0.092550994140 Long DBT CORP US N 2 2029-03-23 Fixed 3.70000000 N N N N N N STERIS PLC 549300BRDKZ1HFI2J358 85917PAA5 30000.00000000 PA USD 27497.22000000 0.253594822176 Long DBT CORP IE N 2 2031-03-15 Fixed 2.70000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAA5 60000.00000000 PA USD 60355.14000000 0.556629033617 Long DBT CORP GB N 2 2024-03-08 Fixed 3.76600000 N N N N N N SLM Student Loan Trust 549300SRMXHPGI3BJ386 78444YAE5 35000.00000000 PA USD 34956.77000000 0.322390986144 Long ABS-O CORP US N 2 2073-07-25 Floating 2.10771000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CBL8 45000.00000000 PA USD 41331.56000000 0.381182883523 Long DBT CORP US N 2 2031-06-15 Fixed 2.55000000 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAL7 65000.00000000 PA USD 65406.66000000 0.603216991095 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468X0 165000.00000000 PA USD 142974.94000000 1.318595279270 Long DBT CORP US N 2 2032-04-28 Fixed 1.92800000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CED9 45000.00000000 PA USD 44070.39000000 0.406441913594 Long DBT UST US N 1 2025-03-15 Fixed 1.75000000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AR1 10000.00000000 PA USD 9938.34000000 0.091656958959 Long DBT CORP US N 2 2026-07-01 Fixed 2.90000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BQ5 46000.00000000 PA USD 42416.83000000 0.391191853618 Long DBT CORP US N 2 2029-11-15 Fixed 3.87500000 N N N N N N CUBESMART LP 549300MPHKO3I3FJRA97 22966RAE6 15000.00000000 PA USD 15716.34000000 0.144944923434 Long DBT CORP US N 2 2029-02-15 Fixed 4.37500000 N N N N N N Wells Fargo Commercial Mortgag 5493007CD1Q2V06I4172 94989AAX3 4961859.00000000 PA USD 103646.78000000 0.955888876886 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.03400100 N N N N N N AMERICAN ASSETS TRUST LP 549300V1TI0SMG9Z6U69 02401LAA2 25000.00000000 PA USD 23526.08000000 0.216970736464 Long DBT CORP US N 2 2031-02-01 Fixed 3.37500000 N N N N N N SLM Student Loan Trust 54930067BGNOZYMNWK87 78445FAE5 20000.00000000 PA USD 19900.48000000 0.183533414899 Long ABS-O CORP US N 2 2083-07-26 Floating 2.10771000 N N N N N N US AIRWAYS 2011-1A PTT N/A 903436AA1 16850.07080900 PA USD 17288.98000000 0.159448693675 Long DBT CORP US N 2 2023-10-22 Fixed 7.12500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -12010.94000000 -0.11077164140 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-07-24 0.00000000 USD 0.00000000 USD 340000.00000000 USD -12010.94000000 N N N Impac CMB Trust N/A 45254NKD8 91452.22000000 PA USD 91653.59000000 0.845280935960 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.23657000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966QRQ5 30000.00000000 PA USD 26350.65000000 0.243020509018 Long DBT MUN US N 2 2031-08-01 Fixed 1.92300000 N N N N N N SONOCO PRODUCTS CO GKOMIK4RDJGHEF0VNP11 835495AL6 25000.00000000 PA USD 24066.66000000 0.221956269146 Long DBT CORP US N 2 2030-05-01 Fixed 3.12500000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36192CAG0 3073346.33000000 PA USD 24768.41000000 0.228428202180 Long ABS-MBS CORP US N 2 2046-02-10 Variable 1.47208200 N N N N N N Citigroup Commercial Mortgage N/A 17321JAJ3 7309012.26000000 PA USD 65465.73000000 0.603761767845 Long ABS-MBS CORP US N 2 2046-09-10 Variable 0.81707300 N N N N N N REGENERON PHARMACEUTICAL 549300RCBFWIRX3HYQ56 75886FAE7 25000.00000000 PA USD 21685.51000000 0.199995965129 Long DBT CORP US N 2 2030-09-15 Fixed 1.75000000 N N N N N N STARBUCKS CORP OQSJ1DU9TAOC51A47K68 855244AZ2 20000.00000000 PA USD 18630.20000000 0.171818178569 Long DBT CORP US N 2 2030-11-15 Fixed 2.55000000 N N N N N N JETBLUE 2019-1 CLASS AA N/A 477143AH4 30183.45000000 PA USD 27888.76000000 0.257205824186 Long DBT CORP US N 2 2032-05-15 Fixed 2.75000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAG6 30000.00000000 PA USD 32944.19000000 0.303829841882 Long DBT CORP US N 2 2034-12-01 Fixed 5.30000000 N N N N N N US AIRWAYS 2010-1A PTT N/A 90345KAA8 3221.28082600 PA USD 3240.63000000 0.029886911789 Long DBT CORP US N 2 2023-04-22 Fixed 6.25000000 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBK5 45000.00000000 PA USD 47147.91000000 0.434824533260 Long DBT CORP GB N 2 2028-05-30 Fixed 4.37500000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 35000.00000000 PA USD 35425.94000000 0.326717935658 Long DBT CORP GB N 2 2025-03-22 Fixed 4.26900000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 80000.00000000 PA USD 73047.89000000 0.673688710165 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N SMITHFIELD FOODS INC CVTIPZRZJC0JQEZLL598 832248BD9 65000.00000000 PA USD 57038.44000000 0.526040561520 Long DBT CORP US N 2 2031-09-13 Fixed 2.62500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJZ3 175000.00000000 PA USD 160095.19000000 1.476487850023 Long DBT CORP US N 2 2029-06-14 Fixed 2.08700000 N N N N N N GS Mortgage Securities Trust 549300ITVQSU1IHX4H03 36198FAG7 4480225.96000000 PA USD 26609.85000000 0.245410997144 Long ABS-MBS CORP US N 2 2046-08-10 Variable 0.53585200 N N N N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VAY0 30000.00000000 PA USD 32255.97000000 0.297482690115 Long DBT CORP US N 2 2028-08-01 Fixed 4.75000000 N N N N N N MASSACHUSETTS ST SCH BLDG AUTH N/A 576000XM0 15000.00000000 PA USD 14955.19000000 0.137925170205 Long DBT MUN US N 2 2032-10-15 Fixed 2.96600000 N N N N N N SANTA CLARA VLY CA TRANSPRTN A 549300R6Q7T4MD3V9H68 80168NEP0 20000.00000000 PA USD 22664.37000000 0.209023562378 Long DBT MUN US N 2 2032-04-01 Fixed 5.87600000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136ARP44 515424.09000000 PA USD 14565.01000000 0.134326710880 Long ABS-MBS USGSE US N 2 2039-01-25 Variable 2.65466600 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31282YJ42 176009.20000000 PA USD 33030.36000000 0.304624550068 Long ABS-MBS USGSE US N 2 2036-07-15 Fixed 5.50000000 N N N N N N Morgan Stanley Mortgage Loan T N/A 61748HAR2 13327.83000000 PA USD 13645.13000000 0.125843060350 Long ABS-MBS CORP US N 2 2034-07-25 Variable 2.24708500 N N N N N N HSI Asset Securitization Corpo N/A 40431RAA3 17292.38000000 PA USD 17191.40000000 0.158548756055 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.61657000 N N N N N N Centex Home Equity N/A 152314PQ7 22592.75000000 PA USD 22587.68000000 0.208316284082 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.37157000 N N N N N N COMM Mortgage Trust N/A 12592KBD5 2060981.98000000 PA USD 33608.14000000 0.309953162064 Long ABS-MBS CORP US N 3 2047-09-10 Variable 0.85315600 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAR5 65000.00000000 PA USD 68256.35000000 0.629498434412 Long DBT CORP US N 2 2029-11-15 Fixed 3.45000000 N N N N N N HEALTHCARE TRUST OF AMER 549300IYGAS4GE6VDL07 42225UAH7 100000.00000000 PA USD 86676.76000000 0.799381811654 Long DBT CORP US N 2 2031-03-15 Fixed 2.00000000 N N N N N N RAYMOND JAMES FINANCIAL RGUZHJ05YTITL6D76949 754730AG4 30000.00000000 PA USD 31858.19000000 0.293814139317 Long DBT CORP US N 2 2030-04-01 Fixed 4.65000000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AD0 5000.00000000 PA USD 4978.79000000 0.045917200528 Long DBT CORP US N 2 2027-11-15 Fixed 3.62500000 N N N N N N BAXTER INTERNATIONAL INC J5OIVXX3P24RJRW5CK77 071813BY4 10000.00000000 PA USD 10328.71000000 0.095257170570 Long DBT CORP US N 2 2030-04-01 Fixed 3.95000000 N N N N N N UBS-Barclays Commercial Mortga N/A 90349DAL6 3700000.00000000 PA USD 4063.53000000 0.037476158235 Long ABS-MBS CORP US N 3 2049-08-10 Variable 0.21466500 N N N N N N US AIRWAYS 2012-1A PTT N/A 90345WAA2 40992.39005000 PA USD 42760.13000000 0.394357959226 Long DBT CORP US N 2 2024-10-01 Fixed 5.90000000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAQ7 40000.00000000 PA USD 40109.80000000 0.369915125912 Long DBT CORP US N 2 2024-11-15 Fixed 2.90000000 N N N N N N Bear Stearns Adjustable Rate M N/A 07384MG97 7452.41000000 PA USD 7418.91000000 0.068421359039 Long ABS-MBS CORP US N 2 2034-04-25 Variable 2.78980900 N N N N N N BANNER HEALTH PLD0E0WJKFN8IZJ2WD85 06654DAB3 10000.00000000 PA USD 9307.31000000 0.085837245525 Long DBT CORP US N 2 2030-01-01 Fixed 2.33800000 N N N N N N PHILLIPS 66 PARTNERS LP 549300TL5L4IG0H4FX64 718549AH1 25000.00000000 PA USD 24104.94000000 0.222309308827 Long DBT CORP US N 2 2029-12-15 Fixed 3.15000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BJ2 42000.00000000 PA USD 41553.67000000 0.383231306817 Long DBT CORP US N 2 2028-02-15 Fixed 3.75000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAN4 30000.00000000 PA USD 26012.61000000 0.239902914087 Long DBT CORP US N 2 2032-09-15 Fixed 1.85000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAB9 50000.00000000 PA USD 48568.19000000 0.447923153922 Long DBT CORP US N 2 2029-10-01 Fixed 3.34700000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AN9 15000.00000000 PA USD 14991.00000000 0.138255430158 Long DBT CORP US N 2 2024-09-01 Fixed 3.35000000 N N N N N N Aimco N/A 00900LAQ7 70000.00000000 PA USD 69318.97000000 0.639298513472 Long ABS-CBDO CORP KY N 2 2034-10-17 Floating 1.84129000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -13.00000000 NC USD 58308.43000000 0.537753123307 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 -1819402.18000000 USD 58308.43000000 N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAL0 28000.00000000 PA USD 30058.84000000 0.277219521996 Long DBT CORP US N 2 2035-07-15 Fixed 5.00000000 N N N N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VBC7 10000.00000000 PA USD 9698.64000000 0.089446310796 Long DBT CORP US N 2 2032-03-01 Fixed 2.90000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAJ2 30000.00000000 PA USD 27293.70000000 0.251717846314 Long DBT CORP GB N 2 2027-09-02 Fixed 1.75000000 N N N N N N NORTHWESTERN UNIVERSITY OBWWNZE695DUK77DTI34 668444AM4 20000.00000000 PA USD 21420.25000000 0.197549588276 Long DBT CORP US N 2 2038-12-01 Fixed 3.68800000 N N N N N N COMM Mortgage Trust N/A 12591UAG8 870607.85000000 PA USD 14254.72000000 0.131465042050 Long ABS-MBS CORP US N 2 2047-03-10 Variable 1.11674900 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAE5 16000.00000000 PA USD 15582.83000000 0.143713619153 Long DBT CORP IE N 2 2028-01-23 Fixed 3.87500000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAG8 15000.00000000 PA USD 16162.80000000 0.149062428561 Long DBT CORP US N 2 2028-08-28 Variable 6.40000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46639EAG6 1181582.17000000 PA USD 6700.52000000 0.061795962569 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.38969900 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AQ5K2 94426.37000000 PA USD 949.58000000 0.008757560627 Long ABS-MBS USGSE US N 2 2036-04-25 Variable 2.11573000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYN8 10000.00000000 PA USD 9062.57000000 0.083580115648 Long DBT CORP US N 2 2032-10-21 Fixed 2.65000000 N N N N N N MASSACHUSETTS ST SCH BLDG AUTH N/A 576000B85 15000.00000000 PA USD 13140.37000000 0.121187879847 Long DBT MUN US N 2 2037-02-15 Fixed 2.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BX6 95000.00000000 PA USD 96820.16000000 0.892929949221 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207BB0 30000.00000000 PA USD 28981.16000000 0.267280551149 Long DBT CORP US N 2 2032-03-17 Fixed 3.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAW5 30000.00000000 PA USD 27662.86000000 0.255122447382 Long DBT CORP IE N 2 2028-10-29 Fixed 3.00000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YP2 35000.00000000 PA USD 34886.25000000 0.321740611056 Long DBT CORP US N 2 2022-08-03 Floating 1.38271000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300FCX3YXSYSLU895 92938VAW5 7627696.62000000 PA USD 98538.40000000 0.908776524521 Long ABS-MBS CORP US N 2 2047-03-15 Variable 0.99623200 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BN1 20000.00000000 PA USD 18281.52000000 0.168602455576 Long DBT CORP US N 2 2030-11-15 Fixed 2.25000000 N N N N N N Madison Park Funding Ltd N/A 55821LAC8 70000.00000000 PA USD 69173.30000000 0.637955062835 Long ABS-CBDO CORP KY N 2 2034-10-22 Floating 1.77908000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556DD4 55000.00000000 PA USD 51285.85000000 0.472986942350 Long DBT CORP US N 2 2032-03-01 Fixed 2.75000000 N N N N N N UNIV OF CALIFORNIA CA RGTS MED N/A 913366KB5 10000.00000000 PA USD 8770.13000000 0.080883069554 Long DBT MUN US N 2 2050-05-15 Fixed 3.00600000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 265000.00000000 PA USD 247016.58000000 2.278125777072 Long DBT CORP US N 2 2027-04-22 Fixed 1.57800000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XEN4 5000.00000000 PA USD 5074.12000000 0.046796387384 Long DBT MUN US N 2 2029-08-01 Fixed 3.73000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBJ0 30000.00000000 PA USD 30734.42000000 0.283450100577 Long DBT CORP US N 2 2025-10-15 Fixed 4.65000000 N N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 90265EAP5 10000.00000000 PA USD 10524.54000000 0.097063224929 Long DBT CORP US N 2 2029-01-26 Fixed 4.40000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45670AAA9 83358.19000000 PA USD 79732.38000000 0.735336835063 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.69657000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAH4 20000.00000000 PA USD 18676.83000000 0.172248226645 Long DBT CORP US N 2 2026-01-15 Fixed 1.57000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687CT1 12000.00000000 PA USD 12979.77000000 0.119706736355 Long DBT CORP US N 2 2024-01-20 Fixed 7.75000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AT5H3 477041.29000000 PA USD 12539.56000000 0.115646872242 Long ABS-MBS USGSE US N 2 2039-07-25 Variable 2.93602000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCK0 45000.00000000 PA USD 42992.29000000 0.396499069270 Long DBT CORP US N 2 2025-06-23 Fixed 0.96900000 N N N N N N Ameriquest Mortgage Securities N/A 03072SV36 100000.00000000 PA USD 99977.55000000 0.922049174932 Long ABS-O CORP US N 2 2036-01-25 Floating 1.20657000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 -660000.00000000 NC USD -10206.44000000 -0.09412952788 N/A DIR CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Put Written CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2024-06-10 0.00000000 USD 0.00000000 USD 0.00000000 USD -660000.00000000 USD 1.95000000 USD 2022-06-08 XXXX -8358.44000000 N N N SLM Student Loan Trust 549300MHMWVKFEDI8G73 784442AD7 20000.00000000 PA USD 19029.19000000 0.175497888667 Long ABS-O CORP US N 2 2083-01-25 Floating 1.45771000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CL2 45000.00000000 PA USD 41640.34000000 0.384030626284 Long DBT CORP US N 2 2030-03-15 Fixed 2.40000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137ATRX2 212231.44000000 PA USD 0.16000000 0.000001475609 Long ABS-MBS USGSE US N 2 2022-05-25 Variable 1.50762700 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773DA5 20000.00000000 PA USD 19356.67000000 0.178518093341 Long DBT CORP US N 2 2027-05-05 Fixed 2.55000000 N N N N N N PIPELINE FUNDING CO LLC N/A 724060AA6 17566.00000000 PA USD 20594.07000000 0.189930091825 Long DBT CORP US N 2 2030-01-15 Fixed 7.50000000 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAQ5 25000.00000000 PA USD 21760.62000000 0.200688671776 Long DBT CORP US N 2 2032-11-15 Fixed 2.50000000 N N N N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAA9 25000.00000000 PA USD 23547.95000000 0.217172433899 Long DBT CORP CA N 2 2030-02-01 Fixed 2.60000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38374EP35 216943.18000000 PA USD 30004.57000000 0.276719013545 Long ABS-MBS USGA US N 2 2033-10-20 Floating 6.15143000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AH1 80000.00000000 PA USD 73040.55000000 0.673621016559 Long DBT CORP US N 2 2029-01-15 Fixed 2.25000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBF4 30000.00000000 PA USD 28183.59000000 0.259924912204 Long DBT CORP US N 2 2030-05-01 Fixed 2.87500000 N N N N N N SLM Student Loan Trust 549300MTK92VF84VT259 78445JAB3 15000.00000000 PA USD 15067.15000000 0.138957728270 Long ABS-O CORP US N 2 2083-10-25 Floating 2.50771000 N N N N N N COMM Mortgage Trust N/A 12592GBE2 593727.56000000 PA USD 10605.99000000 0.097814402621 Long ABS-MBS CORP US N 2 2047-08-10 Variable 0.95066300 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AJ0 25000.00000000 PA USD 23507.87000000 0.216802793606 Long DBT CORP US N 2 2029-09-15 Fixed 2.95000000 N N N N N N WACHOVIA STUDENT LOAN TRUST N/A 92978JAF0 32712.49000000 PA USD 31952.12000000 0.294680414586 Long ABS-O CORP US N 2 2040-04-25 Floating 0.42771000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378B5H8 519300.63000000 PA USD 7458.90000000 0.068790169302 Long ABS-MBS USGA US N 2 2054-02-16 Variable 0.58249000 N N N N N N SLM Student Loan Trust 549300R59P5DXM48DO55 78445GAD5 18209.90000000 PA USD 18258.41000000 0.168389322163 Long ABS-O CORP US N 2 2023-04-25 Floating 1.75771000 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAK7 20000.00000000 PA USD 18593.33000000 0.171478142700 Long DBT CORP US N 2 2030-04-30 Fixed 2.30000000 N N N N N N INVITATION HOMES OP 549300147YMUQB3GW319 46188BAB8 45000.00000000 PA USD 40926.80000000 0.377449959242 Long DBT CORP US N 2 2028-11-15 Fixed 2.30000000 N N N N N N UNIVERSAL HEALTH SVCS 549300YGMGQDO0NMJD09 913903AX8 45000.00000000 PA USD 41303.58000000 0.380924836233 Long DBT CORP US N 2 2026-09-01 Fixed 1.65000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -8130.08000000 -0.07498016860 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-07-24 0.00000000 USD 0.00000000 USD 235000.00000000 USD -8130.08000000 N N N ASCENSION HEALTH N/A 04352EAA3 20000.00000000 PA USD 19274.18000000 0.177757324184 Long DBT CORP US N 2 2029-11-15 Fixed 2.53200000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAY2 35000.00000000 PA USD 35229.60000000 0.324907177793 Long DBT CORP US N 2 2025-06-15 Fixed 3.62500000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300QGM7D5K3CV2643 96221TAH0 1363772.45000000 PA USD 24009.15000000 0.221425879593 Long ABS-MBS CORP US N 2 2047-03-15 Variable 1.24606700 N N N N N N NEW YORK LIFE INSURANCE TAE73CY392TBWJ3O3305 64952GAE8 25000.00000000 PA USD 29861.23000000 0.275397051477 Long DBT CORP US N 2 2033-05-15 Fixed 5.87500000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92936TAF9 2191405.64000000 PA USD 676.49000000 0.006238971112 Long ABS-MBS CORP US N 2 2045-06-15 Variable 1.20079600 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AE8 15000.00000000 PA USD 14938.65000000 0.137772629026 Long DBT CORP US N 2 2026-07-15 Fixed 3.30000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAF0 20000.00000000 PA USD 18557.38000000 0.171146591588 Long DBT CORP US N 2 2030-10-01 Fixed 2.78200000 N N N N N N MID-AMERICA APARTMENTS 549300FXWGE3QSYCUJ38 59523UAS6 20000.00000000 PA USD 17313.23000000 0.159672340809 Long DBT CORP US N 2 2031-02-15 Fixed 1.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376GV64 0.18000000 PA USD 0.00000000 0.000000 Long ABS-MBS USGA US N 2 2046-08-16 Variable 3.77146000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDE9 30000.00000000 PA USD 27733.50000000 0.255773929176 Long DBT CORP MX N 2 2031-01-28 Fixed 5.95000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 10000.00000000 PA USD 9945.58000000 0.091723730309 Long DBT CORP US N 2 2033-03-17 Fixed 3.78500000 N N N N N N METROPOLITAN EDISON CO N/A 591894CB4 25000.00000000 PA USD 25142.11000000 0.231874673679 Long DBT CORP US N 2 2025-04-15 Fixed 4.00000000 N N N N N N GS Mortgage Securities Trust N/A 36249KAE0 2479149.60000000 PA USD 18610.11000000 0.171632897294 Long ABS-MBS CORP US N 2 2043-08-10 Variable 0.56498300 N N N N N N AON CORP/AON GLOBAL HOLD N/A 03740LAC6 10000.00000000 PA USD 9222.03000000 0.085050745419 Long DBT CORP US N 2 2031-12-02 Fixed 2.60000000 N N N N N N FMC CORP CKDHZ2X64EEBQCSP7013 302491AU9 10000.00000000 PA USD 9836.08000000 0.090713859747 Long DBT CORP US N 2 2029-10-01 Fixed 3.45000000 N N N N N N PIEDMONT OPERATING PARTN 549300WKGDPAS39FBD10 720198AF7 25000.00000000 PA USD 22243.13000000 0.205138650271 Long DBT CORP US N 2 2032-04-01 Fixed 2.75000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 2495.49000000 0.023014811780 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2053-07-24 0.00000000 USD 0.00000000 USD 25000.00000000 USD 2495.49000000 N N N COMM Mortgage Trust N/A 12591YBE4 1787201.06000000 PA USD 31829.43000000 0.293548898428 Long ABS-MBS CORP US N 2 2047-06-10 Variable 1.06303200 N N N N N N ATHENE GLOBAL FU 549300LM1QSI4MSIL320 04685A2Z3 5000.00000000 PA USD 4559.85000000 0.042053500313 Long DBT CORP US N 2 2026-06-29 Fixed 1.60800000 N N N N N N SOUTHWESTERN ELEC POWER R64UBJHEC74EB3HGQ410 845437BR2 15000.00000000 PA USD 15377.52000000 0.141820134905 Long DBT CORP US N 2 2028-09-15 Fixed 4.10000000 N N N N N N GS Mortgage Securities Trust N/A 36191YAA6 272823.89000000 PA USD 2.73000000 0.000025177594 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.01000000 N N N N N N Wells Fargo Commercial Mortgag 549300PX4QZK7CUM8D08 94988XAX4 326277.92000000 PA USD 5899.09000000 0.054404724534 Long ABS-MBS CORP US N 2 2050-08-15 Variable 1.09948200 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AQYU6 103000.00000000 PA USD 103320.68000000 0.952881399348 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJS9 100000.00000000 PA USD 92990.39000000 0.857609657129 Long DBT CORP US N 2 2027-07-22 Fixed 1.73400000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AQ4 30000.00000000 PA USD 26827.45000000 0.247417826682 Long DBT CORP US N 2 2030-11-01 Fixed 2.30000000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AA6 20000.00000000 PA USD 20177.13000000 0.186084836735 Long DBT CORP US N 2 2023-04-15 Fixed 3.75000000 N N N N N N Saxon Asset Securities Trust N/A 80556YAB1 69528.95000000 PA USD 56133.81000000 0.517697555064 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.55657000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CV9 105000.00000000 PA USD 94629.37000000 0.872725252147 Long DBT CORP GB N 2 2029-08-17 Fixed 2.20600000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DG2 45000.00000000 PA USD 44480.93000000 0.410228144285 Long DBT CORP US N 2 2029-08-15 Fixed 3.25000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BR2 5000.00000000 PA USD 4392.15000000 0.040506876630 Long DBT CORP US N 2 2032-02-03 Fixed 2.15000000 N N N N N N APPALACHIAN POWER CO 3SCHO1ABYYIG382BEI70 037735CW5 20000.00000000 PA USD 20141.30000000 0.185754392331 Long DBT CORP US N 2 2027-06-01 Fixed 3.30000000 N N N N N N Structured Asset Mortgage Inve N/A 86359LAQ2 1742.96000000 PA USD 1708.92000000 0.015760621019 Long ABS-MBS CORP US N 2 2034-03-19 Floating 1.14857000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 4096.89000000 0.037783822911 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2053-07-24 0.00000000 USD 0.00000000 USD 40000.00000000 USD 4096.89000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -5.00000000 NC USD -5843.75000000 -0.05389434794 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 PA USD 0.00000000 0.00000000 DIR CORP US Short ICE FUTURES EUROPE 3 MONTH EURO INTERBANK OFFER RATE 2024-12-16 0.00000000 USD 1000000.00000000 97.37500000 USD 2022-12-16 XXXX -1230.55000000 N N N SANTA MONICA CA CMNTY CLG DIST N/A 802385RX4 20000.00000000 PA USD 17900.71000000 0.165090411659 Long DBT MUN US N 2 2033-08-01 Fixed 2.04600000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAK1 50000.00000000 PA USD 50633.81000000 0.466973462884 Long DBT CORP US N 2 2025-06-15 Fixed 4.62500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAY0 31000.00000000 PA USD 29600.57000000 0.272993098410 Long DBT CORP US N 2 2027-12-01 Fixed 3.62500000 N N N N N N LOS ANGELES CA UNIF SCH DIST N/A 544646XZ0 25000.00000000 PA USD 29645.32000000 0.273405808069 Long DBT MUN US N 2 2034-07-01 Fixed 5.75000000 N N N N N N AON CORP LTS3U8DGK38SETRUWX71 037389BE2 25000.00000000 PA USD 23814.93000000 0.219634673559 Long DBT CORP US N 2 2030-05-15 Fixed 2.80000000 N N N N N N FARMERS INS EXCH 549300UWG2TLX1GZVT44 309601AE2 45000.00000000 PA USD 47274.57000000 0.435992662990 Long DBT CORP US N 2 2057-11-01 Fixed 4.74700000 N N N N N N RELX CAPITAL INC 2R15C3RTKJN1RCBOV146 74949LAD4 30000.00000000 PA USD 28640.52000000 0.264138977556 Long DBT CORP US N 2 2030-05-22 Fixed 3.00000000 N N N N N N LOS ANGELES CA UNIF SCH DIST N/A 544646XY3 80000.00000000 PA USD 90953.11000000 0.838820715580 Long DBT MUN US N 2 2029-07-01 Fixed 5.75500000 N N N N N N DNB BANK ASA 549300GKFG0RYRRQ1414 23329PAF7 25000.00000000 PA USD 22976.55000000 0.211902661850 Long DBT CORP NO N 2 2026-09-16 Fixed 1.12700000 N N N N N N BROWN & BROWN INC 549300PC8KTJ71XKFY89 115236AE1 30000.00000000 PA USD 30504.58000000 0.281330386878 Long DBT CORP US N 2 2032-03-17 Fixed 4.20000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 8.00000000 NC USD -20757.94000000 -0.19144139309 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 1716132.95000000 USD -20757.94000000 N N N FARMERS EXCHANGE CAPITAL N/A 309588AC5 5000.00000000 PA USD 5706.10000000 0.052624862252 Long DBT CORP US N 2 2028-07-15 Fixed 7.05000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 99000.00000000 PA USD 89929.75000000 0.829382714313 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N NORFOLK SOUTHERN CORP 54930036C8MWP850MI84 655844CM8 15000.00000000 PA USD 14640.01000000 0.135018403046 Long DBT CORP US N 2 2032-03-15 Fixed 3.00000000 N N N N N N Octagon Credit Partners 46, LT N/A 67577VAL7 70000.00000000 PA USD 69417.25000000 0.640204906887 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 1.40129000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A2X8 40000.00000000 PA USD 39503.50000000 0.364323486442 Long DBT CORP US N 2 2024-05-24 Floating 0.83500800 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55607PAF2 45000.00000000 PA USD 40608.19000000 0.374511558694 Long DBT CORP AU N 2 2027-09-23 Fixed 1.62900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BF61 2993198.11000000 PA USD 12414.59000000 0.114494328643 Long ABS-MBS USGA US N 2 2053-02-16 Variable 0.13206000 N N N N N N BAE SYSTEMS HOLDINGS INC MF62XBVMNYTYMC18DL76 05523UAK6 15000.00000000 PA USD 15111.18000000 0.139363797685 Long DBT CORP US N 2 2024-10-07 Fixed 3.80000000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AJ6 50000.00000000 PA USD 50034.48000000 0.461446104672 Long DBT CORP US N 2 2024-12-15 Floating 3.11600000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FX1 5000.00000000 PA USD 4811.44000000 0.044373804741 Long DBT CORP US N 2 2032-02-14 Fixed 2.80000000 N N N N N N BAE SYSTEMS HOLDINGS INC MF62XBVMNYTYMC18DL76 05523UAP5 10000.00000000 PA USD 10046.17000000 0.092651427842 Long DBT CORP US N 2 2025-12-15 Fixed 3.85000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAL7 55000.00000000 PA USD 55611.34000000 0.512879042983 Long DBT CORP GB N 2 2025-07-09 Fixed 3.87000000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BA3 65000.00000000 PA USD 68537.11000000 0.632087760979 Long DBT CORP US N 2 2035-08-15 Fixed 5.70000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 939336X65 96711.79000000 PA USD 95348.33000000 0.879355905477 Long ABS-MBS CORP US N 2 2045-01-25 Floating 1.13657000 N N N N N N PIEDMONT NATURAL GAS CO VXB4M3BDPKF3I2AZ3G89 720186AN5 10000.00000000 PA USD 9160.41000000 0.084482451135 Long DBT CORP US N 2 2031-03-15 Fixed 2.50000000 N N N N N N SYDNEY AIRPORT FINANCE 549300MJAANHLHOVTO40 87124VAD1 75000.00000000 PA USD 75893.46000000 0.699932156526 Long DBT CORP AU N 2 2023-03-22 Fixed 3.90000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BE6 55000.00000000 PA USD 54818.56000000 0.505567580111 Long DBT CORP US N 2 2054-09-15 Fixed 4.37500000 N N N N N N PUBLIC SERVICE CO OF NEW OFZN1UT56PNG1CGSR346 744542AC5 40000.00000000 PA USD 40716.27000000 0.375508333219 Long DBT CORP US N 2 2025-08-01 Fixed 3.85000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CEF4 57000.00000000 PA USD 57135.82000000 0.526938654628 Long DBT UST US N 1 2027-03-31 Fixed 2.50000000 N N N N N N CONTL AIRLINES 2007-1 N/A 21079NAA9 6008.22390000 PA USD 6016.94000000 0.055491603491 Long DBT CORP US N 2 2022-04-19 Fixed 5.98300000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAH4 10000.00000000 PA USD 9681.54000000 0.089288604982 Long DBT CORP KY N 2 2025-02-15 Fixed 2.87500000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BP6 10000.00000000 PA USD 9174.28000000 0.084610368073 Long DBT CORP US N 2 2031-12-15 Fixed 2.37500000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAE2 20000.00000000 PA USD 19566.57000000 0.180453909150 Long ABS-O CORP US N 2 2083-07-26 Floating 2.10771000 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 64990FD84 75000.00000000 PA USD 68613.61000000 0.632793286989 Long DBT MUN US N 2 2029-03-15 Fixed 1.95200000 N N N N N N Wells Fargo Commercial Mortgag N/A 94989MAH2 2198996.11000000 PA USD 38049.45000000 0.350913419854 Long ABS-MBS CORP US N 2 2058-07-15 Variable 0.64645500 N N N N N N CIT Mortgage Loan Trust N/A 12559QAA0 4794.08000000 PA USD 4800.83000000 0.044275953356 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.80657000 N N N N N N BLACK HILLS CORP 3MGELCRSTNSAMJ962671 092113AQ2 36000.00000000 PA USD 36743.93000000 0.338873180431 Long DBT CORP US N 2 2033-05-01 Fixed 4.35000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46644RBB0 493542.40000000 PA USD 7365.38000000 0.067927675283 Long ABS-MBS CORP US N 2 2048-05-15 Variable 0.60265700 N N N N N N AMEREN CORP XRZQ5S7HYJFPHJ78L959 023608AJ1 95000.00000000 PA USD 93855.07000000 0.865584222225 Long DBT CORP US N 2 2031-01-15 Fixed 3.50000000 N N N N N N DENTSPLY SIRONA INC 9NHEHR1SOZCYXDO8HO28 24906PAA7 35000.00000000 PA USD 33778.09000000 0.311520536513 Long DBT CORP US N 2 2030-06-01 Fixed 3.25000000 N N N N N N SOUTHERN NATURAL GAS N/A 84346LAA8 30000.00000000 PA USD 31867.06000000 0.293895943444 Long DBT CORP US N 2 2047-03-15 Fixed 4.80000000 N N N N N N RUBY PIPELINE LLC 549300VXRTBPBK07QT94 781172AB7 14393.93727500 PA USD 13386.36000000 0.123456537926 Long DBT CORP US N 3 2022-04-01 Variable 8.00000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 20000.00000000 PA USD 21082.80000000 0.194437434656 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N Dreyfus Government Cash Management 5493000Q69I5Q3QZIA91 262006208 138000.00000000 NS USD 138000.00000000 1.272713585606 Long STIV RF US N 1 N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAF8 20000.00000000 PA USD 18250.01000000 0.168311852640 Long DBT CORP US N 2 2027-01-15 Fixed 1.65000000 N N N N N N GS Mortgage Securities Trust N/A 36252WAZ1 2404750.03000000 PA USD 37622.36000000 0.346974555757 Long ABS-MBS CORP US N 2 2047-04-10 Variable 1.05655000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAM6 15000.00000000 PA USD 15326.18000000 0.141346648561 Long DBT CORP US N 2 2024-03-04 Fixed 4.30000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GW75 10000.00000000 PA USD 9845.75000000 0.090803041923 Long DBT CORP US N 2 2026-05-05 Floating 0.69500000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCJ3 30000.00000000 PA USD 29694.86000000 0.273862693802 Long DBT CORP US N 2 2032-03-15 Fixed 3.10000000 N N N N N N MET LIFE GLOB FUNDING I 635400MMSOCXNNNZDZ82 59217GEG0 15000.00000000 PA USD 14558.83000000 0.134269715445 Long DBT CORP US N 2 2030-04-09 Fixed 2.95000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CF4 10000.00000000 PA USD 9805.34000000 0.090430358184 Long DBT CORP US N 2 2032-03-15 Fixed 3.62500000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGM0 66000.00000000 PA USD 59706.67000000 0.550648478698 Long DBT CORP US N 2 2032-03-15 Fixed 2.35500000 N N N N N N SLM Student Loan Trust 549300OORAXMFXOHG132 78444GAD6 20000.00000000 PA USD 18417.55000000 0.169857000714 Long ABS-O CORP US N 2 2083-04-26 Floating 1.45771000 N N N N N N JP Morgan Chase Commercial Mor N/A 46635GAJ9 602322.54000000 PA USD 1424.67000000 0.013139107710 Long ABS-MBS CORP US N 2 2043-11-15 Variable 1.52350600 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887BW8 20000.00000000 PA USD 20322.03000000 0.187421186000 Long DBT CORP US N 2 2027-06-06 Fixed 3.70000000 N N N N N N Citigroup Commercial Mortgage N/A 17320DAL2 3376751.65000000 PA USD 33066.17000000 0.304954810021 Long ABS-MBS CORP US N 2 2046-04-10 Variable 1.34942200 N N N N N N SKYAF 2020-1 A N/A 000000000 37614.50000000 PA USD 35498.68000000 0.327388784834 Long ABS-MBS CORP US N 3 2038-05-10 Floating 3.22900000 N N N N N N LUNDIN ENERGY FI 549300JSNI1KL271GM17 55037AAB4 35000.00000000 PA USD 32472.31000000 0.299477899224 Long DBT CORP NL N 2 2031-07-15 Fixed 3.10000000 N N N N N N HEALTHCARE TRUST OF AMER 549300IYGAS4GE6VDL07 42225UAG9 15000.00000000 PA USD 14342.92000000 0.132278472038 Long DBT CORP US N 2 2030-02-15 Fixed 3.10000000 N N N N N N Citigroup Commercial Mortgage N/A 17322YAJ9 572256.15000000 PA USD 11134.54000000 0.102688987880 Long ABS-MBS CORP US N 2 2047-10-10 Variable 0.95779100 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -5.00000000 NC USD -2343.75000000 -0.02161538019 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 PA USD 0.00000000 0.00000000 DIR CORP US Long ICE FUTURES EUROPE 3 MONTH EURO INTERBANK OFFER RATE 2024-12-16 0.00000000 USD 1000000.00000000 97.87500000 USD 2022-12-16 XXXX 431.95000000 N N N Wells Fargo Home Equity Trust N/A 86359BMX6 11733.46000000 PA USD 11478.03000000 0.105856845775 Long ABS-MBS CORP US N 2 2034-04-25 Floating 1.05657000 N N N N N N NEW YORK ST URBAN DEV CORP REV 54930039Y2EMGXN6LM88 650036EB8 15000.00000000 PA USD 12837.23000000 0.118392152337 Long DBT MUN US N 2 2033-03-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ABG64 32753.10000000 PA USD 32751.34000000 0.302051270759 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 1.55657000 N N N N N N Banc of America Funding Corpor 549300UKLRORHBR16839 05963SAD4 15782.23000000 PA USD 15660.66000000 0.144431411170 Long ABS-MBS CORP US N 2 2036-09-26 Floating 0.59657000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CT0 25000.00000000 PA USD 25826.39000000 0.238185488551 Long DBT CORP US N 2 2025-05-01 Fixed 4.87500000 N N N N N N Fidelity Government Portfolio N/A 316175108 20638.97000000 NS USD 20638.97000000 0.190344184869 Long STIV RF US N 1 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1.00000000 NC USD 6919.66000000 0.063816994853 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 -184044.66000000 USD 6919.66000000 N N N Countrywide Asset-Backed Certi N/A 126698AC3 21555.53000000 PA USD 21173.30000000 0.195272076537 Long ABS-MBS CORP US N 2 2047-10-25 Floating 1.35657000 N N N N N N JP Morgan Mortgage Trust N/A 466247PW7 2669.85000000 PA USD 2725.80000000 0.025138860084 Long ABS-MBS CORP US N 2 2035-06-25 Variable 2.69373900 N N N N N N ALLIANT ENERGY FINANCE 54930033ER6EOI5DL570 01882YAC0 65000.00000000 PA USD 59220.18000000 0.546161794406 Long DBT CORP US N 2 2026-03-15 Fixed 1.40000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAQ6 115000.00000000 PA USD 107684.42000000 0.993126262986 Long DBT CORP US N 2 2033-01-25 Fixed 3.05700000 N N N N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664DA6 15000.00000000 PA USD 14557.25000000 0.134255143797 Long DBT CORP US N 2 2032-03-15 Fixed 2.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378KQ69 922747.51000000 PA USD 14114.81000000 0.130174713371 Long ABS-MBS USGA US N 2 2054-10-16 Variable 0.20304000 N N N N N N Bombardier Capital Mortgage Se N/A 09774XBN1 19426.33000000 PA USD 3840.85000000 0.035422478081 Long ABS-O CORP US N 2 2030-06-15 Variable 7.57500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 10000.00000000 PA USD 8912.02000000 0.082191658907 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N SMITH & NEPHEW PLC 213800ZTMDN8S67S1H61 83192PAA6 30000.00000000 PA USD 26120.53000000 0.240898213001 Long DBT CORP GB N 2 2030-10-14 Fixed 2.03200000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137AYCF6 1625573.74000000 PA USD 4821.29000000 0.044464646979 Long ABS-MBS USGSE US N 2 2022-10-25 Variable 0.77740200 N N N N N N SYDNEY AIRPORT FINANCE 549300MJAANHLHOVTO40 87124VAF6 15000.00000000 PA USD 15068.53000000 0.138970455406 Long DBT CORP AU N 2 2026-04-28 Fixed 3.62500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 220000.00000000 PA USD 208282.90000000 1.920902003474 Long DBT CORP US N 2 2028-06-02 Fixed 2.39300000 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAA1 45000.00000000 PA USD 46102.50000000 0.425183174495 Long DBT CORP GB N 2 2023-11-07 Fixed 5.00000000 N N N N N N Morgan Stanley BAML Trust N/A 61761QAF0 2887067.49000000 PA USD 14419.17000000 0.132981692407 Long ABS-MBS CORP US N 2 2048-12-15 Variable 0.89746800 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDM0 30000.00000000 PA USD 27105.27000000 0.249980038916 Long DBT CORP US N 2 2031-01-15 Fixed 1.95000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BNNA8 2284498.87000000 PA USD 9343.03000000 0.086166675447 Long ABS-MBS USGSE US N 2 2022-12-25 Variable 0.41696200 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAL6 15000.00000000 PA USD 15416.38000000 0.142178523672 Long DBT CORP US N 2 2025-10-01 Fixed 4.37500000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55608JBE7 10000.00000000 PA USD 10125.67000000 0.093384621538 Long DBT CORP AU N 2 2033-06-21 Fixed 4.44200000 N N N N N N SLM Student Loan Trust 549300MTK92VF84VT259 78445JAA5 13783.02000000 PA USD 13783.66000000 0.127120661894 Long ABS-O CORP US N 2 2023-04-25 Floating 1.75771000 N N N N N N MIAMI-DADE CNTY FL AVIATION RE N/A 59333P2P2 15000.00000000 PA USD 15046.25000000 0.138764976720 Long DBT MUN US N 2 2031-10-01 Fixed 3.50400000 N N N N N N 2022-04-01 METROPOLITAN WEST FUNDS Eric Chan Eric Chan Managing Director