NPORT-P false 0001028621 XXXXXXXX S000001150 C000003071 C000003070 METROPOLITAN WEST FUNDS 811-07989 0001028621 549300KGDNJW6FXNDC82 865 South Figueroa Street SUITE 1800 Los Angeles 90017 800-241-4671 Metropolitan West Intermediate Bond Fund S000001150 549300JTE3R17FNYHI96 2022-03-31 2022-03-31 N 908427918.66 115233223.59 793194695.07 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 84932887.28000000 0.00000000 4044035.80000000 USD N Nelnet Student Loan Trust N/A 64033MAB4 1370000.00000000 PA USD 1364974.84000000 0.172085724789 Long ABS-O CORP US N 2 2048-11-25 Floating 1.40657000 N N N N N N INTELSAT JACKSON HLDG N/A 000000000 1003000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP LU N 3 2024-10-15 Fixed 8.50000000 N N N N N N AIG CLO Ltd N/A 00142MAE0 2200000.00000000 PA USD 2173050.00000000 0.273961741487 Long ABS-CBDO CORP KY N 2 2033-10-25 Floating 1.85771000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAT4 400000.00000000 PA USD 383000.00000000 0.048285749057 Long DBT CORP US N 2 2030-05-15 Fixed 4.80000000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55608JBA5 1760000.00000000 PA USD 1664956.90000000 0.209905198603 Long DBT CORP AU N 2 2025-10-14 Fixed 1.20100000 N N N N N N New York Mortgage Trust N/A 649603AG2 499032.65000000 PA USD 500831.26000000 0.063141024910 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.93657000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBA3 50000.00000000 PA USD 51087.54000000 0.006440731426 Long DBT CORP US N 2 2027-01-29 Fixed 3.96000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292LGW9 529840.54000000 PA USD 541149.35000000 0.068224025370 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Brazos Higher Education Author N/A 10620NCE6 650000.00000000 PA USD 654031.76000000 0.082455387569 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.69757000 N N N N N N SFAVE Commercial Mortgage Secu 549300FIGODFFTOAAU64 78413MAE8 45000.00000000 PA USD 43115.19000000 0.005435637715 Long ABS-MBS CORP US N 2 2043-01-05 Variable 4.14400000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -149.00000000 NC USD -174143.75000000 -0.02195472953 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 4236.07000000 N N N Charter Communications Operating LLC 549300TPZNMN50BJ3745 16117LBX6 97744.34360000 PA USD 97059.16000000 0.012236486275 Long LON CORP US N 2 2027-02-01 Floating 2.21000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBC5 300000.00000000 PA USD 300080.09000000 0.037831832696 Long DBT NUSS MX N 2 2022-12-20 Fixed 2.00000000 N N N N N N Naked Juice LLC 549300Y5TU1XQ1KVLJ64 000000000 84487.82000000 PA USD 83280.91000000 0.010499428515 Long LON CORP US N 2 2029-01-24 Floating 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DTJ1 2651651.31000000 PA USD 2498962.09000000 0.315050277760 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 2.00000000 N N N N N N GFL Environmental Inc 549300FYK4MBXWIVZU26 000000000 73942.82140000 PA USD 73781.26000000 0.009301784348 Long LON CORP CA N 2 2025-05-30 Floating 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LFCY2 47912.74000000 PA USD 46202.27000000 0.005824833459 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 2.76000000 N N N N N N AMRESCO Residential Securities N/A 03215PDM8 6012.90000000 PA USD 6119.98000000 0.000771560883 Long ABS-MBS CORP US N 2 2027-10-25 Variable 7.52845000 N N N N N N Credit-Based Asset Servicing a N/A 12489WGJ7 526239.50000000 PA USD 510737.48000000 0.064389926354 Long ABS-MBS CORP US N 2 2032-12-25 Variable 3.37900000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 750000.00000000 PA USD 675675.18000000 0.085184026595 Long DBT CORP CH N 2 2032-05-14 Fixed 3.09100000 N N N N N N ARTERA SERVICES LLC 549300J2G34D0WX8Z443 73939VAA2 227000.00000000 PA USD 227085.84000000 0.028629268628 Long DBT CORP US N 2 2025-12-04 Fixed 9.03300000 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 64990FD84 590000.00000000 PA USD 539760.38000000 0.068048914516 Long DBT MUN US N 2 2029-03-15 Fixed 1.95200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MEX22 22844.04000000 PA USD 22749.60000000 0.002868097850 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 2.50000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AQ1 1195000.00000000 PA USD 1124414.76000000 0.141757725686 Long DBT CORP CH N 2 2026-06-05 Fixed 2.19300000 N N N N N N SLM Student Loan Trust 549300SSKEO0UXU85O97 78445RAA7 2612299.55000000 PA USD 2587906.42000000 0.326263707521 Long ABS-O CORP US N 2 2045-01-25 Floating 1.20657000 N N N N N N Treman Park CLO Ltd 549300E4DX3Q8L455K94 89473LAH7 24561.57000000 PA USD 24486.66000000 0.003087093263 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.32400000 N N N N N N MIAMI-DADE CNTY FL AVIATION RE N/A 59333P2P2 245000.00000000 PA USD 245755.34000000 0.030982978268 Long DBT MUN US N 2 2031-10-01 Fixed 3.50400000 N N N N N N SLC Student Loan Trust 5493007QNQ56NU0MGE13 78444LAD5 221966.83000000 PA USD 224784.51000000 0.028339134313 Long ABS-O CORP US N 2 2032-12-15 Floating 2.42600000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BE0 1200000.00000000 PA USD 1201739.44000000 0.151506237682 Long DBT CORP GB N 2 2023-05-15 Fixed 3.49800000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYL2 840000.00000000 PA USD 814674.39000000 0.102707997804 Long DBT CORP US N 2 2024-10-21 Fixed 0.92500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359ADZ9 341.99000000 PA USD 354.01000000 0.000044630908 Long ABS-MBS USGSE US N 2 2023-05-25 Floating 10.31974000 N N N N N N Navient Student Loan Trust N/A 63938EAC8 564956.74000000 PA USD 554324.70000000 0.069885074048 Long ABS-O CORP US N 2 2031-06-25 Floating 0.96657000 N N N N N N CoreVest American Finance Ltd N/A 21872FAB3 3566329.97000000 PA USD 149192.42000000 0.018809054186 Long ABS-O CORP US N 2 2052-03-15 Variable 2.16053700 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAW6 120000.00000000 PA USD 120037.77000000 0.015133455978 Long DBT CORP US N 2 2022-04-10 Fixed 3.45000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBE5 3055000.00000000 PA USD 2890262.24000000 0.364382447079 Long DBT CORP US N 2 2030-10-15 Fixed 2.73900000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAL0 1475000.00000000 PA USD 1575649.46000000 0.198645990674 Long DBT CORP US N 2 2025-02-15 Fixed 5.87500000 N N N N N N Merrill Lynch First Franklin M N/A 59024VAG4 351663.31000000 PA USD 325621.34000000 0.041051880707 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.63657000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAD9 390000.00000000 PA USD 390083.19000000 0.049178744187 Long DBT CORP GB N 2 2023-04-26 Fixed 3.62200000 N N N N N N FRONTIER COMMUNICATIONS N/A 35906ABF4 400000.00000000 PA USD 385375.94000000 0.048585289638 Long DBT CORP US N 2 2028-05-01 Fixed 5.00000000 N N N N N N SLM Student Loan Trust N/A 78447KAC6 567239.11000000 PA USD 555175.81000000 0.069992375573 Long ABS-O CORP US N 2 2026-05-26 Floating 1.10657000 N N N N N N New Century Home Equity Loan T N/A 64352VKA8 2322859.04000000 PA USD 2322792.61000000 0.292840159476 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.13157000 N N N N N N BX Commercial Mortgage Trust 2 N/A 056054AA7 1814466.52000000 PA USD 1806666.27000000 0.227770846329 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.31700000 N N N N N N CPT MORTGAGE TRUST N/A 12654YAA7 715000.00000000 PA USD 676174.86000000 0.085247022477 Long ABS-MBS CORP US N 2 2039-11-13 Fixed 2.86500000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AS6 65000.00000000 PA USD 63200.80000000 0.007967879814 Long DBT CORP US N 2 2028-02-01 Fixed 5.37500000 N N N N N N Citigroup Commercial Mortgage N/A 17324TAE9 3250000.00000000 PA USD 3266049.80000000 0.411758906142 Long ABS-MBS CORP US N 2 2049-02-10 Fixed 3.61600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385JET1 5.17000000 PA USD 5.39000000 0.000000679530 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 7.00000000 N N N N N N MET LIFE GLOB FUNDING I 635400MMSOCXNNNZDZ82 59217GEZ8 1200000.00000000 PA USD 1192776.95000000 0.150376314593 Long DBT CORP US N 2 2029-03-21 Fixed 3.30000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 101.00000000 NC USD 8206.25000000 0.001034582057 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long CHICAGO MERCANTILE EXCHANGE EURO CURRENCY 2PM 2023-09-18 0.00000000 USD 1000000.00000000 98.37500000 USD 2022-09-16 XXXX -35003.57000000 N N N Option One Mortgage Loan Trust N/A 68389FHB3 52605.98000000 PA USD 52525.45000000 0.006622012265 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.11657000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GW75 1028000.00000000 PA USD 1012143.56000000 0.127603420230 Long DBT CORP US N 2 2026-05-05 Floating 0.69500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYC9 798.09000000 PA USD 873.14000000 0.000110078900 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 7.00000000 N N N N N N Morgan Stanley Capital Inc N/A 61744CFQ4 122878.24000000 PA USD 119316.20000000 0.015042485879 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.38657000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468X0 340000.00000000 PA USD 294615.03000000 0.037142839183 Long DBT CORP US N 2 2032-04-28 Fixed 1.92800000 N N N N N N Credit-Based Asset Servicing a N/A 12464YAC3 1255968.40000000 PA USD 885975.57000000 0.111697112386 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.70657000 N N N N N N SLM Student Loan Trust 549300Y3YMECZJOAL893 78442GLB0 141280.47000000 PA USD 135184.28000000 0.017043013630 Long ABS-O CORP US N 2 2039-07-25 Floating 0.72771000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CM9 1730000.00000000 PA USD 1581234.50000000 0.199350110361 Long DBT CORP GB N 2 2027-05-24 Fixed 1.58900000 N N N N N N Change Healthcare Holdings LLC 549300GHXFJ3EKF50583 15911AAC7 298807.74960000 PA USD 297575.17000000 0.037516031290 Long LON CORP US N 2 2024-03-01 Floating 3.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 1210000.00000000 PA USD 1125175.27000000 0.141853605047 Long DBT CORP US N 2 2027-05-04 Fixed 1.59300000 N N N N N N Structured Asset Mortgage Inve N/A 86359LRY7 389713.22000000 PA USD 383280.50000000 0.048321112380 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.56716000 N N N N N N MASTR Seasoned Securitization N/A 55265WCK7 17479.38000000 PA USD 17650.53000000 0.002225245593 Long ABS-MBS CORP US N 2 2032-10-25 Variable 2.37500300 N N N N N N GSR Mortgage Loan Trust N/A 36242DBU6 14569.46000000 PA USD 14638.36000000 0.001845493936 Long ABS-MBS CORP US N 2 2034-08-25 Variable 2.28765700 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAR6 245000.00000000 PA USD 228162.16000000 0.028764962930 Long DBT CORP GB N 2 2028-01-11 Fixed 2.46900000 N N N N N N Countrywide Home Loans N/A 12669FT52 55106.50000000 PA USD 55106.50000000 0.006947411567 Long ABS-MBS CORP US N 2 2034-08-25 Variable 2.44691400 N N N N N N Brazos Higher Education Author N/A 10620NCL0 1030000.00000000 PA USD 1023582.59000000 0.129045566789 Long ABS-MBS CORP US N 2 2036-10-27 Floating 1.25771000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDE9 300000.00000000 PA USD 277335.00000000 0.034964303433 Long DBT CORP MX N 2 2031-01-28 Fixed 5.95000000 N N N N N N Octagon Credit Partners 46, LT N/A 67577VAL7 2000000.00000000 PA USD 1983350.00000000 0.250045797371 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 1.40129000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -50.00000000 NC USD 115296.18000000 0.014535672101 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 -6888733.68000000 USD 115296.18000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 800000.00000000 PA USD 804209.76000000 0.101388696242 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N EVERGY MISSOURI WEST INC EZIFUDC0VSUS6T6LCG85 30037EAA1 1615000.00000000 PA USD 1628739.29000000 0.205339155710 Long DBT CORP US N 2 2032-03-15 Fixed 3.75000000 N N N N N N LOS ANGELES CA UNIF SCH DIST N/A 544646XZ0 1075000.00000000 PA USD 1274748.55000000 0.160710675187 Long DBT MUN US N 2 2034-07-01 Fixed 5.75000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -5108.73000000 -0.00064407011 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -387000.00000000 EUR 427282.83000000 USD 2022-07-08 -5108.73000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAL3 105000.00000000 PA USD 105617.28000000 0.013315429447 Long DBT CORP US N 2 2023-01-15 Fixed 3.45000000 N N N N N N Hudson Yards N/A 44421MAA8 765000.00000000 PA USD 731945.04000000 0.092278105810 Long ABS-MBS CORP US N 2 2041-12-10 Variable 2.94280000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAN4 870000.00000000 PA USD 754365.71000000 0.095104734649 Long DBT CORP US N 2 2032-09-15 Fixed 1.85000000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAD4 1704811.52000000 PA USD 1684573.70000000 0.212378336677 Long ABS-O CORP US N 2 2023-07-25 Floating 1.35771000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AZ0 43000.00000000 PA USD 43424.41000000 0.005474621838 Long DBT CORP US N 2 2029-02-01 Fixed 6.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJZ3 1355000.00000000 PA USD 1239594.16000000 0.156278675047 Long DBT CORP US N 2 2029-06-14 Fixed 2.08700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179S5P8 16425.58000000 PA USD 17483.66000000 0.002204207883 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 5.00000000 N N N N N N Elanco Animal Health Inc 549300SHPNDCE059M934 28414BAF3 897298.56380000 PA USD 884610.76000000 0.111525047443 Long LON CORP US N 2 2027-08-01 Floating 1.98057000 N N N N N N Residential Asset Securitizati N/A 45660LAP4 11993.09000000 PA USD 11634.03000000 0.001466730686 Long ABS-MBS CORP US N 2 2034-12-25 Variable 2.83994900 N N N N N N STARBUCKS CORP OQSJ1DU9TAOC51A47K68 855244BC2 1220000.00000000 PA USD 1166979.47000000 0.147123963038 Long DBT CORP US N 2 2032-02-14 Fixed 3.00000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DE7 1620000.00000000 PA USD 1607264.27000000 0.202631747285 Long DBT CORP US N 2 2032-02-22 Fixed 3.35000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F020448 3750000.00000000 PA USD 3641778.94000000 0.459128000052 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2.00000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCK9 2090000.00000000 PA USD 2028694.49000000 0.255762488404 Long DBT CORP US N 2 2024-12-06 Fixed 1.34300000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 292480AL4 750000.00000000 PA USD 780978.14000000 0.098459828949 Long DBT CORP US N 2 2028-05-15 Fixed 4.95000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GXZ2 135000.00000000 PA USD 170425.70000000 0.021485985856 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XBA1 820000.00000000 PA USD 804579.57000000 0.101435319096 Long DBT CORP US N 2 2025-03-01 Fixed 3.25000000 N N N N N N DirectV Financing LLC N/A 25460HAB8 391550.00000000 PA USD 391626.35000000 0.049373294152 Long LON CORP US N 2 2027-08-02 Floating 5.75000000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55608JAR9 1160000.00000000 PA USD 1058308.69000000 0.133423571359 Long DBT CORP AU N 2 2027-01-12 Fixed 1.34000000 N N N N N N INTELSAT JACKSON HLDG N/A 000000000 585000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP LU N 3 2025-07-15 Fixed 9.75000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCP6 875000.00000000 PA USD 761250.00000000 0.095972653969 Long DBT CORP US N 2 2034-01-15 Fixed 4.25000000 N N N N N N Dreyfus Government Cash Management 5493000Q69I5Q3QZIA91 262006208 5193000.00000000 NS USD 5193000.00000000 0.654694242444 Long STIV RF US N 1 N N N SL GREEN OPERATING PARTN 2K1OXW4LY7IS2U150Y32 78444FAF3 1350000.00000000 PA USD 1350501.58000000 0.170261045414 Long DBT CORP US N 2 2022-10-15 Fixed 3.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAH9 2820000.00000000 PA USD 2831279.27000000 0.356946319434 Long DBT CORP US N 2 2025-03-01 Fixed 3.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C4X9 658648.40000000 PA USD 684134.24000000 0.086250481029 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556DB8 995000.00000000 PA USD 1017778.85000000 0.128313875058 Long DBT CORP US N 2 2024-04-01 Fixed 4.70000000 N N N N N N 321 Henderson Receivables LLC 549300LO0ZO1XMWP1R84 46618AAA2 697807.10000000 PA USD 707696.42000000 0.089221022833 Long ABS-O CORP US N 2 2073-01-17 Fixed 3.61000000 N N N N N N Grifols Worldwide Operations USA Inc N/A 39843PAG8 92555.57990000 PA USD 91132.54000000 0.011489302760 Long LON CORP US N 2 2027-11-15 Floating 2.45743000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TLT0 379258.28000000 PA USD 391268.50000000 0.049328179125 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UEB4 4865.02000000 PA USD 5072.69000000 0.000639526465 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 1955000.00000000 PA USD 1785107.74000000 0.225052909593 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 83.00000000 NC USD -273808.70000000 -0.03451973414 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 9792871.20000000 USD -273808.70000000 N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XAX6 1500000.00000000 PA USD 1468268.51000000 0.185108211026 Long DBT CORP US N 2 2032-03-01 Fixed 3.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBD6 830000.00000000 PA USD 773665.64000000 0.097537924145 Long DBT CORP US N 2 2037-08-15 Fixed 4.39000000 N N N N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAE8 65000.00000000 PA USD 65761.34000000 0.008290693370 Long DBT CORP US N 2 2027-09-30 Fixed 5.87500000 N N N N N N DURRAH MSN 35603 N/A 266893AA4 1714698.07110000 PA USD 1700267.00000000 0.214356829485 Long DBT CORP KY N 2 2025-01-22 Fixed 1.68400000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AQ4 635000.00000000 PA USD 567847.65000000 0.071589945511 Long DBT CORP US N 2 2030-11-01 Fixed 2.30000000 N N N N N N SLM Student Loan Trust 5493008U32QWNGB0TW72 78443HAF0 961294.50000000 PA USD 921241.78000000 0.116143209949 Long ABS-O CORP US N 2 2041-01-25 Floating 0.41771000 N N N N N N Whatabrands LLC 254900HMMX4HTWIP0085 96244UAF4 472624.92000000 PA USD 467556.02000000 0.058945933817 Long LON CORP US N 2 2028-08-03 Floating 3.75000000 N N N N N N Credit-Based Asset Servicing a N/A 12464YAA7 105698.17000000 PA USD 74057.92000000 0.009336663553 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.51657000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAC1 1085000.00000000 PA USD 1102042.49000000 0.138937198754 Long DBT CORP GB N 2 2024-08-01 Fixed 4.36300000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CL1 2425000.00000000 PA USD 2202339.99000000 0.277654402341 Long DBT CORP GB N 2 2028-09-22 Fixed 2.01300000 N N N N N N OCP CLO Ltd 254900ZMV4RGFPV8TK42 670881AM3 1850000.00000000 PA USD 1831438.95000000 0.230893998835 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 1.40400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390TVV8 1708.38000000 PA USD 1914.20000000 0.000241327887 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137APLC2 525548.80000000 PA USD 89104.28000000 0.011233595049 Long ABS-MBS USGSE US N 2 2042-04-15 Floating 6.21343000 N N N N N N DENTSPLY SIRONA INC 9NHEHR1SOZCYXDO8HO28 24906PAA7 1000000.00000000 PA USD 965088.42000000 0.121671063359 Long DBT CORP US N 2 2030-06-01 Fixed 3.25000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAN3 531000.00000000 PA USD 571279.24000000 0.072022574476 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAF4 100000.00000000 PA USD 95366.55000000 0.012023094782 Long DBT CORP GB N 2 2028-02-16 Fixed 2.97200000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -165.00000000 NC USD -51562.50000000 -0.00650061079 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 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 98.25000000 USD 2022-12-19 XXXX 55314.60000000 N N N SLM Student Loan Trust 549300MHMWVKFEDI8G73 784442AD7 185000.00000000 PA USD 176020.04000000 0.022191278017 Long ABS-O CORP US N 2 2083-01-25 Floating 1.45771000 N N N N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NAZ4 2120000.00000000 PA USD 2065974.05000000 0.260462413937 Long DBT CORP US N 2 2027-03-15 Fixed 2.75000000 N N N N N N TRINITY ACQUISITION PLC 549300FJZWZN6MJNGB63 89641UAC5 1385000.00000000 PA USD 1430588.99000000 0.180357861555 Long DBT CORP GB N 2 2026-03-15 Fixed 4.40000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAK8 98740.55150000 PA USD 97210.07000000 0.012255511869 Long LON CORP US N 2 2027-04-15 Floating 2.89657000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BA3 940000.00000000 PA USD 991152.12000000 0.124956977922 Long DBT CORP US N 2 2035-08-15 Fixed 5.70000000 N N N N N N Structured Asset Mortgage Inve N/A 86359LGS2 395312.12000000 PA USD 385821.23000000 0.048641428440 Long ABS-MBS CORP US N 2 2035-04-19 Floating 0.92857000 N N N N N N Fidelity Government Portfolio N/A 316175108 22217.79000000 NS USD 22217.79000000 0.002801051259 Long STIV RF US N 1 N N N AMERICAN MEDICAL SYST EU 549300AA2JE6ZQ5D2493 000000000 400000.00000000 PA 434401.36000000 0.054766044541 Long DBT CORP NL N 2 2031-03-08 Fixed 1.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KCK5 1059.91000000 PA USD 1124.07000000 0.000141714260 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 7.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKD0 215000.00000000 PA USD 195947.84000000 0.024703624623 Long DBT CORP US N 2 2032-10-20 Fixed 2.57200000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CAS4 30000.00000000 PA USD 29239.73000000 0.003686324452 Long DBT CORP US N 2 2026-09-01 Fixed 2.65000000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAA1 825000.00000000 PA USD 803402.37000000 0.101286906606 Long DBT CORP US N 2 2029-08-15 Fixed 3.87500000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAH9 640000.00000000 PA USD 636649.66000000 0.080263983604 Long DBT CORP CA N 2 2027-07-26 Fixed 3.55000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAX3 85000.00000000 PA USD 76900.76000000 0.009695067362 Long DBT CORP IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N SLM Student Loan Trust 549300EQOYJZL2D96G46 78445AAE6 185000.00000000 PA USD 184100.92000000 0.023210054371 Long ABS-O CORP US N 2 2073-04-25 Floating 2.10771000 N N N N N N Merrill Lynch First Franklin M N/A 59024VAH2 649864.44000000 PA USD 606418.01000000 0.076452605365 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.70657000 N N N N N N BX Trust 2019-OC11 N/A 05606FAA1 375000.00000000 PA USD 362807.48000000 0.045740028552 Long ABS-MBS CORP US N 2 2041-12-09 Fixed 3.20200000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAE2 185000.00000000 PA USD 180990.77000000 0.022817950135 Long ABS-O CORP US N 2 2083-07-26 Floating 2.10771000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AC2 175000.00000000 PA USD 175064.46000000 0.022070805703 Long DBT CORP CH N 2 2028-01-09 Fixed 4.28200000 N N N N N N Mid-State Trust N/A 595481AC6 288609.68000000 PA USD 297815.72000000 0.037546358019 Long ABS-O CORP US N 2 2040-01-15 Fixed 7.07900000 N N N N N N ENDO DAC/FIN LLC/FINCO N/A 29273DAC4 889000.00000000 PA USD 518420.35000000 0.065358524612 Long DBT CORP N/A N 2 2028-06-30 Fixed 6.00000000 N N N N N N SLC Student Loan Trust 25490083RPF52FIUZ551 784423AH8 107526.14000000 PA USD 100063.19000000 0.012615211702 Long ABS-O CORP US N 2 2031-08-15 Floating 0.79643000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5SG9 1081021.23000000 PA USD 1091670.05000000 0.137629519812 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N LOS ANGELES CA DEPT WTR & PWR N/A 544495VX9 50000.00000000 PA USD 55957.49000000 0.007054697963 Long DBT MUN US N 2 2027-07-01 Fixed 5.51600000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAF3 1007000.00000000 PA USD 395247.50000000 0.049829821411 Long DBT CORP US N 2 2026-08-15 Fixed 5.37500000 N N N N N N CALI Mortgage Trust 2019-101C N/A 129890AA7 805000.00000000 PA USD 818430.02000000 0.103181479287 Long ABS-MBS CORP US N 2 2039-03-10 Fixed 3.95700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B2TU6 38591.78000000 PA USD 39031.53000000 0.004920800686 Long ABS-MBS USGSE US N 2 2047-01-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404CF54 7014.88000000 PA USD 7041.82000000 0.000887779512 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 1.75800000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BG0 365000.00000000 PA USD 373070.48000000 0.047033910125 Long DBT CORP US N 2 2025-06-12 Fixed 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RJ75 6.35000000 PA USD 6.40000000 0.000000806863 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 6.50000000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC USD -319719.10000000 -0.04030777083 N/A DFE CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 -15326000.00000000 CAD 11949911.11000000 USD 2022-04-08 -319719.10000000 N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAN5 1575000.00000000 PA USD 1498280.60000000 0.188891908797 Long DBT CORP GB N 2 2025-03-15 Fixed 1.08900000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAF9 1255000.00000000 PA USD 1200134.09000000 0.151303847272 Long DBT CORP US N 2 2024-11-15 Fixed 1.50000000 N N N N N N Recette CLO LLC 549300392I5L5XOJ0016 75620TAW8 1875000.00000000 PA USD 1850625.00000000 0.233312831200 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.33400000 N N N N N N First Horizon Alternative Mort N/A 32051D6B3 53609.97000000 PA USD 52655.16000000 0.006638365123 Long ABS-MBS CORP US N 2 2034-09-25 Variable 2.37062600 N N N N N N One Bryant Park Trust N/A 68236JAA9 960000.00000000 PA USD 890657.86000000 0.112287420167 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.51641000 N N N N N N BAE SYSTEMS HOLDINGS INC MF62XBVMNYTYMC18DL76 05523UAK6 630000.00000000 PA USD 634669.56000000 0.080014347542 Long DBT CORP US N 2 2024-10-07 Fixed 3.80000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAF3 435000.00000000 PA USD 404096.39000000 0.050945422670 Long DBT CORP N/A N 2 2029-02-02 Fixed 3.00000000 N N N N N N Morgan Stanley Capital Inc N/A 61744CSK3 4450841.83000000 PA USD 4411405.59000000 0.556156718825 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.49157000 N N N N N N LIFE STORAGE LP X0MIGH67XZCB7HL1A534 53227JAC8 1000000.00000000 PA USD 885179.72000000 0.111596777626 Long DBT CORP US N 2 2030-10-15 Fixed 2.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AVV7 15331.93000000 PA USD 15385.39000000 0.001939673839 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.00000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 2900000.00000000 PA USD 2968660.23000000 0.374266273898 Long DBT CORP US N 2 2028-12-15 Fixed 4.37500000 N N N N N N ZAYO GROUP HOLDINGS INC 529900Z6OTS7RT0V0I47 98919VAA3 500000.00000000 PA USD 461010.00000000 0.058120661026 Long DBT CORP US N 2 2027-03-01 Fixed 4.00000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660NT96 7926.04000000 PA USD 7659.11000000 0.000965602776 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.31657000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BX6 1145000.00000000 PA USD 1166937.78000000 0.147118707078 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N COX COMMUNICATIONS INC 5493001NEDZNIFRP2R92 224044CN5 705000.00000000 PA USD 638149.71000000 0.080453098585 Long DBT CORP US N 2 2031-06-15 Fixed 2.60000000 N N N N N N SLM Student Loan Trust 549300MTK92VF84VT259 78445JAA5 588075.31000000 PA USD 588102.82000000 0.074143564455 Long ABS-O CORP US N 2 2023-04-25 Floating 1.75771000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38143U8H7 20000.00000000 PA USD 20334.50000000 0.002563620272 Long DBT CORP US N 2 2026-02-25 Fixed 3.75000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 706451BG5 1780000.00000000 PA USD 1601110.00000000 0.201855863377 Long DBT CORP MX N 2 2035-06-15 Fixed 6.62500000 N N N N N N DC Office Trust N/A 23312BAA8 765000.00000000 PA USD 724888.53000000 0.091388474293 Long ABS-MBS CORP US N 2 2045-09-15 Fixed 2.96500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKA6 1420000.00000000 PA USD 1264802.24000000 0.159456719499 Long DBT CORP US N 2 2032-07-21 Fixed 2.29900000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DE2 1300000.00000000 PA USD 1258321.70000000 0.158639701932 Long DBT CORP US N 2 2024-02-04 Fixed 1.43300000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AN9 1140000.00000000 PA USD 1139316.00000000 0.143636361549 Long DBT CORP US N 2 2024-09-01 Fixed 3.35000000 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 550241AA1 275000.00000000 PA USD 245289.00000000 0.030924185641 Long DBT CORP US N 2 2029-06-15 Fixed 5.37500000 N N N N N N American Airlines Inc IWUQB36BXD6OWD6X4T14 02376CAX3 51722.22000000 PA USD 48554.23000000 0.006121350823 Long LON CORP US N 2 2027-01-29 Floating 2.19714000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179U3S9 452178.31000000 PA USD 442260.68000000 0.055756888283 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828Z78 34472000.00000000 PA USD 32947691.25000000 4.153796218605 Long DBT UST US N 1 2027-01-31 Fixed 1.50000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAE2 148056.99800000 PA USD 146021.95000000 0.018409345260 Long LON CORP US N 2 2025-07-17 Floating 2.64657000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133TLMU9 15675.03000000 PA USD 16642.80000000 0.002098198601 Long ABS-MBS USGSE US N 2 2029-07-15 Fixed 6.00000000 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAL7 2825000.00000000 PA USD 2842673.93000000 0.358382872158 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -240.00000000 NC USD -280500.00000000 -0.03536332274 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 -58191.40000000 N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137AUPE3 80601.69000000 PA USD 80619.38000000 0.010163882903 Long ABS-MBS USGSE US N 2 2022-06-25 Fixed 2.39600000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAB6 40000.00000000 PA USD 40968.58000000 0.005165009329 Long DBT CORP KY N 2 2024-02-15 Fixed 5.50000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833BY5 20000.00000000 PA USD 20387.23000000 0.002570268072 Long DBT CORP US N 2 2026-02-23 Fixed 3.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDY4 10490000.00000000 PA USD 10076136.77000000 1.270323267745 Long DBT UST US N 1 2032-02-15 Fixed 1.87500000 N N N N N N Jazz Financing Lux Sarl 635400WUEO2NSG5OIU34 000000000 397000.00000000 PA USD 396033.31000000 0.049928890405 Long LON CORP LU N 2 2028-05-05 Floating 4.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAQ6 2455000.00000000 PA USD 2298828.19000000 0.289818906289 Long DBT CORP US N 2 2033-01-25 Fixed 3.05700000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AH2 2323000.00000000 PA USD 2429936.29000000 0.306348025913 Long DBT CORP US N 2 2026-04-15 Fixed 5.37500000 N N N N N N HEALTHCARE TRUST OF AMER 549300IYGAS4GE6VDL07 42225UAD6 225000.00000000 PA USD 225050.75000000 0.028372699842 Long DBT CORP US N 2 2026-08-01 Fixed 3.50000000 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AH8 815000.00000000 PA USD 777127.10000000 0.097974318894 Long DBT CORP US N 2 2024-08-15 Fixed 1.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BX1 825000.00000000 PA USD 705908.33000000 0.088995593942 Long DBT CORP US N 2 2032-02-01 Fixed 2.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283HZH1 43985.12000000 PA USD 48237.11000000 0.006081370727 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAE1 2045000.00000000 PA USD 1993796.82000000 0.251362853583 Long DBT CORP CA N 2 2032-06-01 Fixed 3.20000000 N N N N N N Level 3 Financing Inc 254900AE5FEFIJOXWL19 52729KAP1 1275000.00000000 PA USD 1252987.13000000 0.157967159612 Long LON CORP US N 2 2027-03-01 Floating 2.20743000 N N N N N N SES SA 5493008JPA4HYMH1HX51 78413HAA7 1500000.00000000 PA USD 1508790.74000000 0.190216947916 Long DBT CORP LU N 2 2023-04-04 Fixed 3.60000000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AJ6 1212000.00000000 PA USD 1212835.81000000 0.152905184255 Long DBT CORP US N 2 2024-12-15 Floating 3.11600000 N N N N N N Avolon TLB Borrower 1 (US) LLC 635400O84AGITYFZQB55 05400KAE0 52743.67000000 PA USD 52005.52000000 0.006556463416 Long LON CORP US N 2 2025-01-15 Floating 2.50000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAL9 1500000.00000000 PA USD 1488000.90000000 0.187595921814 Long DBT CORP US N 2 2030-04-08 Fixed 3.50000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 57645TAA5 1023967.83000000 PA USD 1025474.09000000 0.129284032832 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.07657000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 483.00000000 NC USD -1007235.38000000 -0.12698463394 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 103365501.50000000 USD -1007235.38000000 N N N CME GROUP INC LCZ7XYGSLJUHFXXNXD88 12572QAK1 815000.00000000 PA USD 780256.70000000 0.098368875239 Long DBT CORP US N 2 2032-03-15 Fixed 2.65000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBS3 555000.00000000 PA USD 490022.47000000 0.061778334253 Long DBT CORP US N 2 2031-03-25 Fixed 2.72600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UVX7 55690.88000000 PA USD 55259.57000000 0.006966709477 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 3.50000000 N N N N N N USA COM PART/USA COM FIN N/A 91740PAF5 181000.00000000 PA USD 181974.69000000 0.022941995342 Long DBT CORP US N 2 2027-09-01 Fixed 6.87500000 N N N N N N Indymac Manufactured Housing C N/A 22540ABC1 41757.65000000 PA USD 41892.66000000 0.005281510360 Long ABS-O CORP US N 2 2028-02-25 Fixed 6.61000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2N2 545000.00000000 PA USD 526096.53000000 0.066326279445 Long DBT CORP US N 2 2026-04-30 Fixed 2.18800000 N N N N N N CANADIAN PACIFIC RAILWAY 54930036474DURYNB481 13645RBD5 1675000.00000000 PA USD 1609484.03000000 0.202911597871 Long DBT CORP CA N 2 2024-12-02 Fixed 1.35000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46644RBB0 22841142.07000000 PA USD 340869.78000000 0.042974288925 Long ABS-MBS CORP US N 2 2048-05-15 Variable 0.60265700 N N N N N N Dryden Senior Loan Fund 549300ENU7ZZLTPT3E22 26250UAQ8 1711707.20000000 PA USD 1702172.99000000 0.214597122318 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.14129000 N N N N N N HEALTHPEAK PROPERTIES PZ9HF5U52KPF0MH0QN75 40414LAN9 750000.00000000 PA USD 763199.06000000 0.096218376741 Long DBT CORP US N 2 2025-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MBSV0 28.67000000 PA USD 28.85000000 0.000003637190 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 6.00000000 N N N N N N Navient Student Loan Trust N/A 63940FAC1 1640000.00000000 PA USD 1657865.67000000 0.209011189850 Long ABS-O CORP US N 2 2065-06-25 Floating 1.95657000 N N N N N N ACRISURE LLC 549300R0Z1Q47XRTGO22 00488PAL9 249363.87000000 PA USD 246351.55000000 0.031058143924 Long LON CORP US N 2 2027-02-15 Floating 3.89660000 N N N N N N CHANGE HEALTH / FIN INC N/A 15911NAA3 65000.00000000 PA USD 65081.25000000 0.008204952756 Long DBT CORP US N 2 2025-03-01 Fixed 5.75000000 N N N N N N Barings CLO Ltd 54930079SUKCXYW8DR07 06760EAA4 1004399.52000000 PA USD 999036.03000000 0.125950921786 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.05400000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DG2 2890000.00000000 PA USD 2856664.46000000 0.360146692578 Long DBT CORP US N 2 2029-08-15 Fixed 3.25000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 2555000.00000000 PA USD 2358595.85000000 0.297353961727 Long DBT CORP US N 2 2027-03-09 Fixed 1.43100000 N N N N N N CIM Trust N/A 12566LAB0 3006696.10000000 PA USD 2916759.81000000 0.367723060697 Long ABS-MBS CORP US N 2 2057-06-25 Variable 1.95100000 N N N N N N PERKINELMER INC 549300IKL1SDPFI7N655 714046AL3 2050000.00000000 PA USD 1947150.95000000 0.245482094383 Long DBT CORP US N 2 2024-09-15 Fixed 0.85000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAD4 1000000.00000000 PA USD 1000794.28000000 0.126172588674 Long DBT CORP US N 2 2023-01-15 Fixed 2.25000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBY1 495000.00000000 PA USD 496679.44000000 0.062617594783 Long DBT CORP US N 2 2022-06-30 Fixed 3.15000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHR3 1435000.00000000 PA USD 1444394.82000000 0.182098396393 Long DBT CORP US N 2 2025-03-15 Fixed 3.45800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128ME6W6 1371817.43000000 PA USD 1360541.15000000 0.171526758620 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 2.50000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAM7 155000.00000000 PA USD 142651.14000000 0.017984378978 Long DBT CORP GB N 2 2026-08-21 Fixed 1.53200000 N N N N N N Banc of America Merrill Lynch N/A 05491YAA8 1095000.00000000 PA USD 1126867.00000000 0.142066885596 Long ABS-MBS CORP US N 2 2038-08-10 Variable 4.09075000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXTX8 37746.02000000 PA USD 42711.08000000 0.005384690576 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.50000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAL0 933000.00000000 PA USD 1001603.49000000 0.126274607763 Long DBT CORP US N 2 2035-07-15 Fixed 5.00000000 N N N N N N Residential Asset Securities C N/A 76110W6M3 11803.91000000 PA USD 11793.93000000 0.001486889672 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.13657000 N N N N N N Rockford Tower CLO Ltd 549300IG5M07NI4QKK80 77341GAJ9 2000000.00000000 PA USD 1983596.00000000 0.250076811195 Long ABS-CBDO CORP KY N 2 2032-08-20 Floating 1.57957000 N N N N N N Global SC Finance SRL N/A 37952UAE3 388901.50000000 PA USD 383212.77000000 0.048312573493 Long ABS-O CORP BB N 2 2029-07-17 Fixed 3.09000000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAP0 65000.00000000 PA USD 64616.83000000 0.008146402188 Long DBT CORP GB N 2 2029-05-15 Fixed 5.50000000 N N N N N N CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 000000000 1.00000000 NC USD 64383.25000000 0.008116954185 N/A DCR CORP US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 BERRY GLOBAL INC Berry Global Inc Y Default Event 2023-12-20 61099.39000000 USD 0.00000000 USD 1155000.00000000 USD 3283.86000000 N N N BACARDI LTD 549300R32WTQNHNN5055 067316AE9 1045000.00000000 PA USD 1070587.23000000 0.134971557002 Long DBT CORP BM N 2 2025-05-15 Fixed 4.45000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CEG2 23240000.00000000 PA USD 23209134.49000000 2.926032490415 Long DBT UST US N 1 2024-03-31 Fixed 2.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBT2 1235000.00000000 PA USD 1141589.73000000 0.143923016265 Long DBT CORP US N 2 2026-11-19 Fixed 1.04500000 N N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAN4 780000.00000000 PA USD 784790.03000000 0.098940403267 Long DBT CORP US N 2 2032-04-01 Fixed 3.40000000 N N N N N N NORTHWEST AIR 2001-1 A1 N/A 667294AW2 33525.20581000 PA USD 33692.83000000 0.004247737687 Long DBT CORP US N 2 2022-04-01 Fixed 7.04100000 N N N N N N PUBLIC SERVICE CO OF NEW OFZN1UT56PNG1CGSR346 744542AC5 1405000.00000000 PA USD 1430158.91000000 0.180303640315 Long DBT CORP US N 2 2025-08-01 Fixed 3.85000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BQ5 1210000.00000000 PA USD 1115747.05000000 0.140664966235 Long DBT CORP US N 2 2029-11-15 Fixed 3.87500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCC8 420000.00000000 PA USD 385384.00000000 0.048586305782 Long DBT CORP US N 2 2032-04-22 Fixed 2.58000000 N N N N N N SLM Student Loan Trust 549300R59P5DXM48DO55 78445GAE3 185000.00000000 PA USD 185409.20000000 0.023374992439 Long ABS-O CORP US N 2 2075-10-25 Floating 2.50771000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397W5J0 629508.29000000 PA USD 90839.81000000 0.011452397572 Long ABS-MBS USGSE US N 2 2038-06-15 Floating 5.80343000 N N N N N N 321 Henderson Receivables LLC N/A 46617LAA9 369051.81000000 PA USD 382812.83000000 0.048262152076 Long ABS-O CORP US N 2 2073-01-17 Fixed 4.08000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCR5 425000.00000000 PA USD 388249.68000000 0.048947589086 Long DBT CORP US N 2 2032-11-08 Fixed 2.54500000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887BV0 589000.00000000 PA USD 594485.61000000 0.074948258440 Long DBT CORP US N 2 2024-06-06 Fixed 3.36300000 N N N N N N Structured Receivables Finance N/A 86365FAC8 446444.99000000 PA USD 474242.69000000 0.059788938699 Long ABS-O CORP US N 2 2046-01-16 Fixed 7.61400000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAR2 773000.00000000 PA USD 684205.03000000 0.086259405698 Long DBT CORP KY N 2 2027-11-18 Fixed 2.52800000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHC6 1000000.00000000 PA USD 1002903.21000000 0.126438466650 Long DBT CORP US N 2 2023-12-20 Fixed 3.00400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MFPH5 46942.22000000 PA USD 48252.27000000 0.006083281986 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N Indymac Manufactured Housing C N/A 22540ABD9 11116.26000000 PA USD 11160.03000000 0.001406972344 Long ABS-O CORP US N 2 2028-02-25 Fixed 6.75000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAW1 2000000.00000000 PA USD 1840020.00000000 0.231975832848 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N Diamond Sports Group LLC 5493002K6DHWNZH8YA34 25277BAE8 116685.75000000 PA USD 118687.49000000 0.014963222867 Long LON CORP US N 2 2026-05-25 Floating 9.00000000 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WBA3 1210000.00000000 PA USD 1106429.03000000 0.139490220607 Long DBT CORP KY N 2 2031-04-22 Fixed 2.88000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBC1 1000000.00000000 PA USD 1056746.71000000 0.133226648711 Long DBT CORP US N 2 2028-11-15 Fixed 4.65000000 N N N N N N SYDNEY AIRPORT FINANCE 549300MJAANHLHOVTO40 87124VAE9 410000.00000000 PA USD 408036.42000000 0.051442151912 Long DBT CORP AU N 2 2025-04-30 Fixed 3.37500000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45669FAA1 526326.20000000 PA USD 488597.30000000 0.061598659577 Long ABS-MBS CORP US N 2 2037-06-25 Variable 2.79266900 N N N N N N Academic Loan Funding Trust N/A 00400VAB3 535209.45000000 PA USD 531889.49000000 0.067056612116 Long ABS-MBS CORP US N 2 2044-12-27 Floating 1.55657000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAE6 245000.00000000 PA USD 261990.75000000 0.033029816213 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Higher Education Funding 635400EWI7RHQRLFJW85 429827AY4 483014.90400000 PA USD 483570.66000000 0.060964938747 Long ABS-MBS CORP US N 2 2034-05-25 Floating 1.54757000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 313921MN5 90775.15000000 PA USD 95609.42000000 0.012053713999 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 6.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 740000.00000000 PA USD 672202.14000000 0.084746171927 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -31.00000000 NC USD 200079.65000000 0.025224532040 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 -5690954.65000000 USD 200079.65000000 N N N US AIRWAYS 2012-2A PTT N/A 90345WAD6 253479.54210000 PA USD 245255.34000000 0.030919942042 Long DBT CORP US N 2 2025-06-03 Fixed 4.62500000 N N N N N N AETNA INC 549300QKBENKLBXQ8968 00817YAV0 50000.00000000 PA USD 50224.90000000 0.006331976286 Long DBT CORP US N 2 2023-06-15 Fixed 2.80000000 N N N N N N SES GLOBAL AMERICAS HLDG 5299000YGN3VJ3R60481 78413KAB8 750000.00000000 PA USD 729664.33000000 0.091990571108 Long DBT CORP US N 2 2044-03-25 Fixed 5.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297CWX4 64151.27000000 PA USD 69073.90000000 0.008708315931 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N Horizon Therapeutics USA Inc N/A 44055UAD7 382112.50000000 PA USD 378889.38000000 0.047767513115 Long LON CORP US N 2 2028-03-15 Floating 2.25000000 N N N N N N HEALTHCARE REALTY TRUST 549300CB86LH2IOKHH22 421946AJ3 1400000.00000000 PA USD 1417645.60000000 0.178726056642 Long DBT CORP US N 2 2025-05-01 Fixed 3.87500000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAD1 853000.00000000 PA USD 792951.90000000 0.099969390230 Long DBT CORP US N 2 2028-09-15 Fixed 2.86600000 N N N N N N EQUITABLE FINANCIAL LIFE 635400B4JJBON4TCHF02 29449WAF4 1190000.00000000 PA USD 1071224.65000000 0.135051918105 Long DBT CORP US N 2 2028-03-08 Fixed 1.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B1Z72 230096.35000000 PA USD 228093.84000000 0.028756349660 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 3.00000000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAR8 1000000.00000000 PA USD 971913.12000000 0.122531470021 Long DBT CORP US N 2 2029-07-15 Fixed 4.95000000 N N N N N N FannieMae Whole Loan N/A 31393BW43 7335873.12000000 PA USD 112528.63000000 0.014186760287 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 0.55000000 N N N N N N PIEDMONT OPERATING PARTN 549300WKGDPAS39FBD10 720198AC4 1210000.00000000 PA USD 1211929.22000000 0.152790888231 Long DBT CORP US N 2 2023-06-01 Fixed 3.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVKQ7 3036602.42000000 PA USD 3066515.08000000 0.386603074763 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N SUNOCO LP/FINANCE CORP N/A 86765LAU1 250000.00000000 PA USD 230700.00000000 0.029084914641 Long DBT CORP US N 2 2030-04-30 Fixed 4.50000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307G2S6 2000000.00000000 PA USD 1970052.60000000 0.248369361550 Long ABS-O CORP US N 2 2036-01-25 Floating 1.23657000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YQ28 5111.03000000 PA USD 5116.80000000 0.000645087521 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 1.78200000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -165.00000000 NC USD -162937.50000000 -0.02054193012 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 NC USD 0.00000000 0.00000000 DIR CORP US Short NA 90 DAY EURO DOLLAR TIME DEPOSIT 2022-12-19 0.00000000 USD 1000000.00000000 97.25000000 USD 2022-12-19 XXXX -86997.90000000 N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664DA6 1210000.00000000 PA USD 1174284.90000000 0.148044976510 Long DBT CORP US N 2 2032-03-15 Fixed 2.87500000 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 64990FQZ0 1245000.00000000 PA USD 1175263.19000000 0.148168311929 Long DBT MUN US N 2 2033-02-15 Fixed 3.02700000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAD2 881250.00000000 PA USD 900135.96000000 0.113482347473 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31393USG9 2609.95000000 PA USD 2674.92000000 0.000337233722 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 9.80000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020646 350000.00000000 PA USD 324708.76000000 0.040936829509 Long ABS-MBS USGSE US N 2 2051-04-15 Fixed 2.00000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CS6 815000.00000000 PA USD 792483.90000000 0.099910388322 Long DBT CORP US N 2 2027-03-04 Fixed 2.55000000 N N N N N N Structured Adjustable Rate Mor N/A 863579DE5 644410.56000000 PA USD 612857.71000000 0.077264474133 Long ABS-MBS CORP US N 2 2034-10-25 Variable 2.61038200 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BD3 860000.00000000 PA USD 874383.05000000 0.110235614967 Long DBT CORP US N 2 2024-10-01 Fixed 3.85000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AC5 210000.00000000 PA USD 209376.40000000 0.026396596107 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 420000.00000000 PA USD 391497.98000000 0.049357110231 Long DBT CORP US N 2 2027-04-22 Fixed 1.57800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389NRU1 2631.30000000 PA USD 2838.04000000 0.000357798661 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 7.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 217.00000000 NC USD 10850.00000000 0.001367886102 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long CHICAGO MERCANTILE EXCHANGE EURO CURRENCY 2PM 2023-09-18 0.00000000 USD 1000000.00000000 98.75000000 USD 2022-09-16 XXXX -118436.94000000 N N N Avantor Funding Inc 5493003VM0XB4U8YD238 05350NAL8 603915.25500000 PA USD 600140.78000000 0.075661219588 Long LON CORP US N 2 2027-11-08 Floating 2.75000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AJ8 410000.00000000 PA USD 415288.26000000 0.052356409161 Long DBT CORP US N 2 2023-06-15 Fixed 3.85000000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55608JBE7 410000.00000000 PA USD 415152.32000000 0.052339270872 Long DBT CORP AU N 2 2033-06-21 Fixed 4.44200000 N N N N N N TIAA FSB HOLDINGS INC 549300ZSQX8IP0RAE826 29977GAA0 1150000.00000000 PA USD 1193102.09000000 0.150417305790 Long DBT CORP US N 2 2025-07-02 Fixed 5.75000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGZ6 605000.00000000 PA USD 605050.07000000 0.076280145815 Long DBT CORP US N 2 2026-01-23 Fixed 3.36600000 N N N N N N BAYLOR SCOTT & WHITE HOL 549300JQDKSBWYRGGV95 072863AE3 1530000.00000000 PA USD 1520180.15000000 0.191652838760 Long DBT CORP US N 2 2026-11-15 Fixed 2.65000000 N N N N N N HarborView Mortgage Loan Trust N/A 411640AB1 1737462.42000000 PA USD 1737575.88000000 0.219060451462 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.45657000 N N N N N N Nationstar Home Equity Loan Tr N/A 63860LAA8 2253352.24000000 PA USD 2239876.97000000 0.282386781444 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.67657000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDQ1 9375000.00000000 PA USD 8859569.06000000 1.116947593707 Long DBT UST US N 1 2026-12-31 Fixed 1.25000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CV9 1195000.00000000 PA USD 1076972.41000000 0.135776552300 Long DBT CORP GB N 2 2029-08-17 Fixed 2.20600000 N N N N N N Banc of America Funding Corpor N/A 05946XCR2 3739.67000000 PA USD 3692.78000000 0.000465557828 Long ABS-MBS CORP US N 2 2032-06-25 Fixed 6.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 3815000.00000000 PA USD 3811024.39000000 0.480465188898 Long DBT CORP US N 2 2028-03-24 Fixed 3.52600000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAQ2 1152000.00000000 PA USD 1168221.34000000 0.147280528634 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAQ8 435000.00000000 PA USD 396309.42000000 0.049963700269 Long DBT CORP GB N 2 2027-06-14 Fixed 1.67300000 N N N N N N AON CORP/AON GLOBAL HOLD N/A 03740LAD4 1625000.00000000 PA USD 1593208.06000000 0.200859646427 Long DBT CORP US N 2 2027-05-28 Fixed 2.85000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMM1 4387000.00000000 PA USD 3906327.38000000 0.492480270516 Long DBT CORP US N 2 2033-12-01 Fixed 2.55000000 N N N N N N SAFINA LTD N/A 78657AAB5 2211543.85822000 PA USD 2214378.62000000 0.279172141942 Long DBT CORP KY N 2 2023-12-30 Fixed 2.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEG6 4790000.00000000 PA USD 4554436.09000000 0.574188924649 Long DBT CORP US N 2 2025-10-21 Fixed 1.16400000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDV0 21285000.00000000 PA USD 20745807.74000000 2.615474847341 Long DBT UST US N 1 2024-01-31 Fixed 0.87500000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAA1 1000000.00000000 PA USD 991690.31000000 0.125024828855 Long DBT CORP GB N 2 2024-07-26 Fixed 3.12500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBG3 130000.00000000 PA USD 135003.59000000 0.017020233599 Long DBT CORP US N 2 2026-01-15 Fixed 4.75000000 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAH0 1650000.00000000 PA USD 1656428.90000000 0.208830052734 Long DBT CORP US N 2 2029-04-01 Fixed 3.90000000 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAM4 790000.00000000 PA USD 792496.87000000 0.099912023482 Long DBT CORP US N 2 2024-12-15 Fixed 3.45000000 N N N N N N Wells Fargo Commercial Mortgag 549300DT2BKPLXAJ4C66 94989CBA8 32671513.65000000 PA USD 912338.95000000 0.115020808342 Long ABS-MBS CORP US N 2 2048-02-15 Variable 1.19936700 N N N N N N Churchill Downs Incorporated 529900FODTBQC8MIS994 17148PAD3 52927.14100000 PA USD 52356.59000000 0.006600723671 Long LON CORP US N 2 2024-12-27 Floating 2.46000000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC USD 253479.05000000 0.031956725325 N/A DFE CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 -12016151.16000000 USD 15326000.00000000 CAD 2022-04-08 253479.05000000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 197677AJ6 80000.00000000 PA USD 90445.42000000 0.011402675857 Long DBT CORP US N 2 2027-12-01 Fixed 7.05000000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAR5 1000000.00000000 PA USD 1050097.76000000 0.132388399282 Long DBT CORP US N 2 2029-11-15 Fixed 3.45000000 N N N N N N HSI Asset Securitization Corpo N/A 40430HCA4 201124.61000000 PA USD 199446.93000000 0.025144763478 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.08657000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 985000.00000000 PA USD 1024438.53000000 0.129153477244 Long DBT CORP US N 2 2031-03-31 Fixed 4.41200000 N N N N N N Trans Union LLC X8NPN6PWJOM1QCTYFV34 89334GAZ7 607927.41940000 PA USD 604380.16000000 0.076195688619 Long LON CORP US N 2 2028-12-01 Floating 2.75000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAF0 1000000.00000000 PA USD 1051692.82000000 0.132589492407 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NE7 1145000.00000000 PA USD 1029803.50000000 0.129829852166 Long DBT CORP US N 2 2032-11-03 Fixed 2.52000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AM2 725000.00000000 PA USD 763611.17000000 0.096270332460 Long DBT CORP US N 2 2038-04-15 Fixed 4.37500000 N N N N N N Student Loan Consolidation Cen 5493008KMDJ3GC7JUA63 86386MAX2 500000.00000000 PA USD 460668.50000000 0.058077607283 Long ABS-O CORP US N 2 2042-07-01 Floating 0.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q83U7 10256.73000000 PA USD 10678.41000000 0.001346253330 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NG2 405000.00000000 PA USD 395476.13000000 0.049858645356 Long DBT CORP US N 2 2028-02-24 Fixed 3.07000000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AA6 50000.00000000 PA USD 50442.82000000 0.006359449995 Long DBT CORP US N 2 2023-04-15 Fixed 3.75000000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TBC8 2108000.00000000 PA USD 2108072.24000000 0.265769835968 Long DBT CORP LU N 2 2030-03-15 Fixed 6.50000000 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAJ6 940000.00000000 PA USD 932028.53000000 0.117503121969 Long DBT CORP US N 2 2026-10-15 Fixed 3.25000000 N N N N N N SLM Student Loan Trust 549300OORAXMFXOHG132 78444GAD6 185000.00000000 PA USD 170362.31000000 0.021477994124 Long ABS-O CORP US N 2 2083-04-26 Floating 1.45771000 N N N N N N GPMT Ltd. N/A 36262TAC7 2380000.00000000 PA USD 2356504.64000000 0.297090317755 Long ABS-CBDO CORP KY N 2 2036-12-15 Floating 2.14657000 N N N N N N NEW YORK LIFE GLOBAL FDG 635400DPNHEAUHB7ZI15 64952WCX9 50000.00000000 PA USD 49295.45000000 0.006214798246 Long DBT CORP US N 2 2028-01-10 Fixed 3.00000000 N N N N N N RBSCF Trust N/A 74932QAA8 560000.00000000 PA USD 561276.78000000 0.070761539819 Long ABS-MBS CORP US N 2 2032-01-15 Variable 3.83360000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCW4 425000.00000000 PA USD 414894.00000000 0.052306703836 Long DBT CORP US N 2 2028-02-24 Fixed 2.94700000 N N N N N N JP Morgan Mortgage Trust N/A 46630UAM6 115839.17000000 PA USD 110521.78000000 0.013933751787 Long ABS-MBS CORP US N 2 2037-05-25 Variable 3.10967500 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAL7 3020000.00000000 PA USD 3053568.36000000 0.384970850029 Long DBT CORP GB N 2 2025-07-09 Fixed 3.87000000 N N N N N N Residential Asset Mortgage Pro N/A 760985E72 16174.71000000 PA USD 15787.99000000 0.001990430609 Long ABS-MBS CORP US N 2 2031-04-25 Fixed 8.00000000 N N N N N N Berry Global Inc 549300AP2Q7ERHX6RI89 08579JBG6 909898.69120000 PA USD 898665.99000000 0.113297024751 Long LON CORP US N 2 2026-07-01 Floating 2.07114000 N N N N N N Cedar Funding Ltd N/A 15033TAN5 2000000.00000000 PA USD 1981914.00000000 0.249864757331 Long ABS-CBDO CORP KY N 2 2034-10-25 Floating 1.38771000 N N N N N N Bayview Commercial Asset Trust N/A 07324SAX0 223629.10000000 PA USD 222338.42000000 0.028030749749 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.01157000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BB2 900000.00000000 PA USD 793637.67000000 0.100055846935 Long DBT CORP US N 2 2030-12-01 Fixed 4.12500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAE2 525000.00000000 PA USD 496412.04000000 0.062583883009 Long DBT CORP US N 2 2029-10-01 Fixed 3.25000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -495.00000000 NC USD -18562.50000000 -0.00234021988 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 NC USD 0.00000000 0.00000000 DIR CORP US Long CHICAGO MERCANTILE EXCHANGE EURO CURRENCY 2PM 2023-09-18 0.00000000 USD 1000000.00000000 99.00000000 USD 2022-09-16 XXXX 145041.60000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F030645 3775000.00000000 PA USD 3693011.72000000 0.465587042242 Long ABS-MBS USGSE US N 2 2051-04-15 Fixed 3.00000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GDP0 109.66000000 PA USD 110.40000000 0.000013918398 Long ABS-MBS CORP US N 2 2034-02-25 Variable 2.65971500 N N N N N N Zayo Group Holdings, Inc 529900Z6OTS7RT0V0I47 98919XAB7 445394.74000000 PA USD 434075.03000000 0.054724903317 Long LON CORP US N 2 2027-03-09 Floating 3.45743000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAE0 1785000.00000000 PA USD 1881299.75000000 0.237180072142 Long DBT CORP US N 2 2028-03-20 Fixed 5.15200000 N N N N N N JDE PEET'S NV 724500EHG519SE5ZRT89 47216QAA1 1650000.00000000 PA USD 1549706.00000000 0.195375235062 Long DBT CORP NL N 2 2024-09-24 Fixed 0.80000000 N N N N N N Mid-State Trust N/A 59549WAA1 402549.29000000 PA USD 405380.50000000 0.051107313566 Long ABS-O CORP US N 2 2038-07-15 Fixed 4.86400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RQN2 43021.70000000 PA USD 45764.02000000 0.005769582207 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 6.50000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 5268.18000000 0.000664172369 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -439897.14000000 USD 400000.00000000 EUR 2022-04-08 5268.18000000 N N N Fannie Mae or Freddie Mac N/A 01F030652 13150000.00000000 PA USD 12837688.16000000 1.618478822386 Long ABS-MBS USGSE US N 2 2052-05-15 Fixed 3.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46651EAA2 740000.00000000 PA USD 731869.44000000 0.092268574733 Long ABS-MBS CORP US N 2 2039-06-05 Fixed 3.39730000 N N N N N N SLM Student Loan Trust 549300MTK92VF84VT259 78445JAB3 1885000.00000000 PA USD 1893437.98000000 0.238710368560 Long ABS-O CORP US N 2 2083-10-25 Floating 2.50771000 N N N N N N SAN FRANCISCO CA CITY & CNTY P N/A 79771FBF3 795000.00000000 PA USD 711374.21000000 0.089684690835 Long DBT MUN US N 2 2032-11-01 Fixed 2.18800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q83V5 687381.26000000 PA USD 717066.92000000 0.090402384743 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Homebanc Mortgage Trust N/A 43739EBS5 8396.33000000 PA USD 8401.81000000 0.001059236786 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.99657000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3SX9 228220.52000000 PA USD 229751.78000000 0.028965370220 Long ABS-MBS USGSE US N 2 2047-05-25 Fixed 4.00000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 385000.00000000 PA USD 389685.32000000 0.049128583741 Long DBT CORP GB N 2 2025-03-22 Fixed 4.26900000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3L3 530000.00000000 PA USD 510833.62000000 0.064402046959 Long DBT CORP US N 2 2027-03-08 Fixed 3.20500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ5E6 203055.65000000 PA USD 213768.73000000 0.026950347919 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGGT5 232794.83000000 PA USD 249559.48000000 0.031462575525 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAF8 95000.00000000 PA USD 86687.52000000 0.010928908190 Long DBT CORP US N 2 2027-01-15 Fixed 1.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MFWR5 837073.29000000 PA USD 861324.07000000 0.108589237340 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 3.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AF6 30000.00000000 PA USD 30806.24000000 0.003883818209 Long DBT CORP US N 2 2023-11-01 Fixed 5.37500000 N N N N N N SLM Student Loan Trust 549300SRMXHPGI3BJ386 78444YAE5 2235000.00000000 PA USD 2232239.42000000 0.281423896790 Long ABS-O CORP US N 2 2073-07-25 Floating 2.10771000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36241LDP8 459294.78000000 PA USD 489172.46000000 0.061671171408 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 4.50000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAH4 1160000.00000000 PA USD 1123058.08000000 0.141586685712 Long DBT CORP KY N 2 2025-02-15 Fixed 2.87500000 N N N N N N MIAMI-DADE CNTY FL AVIATION RE N/A 59333P3T3 280000.00000000 PA USD 290481.07000000 0.036621660710 Long DBT MUN US N 2 2031-10-01 Fixed 4.06200000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BY0 815000.00000000 PA USD 791681.78000000 0.099809263087 Long DBT CORP US N 2 2027-03-03 Fixed 2.45000000 N N N N N N CRANE CO 549300X1RO9ID7AUCA83 224399AR6 1130000.00000000 PA USD 1154242.29000000 0.145518155526 Long DBT CORP US N 2 2023-12-15 Fixed 4.45000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BF8 885000.00000000 PA USD 900347.78000000 0.113509052140 Long DBT CORP US N 2 2027-03-15 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DY71 732125.18000000 PA USD 689785.99000000 0.086963011009 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397LXH7 640953.46000000 PA USD 90607.04000000 0.011423051687 Long ABS-MBS USGSE US N 2 2036-11-25 Floating 5.59343000 N N N N N N LCM Ltd Partnership 549300PYL1KC7BYM8G75 50188QAJ0 19069.67000000 PA USD 19040.49000000 0.002400481258 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.48129000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAY6 65000.00000000 PA USD 63700.00000000 0.008030815182 Long DBT CORP US N 2 2027-12-01 Fixed 4.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAV7 2045000.00000000 PA USD 1891463.87000000 0.238461487672 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 1020000.00000000 PA USD 906982.57000000 0.114345516382 Long DBT CORP US N 2 2032-07-21 Fixed 2.38300000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 085770AA3 555000.00000000 PA USD 561221.55000000 0.070754576838 Long DBT CORP US N 2 2026-07-15 Fixed 4.87500000 N N N N N N SPRINT CORP 549300ZTTY7CXOLJ6539 85207UAF2 65000.00000000 PA USD 69143.43000000 0.008717081749 Long DBT CORP US N 2 2023-09-15 Fixed 7.87500000 N N N N N N Citigroup Commercial Mortgage N/A 17290XAT7 1000000.00000000 PA USD 994483.18000000 0.125376932823 Long ABS-MBS CORP US N 2 2049-04-10 Fixed 3.31400000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAF0 1650000.00000000 PA USD 1530984.11000000 0.193014920487 Long DBT CORP US N 2 2030-10-01 Fixed 2.78200000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660N2J3 22467.47000000 PA USD 21550.15000000 0.002716880248 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.25657000 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAA1 330000.00000000 PA USD 338085.00000000 0.042623204882 Long DBT CORP GB N 2 2023-11-07 Fixed 5.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CY3 285000.00000000 PA USD 259717.47000000 0.032743218230 Long DBT CORP GB N 2 2032-11-22 Fixed 2.87100000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 826000.00000000 PA USD 745134.60000000 0.093940945978 Long DBT CORP US N 2 2030-04-15 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388JKV6 308.81000000 PA USD 311.78000000 0.000039306869 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 7.00000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1165000.00000000 PA USD 1182922.45000000 0.149133933617 Long DBT CORP GB N 2 2024-06-25 Fixed 4.51900000 N N N N N N Caesars Resort Collection LLC 549300V3UCT773B1KR38 12769LAB5 1061.45720000 PA USD 1057.33000000 0.000133300185 Long LON CORP US N 2 2024-12-23 Floating 3.20743000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 165.00000000 NC USD 74250.00000000 0.009360879549 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 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 98.00000000 USD 2022-12-19 XXXX -84843.14000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHG7 1540000.00000000 PA USD 1564951.39000000 0.197297258759 Long DBT CORP US N 2 2029-03-05 Fixed 3.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CYZ1 8188.46000000 PA USD 8437.64000000 0.001063753962 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4.00000000 N N N N N N Asset Backed Securities Corp H N/A 04541GNA6 350182.13000000 PA USD 344695.41000000 0.043456595479 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.43157000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DG7 444000.00000000 PA USD 239049.60000000 0.030137569185 Long DBT CORP US N 2 2036-10-10 None 0.00000000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AN1 950000.00000000 PA USD 880688.07000000 0.111030504297 Long DBT CORP US N 2 2025-10-01 Fixed 1.23000000 N N N N N N JP Morgan Mortgage Acquisition N/A 46629TAG5 1918249.83000000 PA USD 1911433.14000000 0.240979062502 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.74657000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAA1 1000000.00000000 PA USD 1001501.09000000 0.126261697944 Long DBT CORP CH N 2 2023-05-23 Fixed 3.49100000 N N N N N N RUBY PIPELINE LLC 549300VXRTBPBK07QT94 781172AB7 561363.63222800 PA USD 522068.18000000 0.065818415484 Long DBT CORP US N 3 2022-04-01 Variable 8.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9N25 9611.12000000 PA USD 10005.65000000 0.001261436827 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N AETNA INC 549300QKBENKLBXQ8968 00817YAQ1 1250000.00000000 PA USD 1264512.85000000 0.159420235392 Long DBT CORP US N 2 2024-11-15 Fixed 3.50000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 12429TAD6 65000.00000000 PA USD 64830.19000000 0.008173301007 Long DBT CORP US N 2 2024-04-15 Fixed 5.50000000 N N N N N N RBSSP Resecuritization Trust N/A 74928UBX4 1874695.10000000 PA USD 1858758.88000000 0.234338289395 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.40046000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBB0 550000.00000000 PA USD 535411.86000000 0.067500685938 Long DBT CORP US N 2 2027-08-15 Fixed 3.55700000 N N N N N N Credit-Based Asset Servicing a N/A 12498NAD5 370274.09000000 PA USD 328907.35000000 0.041466156045 Long ABS-MBS CORP US N 2 2036-12-25 Variable 3.00386500 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922F4P0 477668.95000000 PA USD 486611.77000000 0.061348338941 Long ABS-MBS CORP US N 2 2045-10-25 Floating 2.01657000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -149.00000000 NC USD -102437.50000000 -0.01291454678 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 97.62500000 USD 2022-12-16 XXXX 1442.32000000 N N N APPALACHIAN POWER CO 3SCHO1ABYYIG382BEI70 037735BZ9 350000.00000000 PA USD 408569.08000000 0.051509305664 Long DBT CORP US N 2 2033-05-15 Fixed 5.95000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CEF4 80290000.00000000 PA USD 80481315.81000000 10.14647681208 Long DBT UST US N 1 2027-03-31 Fixed 2.50000000 N N N N N N Brazos Higher Education Author N/A 10620NCG1 11078.27000000 PA USD 11082.68000000 0.001397220640 Long ABS-MBS CORP US N 2 2030-02-25 Floating 1.29757000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AB4 1250000.00000000 PA USD 1273519.38000000 0.160555710712 Long DBT CORP US N 2 2024-07-01 Fixed 4.12500000 N N N N N N Transdigm Inc 88Q84GB3X55CF5OC7582 89364MBQ6 291280.22580000 PA USD 286546.92000000 0.036125672773 Long LON CORP US N 2 2025-05-30 Floating 2.70743000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T1E99 2551.73000000 PA USD 2608.11000000 0.000328810822 Long ABS-MBS USGSE US N 2 2023-10-15 Floating 10.09375000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404R3R6 72745.05000000 PA USD 78763.08000000 0.009929854610 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CEC1 84030000.00000000 PA USD 81811175.25000000 10.31413545230 Long DBT UST US N 1 2027-02-28 Fixed 1.87500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CT4 435000.00000000 PA USD 396255.41000000 0.049956891096 Long DBT CORP GB N 2 2032-05-24 Fixed 2.80400000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYN8 3160000.00000000 PA USD 2863772.18000000 0.361042780265 Long DBT CORP US N 2 2032-10-21 Fixed 2.65000000 N N N N N N FIRSTCASH INC 549300V2X3UU7K0DG350 31944TAA8 415000.00000000 PA USD 399285.27000000 0.050338872975 Long DBT CORP US N 2 2030-01-01 Fixed 5.62500000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAC4 860000.00000000 PA USD 866531.97000000 0.109245810062 Long DBT CORP KY N 2 2023-03-15 Fixed 4.50000000 N N N N N N Hudson Yards N/A 44421GAA1 760000.00000000 PA USD 739623.41000000 0.093246136742 Long ABS-MBS CORP US N 2 2039-07-10 Fixed 3.22800000 N N N N N N Indymac Manufactured Housing C N/A 22540AFG8 55782.52000000 PA USD 57547.89000000 0.007255203590 Long ABS-O CORP US N 2 2028-09-25 Fixed 6.49000000 N N N N N N Naked Juice LLC 549300Y5TU1XQ1KVLJ64 000000000 4874.30000000 PA USD 4804.67000000 0.000605736527 Long LON CORP US N 2 2029-01-24 Floating 3.75000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAJ4 1730000.00000000 PA USD 1770134.37000000 0.223165180125 Long DBT CORP GB N 2 2024-11-15 Fixed 4.79600000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGM0 765000.00000000 PA USD 692054.62000000 0.087249022755 Long DBT CORP US N 2 2032-03-15 Fixed 2.35500000 N N N N N N SLM Student Loan Trust 549300MHMWVKFEDI8G73 784442AC9 3247123.58000000 PA USD 3192275.44000000 0.402457991693 Long ABS-O CORP US N 2 2023-04-25 Floating 1.00771000 N N N N N N HUDSON PACIFIC PROPERTIE 5493007NTUGLGZ8T3526 44409MAB2 1065000.00000000 PA USD 1118047.09000000 0.140954937917 Long DBT CORP US N 2 2029-04-01 Fixed 4.65000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38374FGE8 4178.54000000 PA USD 4425.00000000 0.000557870599 Long ABS-MBS USGA US N 2 2023-11-26 Floating 13.40572000 N N N N N N Regatta XII Funding Ltd. N/A 75888HAN1 2100000.00000000 PA USD 2078937.00000000 0.262096684826 Long ABS-CBDO CORP KY N 2 2032-10-15 Floating 1.84129000 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAG8 1020000.00000000 PA USD 1019949.92000000 0.128587587176 Long DBT CORP US N 2 2024-10-08 Fixed 3.37500000 N N N N N N Navient Student Loan Trust N/A 63938JAA1 1503282.18000000 PA USD 1478257.03000000 0.186367488233 Long ABS-O CORP US N 2 2083-03-25 Floating 1.07657000 N N N N N N Entegris Inc IYX6OWO7BT5DKO3BYG52 000000000 130000.00000000 PA USD 129864.80000000 0.016372373744 Long LON CORP US N 2 2029-03-02 Floating 0.00000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022659 16550000.00000000 PA USD 15758296.49000000 1.986687075436 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.50000000 N N N N N N Hostess Brands LLC 549300SW7FLS4O41LD19 44108HAJ0 293233.08060000 PA USD 289960.60000000 0.036556043781 Long LON CORP US N 2 2025-08-03 Floating 3.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -594.00000000 NC USD -1277100.00000000 -0.16100712825 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 NC USD 0.00000000 0.00000000 DIR CORP US Short CHICAGO MERCANTILE EXCHANGE EURO CURRENCY 2PM 2023-09-18 0.00000000 USD 1000000.00000000 97.62500000 USD 2022-09-16 XXXX -870400.08000000 N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AG5 545000.00000000 PA USD 562185.56000000 0.070876111942 Long DBT CORP US N 2 2025-11-15 Fixed 4.12500000 N N N N N N CenturyLink Inc 8M3THTGWLTYZVE6BBY25 15669GAH7 566551.02410000 PA USD 552344.76000000 0.069635458158 Long LON CORP US N 2 2027-03-15 Floating 2.70743000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225DCE2 11761.33000000 PA USD 12058.35000000 0.001520225749 Long ABS-MBS USGA US N 2 2034-07-20 Floating 1.62500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -240.00000000 NC USD -112500.00000000 -0.01418315083 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 20646.10000000 N N N Educational Funding of the Sou N/A 28148WAB9 153941.79000000 PA USD 153382.43000000 0.019337299020 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.90771000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385QV90 2505.91000000 PA USD 2691.13000000 0.000339277357 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 6.50000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAE0 845000.00000000 PA USD 870923.30000000 0.109799435802 Long DBT CORP US N 2 2023-10-02 Fixed 4.87500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCT1 555000.00000000 PA USD 531361.31000000 0.066990023168 Long DBT CORP US N 2 2025-12-10 Fixed 1.56100000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CEA5 39241000.00000000 PA USD 38673845.12000000 4.875706476653 Long DBT UST US N 1 2024-02-29 Fixed 1.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CJ1 1615000.00000000 PA USD 1612591.62000000 0.203303379362 Long DBT CORP US N 2 2033-04-01 Fixed 4.40000000 N N N N N N SLM Student Loan Trust 54930067BGNOZYMNWK87 78445FAE5 185000.00000000 PA USD 184079.44000000 0.023207346335 Long ABS-O CORP US N 2 2083-07-26 Floating 2.10771000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCM6 850000.00000000 PA USD 806704.75000000 0.101703245749 Long DBT CORP US N 2 2025-08-09 Fixed 0.76800000 N N N N N N MASTR Seasoned Securitization N/A 55265WBD4 4781.01000000 PA USD 4917.66000000 0.000619981453 Long ABS-MBS CORP US N 2 2032-10-25 Variable 2.40974100 N N N N N N AMCOR FINANCE USA INC 549300ZMT7FVT8R77U18 02343UAG0 1950000.00000000 PA USD 1977764.18000000 0.249341579348 Long DBT CORP US N 2 2026-04-28 Fixed 3.62500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHT9 2605000.00000000 PA USD 2614801.52000000 0.329654438721 Long DBT CORP US N 2 2027-04-23 Fixed 3.55900000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BT5 1070000.00000000 PA USD 1130406.70000000 0.142513144253 Long DBT CORP US N 2 2026-06-15 Fixed 5.25000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAK9 675000.00000000 PA USD 591836.63000000 0.074614295037 Long DBT CORP GB N 2 2030-09-02 Fixed 2.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G2R3 57195.54000000 PA USD 62675.67000000 0.007901675388 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AK5 325000.00000000 PA USD 350315.32000000 0.044165111312 Long DBT CORP US N 2 2028-06-01 Fixed 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MBN29 3529.21000000 PA USD 3564.72000000 0.000449412990 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 6.00000000 N N N N N N MET TRANSPRTN AUTH NY REVENUE 5493000TKYODLXADQD60 59259YCA5 25000.00000000 PA USD 29306.56000000 0.003694749874 Long DBT MUN US N 2 2031-11-15 Fixed 6.54800000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAQ6 315000.00000000 PA USD 310259.85000000 0.039115219999 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022444 4875000.00000000 PA USD 4817703.83000000 0.607379734123 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2.50000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAY0 355000.00000000 PA USD 338974.24000000 0.042735313549 Long DBT CORP US N 2 2027-12-01 Fixed 3.62500000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBN1 525000.00000000 PA USD 515805.97000000 0.065028923315 Long DBT CORP US N 2 2030-09-15 Fixed 3.80000000 N N N N N N SINCLAIR TELEVISION GROU 549300CQGEN0CH65UD62 829259BA7 800000.00000000 PA USD 714800.00000000 0.090116588580 Long DBT CORP US N 2 2030-12-01 Fixed 4.12500000 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 649902T29 70000.00000000 PA USD 76910.90000000 0.009696345736 Long DBT MUN US N 2 2030-03-15 Fixed 5.50000000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HNU1 2312027.18000000 PA USD 2292356.57000000 0.289003013288 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.38657000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AWX2 857488.95000000 PA USD 860478.82000000 0.108482674600 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBH7 770000.00000000 PA USD 725817.58000000 0.091505601904 Long DBT CORP US N 2 2029-09-06 Fixed 3.46200000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966QJK7 250000.00000000 PA USD 225040.44000000 0.028371400035 Long DBT MUN US N 2 2029-03-01 Fixed 1.70000000 N N N N N N HOMER CITY HOLDINGS LLC (PLACEHOLDER) N/A 000000000 8014.00000000 NS USD 0.00000000 0.000000 Long EC CORP US N 3 N N N Intelsat Jackson Holdings SA N/A 000000000 1596.00000000 NS USD 0.00000000 0.000000 Long EC CORP US N 3 N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAQ7 1450000.00000000 PA USD 1453980.25000000 0.183306855055 Long DBT CORP US N 2 2024-11-15 Fixed 2.90000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AT5 1520000.00000000 PA USD 1359333.31000000 0.171374483269 Long DBT CORP CH N 2 2027-02-02 Fixed 1.30500000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAS0 750000.00000000 PA USD 761762.21000000 0.096037229539 Long DBT CORP US N 2 2032-11-15 Fixed 4.30000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BQ1 206000.00000000 PA USD 217036.16000000 0.027362280830 Long DBT CORP US N 2 2025-04-15 Fixed 5.25000000 N N N N N N METROPOLITAN EDISON CO N/A 591894CB4 770000.00000000 PA USD 774377.10000000 0.097627619651 Long DBT CORP US N 2 2025-04-15 Fixed 4.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWM2 725000.00000000 PA USD 726083.11000000 0.091539077922 Long DBT CORP US N 2 2023-07-24 Fixed 2.90500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TAL9 4118.08000000 PA USD 4245.39000000 0.000535226726 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020653 2575000.00000000 PA USD 2386039.29000000 0.300813823495 Long ABS-MBS USGSE US N 2 2052-05-15 Fixed 2.00000000 N N N N N N COMM Mortgage Trust N/A 12591UAG8 19862756.90000000 PA USD 325218.88000000 0.041001141588 Long ABS-MBS CORP US N 2 2047-03-10 Variable 1.11674900 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AM0 370000.00000000 PA USD 357084.04000000 0.045018460438 Long DBT CORP CH N 2 2025-09-11 Fixed 2.59300000 N N N N N N ALCON FINANCE CORP 549300CUZUI9VU7XNK42 01400EAA1 2300000.00000000 PA USD 2230295.92000000 0.281178874980 Long DBT CORP US N 2 2026-09-23 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B1Q80 4666.49000000 PA USD 4719.44000000 0.000594991372 Long ABS-MBS USGSE US N 2 2047-06-25 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UXH0 23965.08000000 PA USD 23469.41000000 0.002958846062 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 3.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCV9 1342000.00000000 PA USD 1369244.47000000 0.172624007511 Long DBT CORP US N 2 2024-06-15 Fixed 3.85000000 N N N N N N AIRPORT AUTHORITY HK 254900748HGC4RBR4O84 00946AAD6 1245000.00000000 PA USD 1164081.23000000 0.146758574815 Long DBT NUSS HK N 2 2032-01-12 Fixed 2.50000000 N N N N N N Setanta Aircraft Leasing DAC N/A 000000000 800000.00000000 PA USD 789336.00000000 0.099513524851 Long LON CORP IE N 2 2028-11-05 Floating 3.00600000 N N N N N N Navient Student Loan Trust N/A 63938QAA5 1343644.14000000 PA USD 1321297.62000000 0.166579230573 Long ABS-O CORP US N 2 2083-03-25 Floating 1.07657000 N N N N N N SANDALWOOD 2013 LLC N/A 79977TAB5 1087168.60440000 PA USD 1095849.32000000 0.138156410627 Long DBT CORP US N 2 2025-07-10 Fixed 2.89700000 N N N N N N APPALACHIAN POWER CO 3SCHO1ABYYIG382BEI70 037735CW5 410000.00000000 PA USD 412896.63000000 0.052054890503 Long DBT CORP US N 2 2027-06-01 Fixed 3.30000000 N N N N N N Vistra Operations Company LLC 549300ZH5GKBTJZ7NM23 88233FAK6 136548.77510000 PA USD 135353.97000000 0.017064406865 Long LON CORP US N 2 2025-12-31 Floating 2.19943000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AL6 1240000.00000000 PA USD 1209259.53000000 0.152454313867 Long DBT CORP US N 2 2023-10-01 Fixed 1.30000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433GH3 48528.43000000 PA USD 50891.11000000 0.006415967014 Long ABS-MBS CORP US N 2 2034-01-25 Variable 3.02457300 N N N N N N LCM Ltd Partnership 549300VQTTD2PAP2Y421 50188WAE8 733093.88000000 PA USD 730337.45000000 0.092075432997 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 1.29400000 N N N N N N Medline Borrower LP N/A 58503UAC7 100000.00000000 PA USD 99118.50000000 0.012496112318 Long LON CORP US N 2 2028-10-23 Floating 0.00000000 N N N N N N WEYERHAEUSER CO 08IRJODWFYBI7QWRGS31 962166CA0 810000.00000000 PA USD 790099.45000000 0.099609774864 Long DBT CORP US N 2 2033-03-09 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L0XJ6 4316.92000000 PA USD 4743.88000000 0.000598072582 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 5.50000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCN1 750000.00000000 PA USD 686949.17000000 0.086605366156 Long DBT CORP US N 2 2032-05-01 Fixed 4.50000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207BB0 860000.00000000 PA USD 830793.31000000 0.104740149570 Long DBT CORP US N 2 2032-03-17 Fixed 3.00000000 N N N N N N New Century Home Equity Loan T N/A 64352VPK1 944119.38000000 PA USD 944907.42000000 0.119126795208 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.89657000 N N N N N N Clarios Global LP 549300474L1ZLXZY2P98 000000000 169041.57870000 PA USD 167182.12000000 0.021077059773 Long LON CORP CA N 2 2026-04-30 Floating 3.70743000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TCZ6 151800.67000000 PA USD 159971.49000000 0.020167997970 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AMM71 3319292.49000000 PA USD 215.92000000 0.000027221563 Long ABS-MBS USGSE US N 2 2022-07-25 Variable 2.84221400 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396WVQ6 40307.14000000 PA USD 40519.27000000 0.005108363715 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.92657000 N N N N N N CONTL AIRLINES 2007-1 N/A 21079NAA9 395491.33921700 PA USD 396064.96000000 0.049932880598 Long DBT CORP US N 2 2022-04-19 Fixed 5.98300000 N N N N N N Endo Luxembourg Finance Company I S.a r.l. 222100B15VY0VVCTG251 000000000 856580.63860000 PA USD 804740.38000000 0.101455592807 Long LON CORP LU N 2 2028-03-27 Floating 5.75000000 N N N N N N ALLIANT ENERGY FINANCE 54930033ER6EOI5DL570 01882YAD8 1625000.00000000 PA USD 1586824.98000000 0.200054915881 Long DBT CORP US N 2 2032-03-01 Fixed 3.60000000 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AB6 1565000.00000000 PA USD 1504385.11000000 0.189661519340 Long DBT CORP US N 2 2024-02-10 Fixed 0.80000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 4585000.00000000 PA USD 4340804.92000000 0.547255919256 Long DBT CORP US N 2 2028-06-02 Fixed 2.39300000 N N N N N N USA COM PART/USA COM FIN N/A 91740PAC2 60000.00000000 PA USD 60640.80000000 0.007645134338 Long DBT CORP US N 2 2026-04-01 Fixed 6.87500000 N N N N N N Ace Securities Corp. N/A 004421MG5 3382574.51000000 PA USD 3363582.03000000 0.424055033512 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.47657000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HXWW6 1160000.00000000 PA USD 1048107.56000000 0.132137489889 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 2.45500000 N N N N N N American Money Management Corp 549300MYS7FLQJZMYD18 00176PAJ1 397288.70000000 PA USD 396545.77000000 0.049993497493 Long ABS-CBDO CORP KY N 2 2028-10-16 Floating 1.38129000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AP4 875000.00000000 PA USD 876490.74000000 0.110501336613 Long DBT CORP GB N 2 2023-11-07 Fixed 2.90700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020642 1800000.00000000 PA USD 1712205.77000000 0.215861979491 Long ABS-MBS USGA US N 2 2051-04-15 Fixed 2.00000000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BB8 1595000.00000000 PA USD 1606676.36000000 0.202557628030 Long DBT CORP NL N 2 2028-03-28 Fixed 4.01700000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 700000.00000000 PA USD 660379.97000000 0.083255721968 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N US AIRWAYS 2012-1A PTT N/A 90345WAA2 284669.37485500 PA USD 296945.34000000 0.037436627078 Long DBT CORP US N 2 2024-10-01 Fixed 5.90000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 25000.00000000 PA USD 25449.17000000 0.003208439259 Long DBT CORP US N 2 2025-12-15 Fixed 4.25000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABD6 2275000.00000000 PA USD 2292329.20000000 0.288999562685 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971MT44 1465000.00000000 PA USD 1598435.13000000 0.201518635958 Long DBT MUN US N 2 2027-05-01 Fixed 5.26700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384LWG5 10.63000000 PA USD 11.09000000 0.000001398143 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TC29 810317.81000000 PA USD 861553.91000000 0.108618213832 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297NTT3 27237.55000000 PA USD 29923.09000000 0.003772477323 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TNS0 302716.75000000 PA USD 312055.25000000 0.039341570479 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N BROWN & BROWN INC 549300PC8KTJ71XKFY89 115236AE1 1000000.00000000 PA USD 1016819.17000000 0.128192885847 Long DBT CORP US N 2 2032-03-17 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DGV8 459727.29000000 PA USD 448359.85000000 0.056525825599 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022648 3900000.00000000 PA USD 3780895.37000000 0.476666749475 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 2.50000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FX1 815000.00000000 PA USD 784264.33000000 0.098874126979 Long DBT CORP US N 2 2032-02-14 Fixed 2.80000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MS7 285000.00000000 PA USD 261604.18000000 0.032981080386 Long DBT CORP US N 2 2031-06-03 Fixed 2.57200000 N N N N N N CHEVY CHASE MORTGAGE FUNDING C 549300QD5ZVFK417DY24 16678RDK0 46827.18000000 PA USD 43899.86000000 0.005534562985 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.63657000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMUF8 21406.54000000 PA USD 21209.31000000 0.002673909713 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 2.50000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -3045.52000000 -0.00038395617 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -400000.00000000 EUR 442119.80000000 USD 2022-04-08 -3045.52000000 N N N SLM Student Loan Trust 549300GQO6PBOYVGSS10 78446JAB2 471263.64000000 PA USD 473222.31000000 0.059660296890 Long ABS-O CORP US N 2 2034-10-25 Floating 1.65657000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAY9 1100000.00000000 PA USD 1145281.19000000 0.144388407678 Long DBT CORP US N 2 2025-08-15 Fixed 5.50000000 N N N N N N Intelsat Jackson Holdings SA N/A 000000000 1596.00000000 NS USD 0.00000000 0.000000 Long EC CORP US N 3 N N N Neuberger Berman CLO Ltd 549300NPF57YF6WBDP72 64130TBA2 2140000.00000000 PA USD 2117209.00000000 0.266921729703 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.40129000 N N N N N N BOSTON GAS COMPANY FN7P4E7K9JOBORDEUX61 100743AM5 2400000.00000000 PA USD 2402812.22000000 0.302928427904 Long DBT CORP US N 2 2032-03-16 Fixed 3.75700000 N N N N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 55916AAA2 405000.00000000 PA USD 372348.90000000 0.046942938765 Long DBT CORP US N 2 2028-05-01 Fixed 5.25000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAA5 1265000.00000000 PA USD 1272487.55000000 0.160425625374 Long DBT CORP GB N 2 2024-03-08 Fixed 3.76600000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZE7 2090000.00000000 PA USD 2041362.19000000 0.257359536402 Long DBT CORP US N 2 2023-12-06 Fixed 1.21700000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MY4 420000.00000000 PA USD 379577.43000000 0.047854257266 Long DBT CORP US N 2 2032-05-01 Fixed 2.56100000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJT7 250000.00000000 PA USD 229866.77000000 0.028979867292 Long DBT CORP US N 2 2032-04-22 Fixed 2.68700000 N N N N N N MSILF Government Portfolio 549300BI6Y5SI6BYPB26 61747C707 24102000.00000000 NS USD 24102000.00000000 3.038598234431 Long STIV RF US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LAW2 84973.26000000 PA USD 92232.73000000 0.011628006411 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N CBOE GLOBAL MARKETS INC 529900RLNSGA90UPEH54 12503MAD0 820000.00000000 PA USD 793860.22000000 0.100083904359 Long DBT CORP US N 2 2032-03-16 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AYE2 758104.55000000 PA USD 774634.11000000 0.097660021532 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 3.50000000 N N N N N N DNB BANK ASA 549300GKFG0RYRRQ1414 25601B2A2 2485000.00000000 PA USD 2355297.66000000 0.296938150827 Long DBT CORP NO N 2 2025-09-30 Fixed 0.85600000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BN8 1460000.00000000 PA USD 1513678.42000000 0.190833149718 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDR9 17614000.00000000 PA USD 17159545.06000000 2.163345918303 Long DBT UST US N 1 2023-12-31 Fixed 0.75000000 N N N N N N US AIRWAYS 2011-1A PTT N/A 903436AA1 408146.18160600 PA USD 418777.45000000 0.052796299899 Long DBT CORP US N 2 2023-10-22 Fixed 7.12500000 N N N N N N SKYAF 2020-1 A N/A 000000000 2162833.54000000 PA USD 2041174.15000000 0.257335829738 Long ABS-MBS CORP US N 3 2038-05-10 Floating 3.22900000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAD8 1185000.00000000 PA USD 1055266.20000000 0.133039997185 Long DBT CORP N/A N 2 2032-05-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413ADY6 20671.08000000 PA USD 20744.53000000 0.002615313759 Long ABS-MBS USGSE US N 2 2037-05-01 Floating 1.51500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283HWH4 186809.69000000 PA USD 209936.34000000 0.026467189115 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 7.50000000 N N N N N N TUCSON ELECTRIC POWER CO YLF139GXSRKPBBTNZL03 898813AL4 595000.00000000 PA USD 604028.20000000 0.076151316159 Long DBT CORP US N 2 2023-03-15 Fixed 3.85000000 N N N N N N PENNSYLVANIA ST ECON DEV FING N/A 70870JBL1 40000.00000000 PA USD 39810.02000000 0.005018946829 Long DBT MUN US N 2 2027-11-15 Fixed 3.20100000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC USD 98066.62000000 0.012363499227 N/A DCR CORP US N 3 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Y Default Event 2023-06-20 83368.09000000 USD 0.00000000 USD 2070000.00000000 USD 14698.53000000 N N N Nortonlifelock Inc. YF6ZV0M6AU4FY94MK914 000000000 530000.00000000 PA USD 524148.80000000 0.066080724348 Long LON CORP US N 2 2029-01-28 Floating 0.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGT0 152000.00000000 PA USD 151581.49000000 0.019110250099 Long DBT CORP US N 2 2025-10-01 Fixed 3.09300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179T7L3 389561.23000000 PA USD 404501.32000000 0.050996473187 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385HUQ3 489.07000000 PA USD 525.10000000 0.000066200644 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.00000000 N N N N N N Countrywide Asset-Backed Certi N/A 1266732L5 4220000.00000000 PA USD 4163822.09000000 0.524943259943 Long ABS-O CORP US N 2 2035-11-25 Floating 1.58157000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCK0 755000.00000000 PA USD 721315.15000000 0.090937969515 Long DBT CORP US N 2 2025-06-23 Fixed 0.96900000 N N N N N N MKT 2020-525M Mortgage Trust N/A 55316PAA5 945000.00000000 PA USD 882391.34000000 0.111245239722 Long ABS-MBS CORP US N 2 2040-02-12 Fixed 2.69400000 N N N N N N Vantage Data Centers LLC N/A 92211MAE3 2030000.00000000 PA USD 2043069.20000000 0.257574743338 Long ABS-O CORP US N 2 2043-11-16 Fixed 4.19600000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CED9 50138000.00000000 PA USD 49102249.20000000 6.190440947876 Long DBT UST US N 1 2025-03-15 Fixed 1.75000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GX74 1115000.00000000 PA USD 960462.88000000 0.121087910190 Long DBT CORP US N 2 2036-08-15 Floating 0.98643000 N N N N N N Intelsat Emergence SA N/A 000000000 15249.00000000 NS USD 457470.00000000 0.057674364546 Long EC CORP US N 3 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3C3 2055000.00000000 PA USD 1806263.11000000 0.227720018959 Long DBT CORP US N 2 2028-08-19 Fixed 1.98500000 N N N N N N CIT EDUCATION LOAN TRUST N/A 17284LAA2 198765.10000000 PA USD 190478.05000000 0.024014034786 Long ABS-MBS CORP US N 2 2042-03-25 Floating 1.05571000 N N N N N N Residential Asset Mortgage Pro N/A 760985W80 7370.06000000 PA USD 7144.89000000 0.000900773800 Long ABS-MBS CORP US N 2 2031-11-25 Fixed 7.00000000 N N N N N N Structured Asset Mortgage Inve N/A 86360KAX6 1814662.05000000 PA USD 1139889.22000000 0.143708628800 Long ABS-MBS CORP US N 2 2036-05-25 Variable 2.47775300 N N N N N N 2022-04-01 METROPOLITAN WEST FUNDS Eric Chan Eric Chan Managing Director