NPORT-P false 0001046292 XXXXXXXX S000009353 C000128922 C000025636 Goldman Sachs Variable Insurance Trust 811-08361 0001046292 H39OGLUI7D5CIH8CZ870 200 West Street New York 10282 312-655-4400 Goldman Sachs Variable Insurance Trust Core Fixed Income Fund S000009353 ZG854DZBVDTQCVPAB431 2021-12-31 2021-12-31 N 127910630.84 24982898.45 102927732.39 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 17394609.41000000 0.00000000 0.00000000 USD N Bank N/A 06540BBD0 150000.00000000 PA USD 157659.04000000 0.153174500534 Long ABS-MBS CORP US N 2 2052-10-17 Fixed 2.85100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36206LZH5 2418.99000000 PA USD 2515.90000000 0.002444336372 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 7.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HKK5 85000.00000000 PA USD 85116.73000000 0.082695623447 Long DBT CORP US N 2 N/A Floating 3.93163000 N N N N N N MET TRANSPRTN AUTH NY DEDICATE 5493000TKYODLXADQD60 59259NZM8 25000.00000000 PA USD 31079.13000000 0.030195098326 Long DBT MUN US N 2 2030-11-15 Fixed 5.98900000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 75000.00000000 PA USD 73781.25000000 0.071682576004 Long DBT CORP US N 2 2031-02-15 Fixed 2.87500000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XGC6 10000.00000000 PA USD 10944.43000000 0.010633120681 Long DBT MUN US N 2 2027-08-01 Fixed 3.59000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 2507.84000000 0.002436505635 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -392096.47000000 NOK 47012.45000000 USD 2022-01-25 2507.84000000 N N N Lehman XS Trust N/A 525221EM5 91779.42000000 PA USD 88991.70000000 0.086460371693 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.64188000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36208VQV0 385.48000000 PA USD 393.01000000 0.000381831009 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 7.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468G7 25000.00000000 PA USD 28468.19000000 0.027658425323 Long DBT CORP US N 2 2030-01-23 Fixed 4.43100000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBP0 25000.00000000 PA USD 25872.21000000 0.025136286790 Long DBT CORP US N 2 2031-05-13 Fixed 2.95600000 N N N N N N Harben Finance 213800J7WLPUU61CJY65 000000000 55693.33000000 PA 75413.98000000 0.073268863744 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.91438000 N N N N N N RUSH OBLIGATED GROUP N/A 78200JAA0 60000.00000000 PA USD 67007.89000000 0.065101881139 Long DBT CORP US N 2 2029-11-15 Fixed 3.92200000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGA1 45000.00000000 PA USD 47974.40000000 0.046609790078 Long DBT CORP US N 2 2027-10-21 Fixed 3.24800000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 79824.34000000 0.077553773066 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.37.V1 Y Default Event 2026-12-20 75063.20000000 USD 0.00000000 USD -3225000.00000000 USD 4761.14000000 N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CAY5 25000.00000000 PA USD 33478.33000000 0.032526054176 Long DBT CORP US N 2 2045-10-15 Variable 6.35000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 29000.00000000 PA USD 33179.04000000 0.032235277344 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N EAST OHIO GAS CO/THE BC95Y6MXLT75BGO7UM71 27409LAA1 25000.00000000 PA USD 24672.96000000 0.023971148909 Long DBT CORP US N 2 2025-06-15 Fixed 1.30000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -2070.10000000 -0.00201121694 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-03-16 0.00000000 NOK -1643.96000000 NOK 4320000.00000000 NOK -426.14000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAK7 50000.00000000 PA USD 48879.72000000 0.047489358664 Long DBT CORP US N 2 2026-01-30 Fixed 1.95000000 N N N N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 1370000.00000000 NC 337.30000000 0.000327705655 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP US US 2023-09-08 0.00000000 USD 0.00000000 USD 0.00000000 GBP 1.00000000 USD 0.30000000 GBP 2022-09-08 XXXX -2324.68000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 6885.07000000 0.006689227324 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -874594.84000000 USD 773635.42000000 EUR 2022-02-10 6885.07000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQK59 0.03120000 PA USD 0.03000000 0.000000029146 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9EA2 6842.93000000 PA USD 7811.66000000 0.007589460895 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 7.00000000 N N N N N N AID-ISRAEL 213800T8ZHTFZIBYPE21 46513EGV8 200000.00000000 PA USD 217775.51000000 0.211580984971 Long DBT NUSS IL N 2 2023-12-04 Fixed 5.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHA3 25000.00000000 PA USD 31824.78000000 0.030919538652 Long DBT CORP US N 2 2046-11-15 Fixed 5.15000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 763.29000000 0.000741578564 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -8619413.00000000 JPY 75721.21000000 USD 2022-02-16 763.29000000 N N N Bank N/A 06542BBH9 150000.00000000 PA USD 155526.11000000 0.151102240755 Long ABS-MBS CORP US N 2 2054-04-15 Fixed 2.64300000 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AL9 100000.00000000 PA USD 98291.39000000 0.095495536254 Long DBT CORP US N 2 2031-08-15 Fixed 2.20000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAD4 125000.00000000 PA USD 128893.57000000 0.125227251205 Long DBT CORP US N 2 2024-07-15 Fixed 3.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VHV5 341666.58240000 PA USD 362301.26000000 0.351995765948 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.50000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CG2 20000.00000000 PA USD 20658.53000000 0.020070907539 Long DBT CORP US N 2 2024-07-30 Fixed 2.50000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AD6 25000.00000000 PA USD 29750.00000000 0.028903774822 Long DBT CORP US N 2 2044-04-01 Fixed 5.45000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BW9 75000.00000000 PA USD 76923.66000000 0.074735601585 Long DBT CORP US N 2 2051-08-12 Fixed 3.05000000 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LBN8 50000.00000000 PA USD 47675.51000000 0.046319401868 Long DBT CORP US N 2 2028-03-15 Fixed 1.15000000 N N N N N N ADVENT HEALTH SYSTEM 5493008YM33UCY5QPW83 007944AF8 30000.00000000 PA USD 31357.17000000 0.030465229605 Long DBT CORP US N 2 2029-03-01 Fixed 2.95200000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XDK9 125000.00000000 PA USD 123065.28000000 0.119564744255 Long DBT CORP US N 2 2026-06-10 Fixed 1.50000000 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032XAG9 200000.00000000 PA USD 212874.00000000 0.206818896187 Long DBT CORP KY N 2 2028-01-19 Fixed 3.59500000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017DD8 50000.00000000 PA USD 54206.61000000 0.052664727708 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CK6 25000.00000000 PA USD 24841.74000000 0.024135128039 Long DBT CORP US N 2 2028-10-15 Fixed 1.75000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAA3 25000.00000000 PA USD 25024.20000000 0.024312398047 Long DBT CORP US N 2 2022-03-15 Fixed 3.60000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 902973BC9 100000.00000000 PA USD 100323.97000000 0.097470300443 Long DBT CORP US N 2 N/A Fixed 3.70000000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 31428XBP0 45000.00000000 PA USD 48594.35000000 0.047212105884 Long DBT CORP US N 2 2028-02-15 Fixed 3.40000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AN2 75000.00000000 PA USD 75090.35000000 0.072954439252 Long DBT CORP US N 2 2024-10-01 Fixed 1.80000000 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PAU1 50000.00000000 PA USD 52391.52000000 0.050901267115 Long DBT CORP US N 2 2030-01-15 Fixed 3.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -1703.73000000 -0.00165526817 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 538.14000000 AUD 0.00000000 AUD 740000.00000000 AUD -2241.87000000 N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348AW6 25000.00000000 PA USD 27091.58000000 0.026320972366 Long DBT CORP US N 2 2027-06-01 Fixed 3.45000000 N N N N N N EQUS 2021-EQAZ Mortgage Trust N/A 29478JAA8 200000.00000000 PA USD 199191.84000000 0.193525918986 Long ABS-MBS CORP US N 2 2038-10-15 Floating 0.86480000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAQ7 25000.00000000 PA USD 26636.28000000 0.025878623167 Long DBT CORP US N 2 2025-01-15 Fixed 3.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V7G9 937543.57180000 PA USD 976198.45000000 0.948430930452 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36223XN99 5868.49000000 PA USD 5910.77000000 0.005742640843 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 7.00000000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC -11041.03000000 -0.01072697293 N/A DIR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 Y 2023-02-22 0.00000000 AUD 0.00000000 AUD 4550000.00000000 AUD -11041.03000000 N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC USD -3724.60000000 -0.00361865545 N/A DCR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 NORDSTROM INC Nordstrom Inc Y Default Event 2024-06-20 0.00000000 USD -537.50000000 USD -225000.00000000 USD -3187.10000000 N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBF1 125000.00000000 PA USD 122971.97000000 0.119474088415 Long DBT CORP CA N 2 2033-08-01 Fixed 2.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -43.78000000 -0.00004253469 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -87134.94000000 EUR 99308.48000000 USD 2022-03-16 -43.78000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UXS6 948093.50340000 PA USD 984517.73000000 0.956513572328 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 3.00000000 N N N N N N TYSON FOODS INC WD6L6041MNRW1JE49D58 902494BG7 50000.00000000 PA USD 52274.69000000 0.050787760291 Long DBT CORP US N 2 2023-09-28 Fixed 3.90000000 N N N N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 -140000.00000000 NC -1276.53000000 -0.00124021968 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Call Written JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP US US 2032-09-08 0.00000000 USD 0.00000000 USD 0.00000000 GBP 1.00000000 USD 0.40100000 GBP 2022-09-08 XXXX 1359.56000000 N N N VW CREDIT INC 1/6/2022 N/A 000000000 500000.00000000 PA USD 499985.00000000 0.485763154778 Long DBT CORP US N 2 2022-01-06 None 0.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAN9 15000.00000000 PA USD 15773.46000000 0.015324791126 Long DBT CORP US N 2 2024-04-01 Fixed 4.25000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 300000.00000000 PA USD 307303.94000000 0.298562819625 Long DBT CORP US N 2 2031-01-22 Fixed 2.69900000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CR7 25000.00000000 PA USD 30923.40000000 0.030043797994 Long DBT CORP US N 2 2049-10-26 Fixed 4.25000000 N N N N N N BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 000000000 1.00000000 NC USD 228.15000000 0.000221660377 N/A DCR CORP US N 2 BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 STATE OF QATAR STATE OF QATAR Y Default Event 2024-12-20 0.00000000 USD 0.00000000 USD -10000.00000000 USD 228.15000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEF9 25000.00000000 PA USD 27129.77000000 0.026358076069 Long DBT CORP US N 2 2027-01-20 Fixed 3.62500000 N N N N N N DH EUROPE FINANCE II 222100KDGL314CKTZ511 23291KAJ4 75000.00000000 PA USD 79874.02000000 0.077602039941 Long DBT CORP LU N 2 2039-11-15 Fixed 3.25000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 10000.00000000 PA 10871.55000000 0.010562313720 Long DBT NUSS RO N 2 2031-07-16 Fixed 2.12400000 N N N N N N VW CREDIT INC CP N/A 000000000 250000.00000000 PA USD 249900.00000000 0.242791708509 Long DBT CORP US N 2 2022-02-16 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -7193.89000000 -0.00698926308 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -420028.22000000 USD 305015.22000000 GBP 2022-01-21 -7193.89000000 N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BK7 50000.00000000 PA USD 57556.25000000 0.055919088727 Long DBT NUSS UY N 2 2031-01-23 Fixed 4.37500000 N N N N N N COSTAR GROUP INC N/A 22160NAA7 100000.00000000 PA USD 100207.30000000 0.097356949068 Long DBT CORP US N 2 2030-07-15 Fixed 2.80000000 N N N N N N London Wall Mortgage Capital 213800QSO8J75OTK5919 000000000 18368.77540000 PA 24888.63000000 0.024180684274 Long ABS-MBS CORP GB N 2 2049-11-15 Floating 0.95175000 N N N N N N CUBESMART LP 549300MPHKO3I3FJRA97 22966RAJ5 125000.00000000 PA USD 124748.69000000 0.121200270425 Long DBT CORP US N 2 2032-02-15 Fixed 2.50000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBR5 100000.00000000 PA USD 97553.96000000 0.094779082114 Long DBT CORP US N 2 2028-03-25 Fixed 2.25900000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAJ1 75000.00000000 PA USD 77351.47000000 0.075151242725 Long DBT CORP US N 2 2026-01-15 Fixed 2.87500000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAR2 150000.00000000 PA USD 156913.51000000 0.152450176795 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRX0 15000.00000000 PA USD 16171.02000000 0.015711042713 Long DBT CORP US N 2 2027-12-01 Fixed 3.62500000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAE3 200000.00000000 PA USD 209123.94000000 0.203175504933 Long DBT CORP US N 2 2023-12-15 Fixed 3.87500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -4659.90000000 -0.00452735127 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2031-05-11 0.00000000 NOK -6531.39000000 NOK 5250000.00000000 NOK 1871.49000000 N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBB3 50000.00000000 PA USD 55042.75000000 0.053477084087 Long DBT CORP US N 2 2025-11-15 Fixed 4.40000000 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452151LF8 25000.00000000 PA USD 28897.11000000 0.028075144889 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BY51 993.08000000 PA USD 1014.27000000 0.000985419552 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -6865.55000000 -0.00667026256 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-08-22 204.08000000 CAD 0.00000000 CAD 810000.00000000 CAD -7069.63000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFU1 25000.00000000 PA USD 32068.04000000 0.031155879232 Long DBT CORP US N 2 2050-02-15 Fixed 5.15000000 N N N N N N MARTIN MARIETTA 5299005MZ4WZECVATV08 573284AX4 175000.00000000 PA USD 177248.12000000 0.172206378090 Long DBT CORP US N 2 2051-07-15 Fixed 3.20000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703TAG1 25000.00000000 PA USD 29367.25000000 0.028531911971 Long DBT CORP US N 2 2029-10-01 Fixed 5.30000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAX3 150000.00000000 PA USD 152970.21000000 0.148619042164 Long DBT CORP IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -4515.75000000 -0.00438730155 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2031-11-26 2945.38000000 EUR 0.00000000 EUR 1000000.00000000 EUR -7461.13000000 N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AS7 100000.00000000 PA USD 103425.94000000 0.100484036321 Long DBT CORP US N 2 2024-07-01 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385CWR0 1798.83000000 PA USD 1933.68000000 0.001878677354 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 8.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 26.00000000 NC USD 25207.84000000 0.024490814491 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 2022-03-22 4133167.16000000 USD 25207.84000000 N N N MASCO CORP 5GCSNMQXHEYA1JO8QN11 574599BS4 50000.00000000 PA USD 48424.99000000 0.047047563251 Long DBT CORP US N 2 2028-02-15 Fixed 1.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 14181.74000000 0.013778346875 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-03-16 11518.32000000 USD 0.00000000 USD 1700000.00000000 USD 2663.42000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WDS4 0.01060000 PA USD 0.01000000 0.000000009715 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 3.00000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AT5 50000.00000000 PA USD 52924.46000000 0.051419047880 Long DBT CORP US N 2 2026-07-01 Fixed 3.20000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CN8 25000.00000000 PA USD 32506.17000000 0.031581546824 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N STARBUCKS CORP OQSJ1DU9TAOC51A47K68 855244AQ2 75000.00000000 PA USD 81023.29000000 0.078718619480 Long DBT CORP US N 2 2025-08-15 Fixed 3.80000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKJ0 25000.00000000 PA USD 25268.81000000 0.024550050227 Long DBT CORP US N 2 2053-09-15 Fixed 3.50000000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AQ4 150000.00000000 PA USD 147265.97000000 0.143077056669 Long DBT CORP US N 2 2030-11-01 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390YLS5 3748.46000000 PA USD 4348.17000000 0.004224488288 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 8.00000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DR0 50000.00000000 PA USD 43009.38000000 0.041785997807 Long DBT NUSS PE N 2 2121-07-28 Fixed 3.23000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RJY9 50000.00000000 PA USD 50987.71000000 0.049537387850 Long DBT CORP US N 2 2031-06-01 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WRNS5 12271.87770000 PA USD 13080.77000000 0.012708693465 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DR5 25000.00000000 PA USD 27105.51000000 0.026334506134 Long DBT CORP US N 2 2030-06-30 Fixed 3.40000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBC4 25000.00000000 PA USD 30070.49000000 0.029215148630 Long DBT CORP US N 2 2048-06-15 Fixed 4.05000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -1028.39000000 -0.00099913791 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -102020.64000000 USD 11613101.00000000 JPY 2022-02-16 -1028.39000000 N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAB1 35000.00000000 PA USD 37817.03000000 0.036741341834 Long DBT CORP US N 2 2025-09-15 Fixed 4.00000000 N N N N N N EXPEDIA GROUP INC N/A 30212PBH7 50000.00000000 PA USD 50014.65000000 0.048592006098 Long DBT CORP US N 2 2031-03-15 Fixed 2.95000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGC7 25000.00000000 PA USD 27366.93000000 0.026588490161 Long DBT CORP US N 2 2027-11-25 Fixed 4.18300000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -3093.67000000 -0.00300567196 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 2027.93000000 EUR 0.00000000 EUR 330000.00000000 EUR -5121.60000000 N N N Fannie Mae or Freddie Mac N/A 01F022618 1000000.00000000 PA USD 1020870.00000000 0.991831818592 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703TAA4 18000.00000000 PA USD 19009.58000000 0.018468861169 Long DBT CORP US N 2 2023-06-15 Fixed 5.45000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABL8 25000.00000000 PA USD 24360.16000000 0.023667246362 Long DBT CORP US N 2 2041-02-15 Fixed 3.00000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PAY4 50000.00000000 PA USD 53980.73000000 0.052445272762 Long DBT CORP US N 2 2028-02-15 Fixed 3.60000000 N N N N N N NEWCREST FINANCE PTY LTD 549300I0XDZ4K7PDSS04 65120FAD6 25000.00000000 PA USD 26247.25000000 0.025500658948 Long DBT CORP AU N 2 2030-05-13 Fixed 3.25000000 N N N N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 26078JAC4 50000.00000000 PA USD 55248.20000000 0.053676690156 Long DBT CORP US N 2 2025-11-15 Fixed 4.49300000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAJ4 25000.00000000 PA USD 27007.26000000 0.026239050810 Long DBT CORP US N 2 2030-05-01 Fixed 3.60000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556BM3 15000.00000000 PA USD 16107.12000000 0.015648960320 Long DBT CORP US N 2 2025-12-15 Fixed 3.65000000 N N N N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 000000000 200000.00000000 PA USD 199000.00000000 0.193339535788 Long DBT CORP JE N 2 2040-09-30 Fixed 2.94000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGR4 25000.00000000 PA USD 26908.29000000 0.026142895967 Long DBT CORP US N 2 2028-07-21 Fixed 3.59300000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BH4 25000.00000000 PA USD 30735.21000000 0.029860960973 Long DBT CORP US N 2 2046-04-01 Fixed 4.25000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -1798.62000000 -0.00174745907 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 0.00000000 NZD -3416.98000000 NZD 440000.00000000 NZD 1618.36000000 N N N LAM RESEARCH CORP 549300I4GMO6D34U1T02 512807AV0 50000.00000000 PA USD 49152.40000000 0.047754282406 Long DBT CORP US N 2 2030-06-15 Fixed 1.90000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BH6 25000.00000000 PA USD 26983.17000000 0.026215646039 Long DBT CORP US N 2 2028-01-15 Fixed 3.40000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 320000.00000000 PA USD 352460.27000000 0.342434698419 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAA0 50000.00000000 PA USD 51422.91000000 0.049960208785 Long DBT CORP US N 2 2025-02-15 Fixed 2.65000000 N N N N N N SERVICENOW INC 549300HJTQM36M0E1G39 81762PAE2 125000.00000000 PA USD 116553.80000000 0.113238480333 Long DBT CORP US N 2 2030-09-01 Fixed 1.40000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAG5 25000.00000000 PA USD 26763.04000000 0.026001777537 Long DBT CORP US N 2 2025-04-01 Fixed 4.00000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804GD0 75000.00000000 PA USD 69023.94000000 0.067060585516 Long DBT CORP US N 2 2050-12-15 Fixed 2.45000000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887BW8 40000.00000000 PA USD 43617.01000000 0.042376344049 Long DBT CORP US N 2 2027-06-06 Fixed 3.70000000 N N N N N N CALIFORNIA STWD CMNTYS DEV AUT 549300KTNI2GCJNX2U48 13080SZS6 50000.00000000 PA USD 49027.65000000 0.047633080863 Long DBT MUN US N 2 2031-02-01 Fixed 1.87700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417UCM5 0.06250000 PA USD 0.06000000 0.000000058293 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C4F8 0.00010000 PA USD 0.00000000 0.000000 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEC6 50000.00000000 PA USD 50433.52000000 0.048998961532 Long DBT CORP US N 2 2023-10-24 Floating 1.52388000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887CJ6 100000.00000000 PA USD 103548.32000000 0.100602935278 Long DBT CORP US N 2 2030-05-20 Fixed 2.82300000 N N N N N N LOS ANGELES CA MUNI IMPT CORPL 549300ZJ0YLTZNSR8F57 5445872W7 35000.00000000 PA USD 34337.03000000 0.033360328846 Long DBT MUN US N 2 2028-11-01 Fixed 1.64800000 N N N N N N CALIFORNIA ST N/A 13063BFR8 105000.00000000 PA USD 173907.54000000 0.168960819365 Long DBT MUN US N 2 2040-03-01 Fixed 7.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31374T3B3 5413.91000000 PA USD 6135.61000000 0.005961085372 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 8.00000000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659AV3 50000.00000000 PA USD 55515.15000000 0.053936046885 Long DBT CORP US N 2 2030-07-15 Fixed 3.70000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AL5 31000.00000000 PA USD 31968.75000000 0.031059413491 Long DBT CORP US N 2 2023-04-15 Fixed 4.50000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780CW4 200000.00000000 PA USD 197750.00000000 0.192125091467 Long DBT NUSS ID N 2 2051-03-12 Fixed 3.05000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36206NKY0 807.90000000 PA USD 827.60000000 0.000804059295 Long ABS-MBS USGA US N 2 2026-04-15 Fixed 7.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CCH2 1180000.00000000 PA USD 1168292.19000000 1.135060651655 Long DBT UST US N 1 2028-06-30 Fixed 1.25000000 N N N N N N NUVEEN LLC N/A 67080LAA3 25000.00000000 PA USD 27773.82000000 0.026983806361 Long DBT CORP US N 2 2028-11-01 Fixed 4.00000000 N N N N N N TECK RESOURCES LIMITED T8KI5SQ2JRWHL7XY0E11 878742BG9 25000.00000000 PA USD 26898.63000000 0.026133510741 Long DBT CORP CA N 2 2030-07-15 Fixed 3.90000000 N N N N N N BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 000000000 1.00000000 NC USD 324.35000000 0.000315124012 N/A DCR CORP US N 2 BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 REPUBLIC OF CHILE REPUBLIC OF CHILE Y Default Event 2024-06-20 0.00000000 USD 0.00000000 USD -20000.00000000 USD 324.35000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179U4E9 348367.44860000 PA USD 368605.88000000 0.358121053909 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 4.50000000 N N N N N N STANFORD HEALTH CARE 5493005311WCPXQGDG42 85434VAB4 40000.00000000 PA USD 42979.16000000 0.041756637401 Long DBT CORP US N 2 2030-08-15 Fixed 3.31000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0Q22 400000.00000000 PA USD 410977.00000000 0.399286946731 Long DBT USGSE US N 2 2026-09-24 Fixed 1.87500000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659AM3 25000.00000000 PA USD 26818.67000000 0.026055825167 Long DBT CORP US N 2 2028-04-15 Fixed 3.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36208QR32 7837.37000000 PA USD 8412.16000000 0.008172879946 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 7.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJF7 50000.00000000 PA USD 47943.62000000 0.046579885602 Long DBT CORP US N 2 2031-07-23 Fixed 1.89800000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAQ1 25000.00000000 PA USD 25874.40000000 0.025138414496 Long DBT CORP US N 2 2024-04-24 Fixed 3.73700000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CA1 50000.00000000 PA USD 52480.10000000 0.050987327498 Long DBT CORP US N 2 2028-11-01 Fixed 3.45000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBD3 35000.00000000 PA USD 36342.14000000 0.035308404407 Long DBT CORP US N 2 2023-10-15 Fixed 3.85000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135AP1 45000.00000000 PA USD 57499.80000000 0.055864244421 Long DBT CORP US N 2 2034-12-05 Fixed 4.80000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCM1 25000.00000000 PA USD 31994.44000000 0.031084372750 Long DBT CORP US N 2 2048-10-15 Fixed 4.70000000 N N N N N N MID-AMERICA APARTMENTS 549300FXWGE3QSYCUJ38 59523UAU1 100000.00000000 PA USD 98544.55000000 0.095741495233 Long DBT CORP US N 2 2051-09-15 Fixed 2.87500000 N N N N N N OVINTIV EXPLORATION INC T8W3X1PFLPW2YE0UIP44 651290AQ1 50000.00000000 PA USD 55093.77000000 0.053526652847 Long DBT CORP US N 2 2024-07-01 Fixed 5.62500000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BN5 335000.00000000 PA USD 381611.80000000 0.370757026448 Long DBT CORP US N 2 2025-12-03 Fixed 5.20000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABD6 150000.00000000 PA USD 162417.76000000 0.157797860915 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BU5 50000.00000000 PA USD 70178.65000000 0.068182450317 Long DBT CORP US N 2 2050-05-01 Fixed 5.25000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 2709.16000000 0.002632099179 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2024-03-16 2572.06000000 SEK 0.00000000 SEK 10700000.00000000 SEK 137.10000000 N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAR2 25000.00000000 PA USD 26417.63000000 0.025666192566 Long DBT CORP US N 2 2030-07-01 Fixed 3.30000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBC4 1030000.00000000 PA USD 998536.72000000 0.970133798553 Long DBT UST US N 1 2025-12-31 Fixed 0.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MN5G1 8676.88780000 PA USD 9232.55000000 0.008969934327 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UCC4 158960.00000000 PA USD 168932.82000000 0.164127603005 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N ADOBE INC FU4LY2G4933NH2E1CP29 00724PAD1 75000.00000000 PA USD 76673.60000000 0.074492654428 Long DBT CORP US N 2 2030-02-01 Fixed 2.30000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAH5 75000.00000000 PA USD 78394.02000000 0.076164137866 Long DBT CORP US N 2 2025-07-01 Fixed 3.37500000 N N N N N N INVITATION HOMES OP 549300147YMUQB3GW319 46188BAA0 195000.00000000 PA USD 183402.92000000 0.178186107612 Long DBT CORP US N 2 2031-08-15 Fixed 2.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBV2 4650000.00000000 PA USD 4603500.00000000 4.472555542715 Long DBT UST US N 1 2024-04-15 Fixed 0.37500000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBG3 150000.00000000 PA USD 158339.26000000 0.153835371987 Long DBT CORP US N 2 2023-10-02 Fixed 4.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMNS0 980440.69000000 PA USD 1006521.20000000 0.977891163662 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179S2P1 259155.81540000 PA USD 272001.55000000 0.264264590003 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46653PAC1 103165.56000000 PA USD 103093.02000000 0.100160586079 Long ABS-MBS CORP US N 2 2051-10-25 Variable 2.50000000 N N N N N N APPLIED MATERIALS INC 41BNNE1AFPNAZELZ6K07 038222AN5 25000.00000000 PA USD 24526.23000000 0.023828592577 Long DBT CORP US N 2 2030-06-01 Fixed 1.75000000 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAS2 150000.00000000 PA USD 147822.43000000 0.143617688418 Long DBT CORP US N 2 2030-05-15 Fixed 2.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACA1 175000.00000000 PA USD 174056.41000000 0.169105454825 Long DBT CORP US N 2 2028-02-15 Fixed 2.05000000 N N N N N N DOLLAR TREE INC 549300PMSTQITB1WHR43 256746AG3 50000.00000000 PA USD 53737.69000000 0.052209145924 Long DBT CORP US N 2 2025-05-15 Fixed 4.00000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAL5 25000.00000000 PA USD 26628.21000000 0.025870782714 Long DBT CORP KY N 2 2026-04-15 Fixed 4.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UEB4 178339.03660000 PA USD 190710.42000000 0.185285749109 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAJ6 25000.00000000 PA USD 25491.11000000 0.024766027005 Long DBT CORP US N 2 2027-04-05 Fixed 2.29300000 N N N N N N MID-AMERICA APARTMENTS 549300FXWGE3QSYCUJ38 59523UAS6 50000.00000000 PA USD 47739.53000000 0.046381600848 Long DBT CORP US N 2 2031-02-15 Fixed 1.70000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DK0 25000.00000000 PA USD 27966.60000000 0.027171102821 Long DBT CORP US N 2 2028-04-01 Fixed 4.20000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBD6 25000.00000000 PA USD 25908.57000000 0.025171612546 Long DBT CORP US N 2 2023-06-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WMWQ0 22255.05910000 PA USD 23721.98000000 0.023047219101 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GEV56 958.31340000 PA USD 1075.85000000 0.001045247937 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8QW8 215913.83000000 PA USD 233804.30000000 0.227153843353 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F032625 -1000000.00000000 PA USD -1051760.00000000 -1.02184316663 Short ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHX0 50000.00000000 PA USD 51604.31000000 0.050136448945 Long DBT CORP US N 2 2030-10-22 Fixed 2.88400000 N N N N N N Crown City CLO I 549300K60T4GC7BSX929 22823RAJ8 250000.00000000 PA USD 249859.75000000 0.242752603402 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.32150000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 000000000 -270000.00000000 NC -5102.49000000 -0.00495735199 N/A DIR CORP GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP GB 2032-11-16 0.00000000 USD 0.00000000 USD 0.00000000 GBP 1.00000000 USD 0.59900000 GBP 2022-11-16 XXXX 1041.67000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179T7M1 52863.17720000 PA USD 56546.82000000 0.054938371502 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 5.00000000 N N N N N N SUNCOR ENERGY INC 549300W70ZOQDVLCHY06 867224AC1 25000.00000000 PA USD 25588.23000000 0.024860384471 Long DBT CORP CA N 2 2023-05-15 Fixed 2.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HEAU6 4162.80000000 PA USD 4505.78000000 0.004377615143 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N NATIONAL RETAIL PROP INC 5493008JKH5SOTI0JS97 637417AH9 45000.00000000 PA USD 48823.63000000 0.047434864119 Long DBT CORP US N 2 2025-11-15 Fixed 4.00000000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC USD -9314.77000000 -0.00904981561 N/A DCR CORP GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 IHS MARKIT LTD CMBX.NA.BBB-.11 Y Default Event 2054-11-18 0.00000000 USD -54839.17000000 USD -200000.00000000 USD 45524.40000000 N N N SAN JOSE CA FING AUTH LEASE RE N/A 798153NK4 25000.00000000 PA USD 24499.58000000 0.023802700624 Long DBT MUN US N 2 2030-06-01 Fixed 1.86200000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AH1 25000.00000000 PA USD 26690.07000000 0.025930883135 Long DBT CORP US N 2 2024-04-29 Fixed 4.62500000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 25000.00000000 PA USD 27966.37000000 0.027170879364 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AL2 75000.00000000 PA USD 79418.28000000 0.077159263257 Long DBT CORP US N 2 2025-03-04 Fixed 3.75000000 N N N N N N Fannie Mae - CAS N/A 20754AAB9 42000.00000000 PA USD 42033.58000000 0.040837953993 Long ABS-MBS CORP US N 2 2041-12-25 Floating 1.70000000 N N N N N N Stratton Mortgage Funding PLC 213800RHNWAD2QXB3483 000000000 74965.41630000 PA 101769.15000000 0.098874372957 Long ABS-MBS CORP GB N 2 2051-05-25 Floating 1.24965000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DAZ8 25000.00000000 PA USD 26003.51000000 0.025263852021 Long DBT CORP US N 2 2024-08-15 Fixed 3.22200000 N N N N N N STERIS PLC N/A 85917PAA5 75000.00000000 PA USD 75879.10000000 0.073720753618 Long DBT CORP IE N 2 2031-03-15 Fixed 2.70000000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC USD -13553.57000000 -0.01316804488 N/A DCR CORP GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 IHS MARKIT LTD CMBX.NA.BBB-.8 Y Default Event 2057-10-17 0.00000000 USD -26600.26000000 USD -100000.00000000 USD 13046.69000000 N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BE3 50000.00000000 PA USD 55460.75000000 0.053883194268 Long DBT CORP US N 2 2025-11-01 Fixed 4.62500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 25000.00000000 PA USD 31971.14000000 0.031061735508 Long DBT CORP US N 2 2049-02-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NV61 1203.82830000 PA USD 1340.25000000 0.001302127200 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 50000.00000000 PA USD 49475.72000000 0.048068405716 Long DBT CORP US N 2 2060-04-01 Fixed 3.85000000 N N N N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 1060000.00000000 NC 246.63000000 0.000239614722 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP US US 2023-09-08 0.00000000 USD 0.00000000 USD 0.00000000 GBP 1.00000000 USD 0.28100000 GBP 2022-09-08 XXXX -1775.08000000 N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAG5 26000.00000000 PA USD 27096.46000000 0.026325713557 Long DBT CORP US N 2 2023-05-25 Fixed 4.05700000 N N N N N N Marble Point CLO LTD 2549003LUS5LG1CTZP23 56606CAA1 500000.00000000 PA USD 500120.50000000 0.485894800543 Long ABS-CBDO CORP KY N 2 2033-04-20 Floating 1.43150000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAV8 25000.00000000 PA USD 26897.25000000 0.026132169994 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBL3 25000.00000000 PA USD 25086.71000000 0.024373129979 Long DBT CORP US N 2 2023-10-02 Fixed 1.45000000 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546AZ7 25000.00000000 PA USD 24543.24000000 0.023845118735 Long DBT CORP US N 2 2026-02-15 Fixed 1.30000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GAN8 200000.00000000 PA USD 195074.56000000 0.189525753137 Long DBT CORP NL N 2 2028-07-12 Fixed 1.87500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RCQ3 25000.00000000 PA USD 30221.01000000 0.029361387158 Long DBT CORP US N 2 2046-05-15 Fixed 4.75000000 N N N N N N NEWMONT CORP 549300VSP3RIX7FGDZ51 651639AY2 75000.00000000 PA USD 74013.91000000 0.071908618096 Long DBT CORP US N 2 2030-10-01 Fixed 2.25000000 N N N N N N STRYKER CORP 5493002F0SC4JTBU5137 863667AY7 100000.00000000 PA USD 97752.23000000 0.094971712414 Long DBT CORP US N 2 2030-06-15 Fixed 1.95000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -3385.69000000 -0.00328938559 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -208071.07000000 USD 258924.68000000 CAD 2022-01-31 -3385.69000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 70000.00000000 PA 84775.62000000 0.082364216165 Long DBT NUSS RO N 2 2029-03-11 Fixed 2.87500000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAP9 150000.00000000 PA USD 153993.27000000 0.149613001689 Long DBT CORP US N 2 2027-02-15 Fixed 2.49300000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KU4 25000.00000000 PA USD 27478.51000000 0.026696896319 Long DBT CORP US N 2 2028-07-25 Fixed 4.12500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -93.20000000 -0.00009054896 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-03-16 855.06000000 SEK 0.00000000 SEK 1240000.00000000 SEK -948.26000000 N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAQ7 75000.00000000 PA USD 76623.91000000 0.074444377837 Long DBT CORP US N 2 2030-02-15 Fixed 2.72200000 N N N N N N BAXTER INTERNATIONAL INC J5OIVXX3P24RJRW5CK77 071813CQ0 100000.00000000 PA USD 101028.42000000 0.098154712684 Long DBT CORP US N 2 2032-02-01 Fixed 2.53900000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAG6 100000.00000000 PA USD 102218.08000000 0.099310533348 Long DBT CORP US N 2 N/A Fixed 4.60000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KN0 220000.00000000 PA USD 235960.23000000 0.229248448907 Long DBT CORP US N 2 2026-05-01 Fixed 3.40000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBF1 25000.00000000 PA USD 26136.61000000 0.025393166052 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBA8 730000.00000000 PA USD 721616.41000000 0.701090360434 Long DBT UST US N 1 2023-12-15 Fixed 0.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H030617 2000000.00000000 PA USD 2070400.20000000 2.011508610871 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417QN83 0.02080000 PA USD 0.02000000 0.000000019431 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 4.50000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CY3 50000.00000000 PA USD 55953.27000000 0.054361704761 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1490000.00000000 NC 4773.13000000 0.004637360494 N/A DIR CORP CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP CH US 2023-10-11 0.00000000 USD 0.00000000 USD 0.00000000 GBP 1.00000000 USD 1.16000000 GBP 2022-10-11 XXXX -1065.17000000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546AU8 50000.00000000 PA USD 51714.05000000 0.050243067440 Long DBT CORP US N 2 2023-04-06 Fixed 3.70000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 8.00000000 NC USD -2936.68000000 -0.00285314747 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 2022-03-22 1171936.68000000 USD -2936.68000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36206RFN1 578.32000000 PA USD 582.31000000 0.000565746457 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 7.00000000 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAG8 40000.00000000 PA USD 39941.91000000 0.038805780592 Long DBT CORP US N 2 2030-08-15 Fixed 2.29400000 N N N N N N ALLIANT ENERGY FINANCE 54930033ER6EOI5DL570 01882YAA4 25000.00000000 PA USD 25880.11000000 0.025143962078 Long DBT CORP US N 2 2023-06-15 Fixed 3.75000000 N N N N N N Goldman Sachs Financial Square Government Fund N/A 38141W273 9028182.00000000 NS USD 9028182.00000000 8.771379481859 Long STIV RF US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416QVR3 576.32000000 PA USD 596.81000000 0.000579834011 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 4.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DE7 25000.00000000 PA USD 25895.65000000 0.025159060049 Long DBT CORP US N 2 2024-08-15 Fixed 2.62500000 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAE7 45000.00000000 PA USD 47473.09000000 0.046122739613 Long DBT CORP US N 2 2025-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FY69 25665.57010000 PA USD 27357.29000000 0.026579124366 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202D7K1 58923.76000000 PA USD 67604.25000000 0.065681277951 Long ABS-MBS USGA US N 2 2034-08-20 Fixed 6.00000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDB2 50000.00000000 PA USD 51810.63000000 0.050336900266 Long DBT CORP US N 2 2024-08-15 Variable 3.07100000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2C6 25000.00000000 PA USD 26266.45000000 0.025519312813 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 000000000 1.00000000 NC USD 1374.51000000 0.001335412690 N/A DCR CORP US N 2 BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 PRUDENTIAL FINANCIAL INC Prudential Financial Inc Y Default Event 2024-06-20 0.00000000 USD 0.00000000 USD -75000.00000000 USD 1374.51000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417SYF1 0.00210000 PA USD 0.00000000 0.000000 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.50000000 N N N N N N AMERICAN HOMES 4 RENT 549300N4PXZ37U8QKI55 02666TAB3 50000.00000000 PA USD 57912.69000000 0.056265389953 Long DBT CORP US N 2 2029-02-15 Fixed 4.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292G7H3 4506.35000000 PA USD 5212.54000000 0.005064271677 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 7.50000000 N N N N N N SPIRIT REALTY LP 549300GTBVIBJRX5BW73 84861TAF5 75000.00000000 PA USD 78773.11000000 0.076532444824 Long DBT CORP US N 2 2030-01-15 Fixed 3.40000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCR0 25000.00000000 PA USD 26567.90000000 0.025812188205 Long DBT CORP US N 2 2024-04-15 Fixed 3.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UKY7 377740.08590000 PA USD 400966.53000000 0.389561219983 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WMKE0 10288.66650000 PA USD 10947.54000000 0.010636142219 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N HOUSTON TX ARPT SYS REVENUE N/A 442349ES1 40000.00000000 PA USD 40001.20000000 0.038863384115 Long DBT MUN US N 2 2030-07-01 Fixed 2.28500000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDK4 75000.00000000 PA USD 80783.20000000 0.078485358731 Long DBT CORP US N 2 2027-04-01 Fixed 3.30000000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC USD 107.36000000 0.000104306193 N/A DCR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2026-12-20 46.36000000 USD 0.00000000 USD -20000.00000000 USD 61.00000000 N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAB8 75000.00000000 PA USD 79934.03000000 0.077660342984 Long DBT CORP US N 2 2026-06-01 Fixed 3.75000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDQ6 25000.00000000 PA USD 26524.83000000 0.025770343311 Long DBT CORP US N 2 2024-04-29 Fixed 3.87500000 N N N N N N BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 000000000 1.00000000 NC USD 394.82000000 0.000383589525 N/A DCR CORP US N 2 BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 STATE OF QATAR STATE OF QATAR Y Default Event 2024-06-20 0.00000000 USD 0.00000000 USD -20000.00000000 USD 394.82000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31374FY45 2985.48000000 PA USD 3188.80000000 0.003098096038 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 9.00000000 N N N N N N HUNTINGTON BANCSHARES 549300XTVCVV9I7B5T19 446150AM6 50000.00000000 PA USD 53809.02000000 0.052278446974 Long DBT CORP US N 2 2025-05-15 Fixed 4.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 100000.00000000 PA USD 135371.56000000 0.131520977735 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081FF9 68000.00000000 PA USD 81234.31000000 0.078923637112 Long DBT CORP US N 2 2042-02-01 Fixed 4.12500000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BH4 25000.00000000 PA USD 31581.82000000 0.030683489538 Long DBT CORP US N 2 2043-06-01 Fixed 4.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBS9 1010000.00000000 PA USD 1001399.22000000 0.972914876046 Long DBT UST US N 1 2028-03-31 Fixed 1.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UPB2 52836.13200000 PA USD 56056.02000000 0.054461532085 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AN0 100000.00000000 PA USD 122387.19000000 0.118905942216 Long DBT CORP US N 2 2048-04-15 Fixed 4.60000000 N N N N N N BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 000000000 1.00000000 NC USD 67614.87000000 0.065691595870 N/A DCR CORP US N 2 BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 IHS MARKIT LTD CDX.NA.IG.34 Y Default Event 2025-06-20 0.00000000 USD 0.00000000 USD -3500000.00000000 USD 67614.87000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36209STH4 2117.55000000 PA USD 2271.45000000 0.002206839641 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 7.00000000 N N N N N N ARCHER-DANIELS-MIDLAND C 549300LO13MQ9HYSTR83 039482AB0 25000.00000000 PA USD 27149.38000000 0.026377128272 Long DBT CORP US N 2 2030-03-27 Fixed 3.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36209HJM8 760.14000000 PA USD 823.01000000 0.000799599856 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 7.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VES9 200000.00000000 PA USD 221851.56000000 0.215541093589 Long DBT CORP US N 2 2029-02-08 Fixed 3.87500000 N N N N N N ECOLAB INC 82DYEISM090VG8LTLS26 278865BJ8 4000.00000000 PA USD 3930.37000000 0.003818572418 Long DBT CORP US N 2 2055-08-18 Fixed 2.75000000 N N N N N N LOS ANGELES CA MUNI IMPT CORPL 549300ZJ0YLTZNSR8F57 5445872Y3 80000.00000000 PA USD 79321.59000000 0.077065323560 Long DBT MUN US N 2 2030-11-01 Fixed 2.07400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H030625 1000000.00000000 PA USD 1033364.10000000 1.003970529618 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 3.00000000 N N N N N N EXPEDIA GROUP INC N/A 30212PBK0 25000.00000000 PA USD 27938.33000000 0.027143636949 Long DBT CORP US N 2 2027-08-01 Fixed 4.62500000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAG4 25000.00000000 PA USD 24789.25000000 0.024084131093 Long DBT CORP US N 2 2031-02-01 Fixed 2.40000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 25000.00000000 PA USD 25195.67000000 0.024478990661 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAC3 30000.00000000 PA USD 31981.74000000 0.031072033996 Long DBT CORP US N 2 2025-02-01 Fixed 4.00000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2G5 250000.00000000 PA USD 243785.05000000 0.236850695472 Long DBT CORP CH N 2 2026-08-07 Fixed 1.25000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -63117.97000000 -0.06132260813 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-03-16 0.00000000 AUD -62291.42000000 AUD 3630000.00000000 AUD -826.55000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RDJ8 25000.00000000 PA USD 29178.03000000 0.028348074248 Long DBT CORP US N 2 2048-03-09 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128284N7 970000.00000000 PA USD 1057072.66000000 1.027004710445 Long DBT UST US N 1 2028-05-15 Fixed 2.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36204L5N7 342.04000000 PA USD 344.83000000 0.000335021467 Long ABS-MBS USGA US N 2 2026-02-15 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WR34 995388.89000000 PA USD 1033620.57000000 1.004219704446 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 9688.38000000 0.009412798450 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -1623002.12000000 SEK 189325.10000000 USD 2022-01-20 9688.38000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPGT5 12995.69290000 PA USD 13852.29000000 0.013458267930 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N ARCH CAPITAL GRP US INC 549300B4QKQFLY1XST28 03938JAA7 36000.00000000 PA USD 46890.42000000 0.045556643395 Long DBT CORP US N 2 2043-11-01 Fixed 5.14400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H032613 1000000.00000000 PA USD 1041432.10000000 1.011809039039 Long ABS-MBS USGA US N 2 2051-01-15 Fixed 3.50000000 N N N N N N FLORIDA ST BRD OF ADMIN FIN CO 549300S34SOJ0RULXM35 341271AF1 70000.00000000 PA USD 69834.76000000 0.067848342111 Long DBT MUN US N 2 2030-07-01 Fixed 2.15400000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 210000.00000000 PA USD 266001.43000000 0.258435140679 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DH7 125000.00000000 PA USD 135699.73000000 0.131839813089 Long DBT CORP US N 2 2026-04-01 Fixed 3.90000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661ED5 75000.00000000 PA USD 73475.18000000 0.071385212025 Long DBT CORP US N 2 2028-09-15 Fixed 1.70000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAF9 75000.00000000 PA USD 76121.99000000 0.073956734722 Long DBT CORP US N 2 2025-02-01 Fixed 2.30000000 N N N N N N BAY AREA CA TOLL AUTH TOLL BRI 5493001FUZGUQMIP5D78 072024XE7 30000.00000000 PA USD 29594.24000000 0.028752445344 Long DBT MUN US N 2 2028-04-01 Fixed 1.63300000 N N N N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 -110000.00000000 NC -903.89000000 -0.00087817926 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Call Written JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP US US 2032-09-08 0.00000000 USD 0.00000000 USD 0.00000000 GBP 1.00000000 USD 0.36300000 GBP 2022-09-08 XXXX 1129.05000000 N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829BN6 25000.00000000 PA USD 39038.07000000 0.037927649908 Long DBT CORP US N 2 2050-04-01 Fixed 6.60000000 N N N N N N XLIT LTD 635400XCGXK8NVDIVE95 98420EAC9 45000.00000000 PA USD 48843.09000000 0.047453770588 Long DBT CORP KY N 2 2025-03-31 Fixed 4.45000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAG8 150000.00000000 PA USD 151852.70000000 0.147533319226 Long DBT CORP US N 2 2025-06-01 Fixed 1.65000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2N3 200000.00000000 PA USD 194594.41000000 0.189059260785 Long DBT CORP FR N 2 2027-01-13 Fixed 1.32300000 N N N N N N MACQUARIE BANK LTD 4ZHCHI4KYZG2WVRT8631 556079AD3 200000.00000000 PA USD 196404.92000000 0.190818271654 Long DBT CORP AU N 2 2036-03-03 Fixed 3.05200000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAG3 125000.00000000 PA USD 125335.95000000 0.121770826083 Long DBT CORP N/A N 2 2031-05-11 Fixed 2.50000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703TAD8 100000.00000000 PA USD 115875.33000000 0.112579309102 Long DBT CORP US N 2 2026-06-15 Fixed 6.02000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CP2 25000.00000000 PA USD 29089.46000000 0.028262023581 Long DBT CORP US N 2 2047-05-04 Fixed 4.05000000 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAL7 45000.00000000 PA USD 47586.53000000 0.046232952864 Long DBT CORP US N 2 2027-09-12 Fixed 3.00000000 N N N N N N CANADIAN PACIFIC RAILWAY 54930036474DURYNB481 13648TAA5 25000.00000000 PA USD 24707.04000000 0.024004259519 Long DBT CORP CA N 2 2030-03-05 Fixed 2.05000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AG5 25000.00000000 PA USD 31375.21000000 0.030482756465 Long DBT CORP US N 2 2042-01-15 Fixed 4.95000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JJ7 25000.00000000 PA USD 23371.18000000 0.022706397447 Long DBT CORP US N 2 2050-08-01 Fixed 3.50000000 N N N N N N BAYLOR SCOTT & WHITE HOL 549300JQDKSBWYRGGV95 072863AH6 40000.00000000 PA USD 38603.36000000 0.037505305036 Long DBT CORP US N 2 2030-11-15 Fixed 1.77700000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 7622.74000000 0.007405914638 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2051-12-15 0.00000000 CAD -2327.77000000 CAD 270000.00000000 CAD 9950.51000000 N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAK6 25000.00000000 PA USD 27674.29000000 0.026887107446 Long DBT CORP US N 2 2050-05-01 Fixed 3.80000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBF2 125000.00000000 PA USD 127777.40000000 0.124142830151 Long DBT CORP US N 2 2025-10-15 Fixed 2.30100000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAE3 25000.00000000 PA USD 26481.30000000 0.025728051502 Long DBT CORP US N 2 2023-08-28 Variable 5.27200000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCT6 125000.00000000 PA USD 141850.36000000 0.137815491224 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AS5 75000.00000000 PA USD 84411.41000000 0.082010365952 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCS8 50000.00000000 PA USD 54664.08000000 0.053109185183 Long DBT CORP US N 2 2025-10-15 Fixed 3.95000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 25000.00000000 PA USD 34166.18000000 0.033194338597 Long DBT CORP US N 2 2051-04-04 Fixed 5.01300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WDT2 0.00070000 PA USD 0.00000000 0.000000 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 3.50000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAK3 150000.00000000 PA USD 152114.48000000 0.147787653014 Long DBT CORP US N 2 2030-02-15 Fixed 2.56500000 N N N N N N Freddie Mac - STACR N/A 35564KHE2 30000.00000000 PA USD 30120.50000000 0.029263736119 Long ABS-MBS CORP US N 2 2034-01-25 Floating 1.69967000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CL2 50000.00000000 PA USD 53780.64000000 0.052250874231 Long DBT CORP US N 2 2025-07-20 Fixed 3.87500000 N N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 90265EAT7 25000.00000000 PA USD 23907.37000000 0.023227335767 Long DBT CORP US N 2 2032-08-01 Fixed 2.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36206VQC4 904.84000000 PA USD 962.67000000 0.000935287291 Long ABS-MBS USGA US N 2 2026-04-15 Fixed 7.00000000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 31428XCA2 75000.00000000 PA USD 100507.70000000 0.097648804327 Long DBT CORP US N 2 2050-05-15 Fixed 5.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36209ASH4 4812.47000000 PA USD 5116.09000000 0.004970565154 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 7.00000000 N N N N N N PRINCIPAL FINANCIAL GRP CUMYEZJOAF02RYZ1JJ85 74251VAS1 75000.00000000 PA USD 74170.33000000 0.072060588801 Long DBT CORP US N 2 2030-06-15 Fixed 2.12500000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AT2 25000.00000000 PA USD 27553.77000000 0.026770015582 Long DBT CORP US N 2 2029-04-15 Fixed 3.65000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BN1 75000.00000000 PA USD 80195.35000000 0.077914229856 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F032617 -1000000.00000000 PA USD -1053125.20000000 -1.02316953414 Short ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.50000000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC USD 2782.14000000 0.002703003296 N/A DCR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 REPUBLIC OF INDONESIA REPUBLIC OF INDONESIA Y Default Event 2026-12-20 2808.86000000 USD 0.00000000 USD -230000.00000000 USD -26.72000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFE9 50000.00000000 PA USD 52850.83000000 0.051347512252 Long DBT CORP US N 2 2030-03-22 Fixed 3.15000000 N N N N N N AID-ISRAEL 213800T8ZHTFZIBYPE21 46513EJX1 100000.00000000 PA USD 110358.57000000 0.107219470824 Long DBT NUSS IL N 2 2024-04-26 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TNR2 328221.89250000 PA USD 344491.07000000 0.334692178678 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.50000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BD2 200000.00000000 PA USD 208545.58000000 0.202613596119 Long DBT CORP GB N 2 2023-09-12 Fixed 3.87500000 N N N N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NAY7 25000.00000000 PA USD 31520.71000000 0.030624117784 Long DBT CORP US N 2 2050-04-15 Fixed 4.70000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SH5 175000.00000000 PA USD 184059.57000000 0.178824079503 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAF6 25000.00000000 PA USD 27637.45000000 0.026851315343 Long DBT CORP US N 2 2029-07-15 Fixed 3.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKVH5 0.00240000 PA USD 0.00000000 0.000000 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N EXPEDIA GROUP INC N/A 30212PAP0 35000.00000000 PA USD 37369.26000000 0.036306308447 Long DBT CORP US N 2 2028-02-15 Fixed 3.80000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513YJH2 200000.00000000 PA USD 216912.50000000 0.210742522897 Long DBT NUSS IL N 2 2028-01-17 Fixed 3.25000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JF5 25000.00000000 PA USD 24176.31000000 0.023488625891 Long DBT CORP US N 2 2027-08-01 Fixed 2.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36207J2F9 88.62000000 PA USD 95.70000000 0.000092977857 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 7.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHM4 50000.00000000 PA USD 55739.15000000 0.054153675307 Long DBT CORP US N 2 2029-07-23 Fixed 4.27100000 N N N N N N EMORY UNIVERSITY 95MD72NUUVZ3P8PQ6919 29157TAD8 140000.00000000 PA USD 141937.43000000 0.137900084558 Long DBT CORP US N 2 2030-09-01 Fixed 2.14300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGR83 727781.45370000 PA USD 767621.74000000 0.745787089811 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N EAST OHIO GAS CO/THE BC95Y6MXLT75BGO7UM71 27409LAC7 25000.00000000 PA USD 24234.73000000 0.023545384161 Long DBT CORP US N 2 2030-06-15 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHD4 85000.00000000 PA USD 90836.32000000 0.088252522319 Long DBT CORP US N 2 2028-12-20 Fixed 3.41900000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC USD 173898.49000000 0.168952026788 N/A DCR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 IHS MARKIT LTD CDX.NA.IG.36.V1 Y Default Event 2026-06-20 86570.73000000 USD 0.00000000 USD -7025000.00000000 USD 87327.76000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJB6 175000.00000000 PA USD 176697.42000000 0.171671342501 Long DBT CORP US N 2 2031-04-29 Fixed 2.59200000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBJ4 25000.00000000 PA USD 28941.77000000 0.028118534556 Long DBT CORP US N 2 2031-03-24 Fixed 4.49300000 N N N N N N PROGRESS ENERGY INC 549300FBMTW0JYWMNB26 743263AG0 95000.00000000 PA USD 128846.28000000 0.125181306347 Long DBT CORP US N 2 2031-10-30 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384XWJ3 956.76000000 PA USD 1115.61000000 0.001083876982 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 8.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRY8 75000.00000000 PA USD 81251.14000000 0.078939988391 Long DBT CORP US N 2 2028-02-01 Fixed 3.78200000 N N N N N N BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 000000000 1.00000000 NC USD 2555.92000000 0.002483218021 N/A DCR CORP US N 2 BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 REPUBLIC OF INDONESIA REPUBLIC OF INDONESIA Y Default Event 2024-06-20 0.00000000 USD 0.00000000 USD -160000.00000000 USD 2555.92000000 N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AP2 50000.00000000 PA USD 48164.45000000 0.046794434193 Long DBT CORP US N 2 2030-09-01 Fixed 2.25000000 N N N N N N BANNER HEALTH PLD0E0WJKFN8IZJ2WD85 06654DAB3 120000.00000000 PA USD 121469.60000000 0.118014452645 Long DBT CORP US N 2 2030-01-01 Fixed 2.33800000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 2001.33000000 0.001944403081 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 1069.58000000 JPY 0.00000000 JPY 27350000.00000000 JPY 931.75000000 N N N Diameter Capital CLO 25490018I1ROE4V49X69 25255DAA8 425000.00000000 PA USD 425302.18000000 0.413204653521 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 1.36257000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36208GGD4 449.63000000 PA USD 450.81000000 0.000437986915 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412VB98 0.06380000 PA USD 0.07000000 0.000000068008 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 25000.00000000 PA USD 29169.12000000 0.028339417689 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBT1 45000.00000000 PA USD 47435.67000000 0.046086384008 Long DBT CORP US N 2 2024-10-30 Fixed 3.30000000 N N N N N N WM CREDIT INC CP 1/10/22 N/A 000000000 250000.00000000 PA USD 249987.50000000 0.242876719612 Long DBT CORP US N 2 2022-01-10 None 0.00000000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966QUW8 40000.00000000 PA USD 40096.52000000 0.038955992781 Long DBT MUN US N 2 2029-03-01 Fixed 1.94000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAH4 60000.00000000 PA USD 64599.92000000 0.062762404747 Long DBT CORP US N 2 2027-09-01 Fixed 3.65000000 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AD2 100000.00000000 PA USD 95131.82000000 0.092425838781 Long DBT CORP US N 2 2028-02-10 Fixed 1.30000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31359MEU3 400000.00000000 PA USD 531377.88000000 0.516263078629 Long DBT USGSE US N 2 2029-05-15 Fixed 6.25000000 N N N N N N STANLEY BLACK & DECKER I 549300DJ09SMTO561131 854502AH4 50000.00000000 PA USD 56840.48000000 0.055223678478 Long DBT CORP US N 2 2028-11-15 Fixed 4.25000000 N N N N N N DUKE REALTY LP 2549009GZDBNY1KE9O81 26441YBE6 25000.00000000 PA USD 23831.32000000 0.023153448974 Long DBT CORP US N 2 2030-07-01 Fixed 1.75000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BL7 50000.00000000 PA USD 52005.29000000 0.050526023251 Long DBT CORP US N 2 2032-12-15 Fixed 2.85000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 100000.00000000 PA USD 101827.13000000 0.098930703742 Long DBT CORP US N 2 2041-02-15 Fixed 3.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468P7 50000.00000000 PA USD 54542.54000000 0.052991102333 Long DBT CORP US N 2 2031-04-01 Fixed 3.62200000 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AJ0 25000.00000000 PA USD 25663.05000000 0.024933076250 Long DBT CORP US N 2 2029-09-15 Fixed 2.95000000 N N N N N N AMERICAN MUNI PWR-OHIO INC OH EARKGGZJJEMVD66XQ486 02765UEQ3 100000.00000000 PA USD 142909.30000000 0.138844310159 Long DBT MUN US N 2 2050-02-15 Fixed 6.27000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3620C0X60 46013.83780000 PA USD 51526.55000000 0.050060900792 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCA7 225000.00000000 PA USD 241578.26000000 0.234706676607 Long DBT CORP US N 2 2028-02-15 Fixed 3.15000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KA8 150000.00000000 PA USD 167251.15000000 0.162493767341 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152GS4 100000.00000000 PA USD 125879.93000000 0.122299332820 Long DBT MUN US N 2 2035-07-01 Fixed 7.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JAEL8 217411.48900000 PA USD 241161.04000000 0.234301324240 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAH0 75000.00000000 PA USD 78656.25000000 0.076418908853 Long DBT CORP BM N 2 2024-05-01 Fixed 3.62500000 N N N N N N Jamestown CLO Ltd N/A 47050EAA7 300000.00000000 PA USD 300147.60000000 0.291610038451 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 1.46375000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RAZ5 15000.00000000 PA USD 15070.14000000 0.014641476743 Long DBT CORP US N 2 2022-06-01 Fixed 3.65000000 N N N N N N CFIP CLO LTD 549300NTT3VNL25G1526 12529QAC3 700000.00000000 PA USD 700283.50000000 0.680364255326 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 1.33395000 N N N N N N LUKOIL SECURITIES BV 724500IVNQ6LF8OFIO42 000000000 200000.00000000 PA USD 205040.00000000 0.199207730743 Long DBT CORP NL N 2 2030-05-06 Fixed 3.87500000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887BV0 12000.00000000 PA USD 12564.33000000 0.012206943365 Long DBT CORP US N 2 2024-06-06 Fixed 3.36300000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHJ4 150000.00000000 PA USD 168772.17000000 0.163971522621 Long DBT CORP US N 2 2029-03-01 Fixed 4.35000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 1789.85000000 0.001738938533 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 7183.38000000 NOK 0.00000000 NOK 2240000.00000000 NOK -5393.53000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 75000.00000000 PA USD 74869.64000000 0.072740007247 Long DBT CORP US N 2 2030-08-15 Fixed 2.65000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AN1 50000.00000000 PA USD 49178.81000000 0.047779941185 Long DBT CORP US N 2 2030-03-01 Fixed 2.30000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAH8 25000.00000000 PA USD 28577.96000000 0.027765072965 Long DBT CORP US N 2 2029-01-25 Fixed 4.70900000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BG6 50000.00000000 PA USD 57104.05000000 0.055479751349 Long DBT CORP US N 2 2029-03-15 Fixed 4.37500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RJZ6 75000.00000000 PA USD 77176.05000000 0.074980812467 Long DBT CORP US N 2 2041-06-01 Fixed 3.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 3848.61000000 0.003739138044 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -294326.61000000 CAD 236519.95000000 USD 2022-01-31 3848.61000000 N N N AT&T INC 6/21/07 5.25% N/A 0020A3BE9 800000.00000000 PA USD 799704.00000000 0.776956784562 Long DBT CORP US N 2 2022-02-14 None 0.00000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816BK4 25000.00000000 PA USD 26717.29000000 0.025957328874 Long DBT CORP US N 2 2024-12-05 Fixed 3.62500000 N N N N N N SUNCOR ENERGY INC 549300W70ZOQDVLCHY06 867224AD9 50000.00000000 PA USD 52324.39000000 0.050836046597 Long DBT CORP CA N 2 2025-05-15 Fixed 3.10000000 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AK1 25000.00000000 PA USD 24347.70000000 0.023655140781 Long DBT CORP US N 2 2028-08-15 Fixed 1.80000000 N N N N N N NEW ORLEANS LA WTR REVENUE N/A 647753MB5 25000.00000000 PA USD 24075.47000000 0.023390654239 Long DBT MUN US N 2 2026-12-01 Fixed 1.00800000 N N N N N N WESTPAC BANKING CORP EN5TNI6CI43VEPAMHL14 961214EF6 25000.00000000 PA USD 26966.89000000 0.026199829116 Long DBT CORP AU N 2 2034-07-24 Fixed 4.11000000 N N N N N N INTUIT INC VI90HBPH7XSFMB9E4M29 46124HAC0 25000.00000000 PA USD 24497.29000000 0.023800475762 Long DBT CORP US N 2 2027-07-15 Fixed 1.35000000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55608JAR9 50000.00000000 PA USD 48669.87000000 0.047285477752 Long DBT CORP AU N 2 2027-01-12 Fixed 1.34000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKA9 25000.00000000 PA USD 25944.79000000 0.025206802285 Long DBT CORP US N 2 2051-06-01 Fixed 3.65000000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC USD -13553.57000000 -0.01316804488 N/A DCR CORP GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 IHS MARKIT LTD CMBX.NA.BBB-.8 Y Default Event 2057-10-17 0.00000000 USD -14898.04000000 USD -100000.00000000 USD 1344.47000000 N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAW0 50000.00000000 PA USD 53548.40000000 0.052025240191 Long DBT CORP US N 2 2023-10-02 Fixed 5.40000000 N N N N N N RAYMOND JAMES FINANCIAL RGUZHJ05YTITL6D76949 754730AG4 25000.00000000 PA USD 28968.88000000 0.028144873424 Long DBT CORP US N 2 2030-04-01 Fixed 4.65000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CAW9 45000.00000000 PA USD 49938.84000000 0.048518352479 Long DBT CORP US N 2 2025-10-15 Variable 4.90000000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAA7 20000.00000000 PA USD 21260.71000000 0.020655958803 Long DBT CORP US N 2 2024-04-01 Fixed 4.60000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JVL0 225000.00000000 PA USD 239680.05000000 0.232862460324 Long DBT CORP US N 2 2024-10-23 Fixed 3.70000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAR5 25000.00000000 PA USD 27035.99000000 0.026266963598 Long DBT CORP US N 2 2027-03-26 Fixed 3.30000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAE9 200000.00000000 PA USD 206881.12000000 0.200996480925 Long DBT CORP ES N 2 2025-05-28 Fixed 2.74600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36209CSP2 1212.45000000 PA USD 1240.13000000 0.001204855067 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 7.00000000 N N N N N N WEIR GROUP PLC (THE) 549300KDR56WHY9I3D10 94876QAA4 200000.00000000 PA USD 196250.00000000 0.190667758283 Long DBT CORP GB N 2 2026-05-13 Fixed 2.20000000 N N N N N N Freddie Mac - STACR N/A 35565WAH5 7847.96000000 PA USD 7858.96000000 0.007635415468 Long ABS-MBS CORP US N 2 2050-06-25 Floating 3.10275000 N N N N N N GAZPROM (GAZ CAPITAL SA) 213800568PRHV2JR9650 000000000 240000.00000000 PA USD 259440.00000000 0.252060347562 Long DBT CORP LU N 2 2027-03-23 Fixed 4.95000000 N N N N N N HalseyPoint CLO II, Ltd. 549300RT6H1EOIYTDV62 40638TAA0 300000.00000000 PA USD 300097.20000000 0.291561072056 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 1.99150000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 25861.62000000 0.025125998017 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 0.00000000 GBP -407.55000000 GBP 950000.00000000 GBP 26269.17000000 N N N Scholar Funding Trust N/A 80705RAA8 0.01430000 PA USD 0.01000000 0.000000009715 Long ABS-O CORP US N 2 2041-10-28 Floating 0.88588000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CK4 150000.00000000 PA USD 156456.55000000 0.152006214814 Long DBT CORP US N 2 2050-03-15 Fixed 3.40000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XDE3 125000.00000000 PA USD 121389.08000000 0.117936222999 Long DBT CORP US N 2 2031-01-08 Fixed 2.35000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGF0 75000.00000000 PA USD 81273.80000000 0.078962003837 Long DBT CORP US N 2 2028-01-20 Fixed 3.82400000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABW4 75000.00000000 PA USD 77752.13000000 0.075540506134 Long DBT CORP US N 2 2031-04-15 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGM0 53000.00000000 PA USD 52273.52000000 0.050786623571 Long DBT CORP US N 2 2032-03-15 Fixed 2.35500000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAD0 25000.00000000 PA USD 26658.03000000 0.025899754498 Long DBT CORP N/A N 2 2030-05-01 Fixed 3.40000000 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAN2 25000.00000000 PA USD 28697.37000000 0.027881086402 Long DBT CORP US N 2 2028-12-15 Fixed 4.75000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 199000.00000000 PA USD 200036.32000000 0.194346378138 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CC1 150000.00000000 PA USD 151976.93000000 0.147654015561 Long DBT CORP DE N 2 2024-09-18 Fixed 2.22200000 N N N N N N DP WORLD CRESCENT LTD 21380096JRTWB8TL9236 000000000 200000.00000000 PA USD 212937.50000000 0.206880589959 Long DBT CORP KY N 2 2029-07-18 Fixed 3.87500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEF8 150000.00000000 PA USD 144385.86000000 0.140278870084 Long DBT CORP US N 2 2036-09-16 Fixed 2.48400000 N N N N N N ARIZONA PUBLIC SERVICE YG6VT0TPHRH4TFVAQV64 040555CW2 45000.00000000 PA USD 47278.55000000 0.045933733214 Long DBT CORP US N 2 2027-09-15 Fixed 2.95000000 N N N N N N Banc of America Commercial Mor N/A 06054MAW3 100000.00000000 PA USD 91871.69000000 0.089258441691 Long ABS-MBS CORP US N 2 2049-07-15 Fixed 3.00000000 N N N N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 015271AR0 25000.00000000 PA USD 27040.61000000 0.026271452185 Long DBT CORP US N 2 2031-08-15 Fixed 3.37500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SL3 3200000.00000000 PA USD 3254000.00000000 3.161441454544 Long DBT UST US N 1 2050-02-15 Fixed 2.00000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DZ7 25000.00000000 PA USD 24690.90000000 0.023988578614 Long DBT CORP US N 2 2050-10-15 Fixed 3.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468U6 75000.00000000 PA USD 71070.80000000 0.069049223518 Long DBT CORP US N 2 2032-02-13 Fixed 1.79400000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AR2 50000.00000000 PA USD 51097.96000000 0.049644501839 Long DBT CORP US N 2 2040-11-15 Fixed 3.26800000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAP1 25000.00000000 PA USD 25821.89000000 0.025087398119 Long DBT CORP US N 2 2024-04-23 Fixed 3.55900000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RFW7 25000.00000000 PA USD 30084.26000000 0.029228526949 Long DBT CORP US N 2 2037-08-15 Fixed 4.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7EX0 546.22230000 PA USD 614.40000000 0.000596923672 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 3250.28000000 0.003157827268 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2041-11-26 0.00000000 EUR -4238.67000000 EUR 510000.00000000 EUR 7488.95000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 -160000.00000000 NC -4675.46000000 -0.00454246867 N/A DIR CORP CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP CH US 2032-10-11 0.00000000 USD 0.00000000 USD 0.00000000 GBP 1.00000000 USD 0.85000000 GBP 2022-10-11 XXXX 1827.51000000 N N N EXPEDIA GROUP INC N/A 30212PBJ3 50000.00000000 PA USD 51979.85000000 0.050501306881 Long DBT CORP US N 2 2023-12-15 Fixed 3.60000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BG2 150000.00000000 PA USD 145594.59000000 0.141453218310 Long DBT CORP US N 2 2031-09-23 Fixed 2.62500000 N N N N N N AVANGRID INC 549300OX0Q38NLSKPB49 05351WAC7 25000.00000000 PA USD 26302.94000000 0.025554764871 Long DBT CORP US N 2 2025-04-15 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GFQ4 48353.42160000 PA USD 51540.59000000 0.050074541431 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -1037.44000000 -0.00100793049 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -96924.37000000 EUR 109398.15000000 USD 2022-02-10 -1037.44000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RJX1 300000.00000000 PA USD 305747.67000000 0.297050817015 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687CZ7 25000.00000000 PA USD 26481.45000000 0.025728197236 Long DBT CORP US N 2 2024-09-15 Fixed 3.70000000 N N N N N N CHICAGO IL O'HARE INTERNATIONA N/A 167593T44 85000.00000000 PA USD 85630.82000000 0.083195090391 Long DBT MUN US N 2 2030-01-01 Fixed 2.34600000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDP3 1100000.00000000 PA USD 1095359.38000000 1.064202382162 Long DBT UST US N 1 2028-12-31 Fixed 1.37500000 N N N N N N WESTPAC BANKING CORP EN5TNI6CI43VEPAMHL14 961214DF7 25000.00000000 PA USD 27047.11000000 0.026277767295 Long DBT CORP AU N 2 2031-11-23 Fixed 4.32200000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 35000.00000000 PA USD 39381.65000000 0.038261456932 Long DBT CORP US N 2 2038-04-15 Fixed 4.50000000 N N N N N N Wells Fargo Mortgage Backed Se N/A 949831AA9 11500.56610000 PA USD 11584.96000000 0.011255431098 Long ABS-MBS CORP US N 2 2049-07-25 Variable 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFB0 75000.00000000 PA USD 79706.91000000 0.077439683309 Long DBT CORP US N 2 2024-01-22 Fixed 4.12500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAM8 45000.00000000 PA USD 48259.46000000 0.046886741677 Long DBT CORP US N 2 2029-01-23 Fixed 3.50900000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 7547.54000000 0.007332853668 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 10150.51000000 USD 0.00000000 USD 520000.00000000 USD -2602.97000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 30000.00000000 PA 30278.43000000 0.029417173872 Long DBT NUSS RO N 2 2040-12-02 Fixed 2.62500000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CV7 60000.00000000 PA USD 63580.84000000 0.061772312013 Long DBT CORP US N 2 2026-07-01 Fixed 3.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAU0 25000.00000000 PA USD 26055.31000000 0.025314178594 Long DBT CORP US N 2 2024-07-23 Fixed 3.79700000 N N N N N N SKYWORKS SOLUTIONS INC 549300WZ3ORQ2BVKBD96 83088MAL6 25000.00000000 PA USD 25154.42000000 0.024438913999 Long DBT CORP US N 2 2031-06-01 Fixed 3.00000000 N N N N N N GMAC Mortgage Corporation Loan N/A 36186MAC5 28141.49000000 PA USD 28294.60000000 0.027489773011 Long ABS-MBS CORP US N 2 2037-09-25 Variable 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MRK75 18082.44470000 PA USD 19240.43000000 0.018693144746 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBT7 4050000.00000000 PA USD 3974062.50000000 3.861022105239 Long DBT UST US N 1 2026-03-31 Fixed 0.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9ME0 234960.39340000 PA USD 254245.50000000 0.247013602744 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N STEEL DYNAMICS INC 549300HGGKEL4FYTTQ83 858119BL3 20000.00000000 PA USD 20517.75000000 0.019934131961 Long DBT CORP US N 2 2025-06-15 Fixed 2.40000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AJ3 20000.00000000 PA USD 24100.00000000 0.023414486494 Long DBT CORP US N 2 2048-03-01 Fixed 5.30000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAZ3 100000.00000000 PA USD 102721.79000000 0.099799915547 Long DBT CORP US N 2 2025-03-15 Fixed 2.40000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DC9 71000.00000000 PA USD 76865.91000000 0.074679494257 Long DBT CORP US N 2 2025-08-15 Fixed 3.87500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMM1 128000.00000000 PA USD 125352.43000000 0.121786837317 Long DBT CORP US N 2 2033-12-01 Fixed 2.55000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BD9 75000.00000000 PA USD 73652.35000000 0.071557342506 Long DBT CORP US N 2 2026-04-27 Fixed 1.62500000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AT5 75000.00000000 PA USD 78884.75000000 0.076640909275 Long DBT CORP US N 2 2024-03-12 Fixed 4.12500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABZ7 75000.00000000 PA USD 74214.02000000 0.072103036059 Long DBT CORP US N 2 2026-02-15 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36208VTU9 1953.17000000 PA USD 2141.03000000 0.002080129378 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 7.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 75000.00000000 PA USD 79479.70000000 0.077218936193 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 100000.00000000 PA USD 109426.57000000 0.106313981139 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BM3 50000.00000000 PA USD 52184.99000000 0.050700611767 Long DBT CORP US N 2 2025-01-15 Fixed 2.93000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020618 -1000000.00000000 PA USD -1008990.00000000 -0.98028973977 Short ABS-MBS USGA US N 2 2052-01-20 Fixed 2.00000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAL8 50000.00000000 PA USD 50523.12000000 0.049086012901 Long DBT CORP US N 2 2050-06-15 Fixed 3.00000000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AP6 75000.00000000 PA USD 73825.31000000 0.071725382737 Long DBT CORP US N 2 2027-10-15 Fixed 1.83200000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHK1 60000.00000000 PA USD 71682.53000000 0.069643553137 Long DBT CORP US N 2 2039-03-01 Fixed 4.85000000 N N N N N N AUTONATION INC N/A 05329WAR3 25000.00000000 PA USD 24429.72000000 0.023734827759 Long DBT CORP US N 2 2028-08-01 Fixed 1.95000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBA3 100000.00000000 PA USD 108257.89000000 0.105178543708 Long DBT CORP US N 2 2027-01-29 Fixed 3.96000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBL9 25000.00000000 PA USD 25289.81000000 0.024570452892 Long DBT CORP US N 2 2031-04-22 Fixed 2.52200000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AB4 95000.00000000 PA USD 101550.70000000 0.098662136668 Long DBT CORP US N 2 2024-07-01 Fixed 4.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXFW5 2803.82000000 PA USD 3131.73000000 0.003042649368 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAP8 50000.00000000 PA USD 51663.87000000 0.050194314788 Long DBT CORP US N 2 2025-05-15 Fixed 2.90000000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAH4 50000.00000000 PA USD 48937.50000000 0.047545495138 Long DBT CORP US N 2 2026-01-15 Fixed 1.57000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAG8 25000.00000000 PA USD 28722.67000000 0.027905666755 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8G58 174605.54000000 PA USD 189127.80000000 0.183748146013 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAH3 35000.00000000 PA USD 42277.77000000 0.041075198120 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 10000.00000000 PA 12899.22000000 0.012532307572 Long DBT NUSS RO N 2 2049-04-03 Fixed 4.62500000 N N N N N N CELLNEX FINANCE CO SA 549300OUROMFTRFA7T23 000000000 100000.00000000 PA 108479.78000000 0.105394122148 Long DBT CORP ES N 2 2029-01-15 Fixed 1.25000000 N N N N N N AMDOCS LTD 549300HQV672RJ7RQV66 02342TAE9 50000.00000000 PA USD 49731.19000000 0.048316608988 Long DBT CORP GG N 2 2030-06-15 Fixed 2.53800000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAG0 25000.00000000 PA USD 26406.43000000 0.025655311145 Long DBT CORP US N 2 2024-01-25 Fixed 4.03000000 N N N N N N Cathedral Lake LTD N/A 14919LAG9 300000.00000000 PA USD 299376.30000000 0.290860677728 Long ABS-CBDO CORP KY N 2 2034-04-25 Floating 2.07388000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 336.28000000 0.000326714668 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 1067.57000000 CAD 0.00000000 CAD 720000.00000000 CAD -731.29000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKA6 110000.00000000 PA USD 108023.66000000 0.104950976274 Long DBT CORP US N 2 2032-07-21 Fixed 2.29900000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2D5 200000.00000000 PA USD 210283.43000000 0.204302013769 Long DBT CORP FR N 2 2025-01-09 Fixed 3.37500000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PAQ1 25000.00000000 PA USD 27104.71000000 0.026333728889 Long DBT CORP US N 2 2026-12-06 Fixed 3.70000000 N N N N N N PRINCIPAL FINANCIAL GROU CUMYEZJOAF02RYZ1JJ85 74251VAM4 50000.00000000 PA USD 52832.55000000 0.051329752218 Long DBT CORP US N 2 2026-11-15 Fixed 3.10000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFW9 90000.00000000 PA USD 85354.75000000 0.082926873076 Long DBT CORP US N 2 2056-10-30 Fixed 2.98700000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05578QAF0 250000.00000000 PA USD 250065.95000000 0.242952938137 Long DBT CORP FR N 2 2032-10-19 Fixed 3.11600000 N N N N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 26078JAB6 25000.00000000 PA USD 26436.39000000 0.025684418947 Long DBT CORP US N 2 2023-11-15 Fixed 4.20500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JZN2 50000.00000000 PA USD 54984.21000000 0.053420209231 Long DBT CORP US N 2 2027-04-23 Fixed 3.95000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36208T4W7 1918.17000000 PA USD 2061.20000000 0.002002570106 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BY36 1137.47000000 PA USD 1161.74000000 0.001128694835 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417UP41 0.02620000 PA USD 0.03000000 0.000000029146 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.50000000 N N N N N N SAN JOSE CA FING AUTH LEASE RE N/A 798153NJ7 25000.00000000 PA USD 24737.51000000 0.024033862813 Long DBT MUN US N 2 2029-06-01 Fixed 1.81200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FU63 78424.33440000 PA USD 83446.55000000 0.081072950955 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N CBAM CLO Management 25490038OT2B8HTRW786 12481QAC9 525000.00000000 PA USD 525006.83000000 0.510073250239 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 1.14225000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXBH2 1857.65540000 PA USD 2087.68000000 0.002028296894 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAZ9 25000.00000000 PA USD 26950.43000000 0.026183837314 Long DBT CORP US N 2 2025-07-13 Fixed 4.30000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBN1 25000.00000000 PA USD 26316.85000000 0.025568279208 Long DBT CORP US N 2 2030-09-15 Fixed 3.80000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBV9 25000.00000000 PA USD 34577.76000000 0.033594211391 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N CUBESMART LP 549300MPHKO3I3FJRA97 22966RAC0 45000.00000000 PA USD 48413.86000000 0.047036749839 Long DBT CORP US N 2 2025-11-15 Fixed 4.00000000 N N N N N N DOLP Trust N/A 23345LAA7 200000.00000000 PA USD 208053.77000000 0.202135775430 Long ABS-MBS CORP US N 2 2041-05-10 Fixed 2.95600000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAD5 125000.00000000 PA USD 131478.08000000 0.127738245997 Long DBT CORP US N 2 2026-10-01 Fixed 2.65000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BM1 200000.00000000 PA USD 200289.29000000 0.194592152522 Long DBT CORP GB N 2 2023-01-20 Fixed 4.24700000 N N N N N N HUNTSMAN INTERNATIONAL L 3YTEJFW18LGIUQ2N5J61 44701QBE1 25000.00000000 PA USD 27703.80000000 0.026915778048 Long DBT CORP US N 2 2029-05-01 Fixed 4.50000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CW3 100000.00000000 PA USD 102125.00000000 0.099220100966 Long DBT CORP US N 2 2024-08-15 Fixed 2.90000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDQ1 1080000.00000000 PA USD 1079240.63000000 1.048542122652 Long DBT UST US N 1 2026-12-31 Fixed 1.25000000 N N N N N N AMERICAN HOMES 4 RENT 549300N4PXZ37U8QKI55 02666TAC1 30000.00000000 PA USD 29490.24000000 0.028651403577 Long DBT CORP US N 2 2031-07-15 Fixed 2.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022614 1000000.00000000 PA USD 1024720.00000000 0.995572307099 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 2.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -9867.45000000 -0.00958677488 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -192824.39000000 USD 1653000.00000000 SEK 2022-01-20 -9867.45000000 N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBW9 70000.00000000 PA USD 69473.22000000 0.067497085952 Long DBT CORP US N 2 2028-06-15 Fixed 1.90000000 N N N N N N ADOBE INC FU4LY2G4933NH2E1CP29 00724PAC3 50000.00000000 PA USD 51397.02000000 0.049935055214 Long DBT CORP US N 2 2027-02-01 Fixed 2.15000000 N N N N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664CU3 75000.00000000 PA USD 74418.17000000 0.072301379105 Long DBT CORP US N 2 2030-03-12 Fixed 1.85000000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 000000000 2600000.00000000 NC 1720.55000000 0.001671609740 N/A DIR CORP GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Call Purchased MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP GB 2023-11-16 0.00000000 USD 0.00000000 USD 0.00000000 GBP 1.00000000 USD 0.54400000 GBP 2022-11-16 XXXX -4392.19000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VER1 145000.00000000 PA USD 164911.55000000 0.160220716196 Long DBT CORP US N 2 2028-09-21 Fixed 4.32900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179RQ36 85497.74620000 PA USD 92161.47000000 0.089539979031 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 4.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAC7 75000.00000000 PA USD 78317.62000000 0.076089911029 Long DBT CORP US N 2 2023-09-15 Fixed 4.20000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AB3 75000.00000000 PA USD 78187.50000000 0.075963492233 Long DBT CORP US N 2 2025-02-01 Variable 4.35000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 18021.64000000 0.017509022672 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-03-16 12333.73000000 GBP 0.00000000 GBP 480000.00000000 GBP 5687.91000000 N N N DELL INT LLC / EMC CORP N/A 24703TAC0 75000.00000000 PA USD 85071.56000000 0.082651738287 Long DBT CORP US N 2 2025-07-15 Fixed 5.85000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBP5 900000.00000000 PA USD 887273.44000000 0.862035351792 Long DBT UST US N 1 2028-02-29 Fixed 1.12500000 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CS8 25000.00000000 PA USD 25711.54000000 0.024980186974 Long DBT CORP US N 2 2030-04-01 Fixed 2.60000000 N N N N N N HOUSTON TX ARPT SYS REVENUE N/A 442349ER3 30000.00000000 PA USD 30117.32000000 0.029260646572 Long DBT MUN US N 2 2029-07-01 Fixed 2.23500000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCK8 100000.00000000 PA USD 128814.97000000 0.125150886946 Long DBT CORP US N 2 2046-08-21 Fixed 4.86200000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFH7 65000.00000000 PA USD 69651.66000000 0.067670450307 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAH6 75000.00000000 PA USD 73668.35000000 0.071572887393 Long DBT CORP GB N 2 2025-09-02 Fixed 1.20000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBG5 9070000.00000000 PA USD 9038821.88000000 8.781716715327 Long DBT UST US N 1 2023-01-31 Fixed 0.12500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SK5 2930000.00000000 PA USD 3222084.38000000 3.130433659794 Long DBT UST US N 1 2049-11-15 Fixed 2.37500000 N N N N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NAW1 45000.00000000 PA USD 45406.11000000 0.044114553916 Long DBT CORP US N 2 2022-06-01 Fixed 3.49700000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFR0 25000.00000000 PA USD 30351.44000000 0.029488107136 Long DBT CORP US N 2 2050-04-01 Fixed 4.20000000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAJ6 75000.00000000 PA USD 85218.75000000 0.082794741534 Long DBT CORP BM N 2 2029-05-01 Fixed 4.25000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDG1 25000.00000000 PA USD 26628.40000000 0.025870967310 Long DBT CORP US N 2 2030-04-01 Fixed 3.37500000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BG8 25000.00000000 PA USD 27747.02000000 0.026957768674 Long DBT CORP US N 2 2027-08-15 Fixed 3.95000000 N N N N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 015271AP4 25000.00000000 PA USD 27118.18000000 0.026346815741 Long DBT CORP US N 2 2026-04-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GL20 53203.68910000 PA USD 56710.56000000 0.055097453993 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MKQH2 10200.52160000 PA USD 10872.88000000 0.010563605888 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DY0 100000.00000000 PA USD 95000.81000000 0.092298555300 Long DBT CORP US N 2 2030-10-15 Fixed 1.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36208XGA3 676.11000000 PA USD 691.08000000 0.000671422544 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -8254.20000000 -0.00801941304 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -927476.36000000 EUR 1048512.02000000 USD 2022-02-10 -8254.20000000 N N N SAN FRANCISCO CA MUNI TRANSPRT N/A 797686EQ1 30000.00000000 PA USD 29241.98000000 0.028410205219 Long DBT MUN US N 2 2028-03-01 Fixed 1.30200000 N N N N N N HalseyPoint CLO 3, Ltd. N/A 40638UAA7 250000.00000000 PA USD 250514.00000000 0.243388243559 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 1.57850000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC 8155.48000000 0.007923501092 N/A DIR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 Y 2028-08-22 0.00000000 CAD -343.11000000 CAD 650000.00000000 CAD 8498.59000000 N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAT7 75000.00000000 PA USD 78387.29000000 0.076157599297 Long DBT CORP US N 2 2024-05-15 Fixed 3.37500000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GQ0 50000.00000000 PA USD 55839.42000000 0.054251093173 Long DBT CORP US N 2 2029-03-01 Fixed 4.20000000 N N N N N N WALGREENS BOOTS ALLIANCE 549300RPTUOIXG4LIH86 931427AT5 41000.00000000 PA USD 46005.94000000 0.044697322025 Long DBT CORP US N 2 2050-04-15 Fixed 4.10000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBU4 720000.00000000 PA USD 716484.38000000 0.696104308686 Long DBT UST US N 1 2023-03-31 Fixed 0.12500000 N N N N N N JDE PEET'S NV 724500EHG519SE5ZRT89 47216QAB9 150000.00000000 PA USD 144764.65000000 0.140646885575 Long DBT CORP NL N 2 2027-01-15 Fixed 1.37500000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC USD -112.79000000 -0.00010958173 N/A DCR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 RUSSIAN FEDERATION Russian Foreign Bond - Eurobond Y Default Event 2026-12-21 65.40000000 USD 0.00000000 USD -10000.00000000 USD -178.19000000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TBA3 75000.00000000 PA USD 72537.81000000 0.070474505087 Long DBT CORP US N 2 2031-12-15 Fixed 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9JB0 417429.47600000 PA USD 448530.35000000 0.435772108823 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N ENTERGY CORP CP 1/12/22 N/A 000000000 300000.00000000 PA USD 299985.00000000 0.291452063534 Long DBT CORP US N 2 2022-01-12 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WN5M7 18934.22670000 PA USD 20182.26000000 0.019608184821 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N BX Trust N/A 05608RAG0 150000.00000000 PA USD 149681.40000000 0.145423780864 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.75600000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348BJ4 50000.00000000 PA USD 52671.53000000 0.051173312359 Long DBT CORP US N 2 2029-08-15 Fixed 2.95000000 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAD2 25000.00000000 PA USD 32673.86000000 0.031744466958 Long DBT CORP US N 2 2048-05-25 Fixed 5.08500000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833BZ2 325000.00000000 PA USD 339486.41000000 0.329829873948 Long DBT CORP US N 2 2026-08-04 Fixed 2.45000000 N N N N N N REGENCY CENTERS LP 5493008PTR2GAOYBXW28 75884RAZ6 100000.00000000 PA USD 103727.13000000 0.100776659109 Long DBT CORP US N 2 2029-09-15 Fixed 2.95000000 N N N N N N Cantor Commercial Real Estate N/A 12529TAX1 100000.00000000 PA USD 105745.50000000 0.102737617495 Long ABS-MBS CORP US N 2 2053-01-15 Fixed 3.00550000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGH1 275000.00000000 PA USD 275839.74000000 0.267993604439 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AB1 25000.00000000 PA USD 26997.39000000 0.026229461558 Long DBT CORP US N 2 2030-04-01 Fixed 3.20000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 25000.00000000 PA USD 25130.96000000 0.024416121308 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QBE2 95000.00000000 PA USD 102165.59000000 0.099259536402 Long DBT CORP US N 2 2027-05-15 Fixed 3.49000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAH3 400000.00000000 PA USD 410825.00000000 0.399139270302 Long DBT NUSS MX N 2 2030-04-16 Fixed 3.25000000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC USD -2365.88000000 -0.00229858362 N/A DCR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 ITRAXX.EX.JP.IG.35.5Y.V1 ITRAXX.EX.JP.IG.35.5Y.V1 Y Default Event 2026-06-20 0.00000000 USD -875.14000000 USD 170000.00000000 USD -1490.74000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBL8 200000.00000000 PA USD 206164.76000000 0.200300497458 Long DBT CORP GB N 2 2026-05-07 Fixed 2.85200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36207WS70 852.60000000 PA USD 876.33000000 0.000851403192 Long ABS-MBS USGA US N 2 2027-03-15 Fixed 7.00000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130A0F70 100000.00000000 PA USD 104904.17000000 0.101920218743 Long DBT USGSE US N 2 2023-12-08 Fixed 3.37500000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGJ7 125000.00000000 PA USD 126270.78000000 0.122679065270 Long DBT CORP US N 2 2031-03-21 Fixed 2.55000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBE7 25000.00000000 PA USD 26336.99000000 0.025587846334 Long DBT CORP US N 2 2029-08-01 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPK94 315958.84130000 PA USD 349891.65000000 0.339939141643 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 4.50000000 N N N N N N Cathedral Lake LTD N/A 14919GAG0 200000.00000000 PA USD 198035.00000000 0.192401984772 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 2.72388000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 9882.99000000 0.009601872858 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -419030.83000000 GBP 577036.04000000 USD 2022-01-21 9882.99000000 N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162BY5 70000.00000000 PA USD 73693.33000000 0.071597156848 Long DBT CORP US N 2 2025-05-01 Fixed 3.12500000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BS1 50000.00000000 PA USD 50202.88000000 0.048774881982 Long DBT CORP US N 2 2032-04-15 Fixed 2.70300000 N N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 90265EAU4 100000.00000000 PA USD 92624.00000000 0.089989352577 Long DBT CORP US N 2 2033-03-15 Fixed 1.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DC83 0.00120000 PA USD 0.00000000 0.000000 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.50000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAW5 225000.00000000 PA USD 228373.79000000 0.221877801732 Long DBT CORP IE N 2 2028-10-29 Fixed 3.00000000 N N N N N N HUNTSMAN INTERNATIONAL L 3YTEJFW18LGIUQ2N5J61 44701QBF8 25000.00000000 PA USD 25281.25000000 0.024562136377 Long DBT CORP US N 2 2031-06-15 Fixed 2.95000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F042616 1000000.00000000 PA USD 1071700.00000000 1.041215982432 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 4.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 4714.15000000 0.004580058153 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-03-16 7366.81000000 CAD 0.00000000 CAD 1050000.00000000 CAD -2652.66000000 N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081ET6 75000.00000000 PA USD 82709.73000000 0.080357089464 Long DBT CORP US N 2 2029-03-15 Fixed 3.45000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAJ0 85000.00000000 PA USD 87581.09000000 0.085089885851 Long DBT CORP US N 2 2023-07-15 Fixed 3.15000000 N N N N N N DOLLAR TREE INC 549300PMSTQITB1WHR43 256746AH1 50000.00000000 PA USD 55822.03000000 0.054234197823 Long DBT CORP US N 2 2028-05-15 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EP2E3 38829.17450000 PA USD 43047.82000000 0.041823344399 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 4.50000000 N N N N N N Elmwood CLO IV Ltd N/A 29002GAB7 600000.00000000 PA USD 600330.00000000 0.583253887033 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 1.36375000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAE3 5000.00000000 PA USD 6253.12000000 0.006075252854 Long DBT CORP US N 2 2048-06-15 Fixed 6.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CJ6 200000.00000000 PA USD 198610.79000000 0.192961396688 Long DBT CORP GB N 2 2026-04-18 Fixed 1.64500000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AZ3 100000.00000000 PA USD 94322.57000000 0.091639607528 Long DBT CORP US N 2 2032-02-15 Fixed 1.75000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBC3 75000.00000000 PA USD 72376.56000000 0.070317841770 Long DBT CORP US N 2 2030-06-15 Fixed 2.10000000 N N N N N N Venture CDO Ltd 549300VI1BOFEK7C6D74 92332TAB8 275000.00000000 PA USD 275079.20000000 0.267254697653 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 1.40375000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 000000000 110000.00000000 PA 116468.64000000 0.113155742670 Long DBT NUSS MX N 2 2033-10-25 Fixed 1.45000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CK6 75000.00000000 PA USD 78369.87000000 0.076140674801 Long DBT CORP US N 2 2024-06-15 Fixed 3.75000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCA5 125000.00000000 PA USD 143288.17000000 0.139212403375 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -11948.23000000 -0.01160836804 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2052-03-16 0.00000000 USD -15106.94000000 USD 170000.00000000 USD 3158.71000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 19.00000000 NC USD 2924.98000000 0.002841780278 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 2022-03-22 3723450.02000000 USD 2924.98000000 N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAF8 25000.00000000 PA USD 26186.37000000 0.025441510652 Long DBT CORP KY N 2 2024-07-01 Fixed 3.95000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -599.88000000 -0.00058281668 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2033-12-18 958.63000000 CAD 0.00000000 CAD 190000.00000000 CAD -1558.51000000 N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC 7530.42000000 0.007316220638 N/A DIR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 Y 2031-10-14 2656.38000000 CAD 0.00000000 CAD 570000.00000000 CAD 4874.04000000 N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AT7 25000.00000000 PA USD 30874.85000000 0.029996628977 Long DBT CORP US N 2 2050-06-01 Fixed 4.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JH1 25000.00000000 PA USD 23262.01000000 0.022600332738 Long DBT CORP US N 2 2040-08-01 Fixed 3.30000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAY2 50000.00000000 PA USD 52666.75000000 0.051168668323 Long DBT CORP US N 2 2024-12-05 Fixed 4.02300000 N N N N N N NATIONAL RETAIL PROP INC 5493008JKH5SOTI0JS97 637417AG1 35000.00000000 PA USD 36991.10000000 0.035938905036 Long DBT CORP US N 2 2024-06-15 Fixed 3.90000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 25.00000000 NC USD 25521.51000000 0.024795562291 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 2022-03-22 3233072.24000000 USD 25521.51000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BY28 1729.81000000 PA USD 1763.85000000 0.001713678091 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 5.50000000 N N N N N N DH EUROPE FINANCE II 222100KDGL314CKTZ511 23291KAH8 25000.00000000 PA USD 25808.74000000 0.025074622165 Long DBT CORP LU N 2 2029-11-15 Fixed 2.60000000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAA8 220000.00000000 PA USD 235950.00000000 0.229238509895 Long DBT NUSS AE N 2 2027-10-11 Fixed 3.12500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 5373.57000000 0.005220721252 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 5043.43000000 CHF 0.00000000 CHF 350000.00000000 CHF 330.14000000 N N N MARS INC 54930073HKEO6GZBSS03 571676AA3 25000.00000000 PA USD 26003.49000000 0.025263832590 Long DBT CORP US N 2 2025-04-01 Fixed 2.70000000 N N N N N N ENTERGY CORP 4XM3TW50JULSLG8BNC79 29364GAJ2 45000.00000000 PA USD 47072.47000000 0.045733515066 Long DBT CORP US N 2 2026-09-01 Fixed 2.95000000 N N N N N N Freddie Mac - STACR N/A 35566AAH2 25504.75000000 PA USD 25703.91000000 0.024972774006 Long ABS-MBS CORP US N 2 2050-10-25 Floating 2.84967000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 100000.00000000 PA USD 104397.07000000 0.101427542972 Long DBT CORP US N 2 2033-04-15 Fixed 3.41900000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBY6 25000.00000000 PA USD 26877.41000000 0.026112894334 Long DBT CORP US N 2 2027-02-01 Fixed 3.30000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468J1 75000.00000000 PA USD 77309.85000000 0.075110806587 Long DBT CORP US N 2 2025-07-22 Fixed 2.72000000 N N N N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NAX9 50000.00000000 PA USD 55717.72000000 0.054132854874 Long DBT CORP US N 2 2030-04-15 Fixed 4.05000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JG3 50000.00000000 PA USD 47633.11000000 0.046278207917 Long DBT CORP US N 2 2031-02-01 Fixed 2.50000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AL1 100000.00000000 PA USD 98776.00000000 0.095966361743 Long DBT CORP US N 2 2030-03-01 Fixed 2.65000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128285M8 1440000.00000000 PA USD 1601100.00000000 1.555557440956 Long DBT UST US N 1 2028-11-15 Fixed 3.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HEAL6 13989.89000000 PA USD 15221.22000000 0.014788259341 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC -40.31000000 -0.00003916340 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-03-16 10637.50000000 SEK 0.00000000 SEK 6040000.00000000 SEK -10677.81000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179NLE6 220294.52430000 PA USD 238015.08000000 0.231244849636 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 4.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AR2 250000.00000000 PA USD 275311.55000000 0.267480438563 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BW1 25000.00000000 PA USD 28222.60000000 0.027419821018 Long DBT CORP US N 2 2028-12-06 Fixed 3.90000000 N N N N N N 3650R Commercial Mortgage Trus N/A 88581EAH4 150000.00000000 PA USD 152444.84000000 0.148108616074 Long ABS-MBS CORP US N 2 2054-11-15 Fixed 2.77800000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBN0 45000.00000000 PA USD 48019.07000000 0.046653189461 Long DBT CORP US N 2 2025-08-15 Fixed 3.37500000 N N N N N N Arbor Realty Collateralized Lo N/A 03879XAA7 200000.00000000 PA USD 199937.44000000 0.194250310734 Long ABS-CBDO CORP KY N 2 2028-06-15 Floating 1.25975000 N N N N N N BAXTER INTERNATIONAL INC J5OIVXX3P24RJRW5CK77 071813CM9 100000.00000000 PA USD 100798.78000000 0.097931604689 Long DBT CORP US N 2 2028-12-01 Fixed 2.27200000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC USD 13903.35000000 0.013507875552 N/A DCR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 CDX.NA.IG.35.V1 CDX.NA.IG.35.V1 Y Default Event 2025-12-20 0.00000000 USD 0.00000000 USD -575000.00000000 USD 13903.35000000 N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAH4 100000.00000000 PA USD 102085.33000000 0.099181559361 Long DBT CORP KY N 2 2025-02-15 Fixed 2.87500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 8972.64000000 0.008717417348 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2024-03-16 6723.95000000 USD 0.00000000 USD 720000.00000000 USD 2248.69000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GAX4 97163.06280000 PA USD 103567.47000000 0.100621540565 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F030611 2000000.00000000 PA USD 2072734.40000000 2.013776415617 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N HEALTHCARE REALTY TRUST 549300CB86LH2IOKHH22 421946AM6 25000.00000000 PA USD 24055.85000000 0.023371592321 Long DBT CORP US N 2 2031-03-15 Fixed 2.05000000 N N N N N N CFIP CLO LTD 549300NTT3VNL25G1526 12529QAG4 300000.00000000 PA USD 299760.30000000 0.291233755023 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 2.51395000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CL2 50000.00000000 PA USD 50344.84000000 0.048912803994 Long DBT CORP US N 2 2030-03-15 Fixed 2.40000000 N N N N N N ROPER TECHNOLOGIES INC 54930003T4SXCIWVXY35 776743AF3 50000.00000000 PA USD 56165.18000000 0.054567587078 Long DBT CORP US N 2 2028-09-15 Fixed 4.20000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UGE6 511094.24970000 PA USD 546508.94000000 0.530963742530 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N Fannie Mae - CAS N/A 20754RAB2 44000.00000000 PA USD 44074.00000000 0.042820335177 Long ABS-MBS CORP US N 2 2041-10-25 Floating 1.59967000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BF2 15000.00000000 PA USD 17620.46000000 0.017119254054 Long DBT CORP US N 2 2037-08-22 Fixed 3.87500000 N N N N N N DENTSPLY SIRONA INC 9NHEHR1SOZCYXDO8HO28 24906PAA7 50000.00000000 PA USD 52793.58000000 0.051291890702 Long DBT CORP US N 2 2030-06-01 Fixed 3.25000000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC USD 2866.70000000 0.002785158026 N/A DCR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC COMPANY Y Default Event 2026-06-20 0.00000000 USD 0.00000000 USD -175000.00000000 USD 2866.70000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V7F1 0.00600000 PA USD 0.01000000 0.000000009715 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 3.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17308CC53 75000.00000000 PA USD 77930.61000000 0.075713909352 Long DBT CORP US N 2 2030-11-05 Fixed 2.97600000 N N N N N N TRACTOR SUPPLY CO 549300OJ9VZHZRO6I137 892356AA4 50000.00000000 PA USD 46979.60000000 0.045643286711 Long DBT CORP US N 2 2030-11-01 Fixed 1.75000000 N N N N N N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 000000000 1.00000000 NC -1539.03000000 -0.00149525299 N/A DIR CORP US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 Y 2022-12-15 0.00000000 NZD -661.94000000 NZD 600000.00000000 NZD -877.09000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 10.00000000 NC USD -1668.87000000 -0.00162139975 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 2022-03-31 1210575.12000000 USD -1668.87000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGL8 50000.00000000 PA USD 55889.69000000 0.054299933266 Long DBT CORP US N 2 2027-07-22 Fixed 4.30000000 N N N N N N INVITATION HOMES OP 549300147YMUQB3GW319 46188BAB8 75000.00000000 PA USD 74244.64000000 0.072132785087 Long DBT CORP US N 2 2028-11-15 Fixed 2.30000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AM8 75000.00000000 PA USD 83297.35000000 0.080927994881 Long DBT CORP US N 2 2025-03-01 Fixed 5.62500000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AU7 200000.00000000 PA USD 197758.55000000 0.192133398266 Long DBT CORP NL N 2 2026-07-01 Fixed 1.40000000 N N N N N N STEEL DYNAMICS INC 549300HGGKEL4FYTTQ83 858119BN9 50000.00000000 PA USD 49021.42000000 0.047627028072 Long DBT CORP US N 2 2027-10-15 Fixed 1.65000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAV7 250000.00000000 PA USD 251876.63000000 0.244712114171 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N CANADIAN PACIFIC RAILWAY 54930036474DURYNB481 13645RBF0 50000.00000000 PA USD 50888.40000000 0.049440902678 Long DBT CORP CA N 2 2031-12-02 Fixed 2.45000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKC2 100000.00000000 PA USD 96786.14000000 0.094033102403 Long DBT CORP US N 2 2036-09-21 Fixed 2.48200000 N N N N N N DH EUROPE FINANCE II 222100KDGL314CKTZ511 23291KAG0 75000.00000000 PA USD 76694.15000000 0.074512619892 Long DBT CORP LU N 2 2024-11-15 Fixed 2.20000000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AU4 75000.00000000 PA USD 77188.58000000 0.074992986056 Long DBT CORP US N 2 2024-08-15 Fixed 2.50000000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773CY4 30000.00000000 PA USD 30789.93000000 0.029914124488 Long DBT CORP US N 2 2025-01-28 Fixed 2.37500000 N N N N N N Fannie Mae or Freddie Mac N/A 01F020612 2000000.00000000 PA USD 1995187.60000000 1.938435398965 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AR9 25000.00000000 PA USD 28021.18000000 0.027224130318 Long DBT CORP US N 2 2028-10-01 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ABDT7 18497.10600000 PA USD 21885.85000000 0.021263316981 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 7.00000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AQ3 175000.00000000 PA USD 203760.95000000 0.197965062737 Long DBT CORP US N 2 2029-01-23 Fixed 4.75000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 36.00000000 NC USD -8166.34000000 -0.00793405218 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 2022-03-31 7860947.59000000 USD -8166.34000000 N N N ENEL FINANCE CP 2/16/22 N/A 000000000 500000.00000000 PA USD 499805.00000000 0.485588274796 Long DBT CORP US N 2 2022-02-16 None 0.00000000 N N N N N N PORT OF OAKLAND CA N/A 735000TT8 25000.00000000 PA USD 24836.87000000 0.024130396563 Long DBT MUN US N 2 2031-05-01 Fixed 2.19900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UH62 63875.98070000 PA USD 68292.08000000 0.066349542940 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417MFB4 5088.78000000 PA USD 5588.43000000 0.005429469658 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 125000.00000000 PA USD 125626.11000000 0.122052732614 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128286H8 3030000.00000000 PA USD 3043729.69000000 2.957152187582 Long DBT UST US N 1 2022-03-15 Fixed 2.37500000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 200000.00000000 PA USD 240117.73000000 0.233287690716 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MY35 15531.19000000 PA USD 16922.29000000 0.016440943181 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 7.00000000 N N N N N N ECMC Group Student Loan Trust N/A 26827XAA1 0.00650000 PA USD 0.01000000 0.000000009715 Long ABS-O CORP US N 2 2066-07-26 Floating 1.45275000 N N N N N N Countrywide Alternative Loan T N/A 12667GY98 49850.54000000 PA USD 48071.21000000 0.046703846362 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.58203000 N N N N N N TUCSON AZ COPS N/A 898735UQ6 25000.00000000 PA USD 24557.02000000 0.023858506769 Long DBT MUN US N 2 2031-07-01 Fixed 1.93200000 N N N N N N 2022-02-23 Goldman Sachs Variable Insurance Trust Peter Fortner Peter Fortner Vice President Assistant Treasurer