NPORT-P false 0000863520 XXXXXXXX S000012738 C000066992 C000113714 C000034299 C000113713 C000113715 C000034298 C000139590 Western Asset Funds Inc 811-06110 0000863520 5493004NC00X8WKL1P34 620 Eighth Avenue 47th Floor New York 10018 1-877-721-1926 Western Asset Total Return Unconstrained Fund S000012738 549300TRHXU9STZER182 2021-05-31 2021-02-26 N 1006065448.41 54517586.70 951547861.71 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 5767831.70000000 3806441.41000000 0.00000000 35401423.22000000 USD N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAVL5 99521.89000000 PA USD 101145.36000000 0.010629560957 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCA5 2440000.00000000 PA USD 2805918.63000000 0.294879400491 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BV1 220000.00000000 PA USD 276240.16000000 0.029030611187 Long DBT CORP US N 2 2044-06-24 Fixed 5.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SQV2 118917.68000000 PA USD 125920.78000000 0.013233257628 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXWP8 79860.47000000 PA USD 89908.59000000 0.009448667126 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A45 246000.00000000 PA USD 260606.25000000 0.027387613433 Long DBT CORP US N 2 2027-01-09 Fixed 4.27100000 N N N N N N Whitehorse Ltd N/A 96525YAJ8 2260000.00000000 PA USD 2199169.84000000 0.231114999937 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 3.89125000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 293791AF6 500000.00000000 PA USD 691545.80000000 0.072675881879 Long DBT CORP US N 2 2033-03-01 Fixed 6.87500000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 8500000.00000000 NC USD 51908.15000000 0.005455127596 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A MXN 2021-04-30 8500000.00000000 USD 19.91000000 USD 2021-04-30 XXXX -80139.35000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397WW9 200000.00000000 PA USD 206281.00000000 0.021678468136 Long DBT CORP US N 2 2024-09-08 Fixed 3.66400000 N N N N N N ZAXBY'S OPERATING CO LP 549300M5VMOK30PH8L05 000000000 2490000.00000000 PA USD 2511269.58000000 0.263914163548 Long LON CORP US N 2 2027-12-28 Floating 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828ZL7 140000.00000000 PA USD 139026.56000000 0.014610569325 Long DBT UST US N 2 2025-04-30 Fixed 0.37500000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 374422AD5 1630000.00000000 PA USD 2135202.20000000 0.224392517278 Long DBT NUSS GH N 2 2030-10-14 Fixed 10.75000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 21809.26000000 0.002291977196 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -8808613.85000000 MXN 440384.45000000 USD 2021-04-19 21809.26000000 N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAM5 40000.00000000 PA USD 43806.00000000 0.004603657026 Long DBT CORP US N 2 2028-06-15 Fixed 5.87500000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCJ0 530000.00000000 PA USD 545078.50000000 0.057283350836 Long DBT CORP US N 2 2032-05-01 Fixed 4.50000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AJ8 980000.00000000 PA USD 1061908.40000000 0.111598001816 Long DBT CORP CO N 2 2045-05-28 Fixed 5.87500000 N N N N N N UFC HOLDINGS LLC 549300JEOTH7UMZ3C491 90266UAJ2 1469865.33000000 PA USD 1474852.58000000 0.154995102122 Long LON CORP US N 2 2026-04-29 Floating 3.75000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AL3 280000.00000000 PA USD 315000.00000000 0.033103957528 Long DBT CORP CO N 2 2026-06-26 Fixed 5.37500000 N N N N N N PLANVIEW PARENT INC N/A 000000000 427575.76000000 PA USD 429980.87000000 0.045187518915 Long LON CORP US N 2 2027-12-18 Floating 4.75000000 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAD3 1490000.00000000 PA USD 1462062.50000000 0.153650967947 Long DBT CORP NL N 2 2023-07-21 Fixed 2.80000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -37053.39000000 -0.00389401221 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -5084644.33000000 USD 537691320.00000000 JPY 2021-04-19 -37053.39000000 N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAS6 7530000.00000000 PA USD 377441.25000000 0.039666028918 Long ABS-MBS CORP US N 2 2027-11-15 Floating 4.51225000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBG7 428000.00000000 PA USD 546151.45000000 0.057396109221 Long DBT CORP US N 2 2059-02-14 Fixed 6.20000000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BF1 1160000.00000000 PA USD 1174215.80000000 0.123400603085 Long DBT CORP US N 2 2030-01-15 Fixed 4.25000000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BA2 120000.00000000 PA USD 117481.20000000 0.012346325889 Long DBT CORP US N 2 2043-04-15 Fixed 4.75000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CR4 820000.00000000 PA USD 786851.50000000 0.082691741704 Long DBT CORP US N 2 2026-08-15 Fixed 3.20000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JU6 1008000.00000000 PA USD 1266187.16000000 0.133066050689 Long DBT CORP US N 2 2045-07-30 Fixed 4.65000000 N N N N N N RANGE RESOURCES CORP H3Y3WLYCX0BTO1TRW162 75281ABA6 1413000.00000000 PA USD 1422714.38000000 0.149515798127 Long DBT CORP US N 2 2023-03-15 Fixed 5.00000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 98030000.00000000 PA 5139394.13000000 0.540108841268 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N VOC ESCROW LTD N/A 91832VAA2 1760000.00000000 PA USD 1743130.40000000 0.183188935642 Long DBT CORP BM N 2 2028-02-15 Fixed 5.00000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 15420000.00000000 PA 212140.39000000 0.022294242731 Long DBT NUSS RU N 2 2034-05-10 Fixed 7.25000000 N N N N N N MidOcean Credit CLO 5493004MLF21SFT7F415 59801WAJ5 1000000.00000000 PA USD 996715.00000000 0.104746701674 Long ABS-CBDO CORP KY N 2 2029-07-15 Floating 4.12125000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828ZQ6 2070000.00000000 PA USD 1939412.10000000 0.203816558056 Long DBT UST US N 2 2030-05-15 Fixed 0.62500000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC 2571809.66000000 0.270276437317 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2029-07-20 247744.12000000 USD 0.00000000 USD 571730000.00000000 MXN 2324065.54000000 N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962G3P7 1040000.00000000 PA USD 1367623.91000000 0.143726234384 Long DBT CORP US N 2 2038-01-14 Fixed 5.87500000 N N N N N N AUSTRALIAN SECURITIES EXCHANGE TRADE24 N/A 000000000 -363.00000000 NC 818062.78000000 0.085971795315 N/A DIR CORP AU N 1 AUSTRALIAN SECURITIES EXCHANGE TRADE24 N/A Short AUSTRALIAN GOVERNMENT Australia Government Bond 2021-03-15 -40186669.98000000 USD 818062.78000000 N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 587480000.00000000 PA 8444784.87000000 0.887478729112 Long DBT NUSS RU N 2 2039-03-16 Fixed 7.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X66J5 285246.13000000 PA USD 313784.31000000 0.032976198321 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CX1 430000.00000000 PA USD 565689.73000000 0.059449424749 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZU5 760000.00000000 PA USD 756948.71000000 0.079549199831 Long DBT CORP US N 2 2024-10-28 Fixed 2.90000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311RAA4 1340000.00000000 PA USD 1514200.00000000 0.159130198377 Long DBT CORP US N 2 2037-09-15 Fixed 6.75000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -708.00000000 NC USD -121687.50000000 -0.01278837406 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 135.50000000 USD 2021-04-23 XXXX 31962.66000000 N N N KINDER MORGAN INC/DELAWA 549300WR7IX8XE0TBO16 28368EAE6 970000.00000000 PA USD 1397147.50000000 0.146828925398 Long DBT CORP US N 2 2032-01-15 Fixed 7.75000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 180300000.00000000 PA 2360526.19000000 0.248072249961 Long DBT NUSS RU N 2 2027-10-06 Fixed 6.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 354.00000000 NC USD 110625.00000000 0.011625794608 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 134.00000000 USD 2021-03-26 XXXX -44581.17000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 620000.00000000 PA USD 610645.69000000 0.064173933290 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N Sound Point CLO LTD N/A 83611KAG7 250000.00000000 PA USD 251206.00000000 0.026399723031 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 4.12400000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -508828.34000000 -0.05347375160 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-11-27 0.00000000 USD -25603.62000000 USD 61337000.00000000 USD -483224.72000000 N N N Freddie Mac N/A 3133A2BF6 298006.95000000 PA USD 323355.37000000 0.033982039476 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057BZ6 380000.00000000 PA USD 417135.50000000 0.043837574207 Long DBT CORP US N 2 2024-04-30 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L2CA9 99842.05000000 PA USD 103808.03000000 0.010909386083 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAH2 30000.00000000 PA USD 34938.45000000 0.003671749094 Long DBT CORP US N 2 2025-02-01 Variable 7.62500000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAF6 2610000.00000000 PA USD 2710380.60000000 0.284839124658 Long DBT CORP US N 2 2027-10-01 Fixed 3.90000000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057BN3 500000.00000000 PA USD 526112.50000000 0.055290177317 Long DBT CORP US N 2 2022-11-15 Variable 4.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UKZ4 132997.61000000 PA USD 145807.45000000 0.015323186133 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 360000.00000000 PA USD 399975.02000000 0.042034146267 Long DBT CORP N/A N 2 2028-10-20 Fixed 4.75000000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAU5 120000.00000000 PA USD 141013.32000000 0.014819361765 Long DBT CORP US N 2 2030-04-15 Fixed 4.37500000 N N N N N N CAESARS RESORT COLLECTIO 549300V3UCT773B1KR38 12769LAB5 2254190.23140000 PA USD 2236501.60000000 0.235038266596 Long LON CORP US N 2 2024-12-22 Floating 2.98810000 N N N N N N Zais Matrix CDO I 549300AH84CSK4XX3T86 98875JAL8 1300000.00000000 PA USD 1298336.00000000 0.136444634289 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 5.76968000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAV1 10000.00000000 PA USD 10994.55000000 0.001155438464 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N Carlyle Global Market Strategi 549300VC6J79YJCFU884 14315JAJ8 2740000.00000000 PA USD 2719033.52000000 0.285748476709 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 3.92400000 N N N N N N Morgan Stanley Capital I Trust N/A 61750WAZ6 81704.99000000 PA USD 55472.79000000 0.005829742489 Long ABS-MBS CORP US N 2 2043-12-15 Fixed 5.39900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419ABL0 180878.97000000 PA USD 207303.52000000 0.021785926734 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.50000000 N N N N N N MISTER CAR WASH HOLDINGS IN 549300BARUQU0U2GQE05 60646CAF4 1911343.87000000 PA USD 1888048.41000000 0.198418648811 Long LON CORP US N 2 2026-05-14 Floating 3.36510000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -15475.71000000 -0.00162637221 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -439325.14000000 USD 2380000.00000000 BRL 2021-04-19 -15475.71000000 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBT9 750000.00000000 PA USD 786701.25000000 0.082675951642 Long DBT CORP US N 2 2027-05-01 Fixed 5.12500000 N N N N N N Fannie Mae or Freddie Mac N/A 01F020646 700000.00000000 PA USD 705646.48000000 0.074157749535 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae - CAS N/A 30711XJX3 2819614.66000000 PA USD 2884315.79000000 0.303118309237 Long ABS-MBS CORP US N 2 2029-10-25 Floating 3.11763000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -132539.88000000 -0.01392887161 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -29836498.26000000 USD 37798517.00000000 CAD 2021-04-19 -132539.88000000 N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BY8 200000.00000000 PA USD 222804.45000000 0.023414949364 Long DBT CORP US N 2 2050-05-01 Fixed 4.35000000 N N N N N N CANO HEALTH LLC N/A 000000000 133587.79000000 PA USD 133859.11000000 0.014067512038 Long LON CORP US N 2 2027-11-23 Floating 5.50000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -15029.34000000 -0.00157946232 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -2552006.00000000 USD 2100000.00000000 EUR 2021-04-19 -15029.34000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 424.00000000 NC USD -289573.93000000 -0.03043188279 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long 90 DAY EURO DOLLAR TIME DEPOSIT 90 DAY EURO DOLLAR TIME DEPOSIT 2023-12-18 105134173.93000000 USD -289573.93000000 N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 24210000.00000000 NC USD 179681.21000000 0.018883044902 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 Put Purchased BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A CAD 2021-03-18 24210000.00000000 USD 1.26850000 USD 2021-03-18 XXXX -158048.29000000 N N N GLP CAPITAL LP / FIN II N/A 361841AJ8 20000.00000000 PA USD 22614.40000000 0.002376590911 Long DBT CORP US N 2 2025-06-01 Fixed 5.25000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBM3 570000.00000000 PA USD 586003.10000000 0.061584195980 Long DBT CORP US N 2 2051-04-15 Fixed 3.45200000 N N N N N N Goldentree Loan Opportunities 549300IOBSI2NBFBJX90 38123HAW4 1550000.00000000 PA USD 1553152.70000000 0.163223812747 Long ABS-CBDO CORP KY N 2 2029-10-29 Floating 3.21150000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -79010.10000000 -0.00830332379 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2047-02-15 5606.71000000 USD 0.00000000 USD -5053000.00000000 USD -84616.81000000 N N N Countrywide Alternative Loan T N/A 12667GXC2 1030577.80000000 PA USD 895947.55000000 0.094156856008 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 5.75000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 -76720000.00000000 NC USD -253077.96000000 -0.02659645091 N/A DIR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2021-09-01 0.00000000 USD 0.00000000 USD 0.00000000 USD -76720000.00000000 USD 2.50000000 USD 2021-09-01 XXXX -81933.29000000 N N N CVS PASS-THROUGH TRUST N/A 126650BP4 47199.56000000 PA USD 54676.91000000 0.005746101925 Long DBT CORP US N 2 2028-12-10 Fixed 6.03600000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 208.00000000 NC -272305.78000000 -0.02861713960 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Long BUONI POLIENNALI DEL TES Italy Buoni Poliennali Del Tesoro 2021-03-08 37766638.24000000 USD -272305.78000000 N N N GLP CAPITAL LP / FIN II N/A 361841AH2 140000.00000000 PA USD 161018.90000000 0.016921786751 Long DBT CORP US N 2 2026-04-15 Fixed 5.37500000 N N N N N N Ballyrock Ltd N/A 05875HAG8 1400000.00000000 PA USD 1400779.80000000 0.147210650810 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 3.37400000 N N N N N N Credit Suisse Mortgage Trust N/A 12649QBC7 440662.58000000 PA USD 449169.79000000 0.047204119527 Long ABS-MBS CORP US N 2 2036-08-27 Variable 2.99218000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 91300000.00000000 PA 5109641.22000000 0.536982050573 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N Greywolf CLO Ltd 5493000F00WO8WFFVM11 39809TAG2 2020000.00000000 PA USD 2026385.22000000 0.212956730979 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 4.17338000 N N N N N N JP Morgan Chase Commercial Mor N/A 46630VAL6 1166982.91000000 PA USD 576583.97000000 0.060594321442 Long ABS-MBS CORP US N 2 2049-02-12 Variable 5.89451100 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BV4 120000.00000000 PA USD 131867.70000000 0.013858230921 Long DBT CORP US N 2 2027-05-01 Fixed 3.45000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46652DAN5 2690000.00000000 PA USD 2337258.42000000 0.245626995136 Long ABS-MBS CORP US N 2 2036-12-15 Floating 4.36200000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 40228.67000000 0.004227708517 N/A DIR CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Y 2027-01-04 0.00000000 USD 0.00000000 USD 15300000.00000000 BRL 40228.67000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -18737.49000000 -0.00196915896 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2266666.00000000 USD 2860532.49000000 CAD 2021-05-10 -18737.49000000 N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAH6 1670000.00000000 PA USD 2276427.10000000 0.239234114394 Long DBT CORP KY N 2 2036-11-21 Fixed 6.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XSQ5 45033465.08000000 PA USD 652271.46000000 0.068548465741 Long ABS-MBS USGA US N 2 2055-01-16 Variable 0.40708000 N N N N N N Credit Suisse Mortgage Trust N/A 22545LAH2 3160199.89000000 PA USD 613868.83000000 0.064512659289 Long ABS-MBS CORP US N 2 2039-12-15 Fixed 5.37300000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAQ8 10000.00000000 PA USD 10075.00000000 0.001058801181 Long DBT CORP US N 2 2024-04-15 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -81459.15000000 -0.00856069918 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -5826435.78000000 USD 7464899.00000000 AUD 2021-04-19 -81459.15000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -698.00000000 NC USD 1621915.22000000 0.170450198593 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2021-06-21 -104467852.72000000 USD 1621915.22000000 N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AS9 1450000.00000000 PA USD 1583547.97000000 0.166418110293 Long DBT CORP GB N 2 2024-09-11 Fixed 3.62500000 N N N N N N ALLEN MEDIA LLC N/A 01771JAE3 3711360.35140000 PA USD 3714451.91000000 0.390358915139 Long LON CORP US N 2 2027-02-10 Floating 5.61230000 N N N N N N TEVA PHARMACEUT FIN BV 549300Q840R30TDKVK53 88165FAF9 2420000.00000000 PA USD 2444962.30000000 0.256945803609 Long DBT CORP CW N 2 2021-11-10 Fixed 3.65000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -119.00000000 NC USD -1859.38000000 -0.00019540583 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-30 0.00000000 USD 100000.00000000 125.00000000 USD 2021-03-05 XXXX 12559.81000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9QD8 157663.00000000 PA USD 174742.31000000 0.018364006376 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36241LUX2 63042.34000000 PA USD 70857.62000000 0.007446563946 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 4.50000000 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216BJ9 610000.00000000 PA USD 704869.88000000 0.074076135143 Long DBT CORP US N 2 2035-11-15 Fixed 4.85000000 N N N N N N OHA Loan Funding Ltd 25490072LQI0R2J4XC93 67109BCW2 725000.00000000 PA USD 731322.73000000 0.076856116169 Long ABS-CBDO CORP KY N 2 2032-11-15 Floating 4.19375000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1983028.17000000 0.208400254973 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-05-15 0.00000000 USD -169880.21000000 USD -50609000.00000000 USD 2152908.38000000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 000000000 1312000.00000000 PA 1712601.20000000 0.179980563134 Long DBT CORP GB N 2 N/A Fixed 4.94700000 N N N N N N Freddie Mac - STACR N/A 3137G0AB5 578258.21000000 PA USD 613182.58000000 0.064440539953 Long ABS-MBS CORP US N 2 2023-07-25 Floating 7.26763000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXV79 219658.75000000 PA USD 243641.75000000 0.025604781409 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAN9 90000.00000000 PA USD 94686.53000000 0.009950790055 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N UCFC Manufactured Housing Cont N/A 90263ABB5 1577793.69000000 PA USD 1582463.17000000 0.166304106569 Long ABS-O CORP US N 2 2029-01-15 Fixed 7.11500000 N N N N N N OZLM Ltd 5493002SZMQH8ZTTHX49 67112GAG3 800000.00000000 PA USD 788257.60000000 0.082839511465 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 3.09125000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 000000000 44960000.00000000 PA 190192.40000000 0.019987686132 Long DBT NUSS AR N 2 2023-10-17 Fixed 16.00000000 N N N N N N Lehman XS Trust N/A 525228AD4 14453.19000000 PA USD 21032.06000000 0.002210299749 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.57000000 N N N N N N FREMF Mortgage Trust N/A 30290QAE8 13052112.60000000 PA USD 24472.71000000 0.002571884293 Long ABS-MBS CORP US N 2 2045-05-25 Fixed 0.20000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AL8 710000.00000000 PA USD 734850.00000000 0.077226803776 Long DBT CORP US N 2 2048-08-15 Fixed 5.50000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 69549000000.00000000 PA 5408655.76000000 0.568406065279 Long DBT NUSS ID N 2 2029-05-15 Fixed 8.25000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A86 1860000.00000000 PA USD 1959975.00000000 0.205977552876 Long DBT CORP US N 2 2027-08-17 Fixed 4.12500000 N N N N N N Golub Capital Partners CLO Ltd 254900SGGS5FSVUNJG17 38172HAE4 950000.00000000 PA USD 956294.70000000 0.100498854390 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 4.02400000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BY0 150000.00000000 PA USD 148485.17000000 0.015604592892 Long DBT CORP US N 2 2038-03-01 Fixed 3.55000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -867.00000000 NC USD -1110843.75000000 -0.11674071212 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 133.50000000 USD 2021-03-26 XXXX -948937.41000000 N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AU4 1782450.00000000 PA USD 1499396.94000000 0.157574516252 Long DBT CORP AR N 2 2026-02-12 Variable 4.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92925CDB5 1953469.21000000 PA USD 1865611.35000000 0.196060694902 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.37839000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UKY7 292645.96000000 PA USD 317166.56000000 0.033331645497 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABS3 360000.00000000 PA USD 351450.00000000 0.036934558327 Long DBT CORP US N 2 2029-02-15 Fixed 2.62500000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZM3 1050000.00000000 PA USD 1052321.22000000 0.110590466580 Long DBT CORP US N 2 2021-04-19 Fixed 3.40000000 N N N N N N ML-CFC Commercial Mortgage Tru N/A 55312YAR3 460630.78000000 PA USD 257018.62000000 0.027010582477 Long ABS-MBS CORP US N 2 2048-08-12 Variable 5.45000000 N N N N N N GreenPoint Mortgage Funding Tr N/A 39538WHC5 53479.33000000 PA USD 63564.78000000 0.006680145325 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.34763000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -4051.16000000 -0.00042574421 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -430833.00000000 USD 9013026.36000000 MXN 2021-05-24 -4051.16000000 N N N MASTR Specialized Loan Trust N/A 57643BAA6 127978.48000000 PA USD 123894.49000000 0.013020310904 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.37763000 N N N N N N PHOENIX GUARANTOR INC N/A 71913BAE2 837292.49900000 PA USD 835408.59000000 0.087794699942 Long LON CORP US N 2 2026-03-05 Floating 3.36510000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAB2 670000.00000000 PA USD 731644.74000000 0.076889956821 Long DBT CORP US N 2 2046-06-01 Fixed 4.37500000 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAG8 2100000.00000000 PA USD 2422959.00000000 0.254633434375 Long DBT CORP US N 2 2023-08-01 Fixed 8.25000000 N N N N N N Freddie Mac - STACR N/A 3137G0SN0 1129872.56000000 PA USD 1121838.83000000 0.117896206291 Long ABS-MBS CORP US N 2 2042-12-25 Floating 2.56763000 N N N N N N Freddie Mac N/A 3132DMPV1 97080.79000000 PA USD 101001.50000000 0.010614442432 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N Marathon CLO LTD N/A 56578HAJ5 1410000.00000000 PA USD 1413713.94000000 0.148569924529 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 3.52400000 N N N N N N Hildene Community Funding CLO 549300845E8YWIPN4S43 43133KAA3 910000.00000000 PA USD 914550.00000000 0.096111823356 Long ABS-CBDO CORP KY N 2 2035-11-01 Fixed 3.25000000 N N N N N N DIGNITY HEALTH TFVG45LTYVO3XKPZWP18 254010AE1 860000.00000000 PA USD 1095007.96000000 0.115076498415 Long DBT CORP US N 2 2064-11-01 Fixed 5.26700000 N N N N N N CONTL AIRLINES 2001-1 N/A 210805DH7 3803.54000000 PA USD 3788.42000000 0.000398132364 Long DBT CORP US N 2 2021-06-15 Fixed 6.70300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WUHY2 44659.52000000 PA USD 50699.18000000 0.005328074607 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Nomura Asset Acceptance Corpor N/A 65536XAD5 76519.62000000 PA USD 55651.96000000 0.005848571810 Long ABS-MBS CORP US N 2 2036-08-25 Variable 3.05640100 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAF0 6110000.00000000 PA USD 6687058.95000000 0.702755922122 Long DBT CORP CH N 2 N/A Fixed 7.00000000 N N N N N N INDIA GOVERNMENT BOND N/A 000000000 620000000.00000000 PA 8978876.53000000 0.943607451743 Long DBT NUSS IN N 2 2026-01-11 Fixed 7.59000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SC3 19160000.00000000 PA USD 23241978.22000000 2.442544317028 Long DBT UST US N 2 2048-05-15 Fixed 3.12500000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NBD0 2030000.00000000 PA USD 2276442.00000000 0.239235680264 Long DBT CORP NL N 2 2049-03-19 Fixed 6.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EK3S2 38657.37000000 PA USD 43521.11000000 0.004573717387 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 4.00000000 N N N N N N ASURION LLC 549300KNQVXGIOXWK278 04649VAX8 880000.00000000 PA USD 878487.28000000 0.092321922559 Long LON CORP US N 2 2026-12-23 Floating 3.36760000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6C74 801003.17000000 PA USD 869668.33000000 0.091395122094 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NK51 516563.40000000 PA USD 7798.14000000 0.000819521572 Long ABS-MBS USGA US N 2 2048-02-16 Variable 0.12849000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TG33 9004.70000000 PA USD 9505.22000000 0.000998921902 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 3.00000000 N N N N N N MCAFEE LLC 549300713UKUTLV9T378 57906PAG4 1650110.86850000 PA USD 1656412.64000000 0.174075598995 Long LON CORP US N 2 2024-09-29 Floating 3.94550000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 744080AK8 1290000.00000000 PA USD 435375.00000000 0.045754398440 Long DBT NUSS AR N 2 2024-03-16 Fixed 9.12500000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAQ6 670000.00000000 PA USD 708751.15000000 0.074484025293 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397B51 200000.00000000 PA USD 197290.00000000 0.020733586605 Long DBT CORP US N 2 2028-02-16 Fixed 2.90000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 1715300000.00000000 PA 16249448.29000000 1.707685860467 Long DBT NUSS JP N 2 2024-09-10 Fixed 0.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9SV8 99516.26000000 PA USD 104076.00000000 0.010937547567 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 115450000.00000000 PA 6108276.40000000 0.641930547668 Long DBT NUSS MX N 2 2027-06-03 Fixed 7.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -182.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 161.50000000 USD 2021-02-26 XXXX 167872.64000000 N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 225313AJ4 1250000.00000000 PA USD 1514502.50000000 0.159161988686 Long DBT CORP FR N 2 N/A Fixed 8.12500000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAP4 60000.00000000 PA USD 58912.50000000 0.006191228247 Long DBT CORP CA N 2 2029-02-15 Fixed 3.50000000 N N N N N N GANNETT HOLDINGS LLC N/A 000000000 1560000.00000000 PA USD 1563900.00000000 0.164353267232 Long LON CORP US N 3 2026-02-09 Floating 7.75000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAB1 520000.00000000 PA USD 558308.40000000 0.058673706543 Long DBT CORP KY N 2 2023-08-08 Fixed 4.60000000 N N N N N N NTPC LTD 335800Q4TRGJXNLVMB81 000000000 50000000.00000000 PA 693501.36000000 0.072881395451 Long DBT CORP IN N 2 2021-11-24 Fixed 6.72000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAA8 127000.00000000 PA USD 132813.07000000 0.013957581677 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25000000 N N N N N N WYNN RESORTS FINANCE LLC N/A 98313DAC1 1809375.00000000 PA USD 1764140.63000000 0.185396941235 Long LON CORP US N 2 2024-09-20 Floating 1.86550000 N N N N N N ASPLUNDH TREE EXPERT LLC N/A 04538FAC3 179550.00000000 PA USD 179966.74000000 0.018913051801 Long LON CORP US N 2 2027-09-04 Floating 2.61510000 N N N N N N American Money Management Corp 549300LDRXVT7PCHV066 00177CAA8 1900000.00000000 PA USD 1869651.30000000 0.196485261039 Long ABS-CBDO CORP KY N 2 2029-04-17 Floating 6.03338000 N N N N N N MORONGO BAND OF MISSION N/A 617734AG3 360000.00000000 PA USD 432151.20000000 0.045415603081 Long DBT USGA US N 2 2039-10-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MKRA6 29908.46000000 PA USD 33061.37000000 0.003474483137 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3133KHLW4 346751.04000000 PA USD 372945.16000000 0.039193526149 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 4.00000000 N N N N N N LEVI STRAUSS & CO MB0UERO0RDFKU8258G77 52736RBG6 1176000.00000000 PA USD 1204665.00000000 0.126600568239 Long DBT CORP US N 2 2025-05-01 Fixed 5.00000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAV5 180000.00000000 PA USD 175883.44000000 0.018483929929 Long DBT CORP US N 2 2046-09-16 Fixed 3.87500000 N N N N N N CALIFORNIA INSTITUTE OF 549300CITPNHOTVPHC04 13034VAD6 870000.00000000 PA USD 924122.00000000 0.097117763297 Long DBT CORP US N 2 2119-09-01 Fixed 3.65000000 N N N N N N Waterfall Commercial Mortgage N/A 94132LAA5 323352.56000000 PA USD 327464.25000000 0.034413849599 Long ABS-MBS CORP US N 2 2022-09-14 Variable 4.10370000 N N N N N N ATHENAHEALTH INC 5493004JZ4RQIZBHP241 04685YAM1 1764186.86000000 PA USD 1777418.26000000 0.186792312980 Long LON CORP US N 2 2026-02-11 Floating 4.36510000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 11333330.00000000 NC USD 121205.55000000 0.012737725013 N/A DFE CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Put Purchased CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A CAD 2021-05-08 11333330.00000000 USD 1.26200000 USD 2021-05-08 XXXX -15304.41000000 N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GK31 111954.61000000 PA USD 96662.96000000 0.010158496896 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.37763000 N N N N N N WILLIS-KNIGHTON MED CTR N/A 97068LAA6 770000.00000000 PA USD 972120.46000000 0.102162014031 Long DBT CORP US N 2 2048-09-01 Fixed 4.81300000 N N N N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 1.00000000 NC USD 224717.18000000 0.023615961849 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -16970000.00000000 EUR 20725904.77000000 USD 2021-04-19 224717.18000000 N N N Freddie Mac N/A 3132JBDR1 39343.55000000 PA USD 44678.29000000 0.004695327665 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5MX8 88643.35000000 PA USD 96932.18000000 0.010186789745 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3133AF5T4 100000.00000000 PA USD 104620.88000000 0.010994810057 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N RACKSPACE TECHNOLOGY 549300QTYCKLMFSE8I97 000000000 1780000.00000000 PA USD 1782335.36000000 0.187309060502 Long LON CORP US N 2 2028-02-09 Floating 3.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -18074.41000000 -0.00189947460 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2022-06-15 0.00000000 USD -414.12000000 USD 132237000.00000000 USD -17660.29000000 N N N ENRGY TRANS PT/REG FIN N/A 75886AAL2 40000.00000000 PA USD 41535.70000000 0.004365066821 Long DBT CORP US N 2 2022-03-01 Fixed 5.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9H32 99807.28000000 PA USD 103792.08000000 0.010907709866 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAT8 200000.00000000 PA USD 253666.64000000 0.026658316434 Long DBT CORP US N 2 2050-04-15 Fixed 4.95000000 N N N N N N RANGE RESOURCES CORP H3Y3WLYCX0BTO1TRW162 75281AAU3 76000.00000000 PA USD 76712.50000000 0.008061864577 Long DBT CORP US N 2 2022-07-01 Fixed 5.87500000 N N N N N N RUSSIAN FEDERATION 5493004EHVGF71PDBU58 78307ADG5 1200000.00000000 PA USD 1319785.20000000 0.138698772085 Long DBT NUSS RU N 2 2023-09-16 Fixed 4.87500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -179.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 161.00000000 USD 2021-02-26 XXXX 178143.46000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397VU4 490000.00000000 PA USD 499040.50000000 0.052445128624 Long DBT CORP US N 2 2021-08-02 Fixed 5.87500000 N N N N N N GMAC Commercial Mortgage Secur N/A 361849R46 5399.38000000 PA USD 5254.95000000 0.000552252830 Long ABS-MBS CORP US N 2 2045-11-10 Variable 5.34900000 N N N N N N DCERT BUYER INC 549300EF826JEEUCHZ67 24022KAB5 3682224.87879400 PA USD 3689512.00000000 0.387737931896 Long LON CORP US N 2 2026-10-16 Floating 4.22340000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 1720000.00000000 PA USD 580517.20000000 0.061007672168 Long DBT NUSS AR N 2 2023-02-15 Fixed 6.50000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBR2 240000.00000000 PA USD 246480.00000000 0.025903058576 Long DBT CORP US N 2 2031-02-01 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4TQ9 52352.88000000 PA USD 57023.49000000 0.005992708543 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -2196.00000000 NC USD -1063687.50000000 -0.11178497086 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2021-06-30 0.00000000 USD 100000.00000000 124.00000000 USD 2021-03-26 XXXX -1016016.73000000 N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BX7 520000.00000000 PA USD 565540.43000000 0.059433734524 Long DBT CORP US N 2 2030-11-15 Fixed 3.50000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962G4B7 530000.00000000 PA USD 757135.84000000 0.079568865683 Long DBT CORP US N 2 2039-01-10 Fixed 6.87500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RY6 31360000.00000000 PA USD 35484575.08000000 3.729142432860 Long DBT UST US N 2 2047-08-15 Fixed 2.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAVN1 99086.06000000 PA USD 100702.31000000 0.010582999978 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SQ2 13820000.00000000 PA USD 11829056.25000000 1.243138335547 Long DBT UST US N 2 2040-08-15 Fixed 1.12500000 N N N N N N U.S. FOODSERVICE 5493000JOOFAOUY1JZ87 90351HAB4 396883.11900000 PA USD 394154.55000000 0.041422461849 Long LON CORP US N 2 2023-06-27 Floating 1.86510000 N N N N N N API GROUP DE INC 549300XP4G7B4QYA0G83 00186XAB9 886050.00000000 PA USD 887711.34000000 0.093291296814 Long LON CORP US N 2 2026-10-01 Floating 2.61510000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9XL2 362653.03000000 PA USD 401283.24000000 0.042171629630 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1761.00000000 NC USD -3466968.75000000 -0.36435043254 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 134.50000000 USD 2021-03-26 XXXX -2887765.28000000 N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DBC8 1910000.00000000 PA USD 2376727.60000000 0.249774887384 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGCG7 139324.78000000 PA USD 161930.79000000 0.017017619030 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.00000000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057CV4 60000.00000000 PA USD 70350.00000000 0.007393217181 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N BRASKEM AMERICA FINANCE 254900QMQAJ26H49CL75 000000000 1940000.00000000 PA USD 2201900.00000000 0.231401917717 Long DBT CORP US N 2 2041-07-22 Fixed 7.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WDM8 118755.82000000 PA USD 125236.86000000 0.013161383156 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N BRIGHTVIEW LANDSCAPES 549300OSAEQC89PVOW06 10801XAG2 1521000.00000000 PA USD 1524422.25000000 0.160204474345 Long LON CORP US N 2 2025-08-15 Floating 2.69370000 N N N N N N EYECARE PARTNERS LLC 254900ZAACWK09RJ8W93 30233PAB6 89452.70520000 PA USD 88222.73000000 0.009271496847 Long LON CORP US N 2 2027-02-20 Floating 3.86550000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5P0 80237.54000000 PA USD 86206.38000000 0.009059594737 Long ABS-MBS USGA US N 2 2050-03-15 Fixed 4.00000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAS8 4400000.00000000 PA USD 3466307.24000000 0.364280913181 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.37330000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AC1 1766000.00000000 PA USD 2431826.80000000 0.255565368580 Long DBT CORP US N 2 2031-11-15 Fixed 7.37500000 N N N N N N Natixis Commercial Mortgage Se N/A 63873VAL7 4530000.00000000 PA USD 4080508.49000000 0.428828507130 Long ABS-MBS CORP US N 2 2036-08-15 Variable 4.39750000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 14538.63000000 0.001527892666 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -95388360.00000000 RUB 1292000.00000000 USD 2021-03-12 14538.63000000 N N N IHEARTCOMMUNICATIONS INC 54930076J6KDZL504O62 45174UAF5 151570.57800000 PA USD 150465.33000000 0.015812691726 Long LON CORP US N 2 2026-05-01 Floating 3.11510000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1080.00000000 NC USD 25313.04000000 0.002660196193 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-30 0.00000000 USD 100000.00000000 125.50000000 USD 2021-03-26 XXXX -128352.24000000 N N N Countrywide Alternative Loan T N/A 02147GAF1 2004914.97000000 PA USD 334458.71000000 0.035148910891 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.48237000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAN8 500000.00000000 PA USD 716263.15000000 0.075273475862 Long DBT CORP US N 2 2038-07-01 Fixed 7.30000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DJ1 1000000.00000000 PA USD 1082500.00000000 0.113762012775 Long DBT CORP US N 2 2040-03-15 Fixed 6.20000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1408.00000000 NC USD -231707.66000000 -0.02435060487 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 2021-06-30 311069709.07000000 USD -231707.66000000 N N N TARGA RESOURCES PARTNERS N/A 87612BBE1 70000.00000000 PA USD 72787.05000000 0.007649331466 Long DBT CORP US N 2 2027-02-01 Fixed 5.37500000 N N N N N N BONCER 549300KPBYGYF7HCHO27 000000000 26748369.11913960 PA 185516.33000000 0.019496268917 Long DBT NUSS AR N 2 2021-08-05 Fixed 1.00000000 N N N N N N CAESARS RESORT COLLECTIO 549300V3UCT773B1KR38 12769LAD1 1127175.00000000 PA USD 1132106.39000000 0.118975243974 Long LON CORP US N 2 2025-07-20 Floating 4.61550000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020634 200000.00000000 PA USD 203007.81000000 0.021334482286 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAB6 680000.00000000 PA USD 740646.31000000 0.077835949173 Long DBT CORP KY N 2 2024-02-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BTA6 144777.07000000 PA USD 168285.46000000 0.017685443556 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHD36 500000.00000000 PA USD 523104.56000000 0.054974067101 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 2701285.74000000 0.283883328280 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2045-07-20 0.00000000 USD 0.00000000 USD -12500000.00000000 USD 2701285.74000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 60951.64000000 0.006405525402 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -34323161.00000000 ZAR 2313551.53000000 USD 2021-04-19 60951.64000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXWT0 65832.01000000 PA USD 73019.83000000 0.007673794765 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAK2 88000.00000000 PA USD 97931.27000000 0.010291786040 Long DBT CORP US N 2 2025-07-15 Fixed 3.95000000 N N N N N N REPUBLIC OF KENYA 549300VVURQQYU45PR87 491798AJ3 1430000.00000000 PA USD 1581351.20000000 0.166187247497 Long DBT NUSS KE N 2 2027-05-22 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VFS4 617394.98000000 PA USD 668347.05000000 0.070237880499 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.50000000 N N N N N N Natixis Commercial Mortgage Se N/A 63874DAA0 3660000.00000000 PA USD 3618268.68000000 0.380250833993 Long ABS-MBS CORP US N 2 2024-04-18 Floating 3.51050000 N N N N N N BBCCRE Trust N/A 05490TAJ1 3640000.00000000 PA USD 3321999.77000000 0.349115362839 Long ABS-MBS CORP US N 2 2033-08-10 Variable 4.56260000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -33554.72000000 -0.00352633024 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2565030.73000000 USD 2843721324.00000000 KRW 2021-04-19 -33554.72000000 N N N Credit Suisse Mortgage Trust N/A 12651QAU3 9800000.00000000 PA USD 6774117.70000000 0.711905094067 Long ABS-MBS CORP US N 2 2032-07-15 Floating 7.46200000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD -223003.78000000 -0.02343589733 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.35.V1 Y Default Event 2030-12-20 0.00000000 USD -146498.24000000 USD -57130000.00000000 USD -76505.54000000 N N N Symphony CLO Ltd N/A 87166DAA6 900000.00000000 PA USD 850392.00000000 0.089369335397 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 5.42338000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKP78 298975.12000000 PA USD 315155.52000000 0.033120301424 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Voya CLO Ltd N/A 92915XAD0 600000.00000000 PA USD 584534.40000000 0.061429847464 Long ABS-CBDO CORP KY N 2 2030-06-07 Floating 6.26125000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZP6 160000.00000000 PA USD 164099.56000000 0.017245539252 Long DBT CORP US N 2 2023-04-19 Fixed 3.80000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RN0 31610000.00000000 PA USD 36366317.19000000 3.821806411781 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 55509.04000000 0.005833552071 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -4422000.00000000 EUR 5392186.80000000 USD 2021-03-08 55509.04000000 N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAF0 90000.00000000 PA USD 102652.34000000 0.010787932392 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N JANE STREET GROUP LLC 5493002N1IVX6KHGYO08 47077DAG5 42283.29000000 PA USD 42212.80000000 0.004436224566 Long LON CORP US N 2 2028-01-26 Floating 2.86510000 N N N N N N 522 Funding CLO LTD 549300HKB0UTKU91DG08 33830NAA4 600000.00000000 PA USD 599998.20000000 0.063054968030 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 7.58125000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SW9 17800000.00000000 PA USD 17424531.25000000 1.831177595069 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4B94 68326.62000000 PA USD 74981.31000000 0.007879930481 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325CU7 370000.00000000 PA USD 401912.50000000 0.042237759777 Long DBT NUSS CO N 2 2045-06-15 Fixed 5.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12649QBE3 3569538.65000000 PA USD 2979045.58000000 0.313073645570 Long ABS-MBS CORP US N 2 2036-08-27 Variable 2.99218000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DPR7 64301.89000000 PA USD 70161.22000000 0.007373377926 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TSF3 105749.04000000 PA USD 110224.08000000 0.011583661152 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.00000000 N N N N N N HalseyPoint CLO I, Ltd. 549300POBLM5RW6LD816 40638CAC3 860000.00000000 PA USD 788079.06000000 0.082820748352 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 8.42400000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -148900.04000000 -0.01564819238 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -4926616.12000000 USD 100543598.00000000 MXN 2021-04-19 -148900.04000000 N N N INDIA GOVERNMENT BOND N/A 000000000 100000000.00000000 PA 1335571.61000000 0.140357796359 Long DBT NUSS IN N 2 2025-06-15 Fixed 5.22000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAS4 530000.00000000 PA USD 682110.00000000 0.071684255458 Long DBT CORP KZ N 2 2048-10-24 Fixed 6.37500000 N N N N N N POWER FINANCE CORP LTD 3358003Q6D9LIJJZ1614 000000000 100000000.00000000 PA 1403287.57000000 0.147474197196 Long DBT CORP IN N 2 2022-06-10 Fixed 7.28000000 N N N N N N JETBLUE AIRWAYS CORP 54930070J9H97ZO93T57 47714FAL8 2018101.27000000 PA USD 2086773.22000000 0.219303022367 Long LON CORP US N 2 2024-06-17 Floating 6.25000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AK5 570000.00000000 PA USD 610903.20000000 0.064200995512 Long DBT CORP CO N 2 2025-01-16 Fixed 4.12500000 N N N N N N Alterra Mountain Co 549300C5O4FSVNUEI843 46124CAB3 353620.25560000 PA USD 352603.60000000 0.037055792376 Long LON CORP US N 2 2024-07-31 Floating 2.85740000 N N N N N N Oaktree CLO Ltd 635400SBDDFQR1OHEJ54 67389YAH8 1250000.00000000 PA USD 1183116.25000000 0.124335968542 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 5.42400000 N N N N N N SEDGWICK CMS INC 549300BIN4DWJG5VWF64 81527CAL1 1737833.75240000 PA USD 1728710.13000000 0.181673481656 Long LON CORP US N 2 2025-12-31 Floating 3.48840000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAVK7 99336.54000000 PA USD 100927.37000000 0.010606651967 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N WACHOVIA CAP TRUST III 529900IS945AVTZGWM53 92978AAA0 130000.00000000 PA USD 130119.60000000 0.013674519720 Long DBT CORP US N 2 N/A Floating 5.56975000 N N N N N N CSMC 2019-RIO A N/A 12597HAA4 3680000.00000000 PA USD 3649861.90000000 0.383571026415 Long ABS-MBS CORP US N 2 2021-12-15 Fixed 4.76351100 N N N N N N TEVA PHARMACEUT FIN BV 549300Q840R30TDKVK53 88165FAG7 2170000.00000000 PA USD 2179059.75000000 0.229001591794 Long DBT CORP CW N 2 2022-12-18 Fixed 2.95000000 N N N N N N Greenwood Park CLO, Ltd N/A 39729TAA2 2000000.00000000 PA USD 1899958.00000000 0.199670250594 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.19125000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BAP7 230000.00000000 PA USD 230665.85000000 0.024241119052 Long DBT CORP US N 2 2023-11-15 Fixed 4.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKLU1 97909.55000000 PA USD 105151.99000000 0.011050625431 Long ABS-MBS USGA US N 2 2050-05-15 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3132JBDV2 69985.73000000 PA USD 78815.08000000 0.008282828764 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N ASURION LLC 549300KNQVXGIOXWK278 04649VAW0 270452.27730000 PA USD 270093.12000000 0.028384606898 Long LON CORP US N 2 2024-11-03 Floating 3.11590000 N N N N N N Freddie Mac - STACR 5493003FQV7GR462GO02 35565HBD6 2310000.00000000 PA USD 2315842.91000000 0.243376397886 Long ABS-MBS CORP US N 2 2050-01-25 Floating 2.41763000 N N N N N N PARSLEY ENERGY LLC/FINAN N/A 701885AJ4 70000.00000000 PA USD 74418.75000000 0.007820809966 Long DBT CORP US N 2 2028-02-15 Fixed 4.12500000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD -12373.32000000 -0.00130033606 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -84590000.00000000 SAR 22539902.48000000 USD 2021-04-15 -12373.32000000 N N N First Horizon Alternative Mort N/A 32051GQ57 42836.28000000 PA USD 36496.82000000 0.003835521203 Long ABS-MBS CORP US N 2 2036-02-25 Variable 2.74489200 N N N N N N CHENIERE ENERGY INC MIHC87W9WTYSYZWV1J40 16411RAJ8 280000.00000000 PA USD 291466.00000000 0.030630724078 Long DBT CORP US N 2 2028-10-15 Fixed 4.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5S4 95531.41000000 PA USD 105660.97000000 0.011104115121 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAN5 1410000.00000000 PA USD 1617931.29000000 0.170031519706 Long DBT CORP KZ N 2 2027-04-19 Fixed 4.75000000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 47853.71000000 0.005029038677 N/A DIR CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Y 2027-01-04 7957.89000000 USD 0.00000000 USD 18200000.00000000 BRL 39895.82000000 N N N DETROIT MI 549300BQRJP7MKKHOY28 251093S84 790000.00000000 PA USD 753201.80000000 0.079155429832 Long DBT MUN US N 2 2044-04-01 Variable 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CAV3 200000.00000000 PA USD 190750.00000000 0.020046285392 Long DBT UST US N 2 2030-11-15 Fixed 0.87500000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 1460000.00000000 PA USD 1615790.91000000 0.169806583044 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N LifePoint Health Inc 549300G8ZVHRTBBBSZ90 75915TAD4 1573917.93620000 PA USD 1577316.03000000 0.165763183700 Long LON CORP US N 2 2025-11-16 Floating 3.86550000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -1127.00000000 NC USD -7043.75000000 -0.00074024127 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short 90 DAY EURO DOLLAR TIME DEPOSIT 90 DAY EURO DOLLAR TIME DEPOSIT 2021-03-15 0.00000000 USD 1000000.00000000 99.62500000 USD 2021-03-15 XXXX 18764.55000000 N N N HarborView Mortgage Loan Trust N/A 41162KAA1 113966.97000000 PA USD 98107.95000000 0.010310353682 Long ABS-MBS CORP US N 2 2046-11-19 Floating 0.29100000 N N N N N N Fannie Mae N/A 3136A93P1 262098.72000000 PA USD 6460.18000000 0.000678912775 Long ABS-MBS USGSE US N 2 2039-12-25 Fixed 3.50000000 N N N N N N MICHAELS STORES INC BV4WJ23XIGNG4UDYEK73 594088AR7 279298.25000000 PA USD 279891.76000000 0.029414364874 Long LON CORP US N 2 2027-10-01 Floating 4.25000000 N N N N N N BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 000000000 1.00000000 NC 174221.16000000 0.018309237717 N/A DCR CORP FR N 2 BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 VOLKSWAGEN INTERNATIONAL FINANCE NV VOLKSWAGEN INTERNATIONAL FINANCE NV Y Default Event 2024-12-20 70286.77000000 USD 0.00000000 USD 7380000.00000000 EUR 103934.39000000 N N N Fannie Mae or Freddie Mac N/A 01F012437 1100000.00000000 PA USD 1112126.51000000 0.116875519850 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 1.50000000 N N N N N N DISH DBS CORP N/A 25470XAY1 330000.00000000 PA USD 363582.45000000 0.038209580897 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 000000000 943777.73000000 PA USD 949002.48000000 0.099732500926 Long LON CORP CA N 2 2025-05-31 Floating 3.50000000 N N N N N N Scientific Games International, Inc. RLTHESQ0RNFQJWPBJN60 80875AAP6 3376467.79710000 PA USD 3327579.92000000 0.349701791565 Long LON CORP US N 2 2024-08-14 Floating 2.85740000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -318.00000000 NC USD -178875.00000000 -0.01879831873 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 160.50000000 USD 2021-03-05 XXXX 30418.62000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 -11333330.00000000 NC USD -41302.84000000 -0.00434059511 N/A DFE CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A CAD 2021-05-08 -11333330.00000000 USD 1.23400000 USD 2021-05-08 XXXX 9300.48000000 N N N DEERFIELD DAKOTA HOLDING 549300FDREJLOIGXY104 24440EAB3 1233800.00000000 PA USD 1242832.65000000 0.130611680190 Long LON CORP US N 2 2027-04-09 Floating 4.75000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 104400000.00000000 PA 987537.13000000 0.103782181615 Long DBT NUSS JP N 2 2023-09-10 Fixed 0.10000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAC4 270000.00000000 PA USD 282501.68000000 0.029688646401 Long DBT CORP KY N 2 2023-03-15 Fixed 4.50000000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAP4 60000.00000000 PA USD 65245.48000000 0.006856773329 Long DBT CORP US N 2 2044-04-01 Fixed 5.30000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -68344.65000000 -0.00718247108 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2024-08-31 61551.42000000 USD 0.00000000 USD 16085000.00000000 USD -129896.07000000 N N N MILEAGE PLUS HLDINGS LLC N/A 599191AA1 550000.00000000 PA USD 601562.50000000 0.063219363334 Long DBT CORP US N 2 2027-06-20 Fixed 6.50000000 N N N N N N BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 000000000 1.00000000 NC -219369.75000000 -0.02305399011 N/A DCR CORP FR N 2 BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 DAIMLER AG DAIMLER AG Y Default Event 2024-12-20 0.00000000 USD -138012.79000000 USD -7380000.00000000 EUR -81356.96000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 17611718.71000000 1.850849486262 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2045-11-15 594793.14000000 USD 0.00000000 USD -76838000.00000000 USD 17016925.57000000 N N N SILVERSEA CRUISE FINANCE N/A 82845LAA8 3100000.00000000 PA USD 3214653.50000000 0.337834136290 Long DBT CORP BS N 2 2025-02-01 Fixed 7.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6QH7 184585.16000000 PA USD 204046.64000000 0.021443654934 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GXM3 79929.37000000 PA USD 88440.24000000 0.009294355392 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAA1 670000.00000000 PA USD 749239.49000000 0.078739023032 Long DBT CORP GB N 2 2024-11-04 Fixed 4.50000000 N N N N N N Countrywide Alternative Loan T N/A 12668AFX8 4607445.29000000 PA USD 623807.09000000 0.065557090200 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.98237000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -11000000.00000000 NC USD -100605.97000000 -0.01057287542 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A MXN 2021-05-21 -11000000.00000000 USD 20.00000000 USD 2021-05-21 XXXX 7854.03000000 N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687DX1 350000.00000000 PA USD 553917.69000000 0.058212278361 Long DBT CORP US N 2 2034-08-01 Fixed 8.45000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAN9 1280000.00000000 PA USD 1395840.00000000 0.146691517701 Long DBT CORP NL N 2 2115-06-05 Fixed 6.85000000 N N N N N N Countrywide Home Loans N/A 12669FJC8 46158.18000000 PA USD 46872.15000000 0.004925884643 Long ABS-MBS CORP US N 2 2034-02-25 Variable 2.24099600 N N N N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 -8500000.00000000 NC USD -42214.01000000 -0.00443635172 N/A DFE 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 DFE CORP US US N/A CNY N/A USD 2021-04-30 -8500000.00000000 USD 6.58150000 USD 2021-04-30 XXXX 7680.99000000 N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -43.00000000 NC 631470.14000000 0.066362414904 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESREPUB. DEUTSCHLAND Bundesrepublik Deutschland Bundesanleihe 2021-03-08 -11529209.97000000 USD 631470.14000000 N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAE1 1530000.00000000 PA USD 1436685.30000000 0.150984029055 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BM5 760000.00000000 PA USD 910715.61000000 0.095708859916 Long DBT CORP US N 2 2038-04-01 Fixed 5.37500000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBC0 530000.00000000 PA USD 554551.42000000 0.058278878269 Long DBT CORP IT N 2 2023-01-12 Fixed 3.37500000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCH6 200000.00000000 PA USD 221407.00000000 0.023268088648 Long DBT CORP US N 2 2030-08-01 Fixed 4.62500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBJ4 270000.00000000 PA USD 348564.73000000 0.036631339738 Long DBT CORP US N 2 2050-06-01 Fixed 5.50000000 N N N N N N CONOCOPHILLIPS WPTL2Z3FIYTHSP5V2253 20825CAX2 740000.00000000 PA USD 861206.34000000 0.090505835245 Long DBT CORP US N 2 2028-08-15 Fixed 4.30000000 N N N N N N Freddie Mac - SCRT N/A 35563PBH1 1280000.00000000 PA USD 1315295.74000000 0.138226966075 Long ABS-MBS USGSE US N 2 2056-08-25 Variable 4.00000000 N N N N N N Dividend Solar Loans LLC N/A 255396AC7 3312963.28000000 PA USD 3571567.89000000 0.375342957902 Long ABS-O CORP US N 2 2038-07-20 Fixed 5.14000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -356.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 134.50000000 USD 2021-02-26 XXXX 96696.62000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 51150000.00000000 NC USD 493315.57000000 0.051843484689 N/A DIR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2021-09-01 0.00000000 USD 0.00000000 USD 0.00000000 USD 51150000.00000000 USD 2.00000000 USD 2021-09-01 XXXX 115592.26000000 N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29279FAA7 480000.00000000 PA USD 574803.12000000 0.060407168480 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAM8 540000.00000000 PA USD 649884.17000000 0.068297580831 Long DBT CORP US N 2 2045-07-15 Fixed 5.20000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AH7 290000.00000000 PA USD 301600.00000000 0.031695725684 Long DBT CORP US N 2 2028-03-01 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SP4 54660000.00000000 PA USD 45649640.63000000 4.797408776471 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAL3 250000.00000000 PA USD 274375.00000000 0.028834597926 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9VM0 47302.49000000 PA USD 52463.93000000 0.005513535588 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376G5V8 4177752.95000000 PA USD 5861.81000000 0.000616028918 Long ABS-MBS USGA US N 2 2046-09-16 None 0.00000000 N N N N N N New Residential Mortgage Loan N/A 64830DAB9 2099321.48000000 PA USD 2264621.42000000 0.237993432713 Long ABS-MBS CORP US N 2 2057-12-25 Variable 4.25000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 970000.00000000 PA USD 1058273.27000000 0.111215978994 Long DBT CORP IT N 2 2024-06-26 Fixed 5.01700000 N N N N N N JP Morgan Chase Commercial Mor N/A 46652EBY8 1472591.72000000 PA USD 1053003.22000000 0.110662139275 Long ABS-MBS CORP US N 2 2037-01-16 Fixed 8.54200000 N N N N N N US RENAL CARE INC 54930058SS5MF69JGN89 90290PAN4 1441750.00000000 PA USD 1439947.81000000 0.151326892523 Long LON CORP US N 2 2026-06-26 Floating 5.24010000 N N N N N N ICE FUTURES EUROPE 549300UF4R84F48NCH34 000000000 -1372.00000000 NC 12535.19000000 0.001317347293 N/A DIR CORP GB N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Put Written ICE FUTURES EUROPE 549300UF4R84F48NCH34 ICE FUTURES EUROPE 549300UF4R84F48NCH34 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP GB US Short INTERCONTENTIAL EXCHANGE EURIBOR 3 MONTH 2021-03-15 0.00000000 USD 1000000.00000000 99.62500000 EUR 2021-03-15 XXXX 122167.53000000 N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 24736CBM5 1453672.56000000 PA USD 1467869.13000000 0.154261197893 Long LON CORP US N 2 2023-04-29 Floating 5.75000000 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581GQ5 824000.00000000 PA USD 870506.56000000 0.091483213302 Long DBT CORP US N 2 2022-08-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WWKG3 72255.58000000 PA USD 81346.76000000 0.008548887898 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N LEHMAN BROS CAP TR VII N/A 524908XA3 100000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP US N 3 N/A Variable 5.85700000 Y N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WGQ6 127408.18000000 PA USD 134359.75000000 0.014120125261 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 2040.00000000 NC USD 229500.00000000 0.024118597627 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short 90 DAY EURO DOLLAR TIME DEPOSIT 90 DAY EURO DOLLAR TIME DEPOSIT 2022-03-14 0.00000000 USD 1000000.00000000 99.62500000 USD 2022-03-14 XXXX 50016.00000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 216055.51000000 0.022705690243 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2047-02-15 17799.45000000 USD 0.00000000 USD -3023000.00000000 USD 198256.06000000 N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 160000000.00000000 PA 24917471.21000000 2.618625106804 Long DBT NUSS CN N 2 2029-05-23 Fixed 3.29000000 N N N N N N Countrywide Alternative Loan T N/A 12668BDJ9 69610.24000000 PA USD 66520.12000000 0.006990727705 Long ABS-MBS CORP US N 2 2046-01-25 Floating 0.63763000 N N N N N N Credit Suisse Mortgage Trust N/A 12649QAJ3 251556.60000000 PA USD 252085.55000000 0.026492156636 Long ABS-MBS CORP US N 2 2036-04-27 Variable 0.56800000 N N N N N N Bluemountain CLO Ltd 549300O2Y407FNHQWX93 095765AE3 750000.00000000 PA USD 753549.75000000 0.079191996569 Long ABS-CBDO CORP KY N 2 2032-08-20 Floating 7.97238000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AD6 750000.00000000 PA USD 796875.00000000 0.083745130651 Long DBT CORP US N 2 2044-04-01 Fixed 5.45000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -65419.84000000 -0.00687509715 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1338412.24000000 USD 7148109.00000000 BRL 2021-04-19 -65419.84000000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BR9 580000.00000000 PA USD 651186.30000000 0.068434424184 Long DBT CORP US N 2 2025-02-01 Fixed 5.37500000 N N N N N N ARES CLO Ltd 549300VFCO6SQG8OL714 04015VAE6 250000.00000000 PA USD 245024.50000000 0.025750097274 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.34125000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 595832880.00000000 PA 5644467.77000000 0.593188004212 Long DBT NUSS JP N 2 2026-03-10 Fixed 0.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPEB6 553390.60000000 PA USD 613567.00000000 0.064480939392 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAHA5 40401.44000000 PA USD 41901.93000000 0.004403554638 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N Apex Credit CLO LLC 549300OKB854VBBC1981 03755CAN4 1000000.00000000 PA USD 1004058.00000000 0.105518391707 Long ABS-CBDO CORP KY N 2 2032-10-25 Floating 4.26775000 N N N N N N CIMAREX ENERGY CO 11KYOFXPU1C4CQL1CL44 171798AD3 1390000.00000000 PA USD 1534571.22000000 0.161271049176 Long DBT CORP US N 2 2027-05-15 Fixed 3.90000000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 11000000.00000000 NC USD 9346.14000000 0.000982203878 N/A DFE CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Put Purchased CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A EUR 2021-03-04 11000000.00000000 USD 1.21940000 USD 2021-03-04 XXXX -143003.86000000 N N N LUKOIL INTL FINANCE BV 724500LG1GUKJ5TOIW61 000000000 1860000.00000000 PA USD 1993553.58000000 0.209506390610 Long DBT CORP NL N 2 2022-06-07 Fixed 6.65600000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAD7 810000.00000000 PA USD 898864.47000000 0.094463400756 Long DBT CORP US N 2 2027-06-15 Fixed 3.75000000 N N N N N N Cook Park CLO, Ltd N/A 21623RAA1 250000.00000000 PA USD 242997.75000000 0.025537102207 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 5.62338000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZJ0 1300000.00000000 PA USD 1320348.84000000 0.138758006100 Long DBT CORP US N 2 2022-03-15 Fixed 3.62500000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBG6 680000.00000000 PA USD 709229.80000000 0.074534327545 Long DBT CORP US N 2 2028-01-15 Fixed 5.00000000 N N N N N N APOLLO CMMRL REAL EST FIN IN 549300E0AN7M2AQHSY29 03768DAB3 1655797.47000000 PA USD 1618542.03000000 0.170095703550 Long LON CORP US N 3 2026-05-15 Floating 2.94370000 N N N N N N Countrywide Home Loans N/A 12669B2W1 4682.66000000 PA USD 4781.28000000 0.000502473936 Long ABS-MBS CORP US N 2 2031-06-19 Variable 2.06982000 N N N N N N Saranac CLO LTD 5493000LWP4BVD5LGS13 803169AW1 3344000.00000000 PA USD 3190303.07000000 0.335275102638 Long ABS-CBDO CORP JE N 2 2030-06-22 Floating 3.48575000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1080.00000000 NC USD -801563.04000000 -0.08423780581 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2021-06-30 0.00000000 USD 100000.00000000 124.50000000 USD 2021-03-26 XXXX -719056.44000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HX1 143434.80159600 PA USD 56800.18000000 0.005969240464 Long DBT NUSS AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N Fannie Mae - CAS N/A 20754CAF6 790000.00000000 PA USD 772216.63000000 0.081153734990 Long ABS-MBS CORP US N 2 2040-01-25 Floating 3.36763000 N N N N N N Deutsche Mortgage Securities, N/A 251563FE7 10120.26000000 PA USD 9722.48000000 0.001021754174 Long ABS-MBS CORP US N 2 2034-06-25 Floating 0.56763000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 15133.62000000 0.001590421313 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -98574840.00000000 RUB 1326000.00000000 USD 2021-05-12 15133.62000000 N N N Sotera Health Holdings LLC 549300OVT7MBXFLOFU20 83600VAE1 480000.00000000 PA USD 480999.84000000 0.050549200871 Long LON CORP US N 2 2026-12-13 Floating 3.25000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAJ9 430000.00000000 PA USD 487776.86000000 0.051261410973 Long DBT CORP US N 2 2025-06-01 Fixed 4.87500000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAK8 9900.00000000 PA USD 9898.46000000 0.001040248252 Long LON CORP US N 2 2027-04-15 Floating 2.61510000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 870000.00000000 PA USD 965161.78000000 0.101430712929 Long DBT NUSS ID N 2 2043-04-15 Fixed 4.62500000 N N N N N N Freddie Mac N/A 3132JASY2 25533.16000000 PA USD 28328.83000000 0.002977131381 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 62856RAD7 1310000.00000000 PA USD 1486784.50000000 0.156249050607 Long DBT CORP NL N 2 2027-07-06 Fixed 4.85000000 N N N N N N Credit Suisse Mortgage Trust N/A 12660KAD3 870000.00000000 PA USD 868603.74000000 0.091283242278 Long ABS-MBS CORP US N 2 2060-09-27 Fixed 3.93711000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAH2 260000.00000000 PA USD 268957.87000000 0.028265301286 Long DBT CORP US N 2 2025-05-31 Fixed 5.37500000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BX0 250000.00000000 PA USD 277983.21000000 0.029213791674 Long DBT CORP US N 2 2040-05-01 Fixed 4.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SF6 80000.00000000 PA USD 95271.88000000 0.010012305616 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZZ4 660000.00000000 PA USD 773796.12000000 0.081319726640 Long DBT CORP US N 2 2026-01-15 Fixed 7.37500000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780CD6 490000.00000000 PA USD 528677.72000000 0.055559761234 Long DBT NUSS ID N 2 2028-01-11 Fixed 3.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 930000.00000000 PA USD 1201533.45000000 0.126271467610 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 207.00000000 NC USD -774991.44000000 -0.08144534512 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 2021-06-21 33733272.69000000 USD -774991.44000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 270000.00000000 PA USD 265275.00000000 0.027878261375 Long DBT CORP US N 2 2031-02-15 Fixed 2.87500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -5162.00000000 NC USD 8426946.14000000 0.885604022571 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2021-06-21 -693521133.64000000 USD 8426946.14000000 N N N ALLIED UNIVERSAL HOLDCO LLC N/A 01957TAC1 2220966.49000000 PA USD 2227136.33000000 0.234054052309 Long LON CORP US N 2 2026-07-12 Floating 4.35740000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -16136.36000000 -0.00169580119 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -1827800.00000000 USD 1300000.00000000 GBP 2021-04-19 -16136.36000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 9686.51000000 0.001017974017 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -891354447.00000000 INR 12033134.62000000 USD 2021-04-19 9686.51000000 N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAC5 450000.00000000 PA USD 450843.75000000 0.047380039212 Long DBT CORP NL N 2 2021-07-21 Fixed 2.20000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAX4 10000.00000000 PA USD 11521.55000000 0.001210821910 Long DBT CORP US N 2 2039-10-01 Fixed 4.62500000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 744080AJ1 1450000.00000000 PA USD 485750.00000000 0.051048404346 Long DBT NUSS AR N 2 2027-06-15 Fixed 7.87500000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 104592.11000000 0.010991786562 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -1220289426.00000000 RUB 16372747.54000000 USD 2021-04-19 104592.11000000 N N N JP Morgan Chase Commercial Mor N/A 46650BAA9 10150000.00000000 PA USD 8435025.55000000 0.886453103351 Long ABS-MBS CORP US N 2 2035-06-15 Floating 8.31965000 N N N N N N J.P. MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 35195.12000000 0.003698723040 N/A DIR CORP US N 2 J.P. MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 Y 2027-01-04 0.00000000 USD 0.00000000 USD 12600000.00000000 BRL 35195.12000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -732.00000000 NC USD 601327.16000000 0.063194631000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2021-06-30 -91346452.16000000 USD 601327.16000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HV5 1920000.00000000 PA USD 660480.00000000 0.069411117041 Long DBT NUSS AR N 2 2041-07-09 Variable 0.12500000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BE4 200000.00000000 PA USD 203300.00000000 0.021365189096 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CAZ4 160000.00000000 PA USD 157768.75000000 0.016580222219 Long DBT UST US N 2 2025-11-30 Fixed 0.37500000 N N N N N N LEHMAN BROTHERS HOLDINGS 549300FDK6ZP3YIHRJ47 5249087M6 2350000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP US N 3 2017-12-28 Fixed 6.75000000 Y Y N N N N DELL INTERNATIONAL LLC N/A 24702NBF6 971625.59000000 PA USD 975471.28000000 0.102514158168 Long LON CORP US N 2 2025-09-19 Floating 2.00000000 N N N N N N CreditShop Credit Card Company 549300IFTIK1Z2HCMJ40 22555RAD5 3251914.43000000 PA USD 3275178.63000000 0.344194838934 Long ABS-O CORP US N 2 2024-08-15 Floating 6.40863000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 42307TAG3 20000.00000000 PA USD 27085.81000000 0.002846500012 Long DBT CORP US N 2 2032-03-15 Variable 6.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVHD6 271957.41000000 PA USD 294996.95000000 0.031001798424 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAM7 20000.00000000 PA USD 20129.00000000 0.002115395432 Long DBT CORP US N 2 2023-03-01 Fixed 6.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -1470.00000000 NC USD -815528.47000000 -0.08570545978 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short 90 DAY EURO DOLLAR TIME DEPOSIT 90 DAY EURO DOLLAR TIME DEPOSIT 2021-12-13 -365839221.53000000 USD -815528.47000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1127.00000000 NC USD 35218.75000000 0.003701206362 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short 90 DAY EURO DOLLAR TIME DEPOSIT 90 DAY EURO DOLLAR TIME DEPOSIT 2021-03-15 0.00000000 USD 1000000.00000000 99.81250000 USD 2021-03-15 XXXX -9410.45000000 N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAL7 340000.00000000 PA USD 415371.87000000 0.043652230929 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SU3 7590000.00000000 PA USD 7189153.13000000 0.755521967868 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBF1 1650000.00000000 PA USD 1695145.06000000 0.178146063714 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N ENDO INTERNATIONAL PLC 5493007TBMWZWGZIB256 29273G9B1 2054677.00000000 PA USD 2051467.59000000 0.215592685617 Long LON CORP IE N 2 2024-04-27 Floating 5.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HB0 1330000.00000000 PA USD 1574325.20000000 0.165448871607 Long DBT CORP US N 2 2025-09-13 Fixed 5.50000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AN8 1140000.00000000 PA USD 1281217.44000000 0.134645611803 Long DBT CORP US N 2 2027-03-27 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SN9 29850000.00000000 PA USD 24115535.01000000 2.534348084883 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N ACADEMY LTD 549300BN53IR80C35Z14 00400YAJ0 930000.00000000 PA USD 933051.33000000 0.098056163809 Long LON CORP US N 2 2027-11-06 Floating 5.75000000 N N N N N N RADNET MANAGEMENT INC 549300T3TJ6A0P5TXM13 75049EAK0 344531.25000000 PA USD 345320.92000000 0.036290441489 Long LON CORP US N 2 2023-07-01 Floating 4.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NF99 1906194.02000000 PA USD 69734.87000000 0.007328571983 Long ABS-MBS USGA US N 2 2055-09-16 Variable 0.65903000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAR7 50000.00000000 PA USD 70268.07000000 0.007384606999 Long DBT CORP US N 2 2039-01-26 Fixed 6.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC 2493668.96000000 0.262064480447 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2029-07-18 196447.25000000 USD 0.00000000 USD 549170000.00000000 MXN 2297221.71000000 N N N ML-CFC Commercial Mortgage Tru N/A 60688CAJ5 20064.07000000 PA USD 19771.89000000 0.002077866053 Long ABS-MBS CORP US N 2 2049-09-12 Variable 6.19300000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 98938.27000000 0.010397613612 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -69564000.00000000 MXN 3400000.00000000 USD 2021-05-03 98938.27000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -24243.49000000 -0.00254779512 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -1338497.05000000 USD 140000000.00000000 JPY 2021-04-19 -24243.49000000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CA5 150000.00000000 PA USD 156251.52000000 0.016420773592 Long DBT CORP US N 2 2030-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4V94 143554.20000000 PA USD 156413.61000000 0.016437807943 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4.50000000 N N N N N N Amortizing Residential Collate N/A 86358RZ67 70280.95000000 PA USD 70402.97000000 0.007398783900 Long ABS-MBS CORP US N 2 2032-07-25 Floating 1.16500000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAN3 320000.00000000 PA USD 359614.41000000 0.037792571921 Long DBT CORP US N 2 2042-05-15 Fixed 4.75000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CM5 560000.00000000 PA USD 575344.58000000 0.060464071556 Long DBT CORP US N 2 2027-02-01 Fixed 2.70000000 N N N N N N CVS PASS-THROUGH TRUST N/A 126650AW0 12383.53000000 PA USD 13569.94000000 0.001426091166 Long DBT CORP US N 2 2027-01-11 Fixed 5.29800000 N N N N N N Venture CDO Ltd 549300SNYYGJ2M6QEK53 92330CAD3 2600000.00000000 PA USD 2265793.40000000 0.238116598352 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 5.98125000 N N N N N N National Collegiate Student Lo N/A 63543LAD7 1273976.74000000 PA USD 1220385.51000000 0.128252666955 Long ABS-O CORP US N 2 2033-01-25 Floating 0.40763000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBT8 140000.00000000 PA USD 137403.00000000 0.014439946273 Long DBT CORP US N 2 2032-01-15 Fixed 4.00000000 N N N N N N INEOS US PETROCHEM LLC N/A 000000000 1420000.00000000 PA USD 1423423.62000000 0.149590333526 Long LON CORP US N 2 2026-01-21 Floating 3.25000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BW2 140000.00000000 PA USD 152938.36000000 0.016072587218 Long DBT CORP US N 2 2030-05-01 Fixed 3.62500000 N N N N N N Flagstar Mortgage Trust N/A 33851HAD5 531434.08000000 PA USD 540271.94000000 0.056778220175 Long ABS-MBS CORP US N 2 2048-04-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W2KE4 168626.53000000 PA USD 180721.25000000 0.018992344712 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBV9 1890000.00000000 PA USD 2463193.27000000 0.258861731408 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AT7 1110000.00000000 PA USD 1282157.56000000 0.134744410827 Long DBT CORP US N 2 2050-06-01 Fixed 4.50000000 N N N N N N ICE FUTURES EUROPE 549300UF4R84F48NCH34 000000000 -178.00000000 NC 291184.88000000 0.030601180636 N/A DIR CORP GB N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Short UK TSY 4 3/4% 2030 United Kingdom Gilt 2021-06-28 -32249945.63000000 USD 291184.88000000 N N N JP Morgan Chase Commercial Mor N/A 46632HAL5 83518.66000000 PA USD 78171.44000000 0.008215187395 Long ABS-MBS CORP US N 2 2051-02-15 Variable 6.63219800 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617JYLP6 264960.62000000 PA USD 282710.36000000 0.029710576984 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404121AH8 540000.00000000 PA USD 617336.91000000 0.064877126505 Long DBT CORP US N 2 2026-09-01 Fixed 5.37500000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AT7 290000.00000000 PA USD 329271.37000000 0.034603763326 Long DBT CORP GB N 2 2027-09-11 Fixed 4.00000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BB7 180000.00000000 PA USD 216517.58000000 0.022754250071 Long DBT CORP US N 2 2042-12-01 Fixed 4.62500000 N N N N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAL4 1430000.00000000 PA USD 1479621.00000000 0.155496224576 Long DBT CORP N/A N 2 2025-02-15 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -40024.25000000 -0.00420622562 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -667172818.50000000 RUB 8854317.43000000 USD 2021-04-19 -40024.25000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WDN6 144484.75000000 PA USD 152241.09000000 0.015999309769 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404121AJ4 20000.00000000 PA USD 23285.50000000 0.002447118104 Long DBT CORP US N 2 2028-09-01 Fixed 5.62500000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62912XAF1 2310000.00000000 PA USD 2633326.89000000 0.276741401663 Long DBT CORP US N 2 2027-08-15 Fixed 4.87500000 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAJ2 40000.00000000 PA USD 42780.40000000 0.004495874744 Long DBT CORP US N 2 2027-10-15 Fixed 5.25000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBN1 110000.00000000 PA USD 122168.75000000 0.012838949559 Long DBT CORP US N 2 2029-01-15 Fixed 6.87500000 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAL7 470000.00000000 PA USD 500221.00000000 0.052569189646 Long DBT CORP US N 2 2030-01-15 Fixed 4.50000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAD5 600000.00000000 PA USD 656348.84000000 0.068976965469 Long DBT CORP US N 2 2049-10-01 Fixed 3.81700000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 160000.00000000 PA USD 187527.87000000 0.019707665535 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N FOCUS FINANCIAL PARTNERS LLC 5493007L0E0VKRC2CP39 34416DAT5 1864689.03820000 PA USD 1862486.84000000 0.195732334120 Long LON CORP US N 2 2024-07-03 Floating 2.11510000 N N N N N N NEXSTAR BROADCASTING INC 5493006PK6I4I2OOT688 65336RAW8 1613334.64270000 PA USD 1617479.30000000 0.169984019205 Long LON CORP US N 2 2026-09-19 Floating 2.86550000 N N N N N N SPIRIT LOYALTY KY LTD/IP N/A 84859BAA9 650000.00000000 PA USD 732686.50000000 0.076999437388 Long DBT CORP KY N 2 2025-09-20 Fixed 8.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46652DAQ8 3020000.00000000 PA USD 2497705.50000000 0.262488688221 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.86200000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 1131420000.00000000 PA 10696984.62000000 1.124166744568 Long DBT NUSS JP N 2 2024-03-10 Fixed 0.10000000 N N N N N N Oaktree CLO Ltd N/A 67401XAJ0 2600000.00000000 PA USD 2580097.00000000 0.271147369861 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 4.02238000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD -20565.75000000 -0.00216129433 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -2440675.50000000 USD 179414056.00000000 INR 2021-04-19 -20565.75000000 N N N TEVA PHARM FIN IV BV 549300P1YOE2RRPSGG38 88166JAA1 10000.00000000 PA USD 10097.75000000 0.001061192022 Long DBT CORP CW N 2 2021-11-10 Fixed 3.65000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBL5 210000.00000000 PA USD 226308.60000000 0.023783207246 Long DBT CORP US N 2 2027-07-15 Fixed 6.50000000 N N N N N N WHATABRANDS LLC 254900HMMX4HTWIP0085 96244UAD9 1437409.00850000 PA USD 1440403.13000000 0.151374742980 Long LON CORP US N 2 2026-08-03 Floating 2.86510000 N N N N N N Lehman XS Trust N/A 52522DAN1 11596.83000000 PA USD 10138.61000000 0.001065486078 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.35763000 N N N N N N ICE FUTURES EUROPE 549300UF4R84F48NCH34 000000000 1372.00000000 NC -2910.95000000 -0.00030591734 N/A DIR CORP GB N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Put Purchased ICE FUTURES EUROPE 549300UF4R84F48NCH34 ICE FUTURES EUROPE 549300UF4R84F48NCH34 000000000 0.00000000 NC 0.00000000 0.00000000 DIR CORP GB US Short INTERCONTENTIAL EXCHANGE EURIBOR 3 MONTH 2021-03-15 0.00000000 USD 1000000.00000000 100.12500000 EUR 2021-03-15 XXXX -33024.96000000 N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAM9 2540000.00000000 PA USD 2819400.00000000 0.296296183665 Long DBT CORP US N 2 2040-04-15 Fixed 6.87500000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBJ0 110000.00000000 PA USD 114749.25000000 0.012059219994 Long DBT CORP US N 2 2026-04-15 Fixed 5.87500000 N N N N N N CANO HEALTH LLC N/A 000000000 366412.21000000 PA USD 367156.39000000 0.038585173145 Long LON CORP US N 2 2027-11-23 Floating 5.50000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 164080000.00000000 PA 2347576.95000000 0.246711389354 Long DBT NUSS RU N 2 2030-04-10 Fixed 7.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WRJU5 30929.28000000 PA USD 34305.93000000 0.003605276348 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBF2 130000.00000000 PA USD 146131.05000000 0.015357193881 Long DBT CORP US N 2 2031-03-01 Fixed 4.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BF61 2436884.45000000 PA USD 19796.76000000 0.002080479689 Long ABS-MBS USGA US N 2 2053-02-16 Variable 0.17371000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CV5 1160000.00000000 PA USD 1463357.30000000 0.153787040976 Long DBT CORP US N 2 2040-05-01 Fixed 5.70500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JM4 140000.00000000 PA USD 152250.00000000 0.016000246138 Long DBT CORP US N 2 N/A Fixed 5.95000000 N N N N N N DEUTSCHLAND I/L BOND 529900AQBND3S6YJLY83 000000000 5876409.60000000 PA 7704390.29000000 0.809669234730 Long DBT NUSS DE N 2 2026-04-15 Fixed 0.10000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAE6 220000.00000000 PA USD 259485.48000000 0.027269829552 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X8RW3 505322.53000000 PA USD 559306.95000000 0.058778646088 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 3.50000000 N N N N N N VERSCEND HOLDING CORP N/A 92531HAB3 928126.92260000 PA USD 933347.64000000 0.098087303598 Long LON CORP US N 2 2025-08-27 Floating 4.69050000 N N N N N N DISH DBS CORP N/A 25470XAW5 310000.00000000 PA USD 324839.70000000 0.034138030578 Long DBT CORP US N 2 2024-11-15 Fixed 5.87500000 N N N N N N Bank N/A 06036FBG5 1050000.00000000 PA USD 1200377.75000000 0.126150012868 Long ABS-MBS CORP US N 2 2061-11-15 Variable 4.65507900 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD -129418.57000000 -0.01360084712 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.HY.35.V1 Y Default Event 2025-12-20 0.00000000 USD -110347.83000000 USD -1410000.00000000 USD -19070.74000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 41571.70000000 0.004368850130 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -17623569.00000000 CAD 13891050.50000000 USD 2021-04-19 41571.70000000 N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -222.00000000 NC 37178.15000000 0.003907123487 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESSCHATZANWEISUNGEN Bundesschatzanweisungen 2021-03-08 -30113538.22000000 USD 37178.15000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVRU7 38070.36000000 PA USD 42501.10000000 0.004466522569 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC -3187147.31000000 -0.33494345773 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2047-04-19 3232545.53000000 USD 0.00000000 USD -6054600000.00000000 JPY -6419692.84000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8W35 117837.90000000 PA USD 128884.79000000 0.013544751156 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.50000000 N N N N N N Countrywide Alternative Loan T N/A 12668BMF7 4199940.71000000 PA USD 923155.37000000 0.097016178286 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.38237000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 62856RAC9 880000.00000000 PA USD 1001513.04000000 0.105250936952 Long DBT CORP NL N 2 2025-07-21 Fixed 5.50000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 89364MBR4 3391435.77000000 PA USD 3350368.87000000 0.352096726272 Long LON CORP US N 2 2025-12-09 Floating 2.36510000 N N N N N N UBS-Barclays Commercial Mortga N/A 90269CAX8 2080000.00000000 PA USD 103400.96000000 0.010866606311 Long ABS-MBS CORP US N 2 2063-05-10 Variable 5.00000000 N N N N N N Fremont Home Loan Trust N/A 35729QAC2 359802.17000000 PA USD 155208.11000000 0.016311119623 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.21763000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -98728.03000000 -0.01037551908 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -7290156.65000000 USD 62360000.00000000 NOK 2021-04-19 -98728.03000000 N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -110.00000000 NC -14698.19000000 -0.00154466113 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESREPUB. DEUTSCHLAND BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE 2021-06-08 -22915254.65000000 USD -14698.19000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 422443.16000000 0.044395366433 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -13826739792.00000000 KRW 12730984.00000000 USD 2021-04-19 422443.16000000 N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAP6 540000.00000000 PA USD 553770.00000000 0.058196757334 Long DBT CORP US N 2 2025-01-15 Fixed 4.75000000 N N N N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAH9 780000.00000000 PA USD 812662.50000000 0.085404269475 Long DBT CORP KY N 2 2028-08-26 Fixed 5.62500000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 1011000000.00000000 PA 9567960.97000000 1.005515471686 Long DBT NUSS JP N 2 2025-03-10 Fixed 0.10000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAC3 68000.00000000 PA USD 68748.00000000 0.007224859911 Long DBT CORP CA N 2 2024-05-15 Fixed 4.25000000 N N N N N N TKC HOLDINGS INC N/A 87256FAB0 1654561.07840000 PA USD 1631810.86000000 0.171490150486 Long LON CORP US N 2 2023-02-01 Floating 4.75000000 N N N N N N ULTIMATE SOFTWARE GROUP INC 529900FKHWSTQ1GXK240 90385KAB7 319052.27270000 PA USD 321188.65000000 0.033754334692 Long LON CORP US N 2 2026-05-03 Floating 3.94510000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 3400000.00000000 NC USD 32318.81000000 0.003396446074 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A RUB 2021-05-12 3400000.00000000 USD 72.46000000 USD 2021-05-12 XXXX -18303.79000000 N N N BX Trust N/A 12433RAA0 4900000.00000000 PA USD 4540519.34000000 0.477171934561 Long ABS-MBS CORP US N 2 2037-05-15 Floating 5.60011700 N N N N N N Freddie Mac N/A 3133AF4T5 200000.00000000 PA USD 209286.72000000 0.021994345047 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RD2 7350000.00000000 PA USD 9641132.81000000 1.013205241476 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 282017.35000000 0.029637747227 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -16265438.37000000 USD 1241240000.00000000 RUB 2021-04-19 282017.35000000 N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 590000.00000000 PA USD 678157.80000000 0.071268911138 Long DBT CORP KY N 2 2028-08-08 Fixed 5.40000000 N N N N N N Freddie Mac N/A 3133KHTT3 80967.30000000 PA USD 86984.66000000 0.009141385683 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.50000000 N N N N N N OFFICE CHERIFIEN DES PHO N/A 67091TAA3 2120000.00000000 PA USD 2334141.20000000 0.245299400474 Long DBT CORP MA N 2 2024-04-25 Fixed 5.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TXW0 1198339.38000000 PA USD 1296682.01000000 0.136270813290 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.50000000 N N N N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAR1 930000.00000000 PA USD 964363.04000000 0.101346771802 Long DBT CORP N/A N 2 2027-08-15 Fixed 5.25000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD -4014.98000000 -0.00042194199 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.34 Y Default Event 2025-06-20 0.00000000 USD -3414.71000000 USD -230000.00000000 USD -600.27000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAQ9 400000.00000000 PA USD 409243.70000000 0.043008209725 Long DBT CORP US N 2 2021-09-25 Fixed 4.37500000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAM1 190000.00000000 PA USD 202171.96000000 0.021246641197 Long DBT CORP US N 2 2026-12-01 Fixed 3.25000000 N N N N N N BAUSCH HEALTH AMERICAS KOO0397YRO83WY5MGD97 000000000 1753650.37000000 PA USD 1758490.45000000 0.184803152921 Long LON CORP US N 2 2025-06-01 Floating 3.19050000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020UHN8 35351.16000000 PA USD 35485.91000000 0.003729282722 Long ABS-MBS CORP US N 2 2034-05-25 Variable 3.64569100 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C4M3 981974.10000000 PA USD 1088793.48000000 0.114423406726 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N PLANVIEW PARENT INC N/A 000000000 1842424.24000000 PA USD 1852787.88000000 0.194713051708 Long LON CORP US N 2 2027-12-18 Floating 4.75000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 730000.00000000 PA USD 817567.15000000 0.085919708603 Long DBT CORP KY N 2 2025-08-08 Fixed 5.12500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 804024.68000000 0.084496504311 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2555552438.00000000 JPY 24794338.20000000 USD 2021-04-19 804024.68000000 N N N JP Morgan ReRemic 5493004MQHFTPQUDN572 46643NAE5 156344.52000000 PA USD 156580.88000000 0.016455386670 Long ABS-MBS CORP US N 2 2046-07-27 Floating 0.56800000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A60 200000.00000000 PA USD 216250.00000000 0.022726129572 Long DBT CORP US N 2 2025-06-16 Fixed 5.12500000 N N N N N N Freddie Mac N/A 3133KGP28 644046.43000000 PA USD 687845.20000000 0.072286978687 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Countrywide Home Equity Loan T N/A 126682AA1 1170699.43000000 PA USD 1131856.91000000 0.118949025639 Long ABS-MBS CORP US N 2 2037-04-15 Floating 0.22738000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 24882.52000000 0.002614952016 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -12855956.00000000 NOK 1507446.50000000 USD 2021-04-19 24882.52000000 N N N GLOBAL TEL*LINK CORP 549300YI0BNF11FDQE44 37959JAB7 628771.92570000 PA USD 594713.24000000 0.062499561391 Long LON CORP US N 2 2025-11-29 Floating 4.44050000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KVYB0 99811.14000000 PA USD 103872.49000000 0.010916160308 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TNQ4 46864.71000000 PA USD 49323.80000000 0.005183533270 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KVBX7 99499.36000000 PA USD 103422.60000000 0.010868880501 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 447.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 162.50000000 USD 2021-02-26 XXXX -177054.57000000 N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZX9 1810000.00000000 PA USD 2110234.76000000 0.221768640855 Long DBT CORP US N 2 2025-05-01 Fixed 7.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 9628.26000000 0.001011852413 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2267452.00000000 AUD 1754656.39000000 USD 2021-04-19 9628.26000000 N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AB6 530000.00000000 PA USD 570819.15000000 0.059988485389 Long DBT CORP US N 2 2035-01-15 Fixed 3.30200000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 259885.45000000 0.027311863171 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -147340000.00000000 MXN 7261312.70000000 USD 2021-04-19 259885.45000000 N N N Thayer Park CLO, Ltd. 5493000PRLDBEVKBE571 883310AG9 1750000.00000000 PA USD 1756256.25000000 0.184568356534 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 3.92400000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AK0 479000.00000000 PA USD 502973.95000000 0.052858502471 Long DBT CORP US N 2 2028-08-15 Fixed 4.75000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 358.00000000 NC USD 2797.05000000 0.000293947379 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-30 0.00000000 USD 100000.00000000 125.25000000 USD 2021-03-05 XXXX -11806.85000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAP6 1050000.00000000 PA USD 1099688.45000000 0.115568380136 Long DBT CORP IE N 2 2022-07-01 Fixed 4.62500000 N N N N N N HARBOR FREIGHT TOOLS 549300Y48HLCFTTB4249 41151PAN5 498750.00000000 PA USD 501555.47000000 0.052709431672 Long LON CORP US N 2 2027-10-19 Floating 4.00000000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057BV5 110000.00000000 PA USD 123681.25000000 0.012997901101 Long DBT CORP US N 2 2025-05-30 Fixed 4.75000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 25490000.00000000 PA 4973588.95000000 0.522684055120 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N ML-CFC Commercial Mortgage Tru N/A 55312YAH5 357208.20000000 PA USD 199312.17000000 0.020946100350 Long ABS-MBS CORP US N 2 2048-08-12 Variable 5.45000000 N N N N N N INDIA GOVERNMENT BOND N/A 000000000 700000000.00000000 PA 10126156.94000000 1.064177362744 Long DBT NUSS IN N 2 2029-03-20 Fixed 7.59000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SL3 5020000.00000000 PA USD 4891558.58000000 0.514063325328 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 1076600000.00000000 PA 14687024.39000000 1.543487719430 Long DBT NUSS RU N 2 2029-05-23 Fixed 6.90000000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 50972.09000000 0.005356755245 N/A DIR CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Y 2027-01-04 9883.86000000 USD 0.00000000 USD 19386000.00000000 BRL 41088.23000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 201.20000000 0.000021144496 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -4745401.23000000 USD 17800000.00000000 SAR 2021-04-15 201.20000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 120000.00000000 PA USD 119688.00000000 0.012578242757 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N PAREXEL INTL CORP 549300GCZVUYB6P2OA17 69946EAT8 1028513.98290800 PA USD 1024336.16000000 0.107649462651 Long LON CORP US N 2 2024-09-27 Floating 2.98840000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 26439XAH6 400000.00000000 PA USD 449200.00000000 0.047207294354 Long DBT CORP US N 2 2036-11-03 Fixed 6.45000000 N N N N N N MILANO ACQUISITION CORP N/A 59909TAC8 860000.00000000 PA USD 858566.38000000 0.090228396757 Long LON CORP US N 2 2027-10-01 Floating 4.75000000 N N N N N N Structured Adjustable Rate Mor N/A 86359BNU1 87962.48000000 PA USD 89521.37000000 0.009407973429 Long ABS-MBS CORP US N 2 2034-04-25 Variable 2.51915800 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 794.00000000 NC USD 124062.50000000 0.013037967399 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 162.00000000 USD 2021-03-05 XXXX -81404.87000000 N N N HACKENSACK MERIDIAN HLTH 5493001CB3OCWTEJY668 404530AB3 1060000.00000000 PA USD 1281848.68000000 0.134711950032 Long DBT CORP US N 2 2048-07-01 Fixed 4.21100000 N N N N N N CONOCOPHILLIPS WPTL2Z3FIYTHSP5V2253 20825CAV6 370000.00000000 PA USD 417604.08000000 0.043886818183 Long DBT CORP US N 2 2027-10-01 Fixed 3.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 69590.94000000 0.007313446101 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -810250000.00000000 JPY 7675833.43000000 USD 2021-04-19 69590.94000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 390000.00000000 PA USD 461053.89000000 0.048453042516 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452151LF8 3100000.00000000 PA USD 3465490.00000000 0.364195027854 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAG8 130000.00000000 PA USD 150863.33000000 0.015854518313 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 60000.00000000 PA USD 62205.30000000 0.006537274949 Long DBT CORP US N 2 2030-08-15 Fixed 4.50000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAZ9 320000.00000000 PA USD 375244.73000000 0.039435192395 Long DBT CORP US N 2 2049-10-01 Fixed 4.87500000 N N N N N N Legacy Mortgage Asset Trust N/A 52474MAA7 3354989.64000000 PA USD 3401602.19000000 0.357480934683 Long ABS-MBS CORP US N 2 2059-11-25 Variable 3.25000000 N N N N N N Fannie Mae N/A 3136A54N3 43818.75000000 PA USD 53366.71000000 0.005608410480 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 7.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46651JAC7 10027387.58000000 PA USD 78531.49000000 0.008253025744 Long ABS-MBS CORP US N 2 2034-07-15 Variable 2.05155600 N N N N N N Greywolf CLO Ltd 5493000F00WO8WFFVM11 39809TAQ0 1840000.00000000 PA USD 1840000.00000000 0.193369148735 Long ABS-CBDO CORP KY N 2 2034-04-17 Floating 0.01000000 N N N N N N HANESBRANDS INC GX5LWVWZLL5S4W1L2F20 410345AJ1 2540000.00000000 PA USD 2665412.50000000 0.280113340301 Long DBT CORP US N 2 2024-05-15 Fixed 4.62500000 N N N N N N METLIFE INC C4BXATY60WC6XEOZDX54 59156RAP3 630000.00000000 PA USD 804390.46000000 0.084534944837 Long DBT CORP US N 2 2036-12-15 Fixed 6.40000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 867.00000000 NC USD 27093.75000000 0.002847334442 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 136.00000000 USD 2021-03-26 XXXX -218249.91000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKK99 848700.35000000 PA USD 930484.01000000 0.097786359198 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 1680000.00000000 PA USD 2250532.60000000 0.236512811447 Long DBT CORP US N 2 2051-04-04 Fixed 5.01300000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAL0 600000.00000000 PA USD 644154.76000000 0.067695466084 Long DBT CORP US N 2 2023-05-15 Fixed 4.25000000 N N N N N N Benefit Street Partners CLO Lt 5493002BNZCV0YE1MG83 08180FBN0 1450000.00000000 PA USD 1451160.00000000 0.152505203195 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 0.01000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859AZ5 480000.00000000 PA USD 755620.31000000 0.079409595713 Long DBT CORP US N 2 2038-06-15 Fixed 8.15000000 N N N N N N AVAYA INC J6LB5QIFSP2MFEFG4U76 000000000 1727792.37000000 PA USD 1735892.26000000 0.182428265550 Long LON CORP US N 2 2027-12-15 Floating 4.36510000 N N N N N N Amentum Government Services Holdings LLC 5493008CT6B5L54YSE94 57776DAB9 997493.74000000 PA USD 993753.14000000 0.104435434095 Long LON CORP US N 3 2027-01-31 Floating 4.11510000 N N N N N N Credit Suisse Mortgage Trust N/A 22545DAG2 889.53000000 PA USD 883.08000000 0.000092804580 Long ABS-MBS CORP US N 2 2038-06-15 Variable 6.16880000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 000000000 2200000.00000000 PA 2899868.60000000 0.304752784036 Long DBT CORP NL N 2 N/A Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGMJ3 99665.61000000 PA USD 103634.78000000 0.010891178906 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Specialty Underwriting & Resid N/A 84751PBZ1 3632789.16000000 PA USD 3580903.49000000 0.376324054111 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.88263000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AC1 3400000.00000000 PA USD 3689357.00000000 0.387721642647 Long DBT CORP US N 2 2030-02-01 Variable 5.30000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 455.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 163.00000000 USD 2021-02-26 XXXX -165474.65000000 N N N WA Premier Institutional Government Reserves - Premium Shares 549300WB3XRN9YTWFB76 52470G494 42233016.93000000 NS USD 42233016.93000000 4.438349202330 Long STIV RF US N 1 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB4M8 185188.94000000 PA USD 203992.65000000 0.021437981021 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAM1 1000000.00000000 PA USD 1131250.00000000 0.118885244297 Long DBT CORP NL N 2 2024-03-17 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXKP6 68159.12000000 PA USD 78374.45000000 0.008236522108 Long ABS-MBS USGSE US N 2 2058-08-01 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828Y87 20000.00000000 PA USD 20942.19000000 0.002200855137 Long DBT UST US N 2 2024-07-31 Fixed 1.75000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AA5 460000.00000000 PA USD 530150.00000000 0.055714485979 Long DBT CORP US N 2 2050-02-01 Variable 6.50000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780CE4 550000.00000000 PA USD 597849.18000000 0.062829123374 Long DBT NUSS ID N 2 2048-01-11 Fixed 4.35000000 N N N N N N RANGE RESOURCES CORP H3Y3WLYCX0BTO1TRW162 75281AAS8 420000.00000000 PA USD 416220.00000000 0.043741362547 Long DBT CORP US N 2 2025-05-15 Fixed 4.87500000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD -787370.08000000 -0.08274624027 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.35.V1 Y Default Event 2025-12-20 0.00000000 USD -794919.82000000 USD -34725000.00000000 USD 7549.74000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VHV5 398147.50000000 PA USD 430509.48000000 0.045243071559 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.50000000 N N N N N N PRIME SECURITY SERVICES BOR 549300O6QPZVWXV2DC15 03765VAK6 1562204.62000000 PA USD 1565719.58000000 0.164544490403 Long LON CORP US N 2 2026-09-23 Floating 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9HZ9 248069.22000000 PA USD 275525.09000000 0.028955463102 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAR4 620000.00000000 PA USD 658011.88000000 0.069151737550 Long DBT CORP US N 2 2050-05-15 Fixed 5.00000000 N N N N N N INDIAN RAILWAY FINANCE 335800F2JHSOGXQEBY56 000000000 100000000.00000000 PA 1419329.55000000 0.149160079814 Long DBT NUSS IN N 2 2027-06-15 Fixed 7.27000000 N N N N N N THE VANGUARD GROUP INC N/A 000000000 1000000.00000000 PA USD 918500.00000000 0.096526936474 Long DBT CORP US N 3 2050-08-22 Fixed 3.05000000 N N N N N N Freddie Mac N/A 3132J92F4 38178.67000000 PA USD 43355.38000000 0.004556300502 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.00000000 N N N N N N Residential Asset Securitizati N/A 45660L4B2 8885657.21000000 PA USD 1795078.69000000 0.188648281629 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.43237000 N N N N N N Freddie Mac - STACR N/A 3137G0EM7 3674605.17000000 PA USD 3920137.88000000 0.411974850424 Long ABS-MBS CORP US N 2 2025-03-25 Floating 10.86763000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 16524.64000000 0.001736606288 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -1217445.57000000 USD 9393810.00000000 TRY 2021-04-19 16524.64000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 5500000.00000000 NC USD 103412.71000000 0.010867841141 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A MXN 2021-05-21 5500000.00000000 USD 20.60000000 USD 2021-05-21 XXXX -12246.79000000 N N N CITADEL SECURITIES LP 549300NV5RXBUS3X7L47 17288YAD4 985037.58000000 PA USD 980881.71000000 0.103082750691 Long LON CORP US N 2 2028-02-27 Floating 2.61550000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBX0 60000.00000000 PA USD 62910.00000000 0.006611333232 Long DBT CORP US N 2 2028-02-01 Fixed 5.00000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 14916RAD6 1620000.00000000 PA USD 1853485.92000000 0.194786410078 Long DBT CORP US N 2 2042-11-01 Fixed 4.35000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -859.00000000 NC USD -139587.50000000 -0.01466951959 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short 90 DAY EURO DOLLAR TIME DEPOSIT 90 DAY EURO DOLLAR TIME DEPOSIT 2022-03-14 0.00000000 USD 1000000.00000000 99.75000000 USD 2022-03-14 XXXX 32058.60000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UEB4 56736.96000000 PA USD 62170.00000000 0.006533565204 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N VIRGIN MEDIA BRISTOL LLC N/A 000000000 1050000.00000000 PA USD 1048622.40000000 0.110201750452 Long LON CORP US N 2 2028-01-31 Floating 2.62950000 N N N N N N CWGS GROUP LLC N/A 12670UAB3 383834.20180000 PA USD 384100.58000000 0.040365870751 Long LON CORP US N 2 2023-11-08 Floating 3.50000000 N N N N N N CHEVRON CORP N/A 166764CA6 80000.00000000 PA USD 80020.02000000 0.008409458233 Long DBT CORP US N 2 2050-05-11 Fixed 3.07800000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -1106.00000000 NC USD -7840765.80000000 -0.82400120009 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short 90 DAY EURO DOLLAR TIME DEPOSIT 90 DAY EURO DOLLAR TIME DEPOSIT 2021-06-14 -268189184.20000000 USD -7840765.80000000 N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 730000.00000000 PA USD 868809.50000000 0.091304865993 Long DBT NUSS ID N 2 2045-01-15 Fixed 5.12500000 N N N N N N UBS-Barclays Commercial Mortga N/A 90269CAZ3 2089986.19000000 PA USD 89043.86000000 0.009357790982 Long ABS-MBS CORP US N 2 2063-05-10 Variable 5.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -240920.52000000 -0.02531880210 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -10862959.96000000 USD 161849413.00000000 ZAR 2021-04-19 -240920.52000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WRJQ4 36094.09000000 PA USD 40635.47000000 0.004270459914 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581GY8 100000.00000000 PA USD 109031.50000000 0.011458330619 Long DBT CORP US N 2 2024-02-16 Fixed 4.75000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -489274.32000000 -0.05141878193 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2024-11-30 20325.09000000 USD 0.00000000 USD 38270000.00000000 USD -509599.41000000 N N N UNIV OF CALIFORNIA CA RGTS MED N/A 913366KD1 190000.00000000 PA USD 198075.00000000 0.020816083769 Long DBT MUN US N 2 2120-05-15 Fixed 3.70600000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 42307TAH1 10000.00000000 PA USD 14708.09000000 0.001545701545 Long DBT CORP US N 2 2039-08-01 Fixed 7.12500000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022634 -1700000.00000000 PA USD -1762554.70000000 -0.18523027279 Short ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 684.00000000 NC USD -1638365.48000000 -0.17217898814 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 2021-06-21 130957115.48000000 USD -1638365.48000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MQCZ7 296753.45000000 PA USD 308563.57000000 0.032427540685 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 110841900.00000000 PA 5684976.20000000 0.597445113247 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N SKYMILES IP LTD N/A 24736CBS2 560000.00000000 PA USD 592850.16000000 0.062303766721 Long LON CORP KY N 2 2027-10-20 Floating 4.75000000 N N N N N N Countrywide Alternative Loan T N/A 12668BPQ0 7027430.35000000 PA USD 1382581.57000000 0.145298163721 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.18237000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBP5 6850000.00000000 PA USD 6857492.19000000 0.720667080022 Long DBT UST US N 2 2027-12-26 Fixed 1.12500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 000000000 1330000.00000000 PA 1671664.88000000 0.175678486313 Long DBT CORP GB N 2 N/A Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9YP4 1900000.00000000 PA USD 2016285.32000000 0.211895313008 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBZ5 470000.00000000 PA USD 485870.21000000 0.051061037447 Long DBT CORP US N 2 2060-01-31 Fixed 3.95000000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -288.00000000 NC 1323108.02000000 0.139047973648 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESREPUB. DEUTSCHLAND BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE 2021-03-08 -61531138.29000000 USD 1323108.02000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CL7 1330000.00000000 PA USD 1132993.75000000 0.119068498347 Long DBT CORP US N 2 2047-02-15 Fixed 4.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6M99 60905.29000000 PA USD 66107.77000000 0.006947393048 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 4.50000000 N N N N N N WP CITYMD BIDCO LLC N/A 92940KAH8 1835365.24000000 PA USD 1842820.49000000 0.193665559469 Long LON CORP US N 2 2026-08-13 Floating 4.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 9162.91000000 0.000962947884 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -8110449.02000000 USD 6721065.00000000 EUR 2021-04-19 9162.91000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 292601.53000000 0.030750059116 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -15486281.06000000 EUR 19001331.83000000 USD 2021-04-19 292601.53000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 19447000000.00000000 PA 1428521.45000000 0.150126074313 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -35977.19000000 -0.00378091228 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -7833597.70000000 CAD 6119998.20000000 USD 2021-05-10 -35977.19000000 N N N GARDA WORLD SECURITY N/A 000000000 1209235.05000000 PA USD 1214273.93000000 0.127610389226 Long LON CORP CA N 2 2026-10-30 Floating 4.86510000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD -46942.79000000 -0.00493330833 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -2341442.75000000 USD 32825856642.00000000 IDR 2021-04-19 -46942.79000000 N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 506371000.00000000 PA 7017339.30000000 0.737465721103 Long DBT NUSS RU N 2 2028-01-19 Fixed 7.05000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CH3 650000.00000000 PA USD 658848.80000000 0.069239691087 Long DBT CORP NL N 2 2050-04-06 Fixed 3.25000000 N N N N N N Banc of America Funding Corpor N/A 05990TAJ6 454029.36000000 PA USD 453061.64000000 0.047613121549 Long ABS-MBS CORP US N 2 2036-09-29 Floating 0.28263000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -395351.45000000 -0.04154824637 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-12-18 0.00000000 USD 0.00000000 USD 67177000.00000000 USD -395351.45000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 3400000.00000000 NC USD 6982.13000000 0.000733765507 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A RUB 2021-03-12 3400000.00000000 USD 72.80000000 USD 2021-03-12 XXXX -20404.87000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 180000.00000000 PA USD 198261.39000000 0.020835671854 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N PETCO ANIMAL SUPPLIES INC EQFF4O0CK09VES3JAH16 71579UAF2 1767622.48520000 PA USD 1768428.52000000 0.185847563865 Long LON CORP US N 2 2023-01-26 Floating 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MKQ82 37375.48000000 PA USD 42076.26000000 0.004421875314 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3132JASZ9 36581.27000000 PA USD 41196.04000000 0.004329371296 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAF3 430000.00000000 PA USD 568089.84000000 0.059701656938 Long DBT CORP US N 2 2045-05-22 Fixed 5.15000000 N N N N N N Access Group Inc 635400C9RW3TYNTIJP57 00432CBK6 5900000.00000000 PA USD 5971437.20000000 0.627549852223 Long ABS-O CORP US N 2 2039-07-01 Variable 1.36400000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397XW8 300000.00000000 PA USD 300367.50000000 0.031566199881 Long DBT CORP US N 2 2021-03-18 Fixed 3.33600000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1068.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 0.00000000 USD 100000.00000000 135.00000000 USD 2021-02-26 XXXX -115316.40000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 21217.63000000 0.002229801658 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -31091395445.00000000 IDR 2194480.20000000 USD 2021-04-19 21217.63000000 N N N Asset Backed Securities Corp H N/A 04541GQX3 30558.60000000 PA USD 32173.47000000 0.003381172014 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.74763000 N N N N N N REDSTONE BUYER LLC N/A 75774EAB1 1825425.00000000 PA USD 1850239.83000000 0.194445272219 Long LON CORP US N 2 2027-09-01 Floating 6.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -2.00000000 NC USD -879.20000000 -0.00009239682 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short 90 DAY EURO DOLLAR TIME DEPOSIT 90 DAY EURO DOLLAR TIME DEPOSIT 2021-03-15 -498220.80000000 USD -879.20000000 N N N EDELMAN FINANCIAL CENTER N/A 27943UAJ5 1392620.86550000 PA USD 1384642.54000000 0.145514755034 Long LON CORP US N 2 2025-07-19 Floating 3.47360000 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAE4 180000.00000000 PA USD 185175.00000000 0.019460397889 Long DBT CORP US N 2 2023-11-15 Fixed 5.75000000 N N N N N N Freddie Mac N/A 3132JAWQ4 37552.01000000 PA USD 42289.63000000 0.004444298779 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382AKD6 255043.26000000 PA USD 262461.35000000 0.027582569470 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.00000000 N N N N N N Bear Stearns Mortgage Funding N/A 07401MAA9 1487612.56000000 PA USD 1411941.13000000 0.148383616506 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.27763000 N N N N N N Banc of America Funding Corpor N/A 05990TAK3 7671987.98000000 PA USD 7212612.36000000 0.757987343593 Long ABS-MBS CORP US N 2 2036-09-29 Floating 0.38318000 N N N N N N LCM Ltd Partnership 549300NGJ6CPPJRPGL08 50184WAC6 400000.00000000 PA USD 358648.00000000 0.037691010030 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 5.72400000 N N N N N N OPTION CARE HEALTH INC 549300DI3Q5ACSYJRI17 09071FAK7 2417943.82871500 PA USD 2422779.72000000 0.254614593494 Long LON CORP US N 2 2026-08-06 Floating 3.86550000 N N N N N N CUMBERLAND PARK CLO LTD 549300FV0ALYM6MGQ903 23076TAG2 2000000.00000000 PA USD 2004756.00000000 0.210683674533 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 5.87400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5B1 181205.97000000 PA USD 198776.19000000 0.020889773178 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15137TAA8 1200000.00000000 PA USD 1255368.00000000 0.131929044298 Long DBT CORP US N 2 2026-06-01 Fixed 5.37500000 N N N N N N Freddie Mac N/A 3132JAV69 32589.23000000 PA USD 36157.33000000 0.003799843544 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379U5F9 4647743.59000000 PA USD 238511.05000000 0.025065586251 Long ABS-MBS USGA US N 2 2058-10-16 Variable 0.64540000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AB3 280000.00000000 PA USD 287058.80000000 0.030167562931 Long DBT CORP US N 2 2025-02-01 Variable 4.35000000 N N N N N N GLOBAL MEDICAL RESPONSE 549300ZFWD4ZFCEJCQ87 00169QAF6 2505430.34000000 PA USD 2512588.35000000 0.264052755631 Long LON CORP US N 2 2025-10-02 Floating 5.75000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FB49 2195355.29000000 PA USD 2231263.40000000 0.234487774055 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.83763000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 03746AAA8 370000.00000000 PA USD 427118.75000000 0.044886733204 Long DBT CORP US N 2 2029-12-15 Fixed 7.75000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DH5 2330000.00000000 PA USD 2819300.00000000 0.296285674472 Long DBT CORP US N 2 2039-06-15 Fixed 7.95000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDJ0 541000.00000000 PA USD 555005.41000000 0.058326588953 Long ABS-O CORP US N 2 2023-03-20 Fixed 4.53000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AA5 450000.00000000 PA USD 480770.70000000 0.050525120106 Long DBT CORP N/A N 2 2025-10-20 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022634 1700000.00000000 PA USD 1762554.70000000 0.185230272792 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HS2 2648100.00000000 PA USD 963908.40000000 0.101298992808 Long DBT NUSS AR N 2 2030-07-09 Variable 0.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TLR4 17120.46000000 PA USD 18075.01000000 0.001899537661 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.00000000 N N N N N N Catskill Park CLO, LTD. 549300QY7L9WFVGWC115 149421AA7 3700000.00000000 PA USD 3700000.00000000 0.388840136044 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.22400000 N N N N N N PETSMART INC N/A 000000000 880000.00000000 PA USD 887287.28000000 0.093246731531 Long LON CORP US N 2 2028-01-29 Floating 4.50000000 N N N N N N INDIA GOVERNMENT BOND N/A 000000000 370000000.00000000 PA 5324846.00000000 0.559598335960 Long DBT NUSS IN N 2 2024-06-22 Fixed 7.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9H24 399168.71000000 PA USD 416670.51000000 0.043788707511 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46651JAJ2 7187050.65000000 PA USD 6643731.18000000 0.698202523208 Long ABS-MBS CORP US N 2 2034-07-15 Floating 3.91225000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9WF3 3933041.41000000 PA USD 4337148.71000000 0.455799322821 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 3.50000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 110000.00000000 PA USD 114075.30000000 0.011988393289 Long DBT CORP US N 2 2025-06-25 Fixed 2.90000000 N N N N N N DELTA TOPCO INC N/A 000000000 910000.00000000 PA USD 916256.25000000 0.096291136459 Long LON CORP US N 2 2027-12-01 Floating 4.50000000 N N N N N N U.S. FOODSERVICE 5493000JOOFAOUY1JZ87 90351HAD0 126984.91980000 PA USD 125331.45000000 0.013171323802 Long LON CORP US N 2 2026-09-13 Floating 2.21650000 N N N N N N VFH PARENT LLC 549300FRO9M476YHHY64 91820UAQ3 369150.43160000 PA USD 370402.96000000 0.038926361448 Long LON CORP US N 2 2026-03-01 Floating 3.11510000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAKS2 355836.69000000 PA USD 370999.80000000 0.038989084514 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -73473.00000000 -0.00772141927 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2034506.95000000 GBP 2761790.29000000 USD 2021-04-19 -73473.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVG62 354994.17000000 PA USD 387293.23000000 0.040701392497 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N CIMAREX ENERGY CO 11KYOFXPU1C4CQL1CL44 171798AE1 230000.00000000 PA USD 258492.10000000 0.027165433332 Long DBT CORP US N 2 2029-03-15 Fixed 4.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379RPH0 1443778.39000000 PA USD 69334.57000000 0.007286503684 Long ABS-MBS USGA US N 2 2058-07-16 Variable 0.69822000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 5110000.00000000 NC USD 60581.46000000 0.006366622472 N/A DIR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2021-09-01 0.00000000 USD 0.00000000 USD 0.00000000 USD 5110000.00000000 USD 2.55000000 USD 2021-09-01 XXXX -9100.34000000 N N N JP Morgan Chase Commercial Mor N/A 46628FAN1 661506.13000000 PA USD 132321.14000000 0.013905883805 Long ABS-MBS CORP US N 2 2045-04-17 Variable 6.11492800 N N N N N N Freddie Mac - SCRT N/A 35563PTU3 2410000.00000000 PA USD 2457167.07000000 0.258228426427 Long ABS-MBS CORP US N 2 2060-05-25 Variable 4.25000000 N N N N N N AMENTUM GOVERNMENT SERVI 5493008CT6B5L54YSE94 57776DAD5 350000.00000000 PA USD 354375.00000000 0.037241952219 Long LON CORP US N 3 2027-01-31 Floating 5.50000000 N N N N N N 2021-04-22 Western Asset Funds Inc Christopher Berarducci Christopher Berarducci Principal Financial Officer XXXX