NPORT-P false 0000863520 XXXXXXXX S000000711 C000066986 C000002076 C000113699 C000113700 C000113698 Western Asset Funds Inc 811-06110 0000863520 5493004NC00X8WKL1P34 620 Eighth Avenue 47th Floor New York 10018 1-877-721-1926 Western Asset Intermediate Bond Fund S000000711 549300NZV8UE1KQUNO03 2025-05-31 2024-11-29 N 262215610.96 37935711.58 224279899.38 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 12943556.67000000 0.00000000 0.00000000 USD N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BQJ1 911740.60000000 PA USD 2169.58000000 0.000967353742 Long ABS-MBS USGA US N 2 2053-04-16 Variable 0.21542000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ANE86 41123.43000000 PA USD 36217.57000000 0.016148379814 Long ABS-MBS USGSE US N 2 2045-06-25 Fixed 3.00000000 N N N N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAK7 250000.00000000 PA USD 243246.74000000 0.108456772395 Long DBT CORP US N 2 2027-03-24 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DTAR1 193369.44000000 PA USD 195371.31000000 0.087110485843 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TV0 5930000.00000000 PA USD 6276650.19000000 2.798579011026 Long DBT UST US N 2 2053-11-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBYB2 3090870.24000000 PA USD 366615.85000000 0.163463534188 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.00000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAQ8 240000.00000000 PA USD 237546.60000000 0.105915242808 Long DBT CORP KZ N 2 2030-04-24 Fixed 5.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H050615 100000.00000000 PA USD 98547.20000000 0.043939381225 Long ABS-MBS USGA US N 2 2055-01-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UEA6 8609.88000000 PA USD 8421.77000000 0.003755026653 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 4.50000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BT8 420000.00000000 PA USD 400446.63000000 0.178547712526 Long DBT CORP US N 2 2029-03-23 Fixed 3.70000000 N N N N N N Deutsche Bank Commercial Mortg N/A 23312LAU2 1060000.00000000 PA USD 984362.75000000 0.438899229365 Long ABS-MBS CORP US N 2 2049-05-10 Variable 4.19500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H0526C7 100000.00000000 PA USD 100102.95000000 0.044633045706 Long ABS-MBS USGA US N 2 2054-12-15 Fixed 5.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDR7 190000.00000000 PA USD 191446.03000000 0.085360315627 Long DBT CORP US N 2 2027-03-15 Fixed 4.80000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BXRT1 590000.00000000 PA USD 572059.63000000 0.255065046658 Long ABS-MBS USGSE US N 2 2027-03-25 Fixed 3.29100000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 30000.00000000 PA USD 26182.81000000 0.011674166999 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N NUVEEN LLC N/A 67080LAA3 230000.00000000 PA USD 225372.84000000 0.100487310999 Long DBT CORP US N 2 2028-11-01 Fixed 4.00000000 N N N N N N New Residential Mortgage Loan 549300RCJSGOC0A85G53 64829CAB4 240465.37000000 PA USD 228275.70000000 0.101781613346 Long ABS-MBS CORP US N 2 2052-05-28 Variable 3.75000000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 168863DS4 430000.00000000 PA USD 323563.45000000 0.144267698930 Long DBT NUSS CL N 2 2041-05-07 Fixed 3.10000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SZ2 3210000.00000000 PA USD 1980231.44000000 0.882928628679 Long DBT UST US N 2 2051-08-15 Fixed 2.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 300000.00000000 PA USD 300154.08000000 0.133830129596 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABD6 90000.00000000 PA USD 88186.19000000 0.039319702855 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DG1 100000.00000000 PA USD 100896.43000000 0.044986835770 Long DBT CORP US N 2 2029-02-13 Fixed 4.87500000 N N N N N N COMM Mortgage Trust 549300NMFC2YLCA2NF13 12625XAG2 560000.00000000 PA USD 517726.33000000 0.230839380359 Long ABS-MBS CORP US N 2 2030-08-10 Variable 4.53995000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FUVK7 181545.10000000 PA USD 148833.80000000 0.066360739598 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 2.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PED0 70000.00000000 PA USD 60761.20000000 0.027091683279 Long DBT CORP US N 2 2031-05-15 Fixed 2.30000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DJ6 150000.00000000 PA USD 140367.62000000 0.062585911795 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVKW4 83065.27000000 PA USD 73513.69000000 0.032777654262 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3E1 360000.00000000 PA USD 369137.02000000 0.164587651867 Long DBT CORP US N 2 2029-07-25 Fixed 5.57400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYUH0 609312.05000000 PA USD 501788.79000000 0.223733286570 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 1.50000000 N N N N N N BRAVO Residential Funding Trus N/A 10569EAA9 85334.25000000 PA USD 82023.97000000 0.036572144996 Long ABS-MBS CORP US N 2 2060-03-25 Variable 0.97000000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AH3 570000.00000000 PA USD 564867.79000000 0.251858410656 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N Recette CLO LLC 549300392I5L5XOJ0016 75620TAW8 510000.00000000 PA USD 511185.57000000 0.227923042329 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.95901000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EY5 230000.00000000 PA USD 198249.50000000 0.088393788541 Long DBT CORP US N 2 2030-05-28 Fixed 1.70000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -319.00000000 NC USD -1008569.78000000 -0.44969245250 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 2025-03-20 -39564242.72000000 USD -1008569.78000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BH7G8 1466987.15000000 PA USD 223321.80000000 0.099572810857 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9BG4 53832.89000000 PA USD 48546.04000000 0.021645292393 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 140000.00000000 PA USD 125541.11000000 0.055975194543 Long DBT CORP US N 2 2033-03-02 Fixed 3.35000000 N N N N N N ARES CLO Ltd N/A 039937AA5 1340000.00000000 PA USD 1342621.79000000 0.598636700708 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 5.99740000 N N N N N N Credit Suisse Mortgage Trust N/A 12596XAA0 325406.91000000 PA USD 313999.09000000 0.140003224037 Long ABS-MBS CORP US N 2 2049-07-25 Variable 3.57300000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TR9 2990000.00000000 PA USD 2609242.19000000 1.163386552790 Long DBT UST US N 2 2053-05-15 Fixed 3.62500000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31424U8E9 942837.45000000 PA USD 212592.31000000 0.094788837781 Long ABS-MBS USGSE US N 2 2053-10-25 Fixed 4.50000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAN5 170000.00000000 PA USD 182517.31000000 0.081379254451 Long DBT CORP US N 2 2033-10-13 Fixed 6.50000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBH5 130000.00000000 PA USD 128601.61000000 0.057339784062 Long DBT CORP US N 2 2025-05-06 Fixed 2.35000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CF9 340000.00000000 PA USD 338412.74000000 0.150888573133 Long DBT CORP JP N 2 2026-04-17 Fixed 3.83700000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0326C3 200000.00000000 PA USD 181306.92000000 0.080839576128 Long ABS-MBS USGSE US N 2 2054-12-15 Fixed 3.50000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AK9 10000.00000000 PA USD 9221.22000000 0.004111478570 Long DBT CORP US N 2 2030-03-27 Fixed 2.85000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617JYLP6 53468.41000000 PA USD 48915.24000000 0.021809908126 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVQ54 676646.31000000 PA USD 105705.82000000 0.047131205378 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BJ2 10000.00000000 PA USD 8669.34000000 0.003865411043 Long DBT CORP US N 2 2030-05-04 Fixed 1.75000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 400000.00000000 PA USD 394104.46000000 0.175719920104 Long DBT CORP FR N 2 2026-06-09 Fixed 2.21900000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AH0 270000.00000000 PA USD 263516.14000000 0.117494318808 Long DBT CORP US N 2 2027-07-15 Variable 3.90000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBX0 140000.00000000 PA USD 128215.67000000 0.057167704441 Long DBT CORP US N 2 2030-01-31 Fixed 2.80000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A2E1 190000.00000000 PA USD 184643.05000000 0.082327061190 Long DBT CORP CA N 2 2032-06-08 Fixed 4.45600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H050615 -100000.00000000 PA USD -98547.20000000 -0.04393938122 Short ABS-MBS USGA US N 2 2055-01-15 Fixed 5.00000000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AB1 160000.00000000 PA USD 149566.19000000 0.066687291377 Long DBT CORP US N 2 2030-04-01 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BG4M0 200428.00000000 PA USD 175770.29000000 0.078370950979 Long ABS-MBS USGSE US N 2 2046-01-25 Fixed 2.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0206C8 -1400000.00000000 PA USD -1121743.24000000 -0.50015326522 Short ABS-MBS USGSE US N 2 2054-12-15 Fixed 2.00000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBV3 400000.00000000 PA USD 398161.36000000 0.177528775918 Long DBT CORP MX N 2 2025-01-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCCC0 65940.23000000 PA USD 58980.66000000 0.026297791359 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.00000000 N N N N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887BG3 20000.00000000 PA USD 18091.71000000 0.008066576652 Long DBT CORP US N 2 2044-12-15 Fixed 4.68500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022618 -1800000.00000000 PA USD -1507941.77000000 -0.67234815699 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 2.50000000 N N N N N N Onslow Bay Financial LLC N/A 67115DAA0 363374.44000000 PA USD 305878.21000000 0.136382355639 Long ABS-MBS CORP US N 2 2061-10-25 Variable 1.95700000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZT4 350000.00000000 PA USD 347947.30000000 0.155139761058 Long DBT CORP US N 2 2027-06-15 Fixed 4.38700000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DQ0 100000.00000000 PA USD 82256.27000000 0.036675720930 Long DBT CORP US N 2 2031-02-28 Fixed 1.87500000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 50000.00000000 PA USD 41945.86000000 0.018702460682 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BS6 430000.00000000 PA USD 437966.70000000 0.195276839882 Long DBT CORP US N 2 2029-04-04 Fixed 5.37100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WGQ6 44537.35000000 PA USD 39988.20000000 0.017829596013 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 948.00000000 NC USD 1060242.92000000 0.472732029455 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 2025-03-20 104345507.08000000 USD 1060242.92000000 N N N JP Morgan Chase Commercial Mor N/A 46644PAG4 586094.37000000 PA USD 488824.57000000 0.217952911228 Long ABS-MBS CORP US N 2 2028-05-15 Floating 8.44300000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2D5 260000.00000000 PA USD 259568.93000000 0.115734370631 Long DBT CORP FR N 2 2025-01-09 Fixed 3.37500000 N N N N N N Empower CLO Ltd. N/A 29247BAA5 1000000.00000000 PA USD 1012447.57000000 0.451421448287 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 6.85590000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78015K7H1 180000.00000000 PA USD 176837.28000000 0.078846691339 Long DBT CORP CA N 2 2025-06-10 Fixed 1.15000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 160000.00000000 PA USD 155839.97000000 0.069484590652 Long DBT CORP US N 2 2026-08-18 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381DWC0 2825816.11000000 PA USD 213665.04000000 0.095267137443 Long ABS-MBS USGA US N 2 2061-06-16 Variable 1.42748000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDQS8 443246.49000000 PA USD 392575.20000000 0.175038066757 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAM2 325000.00000000 PA USD 271260.74000000 0.120947414703 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNM33 477039.79000000 PA USD 416951.04000000 0.185906557454 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKD0 370000.00000000 PA USD 318895.27000000 0.142186290827 Long DBT CORP US N 2 2032-10-20 Fixed 2.57200000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAH5 170000.00000000 PA USD 168553.20000000 0.075153056723 Long DBT CORP US N 2 2025-07-01 Fixed 3.37500000 N N N N N N Voya CLO Ltd 54930068MLVF3BECCK93 92917KAQ7 733705.56000000 PA USD 734398.72000000 0.327447409255 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.85590000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381H8D6 1996617.08000000 PA USD 113961.71000000 0.050812270878 Long ABS-MBS USGA US N 2 2064-06-16 Variable 0.61103000 N N N N N N Kings Park CLO Ltd N/A 496094AA1 330000.00000000 PA USD 330650.67000000 0.147427687864 Long ABS-CBDO CORP KY N 2 2035-01-21 Floating 6.00901000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFN23 76469.16000000 PA USD 68328.88000000 0.030465895601 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 17.00000000 NC USD 25500.00000000 0.011369721526 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 2025-03-20 0.00000000 USD 100000.00000000 110.00000000 USD 2024-12-27 XXXX 10329.96000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGFQ7 315453.19000000 PA USD 280098.71000000 0.124888013047 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AV2 350000.00000000 PA USD 333112.39000000 0.148525298486 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -56.00000000 NC USD -7875.00000000 -0.00351123753 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 2025-03-31 0.00000000 USD 100000.00000000 105.75000000 USD 2025-01-24 XXXX 2637.50000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 80.00000000 NC USD 2500.00000000 0.001114678581 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 THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 0.00000000 USD 2500.00000000 95.87500000 USD 2024-12-13 XXXX -64668.00000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0326C3 -200000.00000000 PA USD -181306.92000000 -0.08083957612 Short ABS-MBS USGSE US N 2 2054-12-15 Fixed 3.50000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QCH9 180000.00000000 PA USD 176644.03000000 0.078760526684 Long DBT CORP CA N 2 2025-06-12 Fixed 1.15000000 N N N N N N PRKCM Trust N/A 69357TAA8 913452.26000000 PA USD 768390.47000000 0.342603359518 Long ABS-MBS CORP US N 2 2056-08-25 Variable 1.51000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CM5 100000.00000000 PA USD 95765.17000000 0.042698953524 Long DBT CORP US N 2 2027-02-15 Fixed 3.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 120000.00000000 PA USD 94818.19000000 0.042276722194 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYAR7 291792.02000000 PA USD 252400.42000000 0.112538136809 Long ABS-MBS USGSE US N 2 2041-04-25 Fixed 2.00000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AN7 190000.00000000 PA USD 182807.70000000 0.081508731056 Long DBT CORP US N 2 2026-01-15 Fixed 1.60000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWV2 290000.00000000 PA USD 280930.76000000 0.125259000372 Long DBT CORP US N 2 2029-04-23 Fixed 3.81400000 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 92928QAE8 200000.00000000 PA USD 192103.48000000 0.085653453800 Long DBT CORP US N 2 2028-09-20 Fixed 4.12500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CG2 610000.00000000 PA USD 601279.26000000 0.268093244941 Long DBT CORP GB N 2 2026-06-04 Fixed 2.09900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W5GH5 32074.74000000 PA USD 28924.69000000 0.012896692962 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N GS Mortgage Securities Trust N/A 36255TAA0 658700.78000000 PA USD 480357.54000000 0.214177704434 Long ABS-MBS CORP US N 2 2031-09-15 Floating 6.45700000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0526C1 -800000.00000000 PA USD -799143.10000000 -0.35631507870 Short ABS-MBS USGSE US N 2 2054-12-15 Fixed 5.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662QAA4 299739.85000000 PA USD 258050.92000000 0.115057533338 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.75600000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FMCT7 1905596.30000000 PA USD 64943.29000000 0.028956357738 Long ABS-MBS USGSE US N 2 2029-05-25 Variable 1.08131300 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KTYK0 78945.35000000 PA USD 66976.79000000 0.029863037296 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAL7 30000.00000000 PA USD 28996.98000000 0.012928925008 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N Magnetite CLO Ltd 549300F7COUCG1RROP29 55954YAJ4 710000.00000000 PA USD 710142.43000000 0.316632222487 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 6.00748000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7YH6 61523.89000000 PA USD 54778.32000000 0.024424088004 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RD2 4780000.00000000 PA USD 4326833.58000000 1.929211486165 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 135.00000000 NC USD 71985.59000000 0.032096318127 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 2025-03-31 14454225.01000000 USD 71985.59000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABCD2 74080.93000000 PA USD 62918.53000000 0.028053575096 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568PAE9 380000.00000000 PA USD 384749.24000000 0.171548694762 Long DBT CORP ID N 2 2028-05-21 Fixed 5.45000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 21.00000000 NC USD 5250.00000000 0.002340825020 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put 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 Short US TREASURY N/B United States Treasury Note/Bond 2025-03-20 0.00000000 USD 100000.00000000 109.75000000 USD 2024-12-27 XXXX -4958.21000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TH1 150000.00000000 PA USD 128308.59000000 0.057209134815 Long DBT UST US N 2 2042-05-15 Fixed 3.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RN0 1090000.00000000 PA USD 849178.13000000 0.378624269204 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAU6 190000.00000000 PA USD 193032.80000000 0.086067811040 Long DBT CORP US N 2 2028-02-01 Fixed 5.30000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 496909.10000000 0.221557572200 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.43.V1 Y Default Event 2029-12-20 415735.04000000 USD 0.00000000 USD 19195000.00000000 USD 81174.06000000 N N N SACO I Trust N/A 78386KAA3 1608.52000000 PA USD 1420.00000000 0.000633137434 Long ABS-MBS CORP US N 2 2021-06-25 Variable 3.98200200 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 27.00000000 NC USD 22781.25000000 0.010157508569 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 2025-03-20 0.00000000 USD 100000.00000000 111.00000000 USD 2024-12-27 XXXX -8624.84000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H0526C7 -100000.00000000 PA USD -100102.95000000 -0.04463304570 Short ABS-MBS USGA US N 2 2054-12-15 Fixed 5.50000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAN9 20000.00000000 PA USD 18788.98000000 0.008377469426 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0606C4 -700000.00000000 PA USD -708301.40000000 -0.31581135980 Short ABS-MBS USGSE US N 2 2054-12-15 Fixed 6.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FWL8 633330.04000000 PA USD 618357.74000000 0.275708051282 Long ABS-MBS CORP US N 2 2034-08-25 Variable 6.03719500 N N N N N N Mosaic Solar Loans LLC N/A 61946LAA0 958971.26000000 PA USD 889385.91000000 0.396551769667 Long ABS-O CORP US N 2 2044-02-22 Fixed 4.20000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAP5 600000.00000000 PA USD 614558.69000000 0.274014163417 Long DBT CORP US N 2 2028-02-15 Fixed 5.55000000 N N N N N N New Residential Mortgage Loan N/A 64829NAA2 451632.97000000 PA USD 433550.31000000 0.193307697746 Long ABS-MBS CORP US N 2 2057-05-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XQFP7 96315.74000000 PA USD 79262.49000000 0.035340879953 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BKP6 33332.04000000 PA USD 33290.17000000 0.014843135783 Long ABS-MBS USGA US N 2 2061-02-20 Floating 5.47103000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNXP3 241044.73000000 PA USD 220868.54000000 0.098478972306 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C8DQ5 89346.80000000 PA USD 90275.92000000 0.040251453763 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.50000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAW8 220000.00000000 PA USD 217911.19000000 0.097160374426 Long DBT CORP N/A N 2 2025-05-01 Fixed 2.70000000 N N N N N N GUARDIAN LIFE GLOB FUND 635400NHILJ5JEKILC36 40139LAG8 180000.00000000 PA USD 176433.72000000 0.078666755463 Long DBT CORP US N 2 2025-06-23 Fixed 1.10000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3F8 210000.00000000 PA USD 215453.58000000 0.096064596335 Long DBT CORP US N 2 2034-07-25 Fixed 5.55700000 N N N N N N SOLVENTUM CORP 254900I70403OSGY4M28 83444MAE1 170000.00000000 PA USD 172560.61000000 0.076939846360 Long DBT CORP US N 2 2031-03-13 Fixed 5.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFLM9 269477.70000000 PA USD 239798.25000000 0.106919189219 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 3.00000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661ED5 250000.00000000 PA USD 225006.63000000 0.100324028422 Long DBT CORP US N 2 2028-09-15 Fixed 1.70000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGX6 790000.00000000 PA USD 770594.83000000 0.343586220669 Long DBT CORP US N 2 2035-02-15 Fixed 4.78000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TZ65 401091.45000000 PA USD 392452.61000000 0.174983407378 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVF3 146802.50000000 PA USD 125026.37000000 0.055745686682 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQBZ8 172491.53000000 PA USD 173812.42000000 0.077497992678 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAQ8 600000.00000000 PA USD 589435.79000000 0.262812580008 Long DBT CORP ES N 2 2028-03-24 Fixed 4.17500000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAD7 200000.00000000 PA USD 195736.88000000 0.087273483063 Long DBT CORP US N 2 2027-06-15 Fixed 3.75000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662EAC7 186917.12000000 PA USD 166787.53000000 0.074365794911 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.53800000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0206C8 1400000.00000000 PA USD 1121743.24000000 0.500153265228 Long ABS-MBS USGSE US N 2 2054-12-15 Fixed 2.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CJ1 140000.00000000 PA USD 128090.36000000 0.057111832292 Long DBT CORP US N 2 2033-04-01 Fixed 4.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BLE0 28239.43000000 PA USD 28203.46000000 0.012575117109 Long ABS-MBS USGA US N 2 2061-03-20 Floating 5.47103000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBMQ2 144019.98000000 PA USD 23772.93000000 0.010599670351 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.50000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AU9 10000.00000000 PA USD 9856.87000000 0.004394896746 Long DBT CORP US N 2 2025-05-04 Fixed 1.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEK8 570000.00000000 PA USD 577122.71000000 0.257322529390 Long DBT CORP US N 2 2035-07-22 Fixed 5.29400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XP3K3 195624.34000000 PA USD 197730.51000000 0.088162385727 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKLU1 145568.33000000 PA USD 133136.91000000 0.059361944769 Long ABS-MBS USGA US N 2 2050-05-15 Fixed 3.50000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BB3 260000.00000000 PA USD 320768.19000000 0.143021372350 Long DBT CORP CH N 2 2033-11-15 Fixed 9.01600000 N N N N N N Countrywide Home Equity Loan T N/A 126686AH7 292939.67000000 PA USD 293228.33000000 0.130742135523 Long ABS-O CORP US N 2 2036-11-15 Floating 4.87377000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AB4U3 82795.59000000 PA USD 80360.00000000 0.035830228309 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H042612 100000.00000000 PA USD 96525.68000000 0.043038043207 Long ABS-MBS USGA US N 2 2055-01-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WDN6 52058.04000000 PA USD 47320.33000000 0.021098783319 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMHZ2 90709.13000000 PA USD 91643.42000000 0.040861182947 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12597MAA3 472468.23000000 PA USD 449875.04000000 0.200586428495 Long ABS-MBS CORP US N 2 2050-02-25 Variable 3.24000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBW2 70000.00000000 PA USD 59368.30000000 0.026470628961 Long DBT CORP US N 2 2050-01-31 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFHS3 150793.97000000 PA USD 134511.24000000 0.059974719255 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBZ7 170000.00000000 PA USD 178484.63000000 0.079581197643 Long DBT CORP US N 2 2034-02-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBEM0 709755.89000000 PA USD 611998.30000000 0.272872558660 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 2.00000000 N N N N N N GS Mortgage-Backed Securities N/A 362948AA9 694147.46000000 PA USD 667095.21000000 0.297438696844 Long ABS-MBS CORP US N 2 2061-09-25 Variable 3.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3HQ6 271915.59000000 PA USD 249956.39000000 0.111448413652 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5S4 28958.88000000 PA USD 27498.59000000 0.012260835712 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AT8 50000.00000000 PA USD 50392.06000000 0.022468379974 Long DBT CORP US N 2 2031-01-15 Fixed 5.75000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFT7 230000.00000000 PA USD 233435.58000000 0.104082256432 Long DBT CORP US N 2 2035-07-19 Fixed 5.32000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FLFM3 13418.65000000 PA USD 2340.51000000 0.001043566546 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4.00000000 N N N N N N AREIT CRE Trust N/A 00217VAA8 1809928.46000000 PA USD 1810589.83000000 0.807290281030 Long ABS-CBDO CORP US N 2 2039-06-17 Floating 6.85245000 N N N N N N PT PERTAMINA (PERSERO) 254900NDAKGNZ2IBBL45 69369EAD1 380000.00000000 PA USD 386402.91000000 0.172286018973 Long DBT CORP ID N 2 2042-05-03 Fixed 6.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JF5 400000.00000000 PA USD 373401.13000000 0.166488896701 Long DBT CORP US N 2 2027-08-01 Fixed 2.10000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KA8 350000.00000000 PA USD 346349.20000000 0.154427213922 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N SOLVENTUM CORP 254900I70403OSGY4M28 83444MAG6 330000.00000000 PA USD 335167.74000000 0.149441720335 Long DBT CORP US N 2 2034-03-23 Fixed 5.60000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAQ6 270000.00000000 PA USD 254864.12000000 0.113636630257 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381BDT8 188519.10000000 PA USD 178551.59000000 0.079611053194 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F032617 200000.00000000 PA USD 181369.42000000 0.080867443092 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TD0 7525000.00000000 PA USD 4918292.97000000 2.192926331604 Long DBT UST US N 2 2052-02-15 Fixed 2.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACPG9 90606.70000000 PA USD 91625.63000000 0.040853250894 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 5.50000000 N N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 438516CR5 260000.00000000 PA USD 264965.99000000 0.118140765504 Long DBT CORP US N 2 2031-09-01 Fixed 4.95000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H4C73 6487604.50000000 PA USD 189496.44000000 0.084491049141 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 0.62665100 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AHGQ7 17817.50000000 PA USD 1962.47000000 0.000875009309 Long ABS-MBS USGSE US N 2 2043-12-25 Floating 1.10149000 N N N N N N Credit Suisse Mortgage Trust N/A 12596XAC6 715495.55000000 PA USD 688909.74000000 0.307165172583 Long ABS-MBS CORP US N 2 2049-07-25 Variable 3.87700000 N N N N N N METLIFE CAPITAL TRUST IV N/A 591560AA5 190000.00000000 PA USD 209496.28000000 0.093408406450 Long DBT CORP US N 2 2037-12-15 Fixed 7.87500000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAC9 350000.00000000 PA USD 346696.70000000 0.154582154244 Long DBT CORP MA N 2 2025-10-22 Fixed 4.50000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAR0 160000.00000000 PA USD 143889.58000000 0.064156253145 Long DBT CORP US N 2 2031-03-24 Fixed 3.12500000 N N N N N N Myers Park CLO LTD N/A 62848FAE2 550000.00000000 PA USD 551393.41000000 0.245850569544 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.47901000 N N N N N N GOLDMAN SACHS CAPITAL II N/A 381427AA1 71000.00000000 PA USD 62069.75000000 0.027675128342 Long DBT CORP US N 2 N/A Floating 6.04480000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BR9 420000.00000000 PA USD 398106.34000000 0.177504244072 Long DBT CORP US N 2 2032-06-15 Fixed 3.90000000 N N N N N N Elmwood CLO I Ltd. N/A 290015AW6 970000.00000000 PA USD 977348.50000000 0.435771775670 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 6.13740000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDQ2 20000.00000000 PA USD 17571.32000000 0.007834549617 Long DBT CORP US N 2 2048-12-15 Fixed 4.45000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BK8 40000.00000000 PA USD 41731.51000000 0.018606888140 Long DBT CORP US N 2 2030-11-01 Fixed 5.80000000 N N N N N N Towd Point Mortgage Trust N/A 89173UAF4 1010000.00000000 PA USD 858032.47000000 0.382572166463 Long ABS-MBS CORP US N 2 2057-06-25 Variable 3.67850900 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5P0 25840.58000000 PA USD 24549.32000000 0.010945840473 Long ABS-MBS USGA US N 2 2050-03-15 Fixed 4.00000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAL8 60000.00000000 PA USD 53069.49000000 0.023662169524 Long DBT CORP US N 2 2031-02-15 Fixed 2.70000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AF4 750000.00000000 PA USD 782079.00000000 0.348706683997 Long DBT CORP US N 2 2029-01-15 Fixed 6.35000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016FZQ0 130000.00000000 PA USD 122139.89000000 0.054458687710 Long DBT CORP CA N 2 2032-05-04 Fixed 3.87500000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAZ3 90000.00000000 PA USD 92810.18000000 0.041381407899 Long DBT CORP US N 2 2032-10-15 Fixed 5.60000000 N N N N N N BMP Trust N/A 05593JAA8 1380000.00000000 PA USD 1383580.41000000 0.616898979277 Long ABS-MBS CORP US N 2 2041-06-15 Floating 5.98123000 N N N N N N COLUMBIA PIPELINES OPCO N/A 19828TAB2 310000.00000000 PA USD 326901.77000000 0.145756160451 Long DBT CORP US N 2 2033-11-15 Fixed 6.03600000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBC6 10000.00000000 PA USD 9027.69000000 0.004025189071 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BF1 10000.00000000 PA USD 9521.25000000 0.004245253375 Long DBT CORP US N 2 2030-01-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDX5 157884.02000000 PA USD 143265.99000000 0.063878212178 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178NF95 112234.63000000 PA USD 102087.85000000 0.045518055912 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 80448.83000000 0.035869835068 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-05-15 0.00000000 USD -144469.17000000 USD -831000.00000000 USD 224918.00000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SH5 370000.00000000 PA USD 359045.67000000 0.160088207187 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N Onslow Bay Financial LLC N/A 67114JAA8 420943.54000000 PA USD 344665.20000000 0.153676366429 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.05400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AP3N0 276330.09000000 PA USD 238025.88000000 0.106128940069 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SS8 8320000.00000000 PA USD 4682112.53000000 2.087620220511 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N Freddie Mac - STACR 5493000ISONLNOUKGB71 35564KKY4 1230000.00000000 PA USD 1236856.02000000 0.551478765337 Long ABS-MBS CORP US N 2 2041-10-25 Floating 6.23403000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAP9 50000.00000000 PA USD 45744.29000000 0.020396072107 Long DBT CORP US N 2 2045-01-15 Fixed 4.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELCK7 249839.70000000 PA USD 255940.56000000 0.114116584102 Long ABS-MBS USGSE US N 2 2043-05-01 Floating 6.27800000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RGG3 400000.00000000 PA USD 403420.76000000 0.179873792129 Long ABS-O CORP US N 2 2029-04-20 Fixed 6.23000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGNF2 77820.31000000 PA USD 69310.80000000 0.030903705678 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBV4 340000.00000000 PA USD 319567.99000000 0.142486237457 Long DBT CORP US N 2 2029-07-31 Fixed 3.12500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -454.00000000 NC USD -1373427.18000000 -0.61237194407 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 2025-03-20 -52879572.82000000 USD -1373427.18000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0226C4 1800000.00000000 PA USD 1506605.83000000 0.671752499517 Long ABS-MBS USGSE US N 2 2054-12-15 Fixed 2.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 120000.00000000 PA USD 104928.01000000 0.046784402119 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDK4 140000.00000000 PA USD 136451.83000000 0.060839972898 Long DBT CORP US N 2 2027-04-01 Fixed 3.30000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 123.00000000 NC USD 231038.76000000 0.103013582866 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 2025-03-20 13888977.48000000 USD 231038.76000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CJM4 1510000.00000000 PA USD 1529995.71000000 0.682181378817 Long DBT UST US N 2 2030-11-30 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XL3Q9 170131.86000000 PA USD 174701.36000000 0.077894345629 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6.00000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 21684AAC0 810000.00000000 PA USD 804818.20000000 0.358845443673 Long DBT CORP NL N 2 2025-08-04 Fixed 4.37500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NS6 390000.00000000 PA USD 388755.55000000 0.173334993940 Long DBT CORP US N 2 2028-05-24 Fixed 4.65800000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 82.00000000 NC USD 41795.75000000 0.018635530921 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 2025-03-31 16859173.09000000 USD 41795.75000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F060618 -400000.00000000 PA USD -404540.53000000 -0.18037306558 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 6.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B35Z9 236518.57000000 PA USD 225470.10000000 0.100530676455 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 3.61000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2V5 400000.00000000 PA USD 403026.42000000 0.179697967189 Long DBT CORP FR N 2 2029-01-13 Fixed 5.12500000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AT0 160000.00000000 PA USD 151423.90000000 0.067515591195 Long DBT CORP US N 2 2032-05-15 Fixed 4.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H7G72 100000.00000000 PA USD 91080.52000000 0.040610201918 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 4.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2H6 370000.00000000 PA USD 372332.35000000 0.166012358231 Long DBT CORP FR N 2 2030-01-10 Fixed 5.19800000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 310000.00000000 PA USD 279358.36000000 0.124557912132 Long DBT CORP US N 2 2031-01-22 Fixed 2.69900000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -3.00000000 NC USD -18.75000000 -0.00000836008 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 97.12500000 USD 2024-12-13 XXXX 1662.45000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XUN9 836865.98000000 PA USD 5098.52000000 0.002273284415 Long ABS-MBS USGA US N 2 2055-05-16 Variable 0.18699000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229AW6 6000.00000000 PA USD 6039.52000000 0.002692849433 Long DBT CORP US N 2 2026-04-01 Variable 5.70000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 17.00000000 NC USD 12750.00000000 0.005684860763 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put 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 Short US TREASURY N/B United States Treasury Note/Bond 2025-03-20 0.00000000 USD 100000.00000000 116.00000000 USD 2025-01-24 XXXX -20748.16000000 N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 74977RDN1 510000.00000000 PA USD 496530.49000000 0.221388760817 Long DBT CORP NL N 2 2028-04-06 Fixed 3.64900000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFL8 190000.00000000 PA USD 188390.09000000 0.083997759282 Long DBT CORP US N 2 2026-10-22 Fixed 4.25000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBD4 59000.00000000 PA USD 58943.30000000 0.026281133602 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Aimco 549300MMTPNJGGRMPB33 00900CAL8 1000000.00000000 PA USD 1001009.20000000 0.446321405871 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.92901000 N N N N N N Navient Student Loan Trust N/A 63942FAB1 154003.56000000 PA USD 153807.16000000 0.068578218745 Long ABS-O CORP US N 2 2069-06-25 Floating 5.89851000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVR2 320000.00000000 PA USD 318464.31000000 0.141994138074 Long DBT CORP US N 2 2025-10-21 Fixed 4.25000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAG4 210000.00000000 PA USD 226930.09000000 0.101181644287 Long DBT CORP US N 2 2030-02-01 Variable 7.00000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AT2 10000.00000000 PA USD 9629.42000000 0.004293483288 Long DBT CORP US N 2 2029-04-15 Fixed 3.65000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBG7 300000.00000000 PA USD 293256.39000000 0.130754646676 Long DBT CORP US N 2 2034-09-15 Fixed 5.20000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 260000.00000000 PA USD 258653.36000000 0.115326144123 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBB8 210000.00000000 PA USD 198721.63000000 0.088604297821 Long DBT CORP US N 2 2029-03-15 Fixed 4.05400000 N N N N N N TENNESSEE GAS PIPELINE N/A 880451AZ2 20000.00000000 PA USD 18122.00000000 0.008080082098 Long DBT CORP US N 2 2030-03-01 Fixed 2.90000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RE0 20000.00000000 PA USD 17733.59000000 0.007906901175 Long DBT UST US N 2 2044-02-15 Fixed 3.62500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CHR5 880000.00000000 PA USD 874964.06000000 0.390121478749 Long DBT UST US N 2 2030-07-31 Fixed 4.00000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFP4 100000.00000000 PA USD 97623.12000000 0.043527360351 Long DBT CORP US N 2 2027-07-01 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAX4 610000.00000000 PA USD 602431.91000000 0.268607178648 Long DBT CORP US N 2 2029-12-05 Fixed 4.45200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383CRU6 643074.98000000 PA USD 529261.25000000 0.235982471662 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCQ76 137296.00000000 PA USD 122076.32000000 0.054430343663 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKK99 215170.76000000 PA USD 203430.20000000 0.090703714671 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H0606C0 -400000.00000000 PA USD -404078.48000000 -0.18016705068 Short ABS-MBS USGA US N 2 2054-12-15 Fixed 6.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0306C7 -1000000.00000000 PA USD -871786.44000000 -0.38870466876 Short ABS-MBS USGSE US N 2 2054-12-15 Fixed 3.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12657LAC8 263562.85000000 PA USD 219618.12000000 0.097921445750 Long ABS-MBS CORP US N 2 2056-03-25 Variable 1.16900000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 260000.00000000 PA USD 253402.93000000 0.112985127379 Long DBT CORP US N 2 2031-03-31 Fixed 4.41200000 N N N N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475BQ7 360000.00000000 PA USD 361975.05000000 0.161394334044 Long DBT CORP US N 2 2026-06-12 Fixed 5.81200000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513EBX8 210000.00000000 PA USD 209827.08000000 0.093555900720 Long DBT CORP US N 2 2024-12-15 Fixed 3.15000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TG3 320000.00000000 PA USD 240387.50000000 0.107181918961 Long DBT UST US N 2 2052-05-15 Fixed 2.87500000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BY5 120000.00000000 PA USD 104789.00000000 0.046722421532 Long DBT CORP US N 2 2031-03-15 Fixed 2.60000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKP3 210000.00000000 PA USD 208297.73000000 0.092874007245 Long DBT CORP US N 2 2028-04-27 Fixed 4.37600000 N N N N N N ELI LILLY & CO FRDRIPF3EKNDJ2CQJL29 532457CL0 440000.00000000 PA USD 436173.28000000 0.194477205137 Long DBT CORP US N 2 2034-02-09 Fixed 4.70000000 N N N N N N KENVUE INC 5493008HSF8L4M2LIJ82 49177JAF9 340000.00000000 PA USD 347167.10000000 0.154791892166 Long DBT CORP US N 2 2028-03-22 Fixed 5.05000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCY5 160000.00000000 PA USD 126302.57000000 0.056314707804 Long DBT CORP US N 2 2039-11-01 Fixed 3.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ARFB7 338066.10000000 PA USD 8208.28000000 0.003659837561 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 3.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162TBB8 785000.00000000 PA USD 768524.66000000 0.342663191005 Long ABS-MBS CORP US N 2 2053-05-15 Variable 4.51000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382NZ83 205770.89000000 PA USD 203829.40000000 0.090881706547 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 5.00000000 N N N N N N Ellington Financial Mortgage T N/A 31573CAA3 389566.94000000 PA USD 339257.80000000 0.151265361246 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20600000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TM0 10000.00000000 PA USD 9459.96000000 0.004217925915 Long DBT UST US N 2 2042-11-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H0506C1 -100000.00000000 PA USD -98562.82000000 -0.04394634573 Short ABS-MBS USGA US N 2 2054-12-15 Fixed 5.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46593EAA3 620000.00000000 PA USD 621352.10000000 0.277043150865 Long ABS-MBS CORP US N 2 2039-03-15 Floating 6.20563000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AA9 1160000.00000000 PA USD 1099332.24000000 0.490160840556 Long DBT CORP US N 2 2026-10-25 Fixed 1.75000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADF9 100000.00000000 PA USD 100860.33000000 0.044970739811 Long DBT CORP US N 2 2034-04-15 Fixed 5.15000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AB3 10000.00000000 PA USD 9965.81000000 0.004443469979 Long DBT CORP US N 2 2025-02-01 Variable 3.10000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJM3 220000.00000000 PA USD 226890.24000000 0.101163876311 Long DBT CORP US N 2 2029-06-12 Fixed 5.77500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 20000.00000000 PA USD 20973.40000000 0.009351439900 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -42.00000000 NC USD -5906.25000000 -0.00263342814 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 2025-03-20 0.00000000 USD 100000.00000000 107.50000000 USD 2025-01-24 XXXX 3208.59000000 N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DQ5 720000.00000000 PA USD 507238.43000000 0.226163125363 Long DBT NUSS CO N 2 2049-05-15 Fixed 5.20000000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AC5 940000.00000000 PA USD 819687.10000000 0.365475061414 Long DBT CORP US N 2 2031-10-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACPU8 366796.82000000 PA USD 368374.15000000 0.164247509927 Long ABS-MBS USGA US N 2 2053-08-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AYSU8 23983.01000000 PA USD 2162.48000000 0.000964188055 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 1.35149000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LW9 560000.00000000 PA USD 547875.04000000 0.244281828873 Long DBT CORP US N 2 2029-04-23 Fixed 4.07500000 N N N N N N REPUBLIC OF KAZAKHSTAN 5493007OEK8EF02UO833 486661AF8 350000.00000000 PA USD 328733.39000000 0.146572827484 Long DBT NUSS KZ N 2 2044-10-14 Fixed 4.87500000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RBH9 440000.00000000 PA USD 422869.19000000 0.188545291472 Long DBT CORP US N 2 2033-06-13 Fixed 4.28900000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122ED6 20000.00000000 PA USD 20131.82000000 0.008976203420 Long DBT CORP US N 2 2026-02-20 Fixed 4.95000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAP8 270000.00000000 PA USD 267447.95000000 0.119247400564 Long DBT CORP US N 2 2025-05-15 Fixed 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9M92 439316.81000000 PA USD 374301.52000000 0.166890354880 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -108.00000000 NC USD -3375.00000000 -0.00150481608 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 2025-03-20 0.00000000 USD 100000.00000000 107.00000000 USD 2024-12-27 XXXX 19219.41000000 N N N Hertz Vehicle Financing LLC 549300MNOMKDMDFI8J66 42806MCA5 460000.00000000 PA USD 468360.41000000 0.208828526896 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.94000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383R7N1 200000.00000000 PA USD 162894.90000000 0.072630182397 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 2.50000000 N N N N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAG0 450000.00000000 PA USD 420387.43000000 0.187438745586 Long DBT CORP US N 2 2042-11-08 Fixed 5.25000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 10000.00000000 PA USD 8333.18000000 0.003715526903 Long DBT CORP US N 2 2051-03-20 Fixed 4.08300000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 220000.00000000 PA USD 202235.26000000 0.090170925062 Long DBT CORP US N 2 2033-03-17 Fixed 3.78500000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 1100000.00000000 PA USD 1108116.31000000 0.494077406429 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAE9 200000.00000000 PA USD 197818.01000000 0.088201399477 Long DBT CORP ES N 2 2025-05-28 Fixed 2.74600000 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 045167FH1 1280000.00000000 PA USD 1210985.73000000 0.539943942077 Long DBT NUSS N/A N 2 2027-01-20 Fixed 1.50000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACM7 280000.00000000 PA USD 285157.87000000 0.127143747963 Long DBT CORP US N 2 2026-09-21 Fixed 5.95000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 290000.00000000 PA USD 283591.70000000 0.126445437501 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BT6 130000.00000000 PA USD 115819.52000000 0.051640615284 Long DBT CORP US N 2 2028-08-12 Fixed 1.60000000 N N N N N N SOLVENTUM CORP 254900I70403OSGY4M28 83444MAC5 150000.00000000 PA USD 152167.11000000 0.067846967303 Long DBT CORP US N 2 2029-03-01 Fixed 5.40000000 N N N N N N Carval CLO LTD 254900BDRF474L9PWM54 14688RAA8 1000000.00000000 PA USD 1006818.61000000 0.448911655829 Long ABS-CBDO CORP KY N 2 2037-10-20 Floating 5.96139000 N N N N N N VIRGINIA ST HSG DEV AUTH CMWLT 549300LW3QBOVLQBP895 92812ULT3 223487.34940000 PA USD 223289.50000000 0.099558409209 Long ABS-MBS MUN US N 2 2034-06-25 Fixed 6.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VES9 150000.00000000 PA USD 146066.57000000 0.065126910794 Long DBT CORP US N 2 2029-02-08 Fixed 3.87500000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AA8 30000.00000000 PA USD 26582.42000000 0.011852341682 Long DBT CORP US N 2 2031-07-15 Fixed 2.90200000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BZ5 110000.00000000 PA USD 115004.84000000 0.051277372746 Long DBT CORP US N 2 2033-02-09 Fixed 5.87500000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 40000.00000000 PA USD 39492.00000000 0.017608354609 Long DBT CORP US N 2 2025-06-25 Fixed 2.90000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFQ2 100000.00000000 PA USD 94941.79000000 0.042331831903 Long DBT CORP US N 2 2030-07-01 Fixed 3.60000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 21.00000000 NC USD 18867.20000000 0.008412345489 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 2025-03-31 0.00000000 USD 100000.00000000 107.25000000 USD 2025-01-24 XXXX 5377.74000000 N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 91282CLE9 4190307.90000000 PA USD 4171909.93000000 1.860135456424 Long DBT UST US N 2 2034-07-15 Fixed 1.87500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0606C4 700000.00000000 PA USD 708301.40000000 0.315811359804 Long ABS-MBS USGSE US N 2 2054-12-15 Fixed 6.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -68.00000000 NC USD -70125.00000000 -0.03126673419 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 2025-03-20 0.00000000 USD 100000.00000000 110.25000000 USD 2024-12-06 XXXX -46867.64000000 N N N BENCHMARK Mortgage Trust N/A 08162VAE8 1260000.00000000 PA USD 1202223.96000000 0.536037319137 Long ABS-MBS CORP US N 2 2062-03-15 Fixed 3.71700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6H81 212230.40000000 PA USD 193019.22000000 0.086061756106 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 3.00000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122EG9 130000.00000000 PA USD 132856.44000000 0.059236891209 Long DBT CORP US N 2 2031-02-22 Fixed 5.10000000 N N N N N N Bank N/A 06540DBH7 1700000.00000000 PA USD 1463315.63000000 0.652450636033 Long ABS-MBS CORP US N 2 2064-09-15 Fixed 2.47000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAV1 140000.00000000 PA USD 131832.31000000 0.058780260899 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BGS5 54414.56000000 PA USD 54350.80000000 0.024233469049 Long ABS-MBS USGA US N 2 2058-08-20 Floating 5.32103000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 212.00000000 NC USD 23934.35000000 0.010671642918 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 50967365.66000000 USD 23934.35000000 N N N Cent CLO LP N/A 19737PAA2 1500000.00000000 PA USD 1510496.48000000 0.673487229205 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 6.21740000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 910000.00000000 PA USD 869661.28000000 0.387757120635 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB4M8 31737.52000000 PA USD 29548.40000000 0.013174787433 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MQCZ7 217568.32000000 PA USD 188144.14000000 0.083888097203 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVQG0 518922.17000000 PA USD 86513.51000000 0.038573902627 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBG7 230000.00000000 PA USD 230005.00000000 0.102552658814 Long DBT CORP US N 2 2026-03-15 Fixed 6.41200000 N N N N N N Morgan Stanley BAML Trust N/A 61767CAV0 750000.00000000 PA USD 722609.93000000 0.322191124571 Long ABS-MBS CORP US N 2 2050-05-15 Fixed 3.59900000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHQ5 1060000.00000000 PA USD 1025392.12000000 0.457193053338 Long DBT CORP US N 2 2030-02-07 Fixed 3.97400000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 28.00000000 NC USD 7000.00000000 0.003121100026 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put 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 Short US TREASURY N/B United States Treasury Note/Bond 2025-03-31 0.00000000 USD 100000.00000000 107.00000000 USD 2024-12-27 XXXX -3001.57000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAP3 340000.00000000 PA USD 330326.07000000 0.147282957997 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568PAC3 240000.00000000 PA USD 235832.50000000 0.105150974586 Long DBT CORP ID N 2 2027-05-15 Fixed 4.12500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RC4 550000.00000000 PA USD 490037.11000000 0.218493548175 Long DBT UST US N 2 2043-08-15 Fixed 3.62500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F052615 800000.00000000 PA USD 798799.34000000 0.356161805943 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TZ1 1060000.00000000 PA USD 1063146.88000000 0.474026822260 Long DBT UST US N 2 2044-02-15 Fixed 4.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHG7 460000.00000000 PA USD 448424.82000000 0.199939816826 Long DBT CORP US N 2 2029-03-05 Fixed 3.97000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBV0 130000.00000000 PA USD 126314.64000000 0.056320089472 Long DBT CORP US N 2 2026-11-21 Fixed 2.95000000 N N N N N N Golub Capital Partners CLO Ltd N/A 38179AAA0 1730000.00000000 PA USD 1732572.90000000 0.772504760698 Long ABS-CBDO CORP US N 2 2034-10-25 Floating 6.37748000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0526C1 800000.00000000 PA USD 799143.10000000 0.356315078707 Long ABS-MBS USGSE US N 2 2054-12-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381B4T8 168674.05000000 PA USD 154624.24000000 0.068942531375 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2N2 640000.00000000 PA USD 633062.06000000 0.282264287504 Long DBT CORP US N 2 2026-04-30 Fixed 2.18800000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CX6 131000.00000000 PA USD 128510.26000000 0.057299053707 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AFRX4 290750.31000000 PA USD 11748.75000000 0.005238431991 Long ABS-MBS USGSE US N 2 2032-09-25 Fixed 3.00000000 N N N N N N Freddie Mac - STACR 5493000IS4CDPWRMWB65 35564KWS4 539911.05000000 PA USD 549243.63000000 0.244892044056 Long ABS-MBS CORP US N 2 2042-05-25 Floating 6.93403000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1.00000000 NC USD 312.50000000 0.000139334822 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put 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 Short US TREASURY N/B United States Treasury Note/Bond 2025-03-20 0.00000000 USD 100000.00000000 110.00000000 USD 2024-12-27 XXXX -267.36000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -158.00000000 NC USD -3950.00000000 -0.00176119215 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 0.00000000 USD 2500.00000000 96.75000000 USD 2024-12-13 XXXX 52993.20000000 N N N Deephaven Residential Mortgage N/A 24382JAA4 714804.02000000 PA USD 645514.35000000 0.287816407883 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20500000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBL6 880000.00000000 PA USD 738866.79000000 0.329439594026 Long DBT CORP US N 2 2032-02-04 Fixed 2.45000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBS9 10000.00000000 PA USD 9845.53000000 0.004389840564 Long DBT CORP US N 2 2026-03-01 Fixed 3.15000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0306C7 1000000.00000000 PA USD 871786.44000000 0.388704668768 Long ABS-MBS USGSE US N 2 2054-12-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6PV1 44285.60000000 PA USD 39939.90000000 0.017808060423 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5B1 53889.33000000 PA USD 51204.03000000 0.022830414201 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H0426C8 -100000.00000000 PA USD -96502.24000000 -0.04302759198 Short ABS-MBS USGA US N 2 2054-12-15 Fixed 4.50000000 N N N N N N Galaxy CLO Ltd 3912004FNLYTWOWSZU31 36321EAC9 780000.00000000 PA USD 786514.76000000 0.350684462662 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 6.16740000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513EAD3 10000.00000000 PA USD 8794.65000000 0.003921283193 Long DBT CORP US N 2 2030-07-01 Fixed 2.25000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBL3 190000.00000000 PA USD 181121.00000000 0.080756679711 Long DBT CORP US N 2 2030-04-06 Fixed 3.63300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2DY3 200654.87000000 PA USD 14693.66000000 0.006551483231 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 1.32989000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUU4 78967.75000000 PA USD 68496.80000000 0.030540766332 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAW5 550000.00000000 PA USD 513711.70000000 0.229049371530 Long DBT CORP IE N 2 2028-10-29 Fixed 3.00000000 N N N N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAF9 550000.00000000 PA USD 560340.72000000 0.249839919470 Long DBT CORP AT N 2 2029-01-15 Fixed 6.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 293791AP4 10000.00000000 PA USD 11191.41000000 0.004989930007 Long DBT CORP US N 2 2034-10-15 Fixed 6.65000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H0506C1 100000.00000000 PA USD 98562.82000000 0.043946345736 Long ABS-MBS USGA US N 2 2054-12-15 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FREM9 3100000.00000000 PA USD 192329.58000000 0.085754265331 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.49987300 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHLW9 110000.00000000 PA USD 110652.22000000 0.049336663832 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 6.11264000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AK0 10000.00000000 PA USD 9889.38000000 0.004409392026 Long DBT CORP US N 2 2028-08-15 Fixed 4.75000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JT9 670000.00000000 PA USD 668312.71000000 0.297981545313 Long DBT CORP US N 2 2025-06-10 Fixed 4.40000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05581KAG6 490000.00000000 PA USD 512391.32000000 0.228460651808 Long DBT CORP FR N 2 2034-12-05 Fixed 5.89400000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F030611 1000000.00000000 PA USD 872411.44000000 0.388983338414 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 3.00000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABC4 620000.00000000 PA USD 611574.23000000 0.272683477962 Long DBT CORP DK N 2 2028-04-01 Fixed 4.29800000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -64.00000000 NC USD -9000.00000000 -0.00401284289 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 2025-03-31 0.00000000 USD 100000.00000000 108.00000000 USD 2024-12-06 XXXX -610.69000000 N N N HUMANA INC 529900YLDW34GJAO4J06 444859BZ4 10000.00000000 PA USD 10299.05000000 0.004592052176 Long DBT CORP US N 2 2028-12-01 Fixed 5.75000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F060618 700000.00000000 PA USD 707945.93000000 0.315652865886 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 6.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 79.00000000 NC USD 493.75000000 0.000220149019 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 0.00000000 USD 2500.00000000 97.25000000 USD 2024-12-13 XXXX -13497.15000000 N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887BF5 23000.00000000 PA USD 22986.08000000 0.010248836415 Long DBT CORP US N 2 2024-12-15 Fixed 3.73400000 N N N N N N Ellington Financial Mortgage T N/A 31572LAA4 868756.60000000 PA USD 719948.24000000 0.321004353038 Long ABS-MBS CORP US N 2 2066-06-25 Variable 0.93100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVN6 755593.90000000 PA USD 642802.76000000 0.286607387365 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 2.00000000 N N N N N N BRAVO Residential Funding Trus N/A 10569JAA8 296040.32000000 PA USD 294642.62000000 0.131372727031 Long ABS-MBS CORP US N 2 2062-07-25 Variable 5.10800000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FLNB6 2420416.53000000 PA USD 52000.95000000 0.023185738063 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 0.70559900 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 14.00000000 NC USD 8312.50000000 0.003706306282 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put 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 Short US TREASURY N/B United States Treasury Note/Bond 2025-03-20 0.00000000 USD 100000.00000000 110.00000000 USD 2025-01-24 XXXX -4617.97000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFY2 290000.00000000 PA USD 287071.68000000 0.127997061169 Long DBT UST US N 2 2029-11-30 Fixed 3.87500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 60000.00000000 PA USD 55881.57000000 0.024915995661 Long DBT CORP US N 2 2047-03-01 Fixed 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A92R8 354994.65000000 PA USD 320259.17000000 0.142794414874 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 3.00000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAQ7 100000.00000000 PA USD 90470.61000000 0.040338260472 Long DBT CORP US N 2 2030-02-15 Fixed 2.72200000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -34.00000000 NC USD -11156.25000000 -0.00497425316 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 2025-03-20 0.00000000 USD 100000.00000000 111.00000000 USD 2025-02-21 XXXX 18003.68000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F062614 400000.00000000 PA USD 409447.78000000 0.182561068170 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 6.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CLF6 640000.00000000 PA USD 623750.00000000 0.278112305973 Long DBT UST US N 2 2034-08-15 Fixed 3.87500000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BC0 32000.00000000 PA USD 36829.42000000 0.016421186250 Long DBT CORP US N 2 2039-12-16 Fixed 6.85000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122EH7 290000.00000000 PA USD 296979.52000000 0.132414683982 Long DBT CORP US N 2 2034-02-22 Fixed 5.20000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAS9 980000.00000000 PA USD 704382.32000000 0.314063953991 Long DBT NUSS MX N 2 2052-02-12 Fixed 4.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BJN3 208526.43000000 PA USD 208202.28000000 0.092831448817 Long ABS-MBS USGA US N 2 2060-11-20 Floating 5.42103000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TQ1 1700000.00000000 PA USD 1576882.80000000 0.703086992797 Long DBT UST US N 2 2043-02-15 Fixed 3.87500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MQ1 210000.00000000 PA USD 208722.26000000 0.093063293044 Long DBT CORP US N 2 2026-04-08 Fixed 3.10600000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBB0 3000.00000000 PA USD 2913.46000000 0.001299028583 Long DBT CORP US N 2 2027-08-15 Fixed 3.55700000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 310000.00000000 PA USD 276303.18000000 0.123195694649 Long DBT CORP GB N 2 2031-06-04 Fixed 2.84800000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -455156.99000000 -0.20294149910 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2031-04-30 0.00000000 USD -327608.90000000 USD -18296000.00000000 USD -127548.09000000 N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAC9 130000.00000000 PA USD 123181.12000000 0.054922942421 Long DBT CORP US N 2 2045-09-15 Fixed 5.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H0426C8 100000.00000000 PA USD 96502.24000000 0.043027591980 Long ABS-MBS USGA US N 2 2054-12-15 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFC0 3730000.00000000 PA USD 3498477.74000000 1.559871281229 Long DBT UST US N 2 2029-07-31 Fixed 2.62500000 N N N N N N COTERRA ENERGY INC FCNMH6O7VWU7LHXMK351 127097AG8 720000.00000000 PA USD 705304.51000000 0.314475132167 Long DBT CORP US N 2 2027-05-15 Fixed 3.90000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BZ8 140000.00000000 PA USD 120913.33000000 0.053911799646 Long DBT CORP US N 2 2031-05-12 Fixed 2.10000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 20000.00000000 PA USD 15203.49000000 0.006778801864 Long DBT CORP US N 2 2049-09-01 Fixed 3.62500000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AR8 210000.00000000 PA USD 181669.00000000 0.081001017256 Long DBT CORP US N 2 2031-01-15 Fixed 2.15000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FQ6 250000.00000000 PA USD 208274.11000000 0.092863475762 Long DBT CORP US N 2 2036-04-06 Fixed 2.89100000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 32.00000000 NC USD 15750.02000000 0.007022483978 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 2025-03-31 0.00000000 USD 100000.00000000 107.25000000 USD 2024-12-06 XXXX 4694.66000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H0606C0 400000.00000000 PA USD 404078.48000000 0.180167050688 Long ABS-MBS USGA US N 2 2054-12-15 Fixed 6.00000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140AS9 10000.00000000 PA USD 9927.96000000 0.004426593746 Long DBT CORP US N 2 2025-07-29 Fixed 3.70000000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CBK9 1270000.00000000 PA USD 1395674.50000000 0.622291388509 Long ABS-O CORP US N 2 2032-12-15 Fixed 14.59200000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SU3 3590000.00000000 PA USD 2154841.42000000 0.960782230577 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 28.00000000 NC USD 19250.00000000 0.008583025074 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 2025-03-31 0.00000000 USD 100000.00000000 107.25000000 USD 2024-12-27 XXXX 8264.06000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JU6 4000.00000000 PA USD 3641.70000000 0.001623729995 Long DBT CORP US N 2 2045-07-30 Fixed 4.65000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SP4 30000.00000000 PA USD 15803.32000000 0.007046248925 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CC4 160000.00000000 PA USD 129563.19000000 0.057768525114 Long DBT CORP US N 2 2040-04-15 Fixed 3.30000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 21.00000000 NC USD 17718.75000000 0.007900284443 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 2025-03-20 0.00000000 USD 100000.00000000 111.00000000 USD 2024-12-27 XXXX 5213.67000000 N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325VKQ6 71006.80000000 PA USD 7727.92000000 0.003445658760 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 1.17989000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAH6 10000.00000000 PA USD 8880.50000000 0.003959561255 Long DBT CORP US N 2 2030-06-01 Fixed 2.30000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CF1 310000.00000000 PA USD 303035.99000000 0.135115090936 Long DBT CORP US N 2 2027-04-13 Fixed 3.30000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFX7 514000.00000000 PA USD 431963.05000000 0.192599983856 Long DBT CORP US N 2 2030-10-30 Fixed 1.68000000 N N N N N N College Ave Student Loans N/A 19424WAD9 937598.68000000 PA USD 855008.99000000 0.381224083104 Long ABS-O CORP US N 2 2055-07-26 Fixed 3.06000000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BD8 270000.00000000 PA USD 200005.11000000 0.089176564887 Long DBT CORP IN N 2 2052-01-12 Fixed 3.62500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0626C0 -400000.00000000 PA USD -409541.52000000 -0.18260286415 Short ABS-MBS USGSE US N 2 2054-12-15 Fixed 6.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TJ7 4270000.00000000 PA USD 3293904.69000000 1.468658002391 Long DBT UST US N 2 2052-08-15 Fixed 3.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967ME8 890000.00000000 PA USD 857998.68000000 0.382557100467 Long DBT CORP US N 2 2030-03-20 Fixed 3.98000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CW7 100000.00000000 PA USD 98372.86000000 0.043861647999 Long DBT CORP US N 2 2029-05-03 Fixed 4.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADXW4 1097.24000000 PA USD 29.75000000 0.000013264675 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BN3N4 155689.39000000 PA USD 144053.73000000 0.064229442940 Long ABS-MBS USGSE US N 2 2052-09-25 Fixed 4.00000000 N N N N N N Western Asset Premier Institutional Government Reserves 549300WB3XRN9YTWFB76 52470G494 17133454.25000000 NS USD 17133454.25000000 7.639317788782 Long STIV RF US N 1 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAKS2 332302.05000000 PA USD 290256.22000000 0.129416956580 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AH6 470000.00000000 PA USD 482757.61000000 0.215247827083 Long DBT CORP US N 2 2026-02-01 Fixed 7.85000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 40.00000000 NC USD 8125.00000000 0.003622705388 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put 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 Short US TREASURY N/B United States Treasury Note/Bond 2025-03-20 0.00000000 USD 100000.00000000 109.50000000 USD 2024-12-27 XXXX -20381.70000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CLL3 370000.00000000 PA USD 362874.61000000 0.161795422150 Long DBT UST US N 2 2027-09-15 Fixed 3.37500000 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAL6 90000.00000000 PA USD 85124.68000000 0.037954663006 Long DBT CORP US N 2 2027-04-15 Fixed 1.90000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2L6 80000.00000000 PA USD 78506.84000000 0.035003957205 Long DBT CORP US N 2 2031-04-04 Fixed 4.47800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XQX2 1071754.78000000 PA USD 6433.96000000 0.002868718961 Long ABS-MBS USGA US N 2 2054-08-16 Variable 0.19475000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 49.00000000 NC USD 36977.85000000 0.016487366947 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2024-12-17 11629922.15000000 USD 36977.85000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382MTZ2 136840.85000000 PA USD 135361.41000000 0.060353785771 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGV97 76708.89000000 PA USD 69184.67000000 0.030847467914 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 79.00000000 NC USD 18268.75000000 0.008145513731 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 0.00000000 USD 2500.00000000 96.25000000 USD 2024-12-13 XXXX -36209.65000000 N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BP3K5 200000.00000000 PA USD 189882.14000000 0.084663021753 Long ABS-MBS USGSE US N 2 2032-09-25 Variable 3.89339000 N N N N N N 280 Park Avenue Mortgage Trust N/A 90205FAA8 730000.00000000 PA USD 719671.89000000 0.320881136468 Long ABS-MBS CORP US N 2 2034-09-15 Floating 5.80300000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABX2 130000.00000000 PA USD 109985.68000000 0.049039472687 Long DBT CORP US N 2 2031-11-15 Fixed 2.25000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFM6 230000.00000000 PA USD 229693.56000000 0.102413796615 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N Onslow Bay Financial LLC N/A 670857AA9 279343.41000000 PA USD 230125.34000000 0.102606314982 Long ABS-MBS CORP US N 2 2061-05-25 Variable 1.10100000 N N N N N N PRKCM Trust N/A 69361JAA4 396909.53000000 PA USD 347948.95000000 0.155140496746 Long ABS-MBS CORP US N 2 2056-11-25 Variable 2.07100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXF98 64709.85000000 PA USD 60738.99000000 0.027081780475 Long ABS-MBS USGSE US N 2 2057-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BCD80 686539.44000000 PA USD 104874.94000000 0.046760739722 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.50000000 N N N N N N AMERICAN TRANSMISSION SY N/A 030288AC8 140000.00000000 PA USD 121173.69000000 0.054027886732 Long DBT CORP US N 2 2032-01-15 Fixed 2.65000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DBJ3 10000.00000000 PA USD 10159.62000000 0.004529884322 Long DBT CORP US N 2 2034-11-14 Fixed 5.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHNF4 110000.00000000 PA USD 110650.54000000 0.049335914768 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 6.00000000 N N N N N N CIFC Funding Ltd N/A 17181UAA6 750000.00000000 PA USD 756165.46000000 0.337152576798 Long ABS-CBDO CORP KY N 2 2037-04-22 Floating 6.15163000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 72.00000000 NC USD 105750.00000000 0.047150903978 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 2025-03-20 0.00000000 USD 100000.00000000 109.75000000 USD 2024-12-06 XXXX 66453.56000000 N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAW4 170000.00000000 PA USD 167143.50000000 0.074524511765 Long DBT CORP US N 2 2033-03-15 Fixed 4.60000000 N N N N N N SMB Private Education Loan Tru N/A 831943AA3 1214567.17000000 PA USD 1225759.65000000 0.546531210950 Long ABS-O CORP US N 2 2056-03-15 Fixed 5.24000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKCJ7 90470.75000000 PA USD 90995.72000000 0.040572392020 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.50000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AU7 40000.00000000 PA USD 34384.50000000 0.015331066268 Long DBT CORP US N 2 2052-05-15 Fixed 4.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AETS6 14880.09000000 PA USD 1582.08000000 0.000705404275 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 1.30149000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEH1 480000.00000000 PA USD 470339.42000000 0.209710910919 Long DBT CORP US N 2 2029-05-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FXC89 77474.62000000 PA USD 10673.18000000 0.004758866055 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2.00000000 N N N N N N Palmer Square CLO Ltd 549300Y43K78UTRMTN21 69700GAJ1 750000.00000000 PA USD 752193.19000000 0.335381455083 Long ABS-CBDO CORP KY N 2 2034-11-14 Floating 5.92841000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BB2 390000.00000000 PA USD 339148.80000000 0.151216761260 Long DBT CORP IN N 2 2032-01-12 Fixed 2.87500000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBF9 128000.00000000 PA USD 125291.87000000 0.055864065547 Long DBT CORP US N 2 2030-01-15 Fixed 4.50000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CP2 10000.00000000 PA USD 8765.22000000 0.003908161196 Long DBT CORP US N 2 2030-05-01 Fixed 2.10000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DH9 120000.00000000 PA USD 122057.38000000 0.054421898858 Long DBT CORP US N 2 2031-02-13 Fixed 5.12500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SH2 600000.00000000 PA USD 453667.97000000 0.202277587627 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLDT2 88542.45000000 PA USD 75330.77000000 0.033587838325 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.00000000 N N N N N N Mill City Mortgage Trust N/A 59981AAC0 481315.42000000 PA USD 466285.67000000 0.207903459600 Long ABS-MBS CORP US N 2 2069-10-25 Variable 3.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XCY5 148546.89000000 PA USD 99.93000000 0.000044555932 Long ABS-MBS USGA US N 2 2054-06-16 Variable 0.13155000 N N N N N N Credit Suisse Mortgage Trust N/A 22946DAA0 446998.94000000 PA USD 371951.98000000 0.165842762114 Long ABS-MBS CORP US N 2 2066-05-25 Variable 0.93800000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAL7 100000.00000000 PA USD 97876.84000000 0.043640486851 Long DBT CORP US N 2 2032-06-01 Fixed 4.40000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -56.00000000 NC USD -18375.00000000 -0.00819288757 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 2025-03-31 0.00000000 USD 100000.00000000 109.25000000 USD 2025-02-21 XXXX -6003.12000000 N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KQ9 460000.00000000 PA USD 471181.11000000 0.210086196445 Long DBT CORP US N 2 2029-05-15 Fixed 5.55000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8U9 170000.00000000 PA USD 170020.10000000 0.075807105527 Long DBT CORP US N 2 2034-08-15 Fixed 4.75000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CL2 8000.00000000 PA USD 7946.73000000 0.003543219888 Long DBT CORP US N 2 2025-07-20 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACKW9 270135.47000000 PA USD 268419.16000000 0.119680435358 Long ABS-MBS USGA US N 2 2053-05-20 Fixed 5.00000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBD4 356000.00000000 PA USD 356940.35000000 0.159149505143 Long DBT CORP US N 2 2027-10-15 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBME9 700000.00000000 PA USD 546847.28000000 0.243823580049 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378KTM1 3097595.37000000 PA USD 25570.96000000 0.011401360563 Long ABS-MBS USGA US N 2 2047-04-16 Variable 0.38347000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAU7 20000.00000000 PA USD 17600.01000000 0.007847341669 Long DBT CORP US N 2 2045-06-15 Fixed 5.00000000 N N N N N N Rad CLO Ltd N/A 74923VAA8 1000000.00000000 PA USD 1010288.81000000 0.450458918874 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 6.44740000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 430000.00000000 PA USD 408887.57000000 0.182311286535 Long DBT CORP US N 2 2051-04-04 Fixed 5.01300000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SF6 1570000.00000000 PA USD 1217669.93000000 0.542924235906 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 32.00000000 NC USD 36500.00000000 0.016274307283 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 2025-03-20 0.00000000 USD 100000.00000000 110.50000000 USD 2024-12-27 XXXX 16444.64000000 N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAZ8 120000.00000000 PA USD 101885.23000000 0.045427713442 Long DBT CORP US N 2 2030-06-24 Fixed 1.45000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SX7 3320000.00000000 PA USD 2243723.43000000 1.000412179692 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -34.00000000 NC USD -1593.75000000 -0.00071060759 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 2025-03-20 0.00000000 USD 100000.00000000 107.50000000 USD 2024-12-27 XXXX 5784.93000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022618 1800000.00000000 PA USD 1507941.77000000 0.672348156998 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BA77 141374.52000000 PA USD 141038.63000000 0.062885095984 Long ABS-MBS USGA US N 2 2062-12-20 Floating 5.32103000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0BK7 263461.09000000 PA USD 270243.95000000 0.120494057089 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CJX0 2720000.00000000 PA USD 2701671.88000000 1.204598311069 Long DBT UST US N 2 2031-01-31 Fixed 4.00000000 N N N N N N CHUBB INA HOLDINGS LLC CZCBJZWDMLTHWJDXU843 00440EAV9 10000.00000000 PA USD 9848.62000000 0.004391218306 Long DBT CORP US N 2 2026-05-03 Fixed 3.35000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAV7 510000.00000000 PA USD 487686.73000000 0.217445580878 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9LV4 426868.48000000 PA USD 383638.57000000 0.171053478738 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.00000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BQ2 170000.00000000 PA USD 166220.56000000 0.074112999185 Long DBT CORP US N 2 2027-03-25 Fixed 3.75000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AM0 580000.00000000 PA USD 578624.97000000 0.257992344208 Long DBT CORP CH N 2 2026-05-12 Fixed 4.48800000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DH0 430000.00000000 PA USD 419010.51000000 0.186824816293 Long DBT CORP US N 2 2027-04-01 Fixed 3.62500000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942AS1 270000.00000000 PA USD 325106.79000000 0.144955830147 Long DBT NUSS UY N 2 2036-03-21 Fixed 7.62500000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBY8 50000.00000000 PA USD 38257.17000000 0.017057779188 Long DBT CORP US N 2 2051-01-31 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFZ0 38407.17000000 PA USD 36050.32000000 0.016073807817 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FW3E8 152067.41000000 PA USD 24844.73000000 0.011077555353 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAP0 260000.00000000 PA USD 233061.08000000 0.103915277581 Long DBT CORP KZ N 2 2047-04-19 Fixed 5.75000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCT6 80000.00000000 PA USD 78880.10000000 0.035170383176 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CF5 180000.00000000 PA USD 182222.08000000 0.081247619828 Long DBT CORP US N 2 2030-02-10 Fixed 5.12500000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBX6 680000.00000000 PA USD 637751.71000000 0.284355268467 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFBC4 75951.40000000 PA USD 67600.34000000 0.030141060428 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DC6 1270000.00000000 PA USD 1277606.03000000 0.569648030666 Long DBT CORP US N 2 2026-03-15 Fixed 5.55000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFF3 1430000.00000000 PA USD 1298199.80000000 0.578830204395 Long DBT UST US N 2 2032-08-15 Fixed 2.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TS7 4000000.00000000 PA USD 3703203.12000000 1.651152479663 Long DBT UST US N 2 2043-05-15 Fixed 3.87500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 180000.00000000 PA USD 151712.84000000 0.067644421287 Long DBT CORP US N 2 2032-02-01 Fixed 2.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABKC5 78178.40000000 PA USD 65747.40000000 0.029314887416 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XW72 788715.68000000 PA USD 6198.20000000 0.002763600312 Long ABS-MBS USGA US N 2 2054-08-16 Variable 0.36904000 N N N N N N Fannie Mae - CAS N/A 20754AAB9 2140000.00000000 PA USD 2158951.84000000 0.962614949430 Long ABS-MBS CORP US N 2 2041-12-25 Floating 6.38403000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBP4 90000.00000000 PA USD 83976.54000000 0.037442740179 Long DBT CORP US N 2 2047-12-01 Fixed 5.20000000 N N N N N N FOUNDRY JV HOLDCO LLC 21380048QROAMGM6EP30 350930AB9 1110000.00000000 PA USD 1131154.74000000 0.504349584214 Long DBT CORP US N 2 2030-01-25 Fixed 5.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKP78 129830.75000000 PA USD 108762.76000000 0.048494207595 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HS3 26000.00000000 PA USD 25721.91000000 0.011468664856 Long DBT CORP US N 2 2044-05-06 Fixed 5.30000000 N N N N N N Nelnet Student Loan Trust N/A 64031CAA0 306359.76000000 PA USD 305874.58000000 0.136380737126 Long ABS-O CORP US N 2 2033-12-26 Floating 5.64851000 N N N N N N Hertz Vehicle Financing LLC N/A 42806MAG4 1090000.00000000 PA USD 1017469.98000000 0.453660797428 Long ABS-O CORP US N 2 2027-12-27 Fixed 2.52000000 N N N N N N Dryden Senior Loan Fund N/A 26246GAA1 1020000.00000000 PA USD 1025120.92000000 0.457072133006 Long ABS-CBDO CORP KY N 2 2034-05-20 Floating 5.88261000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BH5 310000.00000000 PA USD 314193.72000000 0.140090003994 Long DBT CORP US N 2 2026-11-01 Fixed 5.55000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AS0 40000.00000000 PA USD 39160.11000000 0.017460374339 Long DBT CORP US N 2 2028-01-15 Fixed 4.37500000 N N N N N N Aqua Finance Trust N/A 03842VAB3 1050000.00000000 PA USD 902027.07000000 0.402188101784 Long ABS-O CORP US N 2 2046-07-17 Fixed 2.40000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RG5 10000.00000000 PA USD 8528.91000000 0.003802797318 Long DBT UST US N 2 2044-05-15 Fixed 3.37500000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513ECV1 190000.00000000 PA USD 202363.99000000 0.090228322091 Long DBT CORP US N 2 2031-03-15 Fixed 6.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DR8 170000.00000000 PA USD 139648.16000000 0.062265125134 Long DBT CORP US N 2 2031-09-15 Fixed 2.12500000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DJ5 110000.00000000 PA USD 111696.69000000 0.049802363167 Long DBT CORP US N 2 2034-02-13 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9QM9 273520.01000000 PA USD 232274.18000000 0.103564421351 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 296000.00000000 PA USD 295884.50000000 0.131926445846 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N Hildene Community Funding CLO 549300845E8YWIPN4S43 43133KAC9 361743.18000000 PA USD 303763.68000000 0.135439547119 Long ABS-CBDO CORP KY N 2 2035-11-01 Fixed 2.60000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RJX1 210000.00000000 PA USD 198681.85000000 0.088586561055 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N COTERRA ENERGY INC FCNMH6O7VWU7LHXMK351 127097AK9 310000.00000000 PA USD 302011.96000000 0.134658505213 Long DBT CORP US N 2 2029-03-15 Fixed 4.37500000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001MAF7 760000.00000000 PA USD 731815.93000000 0.326295816978 Long ABS-MBS CORP US N 2 2050-07-15 Fixed 3.45300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383FHR7 77309.92000000 PA USD 65269.16000000 0.029101653862 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 2.00000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBQ5 480000.00000000 PA USD 504348.83000000 0.224874735272 Long DBT CORP US N 2 2028-11-01 Fixed 6.20000000 N N N N N N New Residential Mortgage Loan N/A 64831TAC1 251623.54000000 PA USD 219352.44000000 0.097802986628 Long ABS-MBS CORP US N 2 2056-11-27 Variable 1.51626000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0226C4 -1800000.00000000 PA USD -1506605.83000000 -0.67175249951 Short ABS-MBS USGSE US N 2 2054-12-15 Fixed 2.50000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46514BRL3 300000.00000000 PA USD 301200.00000000 0.134296475445 Long DBT NUSS IL N 2 2034-03-12 Fixed 5.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGL8 250000.00000000 PA USD 247622.03000000 0.110407589215 Long DBT CORP US N 2 2027-07-22 Fixed 4.30000000 N N N N N N Morgan Stanley BAML Trust N/A 61765TAF0 1245000.00000000 PA USD 1228173.08000000 0.547607290441 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 3.63500000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BT2 190000.00000000 PA USD 120129.59000000 0.053562352369 Long DBT CORP US N 2 2050-06-03 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGRZ4 74688.90000000 PA USD 67363.54000000 0.030035478072 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.00000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638BM3 110000.00000000 PA USD 108115.24000000 0.048205496925 Long DBT NUSS PE N 2 2050-11-18 Fixed 5.62500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGR4 440000.00000000 PA USD 427228.42000000 0.190488947596 Long DBT CORP US N 2 2028-07-21 Fixed 3.59300000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGZ8 180000.00000000 PA USD 174758.20000000 0.077919688961 Long DBT UST US N 2 2030-04-30 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNBV4 83145.85000000 PA USD 73319.69000000 0.032691155205 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 100000.00000000 PA USD 89237.15000000 0.039788295895 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXTS1 319973.22000000 PA USD 262361.69000000 0.116979582532 Long ABS-MBS USGSE US N 2 2061-09-01 Fixed 2.50000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBT9 320000.00000000 PA USD 315203.84000000 0.140540387645 Long DBT CORP US N 2 2028-10-16 Fixed 4.15000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -165.00000000 NC USD -1031.25000000 -0.00045980491 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 97.12500000 USD 2024-12-13 XXXX 88484.75000000 N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAG6 440000.00000000 PA USD 441064.44000000 0.196658033653 Long DBT CORP CA N 2 2034-03-01 Fixed 5.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHD4 592000.00000000 PA USD 569067.99000000 0.253731159846 Long DBT CORP US N 2 2028-12-20 Fixed 3.41900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H060614 400000.00000000 PA USD 403765.98000000 0.180027715865 Long ABS-MBS USGA US N 2 2055-01-15 Fixed 6.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JP7 820000.00000000 PA USD 815178.29000000 0.363464711841 Long DBT CORP US N 2 2025-04-27 Fixed 3.30000000 N N N N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 68560EAA6 340000.00000000 PA USD 322229.87000000 0.143673093706 Long DBT CORP MX N 2 2026-05-11 Fixed 1.87500000 N N N N N N AON NORTH AMERICA INC N/A 03740MAB6 340000.00000000 PA USD 345587.49000000 0.154087589193 Long DBT CORP US N 2 2029-03-01 Fixed 5.15000000 N N N N N N MidOcean Credit CLO 5493004MLF21SFT7F415 59801WAR7 741276.09000000 PA USD 743285.24000000 0.331409654656 Long ABS-CBDO CORP KY N 2 2029-07-15 Floating 6.51751000 N N N N N N PRINCIPAL LFE GLB FND II 635400WSLKBQWSOIIT41 74256LEE5 160000.00000000 PA USD 156948.68000000 0.069978932768 Long DBT CORP US N 2 2025-06-23 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDDH6 385394.18000000 PA USD 327684.45000000 0.146105135103 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 2.00000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BM1 100000.00000000 PA USD 83736.41000000 0.037335673072 Long DBT CORP US N 2 2050-03-25 Fixed 4.75000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 80000.00000000 PA USD 69015.85000000 0.030772195899 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAHA5 33050.75000000 PA USD 29630.76000000 0.013211509404 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXET5 482871.29000000 PA USD 435507.42000000 0.194180317185 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3.50000000 N N N N N N CREDIT AGRICOLE LONDON 969500TJ5KRTCJQWXH05 22535WAG2 400000.00000000 PA USD 393301.80000000 0.175362036940 Long DBT CORP FR N 2 2026-06-16 Fixed 1.90700000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCC7 170000.00000000 PA USD 163481.51000000 0.072891735038 Long DBT CORP US N 2 2026-03-25 Fixed 1.65000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJC5 120000.00000000 PA USD 113747.79000000 0.050716890062 Long DBT CORP US N 2 2028-01-27 Fixed 2.21500000 N N N N N N GoodLeap Sustainable Home Impr N/A 38237JAB9 806781.78000000 PA USD 619981.87000000 0.276432204452 Long ABS-O CORP US N 2 2049-01-20 Fixed 2.94000000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AQ0 150000.00000000 PA USD 129388.21000000 0.057690506531 Long DBT CORP US N 2 2030-08-15 Fixed 1.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H052611 100000.00000000 PA USD 100024.83000000 0.044598214229 Long ABS-MBS USGA US N 2 2055-01-15 Fixed 5.50000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBA0 310000.00000000 PA USD 300290.53000000 0.133890968753 Long DBT CORP US N 2 2027-03-15 Fixed 3.75500000 N N N N N N STRIP PRINC 254900HROIFWPRGM1V77 912803FJ7 5220000.00000000 PA USD 1748258.54000000 0.779498539473 Long DBT UST US N 2 2049-05-15 None 0.00000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BJ1 340000.00000000 PA USD 350724.06000000 0.156377839017 Long DBT CORP US N 2 2028-11-01 Fixed 5.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DUB6 53238.33000000 PA USD 46356.87000000 0.020669204029 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 2.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDS5 450000.00000000 PA USD 454069.31000000 0.202456533668 Long DBT CORP US N 2 2029-03-15 Fixed 4.80000000 N N N N N N MEGLOBAL BV 549300WBVLU2FILR7W19 29441WAD7 600000.00000000 PA USD 547359.30000000 0.244051875140 Long DBT CORP NL N 2 2028-04-28 Fixed 2.62500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAR7 410000.00000000 PA USD 400578.28000000 0.178606411500 Long DBT CORP US N 2 2029-04-23 Fixed 4.00500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TL2 3390000.00000000 PA USD 3161572.27000000 1.409654756730 Long DBT UST US N 2 2052-11-15 Fixed 4.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 570000.00000000 PA USD 474378.66000000 0.211511892644 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F062614 -200000.00000000 PA USD -204723.89000000 -0.09128053408 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 6.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -73.00000000 NC USD -2281.25000000 -0.00101714420 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 2025-03-31 0.00000000 USD 100000.00000000 105.50000000 USD 2024-12-27 XXXX 11850.31000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKNS5 77318.43000000 PA USD 80726.17000000 0.035993493051 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 6.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -64.00000000 NC USD -28000.00000000 -0.01248440010 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 2025-03-20 0.00000000 USD 100000.00000000 114.00000000 USD 2025-02-21 XXXX -9610.72000000 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CN0 200000.00000000 PA USD 193739.08000000 0.086382721115 Long DBT CORP US N 2 2027-04-15 Fixed 2.87500000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BR2 120000.00000000 PA USD 98145.49000000 0.043760270212 Long DBT CORP US N 2 2032-02-03 Fixed 2.15000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAN9 190000.00000000 PA USD 178290.51000000 0.079494645080 Long DBT CORP NL N 2 2115-06-05 Fixed 6.85000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CH6 270000.00000000 PA USD 289440.35000000 0.129053183455 Long DBT CORP US N 2 2034-08-24 Fixed 6.13600000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830CC1 630000.00000000 PA USD 629697.78000000 0.280764251161 Long DBT CORP US N 2 2029-02-15 Fixed 4.50000000 N N N N N N PETROLEOS DEL PERU SA 549300ZMGDLC9JT2OR80 716564AA7 870000.00000000 PA USD 666302.03000000 0.297085040541 Long DBT CORP PE N 2 2032-06-19 Fixed 4.75000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKK4 260000.00000000 PA USD 227852.83000000 0.101593067693 Long DBT CORP US N 2 2033-02-04 Fixed 2.97200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXKP6 31695.28000000 PA USD 30758.04000000 0.013714131353 Long ABS-MBS USGSE US N 2 2058-08-01 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -61.00000000 NC USD -20492.22000000 -0.00913689548 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 2025-03-31 0.00000000 USD 100000.00000000 108.00000000 USD 2024-12-27 XXXX 2956.96000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 20.00000000 NC USD 22812.50000000 0.010171442052 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 2025-03-20 0.00000000 USD 100000.00000000 110.50000000 USD 2024-12-27 XXXX 6527.90000000 N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89788MAN2 150000.00000000 PA USD 152692.68000000 0.068081303951 Long DBT CORP US N 2 2027-06-08 Fixed 6.04700000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BM3 10000.00000000 PA USD 9987.51000000 0.004453145390 Long DBT CORP US N 2 2025-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381H8H7 1497462.81000000 PA USD 1147123.00000000 0.511469375174 Long ABS-MBS USGA US N 2 2064-06-16 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QBN1 82921.18000000 PA USD 83920.35000000 0.037417686663 Long ABS-MBS USGA US N 2 2070-04-20 Floating 6.22103000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXDJ8 33693.57000000 PA USD 31959.82000000 0.014249970723 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 4.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CT0 290000.00000000 PA USD 289687.01000000 0.129163162102 Long DBT CORP US N 2 2025-05-01 Fixed 4.87500000 N N N N N N EXPORT-IMPORT BK INDIA 335800OFZ8YEIVN1QI11 30216JAA3 260000.00000000 PA USD 253788.84000000 0.113157193623 Long DBT NUSS IN N 2 2026-08-05 Fixed 3.37500000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCN3 140000.00000000 PA USD 139856.98000000 0.062358232006 Long DBT CORP US N 2 2030-05-06 Fixed 4.65000000 N N N N N N KROGER CO 6CPEOKI6OYJ13Q6O7870 501044DV0 70000.00000000 PA USD 69611.58000000 0.031037814887 Long DBT CORP US N 2 2034-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381JZQ3 8197550.42000000 PA USD 347561.38000000 0.154967690355 Long ABS-MBS USGA US N 2 2063-09-16 Variable 0.61009000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468Q5 430000.00000000 PA USD 425396.23000000 0.189672026416 Long DBT CORP US N 2 2026-04-28 Fixed 2.18800000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AK3 140000.00000000 PA USD 143483.75000000 0.063975305141 Long DBT CORP US N 2 2029-08-15 Fixed 6.00000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CG8 180000.00000000 PA USD 183731.55000000 0.081920649379 Long DBT CORP US N 2 2026-08-24 Fixed 5.87500000 N N N N N N PRKCM Trust N/A 69391XAA7 854183.05000000 PA USD 863688.91000000 0.385094211468 Long ABS-MBS CORP US N 2 2059-05-25 Variable 6.43100000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FS25 1202932.57000000 PA USD 1158656.47000000 0.516611819963 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.42219000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAH0 120000.00000000 PA USD 118824.84000000 0.052980601618 Long DBT CORP US N 2 2025-04-05 Fixed 2.05600000 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 91282CGK1 1873615.80000000 PA USD 1764330.49000000 0.786664562841 Long DBT UST US N 2 2033-01-15 Fixed 1.12500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFL4 960000.00000000 PA USD 980827.18000000 0.437322819704 Long DBT CORP US N 2 2035-01-18 Fixed 5.46600000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TB4 4260000.00000000 PA USD 2539026.54000000 1.132079400347 Long DBT UST US N 2 2051-11-15 Fixed 1.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -160.00000000 NC USD -1000.00000000 -0.00044587143 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 THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 0.00000000 USD 2500.00000000 95.37500000 USD 2024-12-13 XXXX 60664.00000000 N N N WAMU Mortgage Pass-Through Cer N/A 92922FB72 206220.93000000 PA USD 197514.96000000 0.088066278139 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.44219000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0626C0 400000.00000000 PA USD 409541.52000000 0.182602864158 Long ABS-MBS USGSE US N 2 2054-12-15 Fixed 6.50000000 N N N N N N GRMT Mortgage Loan Trust N/A 36226MAE3 8416.87000000 PA USD 8404.75000000 0.003747437921 Long ABS-MBS CORP US N 2 2031-07-20 Fixed 6.65000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -94.00000000 NC USD -39656.25000000 -0.01768158899 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 2025-03-20 0.00000000 USD 100000.00000000 112.00000000 USD 2024-12-27 XXXX -9475.12000000 N N N BDS Ltd N/A 07335YAJ5 1840000.00000000 PA USD 1830824.22000000 0.816312217484 Long ABS-CBDO CORP KY N 2 2036-12-16 Floating 7.57493000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDG3 60000.00000000 PA USD 56425.13000000 0.025158353537 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAH8 10000.00000000 PA USD 10001.88000000 0.004459552562 Long DBT CORP US N 2 2029-01-25 Fixed 4.70900000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FRUV1 3292964.01000000 PA USD 186005.71000000 0.082934632356 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.43920800 N N N N N N 2025-01-23 Western Asset Funds Inc Christopher Berarducci Christopher Berarducci Principal Financial Officer