NPORT-P false 0000863520 XXXXXXXX S000000711 C000002076 C000066986 C000113698 C000113699 C000113700 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 2025-05-30 N 196733100.11 3405487.10 193327613.01 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1089782.80000000 907804.70000000 0.00000000 1237874.75000000 USD N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 109.00000000 NC USD 55640.04000000 0.028780182579 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 26157497.46000000 USD 55640.04000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 78.00000000 NC USD 487.50000000 0.000252162633 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 2025-09-16 0.00000000 USD 2500.00000000 96.00000000 USD 2025-06-13 XXXX -14920.05000000 N N N FOX CORP 549300DDU6FDRBIELS05 35137LAN5 170000.00000000 PA USD 182121.39000000 0.094203506247 Long DBT CORP US N 2 2033-10-13 Fixed 6.50000000 N N N N N N Babson CLO Ltd 2549005VRCK51O5LRS39 06763VAA3 370000.00000000 PA USD 371417.17000000 0.192118013674 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 5.89947000 N N N N N N METLIFE CAPITAL TRUST IV N/A 591560AA5 190000.00000000 PA USD 206556.79000000 0.106842880219 Long DBT CORP US N 2 2037-12-15 Fixed 7.87500000 N N N N N N QUALCOMM INC H1J8DDZKZP6H7RWC0H53 747525BW2 50000.00000000 PA USD 49702.42000000 0.025708908947 Long DBT CORP US N 2 2035-05-20 Fixed 5.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2V5 400000.00000000 PA USD 404197.56000000 0.209073889501 Long DBT CORP FR N 2 2029-01-13 Fixed 5.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383FHR7 73822.48000000 PA USD 63672.88000000 0.032935222759 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 2.00000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 21684AAC0 810000.00000000 PA USD 808979.74000000 0.418450177605 Long DBT CORP NL N 2 2025-08-04 Fixed 4.37500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HS3 26000.00000000 PA USD 23814.95000000 0.012318442062 Long DBT CORP US N 2 2044-05-06 Fixed 5.30000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAQ7 100000.00000000 PA USD 92134.85000000 0.047657366976 Long DBT CORP US N 2 2030-02-15 Fixed 2.72200000 N N N N N N COLUMBIA PIPELINES OPCO N/A 19828TAB2 50000.00000000 PA USD 51495.01000000 0.026636138106 Long DBT CORP US N 2 2033-11-15 Fixed 6.03600000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -102.00000000 NC USD -637.50000000 -0.00032975113 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 2025-09-16 0.00000000 USD 2500.00000000 96.50000000 USD 2025-06-13 XXXX 8073.30000000 N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FLFM3 12624.01000000 PA USD 2364.53000000 0.001223068946 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382NZ83 198138.48000000 PA USD 194738.17000000 0.100729620031 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XQFP7 92392.25000000 PA USD 75251.10000000 0.038924134441 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AP3N0 281201.27000000 PA USD 238119.44000000 0.123168871891 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 3.50000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AK9 10000.00000000 PA USD 9349.43000000 0.004836055157 Long DBT CORP US N 2 2030-03-27 Fixed 2.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3HQ6 253647.50000000 PA USD 233008.03000000 0.120524960905 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178NF95 107021.82000000 PA USD 95673.65000000 0.049487834929 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N COMM Mortgage Trust 549300NMFC2YLCA2NF13 12625XAG2 560000.00000000 PA USD 547837.70000000 0.283372711983 Long ABS-MBS CORP US N 2 2030-08-10 Variable 4.39350000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVQ54 663643.98000000 PA USD 99754.58000000 0.051598723248 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XCY5 114859.99000000 PA USD 61.62000000 0.000031873356 Long ABS-MBS USGA US N 2 2054-06-16 Variable 0.13613000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 79.00000000 NC USD 69618.75000000 0.036010763757 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 2026-09-15 0.00000000 USD 2500.00000000 96.75000000 USD 2026-06-12 XXXX 327.85000000 N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAM2 325000.00000000 PA USD 276542.50000000 0.143043456490 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CJX0 1220000.00000000 PA USD 1217259.77000000 0.629635752000 Long DBT UST US N 2 2031-01-31 Fixed 4.00000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBC6 10000.00000000 PA USD 8489.14000000 0.004391064405 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383R7N1 200000.00000000 PA USD 160009.10000000 0.082765776450 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 2.50000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RBH9 380000.00000000 PA USD 363205.82000000 0.187870638004 Long DBT CORP US N 2 2033-06-13 Fixed 4.28900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BGS5 23344.17000000 PA USD 23373.60000000 0.012090150825 Long ABS-MBS USGA US N 2 2058-08-20 Floating 4.78344000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAKS2 322725.47000000 PA USD 277110.48000000 0.143337247941 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BQ2 170000.00000000 PA USD 167652.24000000 0.086719241700 Long DBT CORP US N 2 2027-03-25 Fixed 3.75000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JT9 670000.00000000 PA USD 669847.16000000 0.346482920660 Long DBT CORP US N 2 2025-06-10 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XP3K3 185155.14000000 PA USD 184537.13000000 0.095453063908 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 5.50000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 390038.07000000 0.201749798659 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.44.V1 Y Default Event 2030-06-20 331093.20000000 USD 0.00000000 USD 17628000.00000000 USD 58944.87000000 N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAG0 300000.00000000 PA USD 271033.50000000 0.140193889419 Long DBT CORP US N 2 2042-11-08 Fixed 5.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TB4 4260000.00000000 PA USD 2309302.72000000 1.194502266926 Long DBT UST US N 2 2051-11-15 Fixed 1.87500000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BB2 390000.00000000 PA USD 341550.08000000 0.176669061745 Long DBT CORP IN N 2 2032-01-12 Fixed 2.87500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FMCT7 1838387.56000000 PA USD 57003.99000000 0.029485694832 Long ABS-MBS USGSE US N 2 2029-05-25 Variable 0.94032500 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H050664 200000.00000000 PA USD 194061.51000000 0.100379613123 Long ABS-MBS USGA US N 2 2055-06-15 Fixed 5.00000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CP2 10000.00000000 PA USD 8900.27000000 0.004603724145 Long DBT CORP US N 2 2030-05-01 Fixed 2.10000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FWL8 609598.07000000 PA USD 594612.63000000 0.307567357162 Long ABS-MBS CORP US N 2 2034-08-25 Variable 5.98646200 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CG8 150000.00000000 PA USD 152441.49000000 0.078851379596 Long DBT CORP US N 2 2026-08-24 Fixed 5.87500000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBB8 180000.00000000 PA USD 167651.90000000 0.086719065833 Long DBT CORP US N 2 2029-03-15 Fixed 4.05400000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JU6 4000.00000000 PA USD 3426.39000000 0.001772323128 Long DBT CORP US N 2 2045-07-30 Fixed 4.65000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 26.00000000 NC USD 2275.00000000 0.001176758955 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 2025-12-16 0.00000000 USD 2500.00000000 96.62500000 USD 2025-09-12 XXXX -15329.60000000 N N N Credit Suisse Mortgage Trust N/A 12597MAA3 427060.97000000 PA USD 405041.45000000 0.209510397244 Long ABS-MBS CORP US N 2 2050-02-25 Variable 3.24000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F030660 500000.00000000 PA USD 425526.81000000 0.220106586625 Long ABS-MBS USGSE US N 2 2055-06-15 Fixed 3.00000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 20000.00000000 PA USD 14275.37000000 0.007384030546 Long DBT CORP US N 2 2049-09-01 Fixed 3.62500000 N N N N N N NUVEEN LLC N/A 67080LAA3 230000.00000000 PA USD 227020.41000000 0.117427824440 Long DBT CORP US N 2 2028-11-01 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 390000.00000000 PA USD 342518.05000000 0.177169750697 Long DBT CORP US N 2 2051-04-04 Fixed 5.01300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBYB2 2977938.14000000 PA USD 363316.20000000 0.187927732796 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381H8D6 1985117.22000000 PA USD 107603.68000000 0.055658722685 Long ABS-MBS USGA US N 2 2064-06-16 Variable 0.61029000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CNA5 13670000.00000000 PA USD 13537571.88000000 7.002399537876 Long DBT UST US N 2 2032-04-30 Fixed 4.00000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CH6 230000.00000000 PA USD 244362.26000000 0.126398012262 Long DBT CORP US N 2 2034-08-24 Fixed 6.13600000 N N N N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAK8 350000.00000000 PA USD 299461.16000000 0.154898286560 Long DBT CORP AT N 2 2032-01-15 Fixed 3.12500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -119.00000000 NC USD -35232.33000000 -0.01822415817 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 2025-09-30 -12839080.17000000 USD -35232.33000000 N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334LB5 40000.00000000 PA USD 39824.38000000 0.020599426734 Long DBT CORP US N 2 2035-03-15 Fixed 5.20000000 N N N N N N KROGER CO 6CPEOKI6OYJ13Q6O7870 501044DV0 70000.00000000 PA USD 68203.70000000 0.035278819687 Long DBT CORP US N 2 2034-09-15 Fixed 5.00000000 N N N N N N New Residential Mortgage Loan N/A 64831TAC1 232653.96000000 PA USD 203284.58000000 0.105150307726 Long ABS-MBS CORP US N 2 2056-11-27 Variable 1.51626000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBA0 260000.00000000 PA USD 252101.03000000 0.130400942770 Long DBT CORP US N 2 2027-03-15 Fixed 3.75500000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AT0 160000.00000000 PA USD 150860.82000000 0.078033767474 Long DBT CORP US N 2 2032-05-15 Fixed 4.10000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AF4 650000.00000000 PA USD 675102.10000000 0.349201073498 Long DBT CORP US N 2 2029-01-15 Fixed 6.35000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABKC5 75112.96000000 PA USD 61907.63000000 0.032022135398 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FLNB6 2404617.25000000 PA USD 45480.69000000 0.023525190888 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 0.55983000 N N N N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475BQ7 310000.00000000 PA USD 310064.10000000 0.160382728143 Long DBT CORP US N 2 2026-06-12 Fixed 5.81200000 N N N N N N AREIT CRE Trust N/A 00217VAA8 552943.96000000 PA USD 553984.05000000 0.286551952602 Long ABS-CBDO CORP US N 2 2039-06-17 Floating 6.56870000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 606.00000000 NC USD 318764.58000000 0.164883109576 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 2025-09-19 66795735.42000000 USD 318764.58000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TZ65 382521.45000000 PA USD 366229.10000000 0.189434449791 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DUB6 51218.84000000 PA USD 45905.24000000 0.023744792213 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 2.50000000 N N N N N N ELI LILLY & CO FRDRIPF3EKNDJ2CQJL29 532457CL0 380000.00000000 PA USD 374132.73000000 0.193522655235 Long DBT CORP US N 2 2034-02-09 Fixed 4.70000000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AZ8 320000.00000000 PA USD 321222.35000000 0.166154407535 Long DBT CORP US N 2 2032-03-01 Fixed 5.00000000 N N N N N N MEGLOBAL BV 549300WBVLU2FILR7W19 29441WAD7 400000.00000000 PA USD 375690.10000000 0.194328215277 Long DBT CORP NL N 2 2028-04-28 Fixed 2.62500000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBX6 470000.00000000 PA USD 445972.72000000 0.230682370229 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDK4 140000.00000000 PA USD 137530.78000000 0.071138715188 Long DBT CORP US N 2 2027-04-01 Fixed 3.30000000 N N N N N N Hertz Vehicle Financing LLC N/A 42806MAG4 1090000.00000000 PA USD 1033499.74000000 0.534584648260 Long ABS-O CORP US N 2 2027-12-27 Fixed 2.52000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BH7G8 1424696.27000000 PA USD 221206.46000000 0.114420519943 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 2.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140AS9 10000.00000000 PA USD 9982.87000000 0.005163706231 Long DBT CORP US N 2 2025-07-29 Fixed 3.70000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -306.00000000 NC USD -188551.08000000 -0.09752930637 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 2025-09-19 -34322511.42000000 USD -188551.08000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MQCZ7 210834.75000000 PA USD 175008.49000000 0.090524311181 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N FOUNDRY JV HOLDCO LLC 21380048QROAMGM6EP30 350930AB9 710000.00000000 PA USD 735046.10000000 0.380207508154 Long DBT CORP US N 2 2030-01-25 Fixed 5.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9BG4 51553.50000000 PA USD 45677.16000000 0.023626816308 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAHA5 30262.46000000 PA USD 26956.43000000 0.013943393589 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCN3 120000.00000000 PA USD 120125.92000000 0.062135935022 Long DBT CORP US N 2 2030-05-06 Fixed 4.65000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BXRT1 590000.00000000 PA USD 577399.90000000 0.298663957522 Long ABS-MBS USGSE US N 2 2027-03-25 Fixed 3.29100000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LW9 470000.00000000 PA USD 462605.47000000 0.239285771337 Long DBT CORP US N 2 2029-04-23 Fixed 4.07500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BN3N4 145454.61000000 PA USD 137393.44000000 0.071067675155 Long ABS-MBS USGSE US N 2 2052-09-25 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXDJ8 32720.35000000 PA USD 30427.42000000 0.015738786366 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 4.00000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAW4 150000.00000000 PA USD 147621.86000000 0.076358393765 Long DBT CORP US N 2 2033-03-15 Fixed 4.60000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -54.00000000 NC USD -2531.25000000 -0.00130930598 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 2025-09-19 0.00000000 USD 100000.00000000 113.50000000 USD 2025-06-20 XXXX 9187.83000000 N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CZ0 180000.00000000 PA USD 179604.05000000 0.092901395306 Long DBT CORP US N 2 2035-05-15 Fixed 5.05000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638BM3 110000.00000000 PA USD 102553.00000000 0.053046224697 Long DBT NUSS PE N 2 2050-11-18 Fixed 5.62500000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEH1 320000.00000000 PA USD 312713.88000000 0.161753344559 Long DBT CORP US N 2 2029-05-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVN6 725413.10000000 PA USD 612757.88000000 0.316953109004 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 2.00000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAR0 140000.00000000 PA USD 126420.90000000 0.065392055501 Long DBT CORP US N 2 2031-03-24 Fixed 3.12500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABX2 130000.00000000 PA USD 111503.98000000 0.057676178929 Long DBT CORP US N 2 2031-11-15 Fixed 2.25000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DJ6 130000.00000000 PA USD 123064.04000000 0.063655697230 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBME9 700000.00000000 PA USD 544497.80000000 0.281645126385 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QBN1 67159.02000000 PA USD 68407.87000000 0.035384427984 Long ABS-MBS USGA US N 2 2070-04-20 Floating 5.68344000 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 045167FH1 1280000.00000000 PA USD 1229902.20000000 0.636175133417 Long DBT NUSS N/A N 2 2027-01-20 Fixed 1.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -29.00000000 NC USD -15587.50000000 -0.00806273855 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 2026-12-15 0.00000000 USD 2500.00000000 97.50000000 USD 2026-09-11 XXXX -1148.40000000 N N N Recette CLO LLC 549300392I5L5XOJ0016 75620TAW8 510000.00000000 PA USD 510958.19000000 0.264296538939 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.61108000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FQ6 250000.00000000 PA USD 203447.92000000 0.105234796433 Long DBT CORP US N 2 2036-04-06 Fixed 2.89100000 N N N N N N COTERRA ENERGY INC FCNMH6O7VWU7LHXMK351 127097AK9 260000.00000000 PA USD 256016.52000000 0.132426256143 Long DBT CORP US N 2 2029-03-15 Fixed 4.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKK99 204328.67000000 PA USD 188143.69000000 0.097318581174 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.00000000 N N N N N N SYNOPSYS INC QG7T915N9S0NY5UKNE63 871607AC1 70000.00000000 PA USD 70708.81000000 0.036574604578 Long DBT CORP US N 2 2030-04-01 Fixed 4.85000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942AS1 270000.00000000 PA USD 318033.00000000 0.164504694931 Long DBT NUSS UY N 2 2036-03-21 Fixed 7.62500000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 30000.00000000 PA USD 24280.33000000 0.012559162978 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBV0 130000.00000000 PA USD 127493.38000000 0.065946802950 Long DBT CORP US N 2 2026-11-21 Fixed 2.95000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KQ9 460000.00000000 PA USD 466083.55000000 0.241084831464 Long DBT CORP US N 2 2029-05-15 Fixed 5.55000000 N N N N N N College Ave Student Loans N/A 19424WAD9 839844.60000000 PA USD 774794.44000000 0.400767602691 Long ABS-O CORP US N 2 2055-07-26 Fixed 3.06000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -20.00000000 NC USD 2708.00000000 0.001400731099 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-12-16 -4798708.00000000 USD 2708.00000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -41.00000000 NC USD -3203.13000000 -0.00165684040 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 2025-09-19 0.00000000 USD 100000.00000000 113.00000000 USD 2025-06-20 XXXX 10179.08000000 N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BT6 130000.00000000 PA USD 118494.17000000 0.061291901428 Long DBT CORP US N 2 2028-08-12 Fixed 1.60000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AU7 40000.00000000 PA USD 31850.88000000 0.016475080566 Long DBT CORP US N 2 2052-05-15 Fixed 4.55000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122ED6 20000.00000000 PA USD 20070.26000000 0.010381476131 Long DBT CORP US N 2 2026-02-20 Fixed 4.95000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397G72 360000.00000000 PA USD 360828.41000000 0.186640906791 Long DBT CORP US N 2 2028-03-20 Fixed 5.91800000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05581KAG6 490000.00000000 PA USD 511676.57000000 0.264668125796 Long DBT CORP FR N 2 2034-12-05 Fixed 5.89400000 N N N N N N Western Asset Premier Institutional Government Reserves 549300WB3XRN9YTWFB76 52470G494 17172615.40000000 NS USD 17172615.40000000 8.882650094641 Long STIV RF US N 1 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZT4 300000.00000000 PA USD 299232.02000000 0.154779762363 Long DBT CORP US N 2 2027-06-15 Fixed 4.38700000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DH0 360000.00000000 PA USD 353936.21000000 0.183075870275 Long DBT CORP US N 2 2027-04-01 Fixed 3.62500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAP5 500000.00000000 PA USD 512329.63000000 0.265005925446 Long DBT CORP US N 2 2028-02-15 Fixed 5.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVQG0 505412.76000000 PA USD 84513.86000000 0.043715358962 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 45.00000000 NC USD 12134.93000000 0.006276873650 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 2025-09-30 9322552.57000000 USD 12134.93000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SF6 1570000.00000000 PA USD 1131166.60000000 0.585103484385 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDG3 60000.00000000 PA USD 57001.89000000 0.029484608593 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BZ5 110000.00000000 PA USD 112491.04000000 0.058186742311 Long DBT CORP US N 2 2033-02-09 Fixed 5.87500000 N N N N N N SOLVENTUM CORP 254900I70403OSGY4M28 83444MAP6 130000.00000000 PA USD 132690.00000000 0.068634789378 Long DBT CORP US N 2 2029-03-01 Fixed 5.40000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830CC1 530000.00000000 PA USD 533030.98000000 0.275713837098 Long DBT CORP US N 2 2029-02-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB4M8 30077.49000000 PA USD 27277.52000000 0.014109479538 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N Onslow Bay Financial LLC N/A 67115DAA0 348163.79000000 PA USD 294023.31000000 0.152085522301 Long ABS-MBS CORP US N 2 2061-10-25 Variable 1.95700000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAV1 140000.00000000 PA USD 120810.07000000 0.062489816182 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513EAD3 10000.00000000 PA USD 8934.92000000 0.004621647089 Long DBT CORP US N 2 2030-07-01 Fixed 2.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFY2 290000.00000000 PA USD 289150.39000000 0.149564971862 Long DBT UST US N 2 2029-11-30 Fixed 3.87500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 104.00000000 NC USD 155857.52000000 0.080618343946 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 2025-09-19 11549018.00000000 USD 155857.52000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XL3Q9 156856.44000000 PA USD 160280.47000000 0.082906144396 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6.00000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAP9 50000.00000000 PA USD 42765.07000000 0.022120518292 Long DBT CORP US N 2 2045-01-15 Fixed 4.90000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 150000.00000000 PA USD 127317.10000000 0.065855620941 Long DBT CORP US N 2 2032-02-01 Fixed 2.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H7G72 100000.00000000 PA USD 89224.72000000 0.046152082783 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 4.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12657LAC8 247457.80000000 PA USD 202234.00000000 0.104606888199 Long ABS-MBS CORP US N 2 2056-03-25 Variable 1.16900000 N N N N N N Deephaven Residential Mortgage N/A 24382JAA4 663189.66000000 PA USD 605757.50000000 0.313332115660 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5P0 25561.60000000 PA USD 23649.38000000 0.012232799873 Long ABS-MBS USGA US N 2 2050-03-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381DWC0 2798600.53000000 PA USD 270057.95000000 0.139689279661 Long ABS-MBS USGA US N 2 2061-06-16 Variable 1.42776000 N N N N N N SOLVENTUM CORP 254900I70403OSGY4M28 83444MAQ4 140000.00000000 PA USD 143374.85000000 0.074161599456 Long DBT CORP US N 2 2031-03-13 Fixed 5.45000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DJ5 130000.00000000 PA USD 130859.66000000 0.067688033779 Long DBT CORP US N 2 2034-02-13 Fixed 5.25000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 14.00000000 NC USD 11156.25000000 0.005770644879 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 2025-09-19 0.00000000 USD 100000.00000000 110.50000000 USD 2025-06-20 XXXX 1194.53000000 N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBZ7 150000.00000000 PA USD 156112.06000000 0.080750006462 Long DBT CORP US N 2 2034-02-20 Fixed 6.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 230000.00000000 PA USD 230833.01000000 0.119399917273 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BK8 40000.00000000 PA USD 41441.62000000 0.021435954934 Long DBT CORP US N 2 2030-11-01 Fixed 5.80000000 N N N N N N SMB Private Education Loan Tru N/A 831943AA3 1121105.17000000 PA USD 1131685.49000000 0.585371883705 Long ABS-O CORP US N 2 2056-03-15 Fixed 5.24000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BZ0 230000.00000000 PA USD 232763.82000000 0.120398641650 Long DBT CORP US N 2 2030-04-01 Fixed 5.18600000 N N N N N N Myers Park CLO LTD N/A 62848FAE2 550000.00000000 PA USD 551049.62000000 0.285034099071 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.13108000 N N N N N N CREDIT AGRICOLE LONDON 969500TJ5KRTCJQWXH05 22535WAG2 400000.00000000 PA USD 399544.38000000 0.206667001045 Long DBT CORP FR N 2 2026-06-16 Fixed 1.90700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XW72 770364.49000000 PA USD 5999.98000000 0.003103529757 Long ABS-MBS USGA US N 2 2054-08-16 Variable 0.36737000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229AW6 6000.00000000 PA USD 6046.12000000 0.003127395981 Long DBT CORP US N 2 2026-04-01 Variable 5.70000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PED0 70000.00000000 PA USD 60769.59000000 0.031433476601 Long DBT CORP US N 2 2031-05-15 Fixed 2.30000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -110.00000000 NC USD -139164.96000000 -0.07198400571 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 2025-09-19 -12627710.04000000 USD -139164.96000000 N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RGG3 400000.00000000 PA USD 405427.60000000 0.209710135912 Long ABS-O CORP US N 2 2029-04-20 Fixed 6.23000000 N N N N N N PRKCM Trust N/A 69357TAA8 867896.75000000 PA USD 727851.98000000 0.376486301500 Long ABS-MBS CORP US N 2 2056-08-25 Variable 1.51000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYUH0 584389.73000000 PA USD 476869.12000000 0.246663739636 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 1.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 50000.00000000 PA USD 40505.93000000 0.020951963027 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAH5 170000.00000000 PA USD 169785.76000000 0.087822819180 Long DBT CORP US N 2 2025-07-01 Fixed 3.37500000 N N N N N N PT PERTAMINA (PERSERO) 254900NDAKGNZ2IBBL45 69369EAD1 380000.00000000 PA USD 366845.01000000 0.189753033355 Long DBT CORP ID N 2 2042-05-03 Fixed 6.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SH2 600000.00000000 PA USD 420996.10000000 0.217763046595 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N COTERRA ENERGY INC FCNMH6O7VWU7LHXMK351 127097AG8 600000.00000000 PA USD 591188.70000000 0.305796306484 Long DBT CORP US N 2 2027-05-15 Fixed 3.90000000 N N N N N N Mill City Mortgage Trust N/A 59981AAC0 434733.62000000 PA USD 422362.19000000 0.218469665778 Long ABS-MBS CORP US N 2 2069-10-25 Variable 3.25000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJC5 100000.00000000 PA USD 96318.90000000 0.049821594804 Long DBT CORP US N 2 2028-01-27 Fixed 2.21500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -56.00000000 NC USD -19250.00000000 -0.00995719116 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 2025-09-19 0.00000000 USD 100000.00000000 113.00000000 USD 2025-07-25 XXXX -1534.38000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDDH6 368229.28000000 PA USD 310736.88000000 0.160730728095 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGR4 370000.00000000 PA USD 362135.51000000 0.187317013002 Long DBT CORP US N 2 2028-07-21 Fixed 3.59300000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CLF6 640000.00000000 PA USD 616737.50000000 0.319011594048 Long DBT UST US N 2 2034-08-15 Fixed 3.87500000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BJ1 340000.00000000 PA USD 350055.69000000 0.181068645368 Long DBT CORP US N 2 2028-11-01 Fixed 5.65000000 N N N N N N Ford Credit Floorplan Master O 5493001DTG5N7T8BG747 34529BAA4 370000.00000000 PA USD 372168.37000000 0.192506576895 Long ABS-O CORP US N 2 2030-04-15 Fixed 4.63000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BQJ1 897651.10000000 PA USD 1982.82000000 0.001025626897 Long ABS-MBS USGA US N 2 2053-04-16 Variable 0.20743000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAV7 360000.00000000 PA USD 349028.50000000 0.180537324475 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAH8 10000.00000000 PA USD 10026.33000000 0.005186186206 Long DBT CORP US N 2 2029-01-25 Fixed 4.70900000 N N N N N N Ellington Financial Mortgage T N/A 31572LAA4 813818.41000000 PA USD 673380.86000000 0.348310750604 Long ABS-MBS CORP US N 2 2066-06-25 Variable 0.93100000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DH9 100000.00000000 PA USD 101747.43000000 0.052629538230 Long DBT CORP US N 2 2031-02-13 Fixed 5.12500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 18.00000000 NC USD 3937.50000000 0.002036698192 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 2025-09-19 0.00000000 USD 100000.00000000 109.50000000 USD 2025-06-20 XXXX -8468.64000000 N N N Palmer Square CLO Ltd 549300Y43K78UTRMTN21 69700GAJ1 750000.00000000 PA USD 751673.93000000 0.388808364359 Long ABS-CBDO CORP KY N 2 2034-11-14 Floating 5.71930000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGRZ4 71308.49000000 PA USD 63265.57000000 0.032724538939 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.00000000 N N N N N N FLORIDA GAS TRANSMISSION 549300Q0UQF87NXNOC32 340711BC3 170000.00000000 PA USD 171140.06000000 0.088523339907 Long DBT CORP US N 2 2035-07-15 Fixed 5.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 140000.00000000 PA USD 125615.63000000 0.064975524212 Long DBT CORP US N 2 2033-03-02 Fixed 3.35000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAP0 650000.00000000 PA USD 546405.44000000 0.282631865925 Long DBT CORP KZ N 2 2047-04-19 Fixed 5.75000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACM7 280000.00000000 PA USD 283646.22000000 0.146717903140 Long DBT CORP US N 2 2026-09-21 Fixed 5.95000000 N N N N N N PRINCIPAL LFE GLB FND II 635400WSLKBQWSOIIT41 74256LEE5 160000.00000000 PA USD 159700.51000000 0.082606156209 Long DBT CORP US N 2 2025-06-23 Fixed 1.25000000 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 91282CLE9 1080436.80000000 PA USD 1072449.13000000 0.554731480569 Long DBT UST US N 2 2034-07-15 Fixed 1.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6PV1 42341.44000000 PA USD 37506.27000000 0.019400368843 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 3.00000000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAK3 100000.00000000 PA USD 99003.89000000 0.051210423828 Long DBT CORP US N 2 2030-05-15 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -86.00000000 NC USD -13437.50000000 -0.00695063668 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 2025-09-30 0.00000000 USD 100000.00000000 110.25000000 USD 2025-07-25 XXXX -2164.36000000 N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAL8 60000.00000000 PA USD 53960.01000000 0.027911175832 Long DBT CORP US N 2 2031-02-15 Fixed 2.70000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAW5 400000.00000000 PA USD 377757.22000000 0.195397446913 Long DBT CORP IE N 2 2028-10-29 Fixed 3.00000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BC0 32000.00000000 PA USD 35575.17000000 0.018401494461 Long DBT CORP US N 2 2039-12-16 Fixed 6.85000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBD4 59000.00000000 PA USD 59229.82000000 0.030637020277 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 160000.00000000 PA USD 156600.61000000 0.081002712215 Long DBT CORP US N 2 2026-08-18 Fixed 3.50000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DG1 80000.00000000 PA USD 81014.98000000 0.041905539896 Long DBT CORP US N 2 2029-02-13 Fixed 4.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ARFB7 219373.08000000 PA USD 3867.06000000 0.002000262631 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 3.50000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AT8 30000.00000000 PA USD 29879.23000000 0.015455231425 Long DBT CORP US N 2 2031-01-15 Fixed 5.75000000 N N N N N N BRAVO Residential Funding Trus N/A 10569EAA9 73951.51000000 PA USD 71455.01000000 0.036960581516 Long ABS-MBS CORP US N 2 2060-03-25 Variable 0.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXTS1 305861.51000000 PA USD 235692.79000000 0.121913670960 Long ABS-MBS USGSE US N 2 2061-09-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -36.00000000 NC USD -5625.00000000 -0.00290956884 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 2025-09-19 0.00000000 USD 100000.00000000 107.00000000 USD 2025-07-25 XXXX 7250.22000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 220000.00000000 PA USD 215192.33000000 0.111309671003 Long DBT CORP US N 2 2031-03-31 Fixed 4.41200000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BH5 310000.00000000 PA USD 313601.04000000 0.162212233998 Long DBT CORP US N 2 2026-11-01 Fixed 5.55000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DQ0 100000.00000000 PA USD 84051.69000000 0.043476298440 Long DBT CORP US N 2 2031-02-28 Fixed 1.87500000 N N N N N N Ellington Financial Mortgage T N/A 31573CAA3 368084.91000000 PA USD 318886.72000000 0.164946287307 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20600000 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DS1 80000.00000000 PA USD 85420.65000000 0.044184402150 Long DBT CORP US N 2 2034-05-01 Fixed 6.52800000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 276000.00000000 PA USD 275966.04000000 0.142745278702 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNM33 465319.00000000 PA USD 402688.13000000 0.208293126744 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FRUV1 3275497.37000000 PA USD 168650.12000000 0.087235401800 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.31644300 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CJL6 710000.00000000 PA USD 711765.09000000 0.368165250125 Long DBT UST US N 2 2025-11-30 Fixed 4.87500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CMR9 13460000.00000000 PA USD 13439231.62000000 6.951532381101 Long DBT UST US N 2 2032-02-29 Fixed 4.12500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 43.00000000 NC USD 15789.06000000 0.008166996816 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 2025-09-30 0.00000000 USD 100000.00000000 108.00000000 USD 2025-06-06 XXXX 5636.54000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 120000.00000000 PA USD 106329.89000000 0.054999846294 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BKP6 26048.22000000 PA USD 26165.61000000 0.013534336659 Long ABS-MBS USGA US N 2 2061-02-20 Floating 4.93344000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SS8 8320000.00000000 PA USD 4274400.00000000 2.210961969400 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BJN3 163389.21000000 PA USD 163895.99000000 0.084776296281 Long ABS-MBS USGA US N 2 2060-11-20 Floating 4.88344000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DR8 150000.00000000 PA USD 125642.38000000 0.064989360828 Long DBT CORP US N 2 2031-09-15 Fixed 2.12500000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AH6 390000.00000000 PA USD 394842.94000000 0.204235149781 Long DBT CORP US N 2 2026-02-01 Fixed 7.85000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VES9 130000.00000000 PA USD 127475.75000000 0.065937683714 Long DBT CORP US N 2 2029-02-08 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBEM0 671702.80000000 PA USD 580111.29000000 0.300066442122 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 2.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEK8 490000.00000000 PA USD 489240.48000000 0.253062908284 Long DBT CORP US N 2 2035-07-22 Fixed 5.29400000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AA9 1160000.00000000 PA USD 1117074.51000000 0.577814256643 Long DBT CORP US N 2 2026-10-25 Fixed 1.75000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 74.00000000 NC USD 110489.44000000 0.057151401333 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2027-03-16 17790110.57000000 USD 110489.44000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -30.00000000 NC USD -5625.00000000 -0.00290956884 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 2025-09-19 0.00000000 USD 100000.00000000 111.25000000 USD 2025-06-06 XXXX 182.48000000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 80000.00000000 PA USD 64140.41000000 0.033177055776 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NS6 320000.00000000 PA USD 320017.34000000 0.165531108059 Long DBT CORP US N 2 2028-05-24 Fixed 4.65800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDX5 150034.00000000 PA USD 133184.01000000 0.068890319352 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKLU1 136156.83000000 PA USD 121770.13000000 0.062986413634 Long ABS-MBS USGA US N 2 2050-05-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5B1 53281.96000000 PA USD 49304.17000000 0.025502911473 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N Polus Capital Management 254900AGAA5TXFLBCL85 73163VAC5 480000.00000000 PA USD 480623.52000000 0.248605728130 Long ABS-CBDO CORP KY N 2 2038-07-20 Floating 0.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XPZE2 88886.27000000 PA USD 85480.76000000 0.044215494449 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFC0 1730000.00000000 PA USD 1644615.04000000 0.850688121781 Long DBT UST US N 2 2029-07-31 Fixed 2.62500000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513ECV1 160000.00000000 PA USD 170002.53000000 0.087934944911 Long DBT CORP US N 2 2031-03-15 Fixed 6.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVR2 260000.00000000 PA USD 259598.58000000 0.134279100620 Long DBT CORP US N 2 2025-10-21 Fixed 4.25000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 30.00000000 NC USD 29062.50000000 0.015032772374 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 2025-09-19 0.00000000 USD 100000.00000000 111.00000000 USD 2025-07-25 XXXX 3698.09000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C8DQ5 83462.85000000 PA USD 83023.96000000 0.042944698228 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KTYK0 75533.11000000 PA USD 63559.90000000 0.032876783099 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAG6 380000.00000000 PA USD 378992.04000000 0.196036165811 Long DBT CORP CA N 2 2034-03-01 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CMU2 50000.00000000 PA USD 50093.75000000 0.025911327006 Long DBT UST US N 2 2030-03-31 Fixed 4.00000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EY5 190000.00000000 PA USD 166564.72000000 0.086156714711 Long DBT CORP US N 2 2030-05-28 Fixed 1.70000000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676BA2 60000.00000000 PA USD 59797.56000000 0.030930687587 Long DBT CORP US N 2 2035-03-01 Fixed 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXET5 461193.20000000 PA USD 406895.65000000 0.210469494587 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SU3 3590000.00000000 PA USD 1965244.55000000 1.016535878865 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAU6 160000.00000000 PA USD 163082.27000000 0.084355394173 Long DBT CORP US N 2 2028-02-01 Fixed 5.30000000 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89788MAN2 130000.00000000 PA USD 131712.02000000 0.068128922686 Long DBT CORP US N 2 2027-06-08 Fixed 6.04700000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 34.00000000 NC USD 14343.75000000 0.007419400558 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 2025-09-19 0.00000000 USD 100000.00000000 111.00000000 USD 2025-06-13 XXXX -590.07000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFF3 1430000.00000000 PA USD 1302919.92000000 0.673944037126 Long DBT UST US N 2 2032-08-15 Fixed 2.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CMT5 13510000.00000000 PA USD 13484668.75000000 6.975035040288 Long DBT UST US N 2 2032-03-31 Fixed 4.12500000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661ED5 210000.00000000 PA USD 192834.27000000 0.099744815030 Long DBT CORP US N 2 2028-09-15 Fixed 1.70000000 N N N N N N Hertz Vehicle Financing LLC 549300MNOMKDMDFI8J66 42806MCA5 460000.00000000 PA USD 467194.95000000 0.241659710543 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.94000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CM5 100000.00000000 PA USD 97005.64000000 0.050176815660 Long DBT CORP US N 2 2027-02-15 Fixed 3.00000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BZ8 140000.00000000 PA USD 123401.91000000 0.063830462745 Long DBT CORP US N 2 2031-05-12 Fixed 2.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XUN9 826890.16000000 PA USD 4992.27000000 0.002582285025 Long ABS-MBS USGA US N 2 2055-05-16 Variable 0.18564000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWV2 240000.00000000 PA USD 234804.33000000 0.121454109086 Long DBT CORP US N 2 2029-04-23 Fixed 3.81400000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AC5 940000.00000000 PA USD 831893.49000000 0.430302467944 Long DBT CORP US N 2 2031-10-25 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H4C73 6484087.55000000 PA USD 176207.67000000 0.091144595051 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 0.53194700 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -68.00000000 NC USD -12750.00000000 -0.00659502271 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 2025-09-19 0.00000000 USD 100000.00000000 111.75000000 USD 2025-06-13 XXXX 944.86000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCT6 80000.00000000 PA USD 79491.14000000 0.041117323470 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAN9 190000.00000000 PA USD 165392.23000000 0.085550236422 Long DBT CORP NL N 2 2115-06-05 Fixed 6.85000000 N N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 438516CR5 220000.00000000 PA USD 223853.65000000 0.115789796664 Long DBT CORP US N 2 2031-09-01 Fixed 4.95000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31424U8E9 905834.44000000 PA USD 216970.68000000 0.112229534427 Long ABS-MBS USGSE US N 2 2053-10-25 Fixed 4.50000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BS6 360000.00000000 PA USD 366736.66000000 0.189696988593 Long DBT CORP US N 2 2029-04-04 Fixed 5.37100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELCK7 224580.98000000 PA USD 231390.78000000 0.119688427533 Long ABS-MBS USGSE US N 2 2043-05-01 Floating 6.38500000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016FZQ0 110000.00000000 PA USD 103822.89000000 0.053703083787 Long DBT CORP CA N 2 2032-05-04 Fixed 3.87500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 220000.00000000 PA USD 202008.61000000 0.104490303715 Long DBT CORP US N 2 2033-03-17 Fixed 3.78500000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BT8 350000.00000000 PA USD 336295.20000000 0.173950939942 Long DBT CORP US N 2 2029-03-23 Fixed 3.70000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABC4 420000.00000000 PA USD 417004.29000000 0.215698256191 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 -58.00000000 NC USD -2718.75000000 -0.00140629160 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 2025-09-19 0.00000000 USD 100000.00000000 109.50000000 USD 2025-06-06 XXXX 8962.16000000 N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DCB9 60000.00000000 PA USD 60628.13000000 0.031360305471 Long DBT CORP US N 2 2032-08-15 Fixed 5.35000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 10000.00000000 PA USD 7729.04000000 0.003997897599 Long DBT CORP US N 2 2051-03-20 Fixed 4.08300000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 74977RDN1 510000.00000000 PA USD 501607.02000000 0.259459583755 Long DBT CORP NL N 2 2028-04-06 Fixed 3.64900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BA77 102180.87000000 PA USD 102365.18000000 0.052949073547 Long ABS-MBS USGA US N 2 2062-12-20 Floating 4.78344000 N N N N N N New Residential Mortgage Loan 549300RCJSGOC0A85G53 64829CAB4 228645.84000000 PA USD 217575.97000000 0.112542624725 Long ABS-MBS CORP US N 2 2052-05-28 Variable 3.75000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKD0 320000.00000000 PA USD 277563.83000000 0.143571746259 Long DBT CORP US N 2 2032-10-20 Fixed 2.57200000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABD6 70000.00000000 PA USD 69122.17000000 0.035753904433 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N Towd Point Mortgage Trust N/A 89173UAF4 1010000.00000000 PA USD 834186.17000000 0.431488371998 Long ABS-MBS CORP US N 2 2057-06-25 Variable 3.64887300 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W5GH5 31035.26000000 PA USD 27497.66000000 0.014223348424 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381JZQ3 8093807.32000000 PA USD 346432.76000000 0.179194660610 Long ABS-MBS USGA US N 2 2063-09-16 Variable 0.60970000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 29.00000000 NC USD 3625.00000000 0.001875055478 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 2025-09-19 0.00000000 USD 100000.00000000 110.00000000 USD 2025-06-06 XXXX -7300.17000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKCJ7 85208.79000000 PA USD 84812.18000000 0.043869666975 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACPG9 85650.08000000 PA USD 85957.61000000 0.044462148299 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DTAR1 182079.73000000 PA USD 182446.31000000 0.094371573289 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5.50000000 N N N N N N New Residential Mortgage Loan N/A 64829NAA2 420985.44000000 PA USD 402187.98000000 0.208034420814 Long ABS-MBS CORP US N 2 2057-05-25 Variable 4.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CL2 8000.00000000 PA USD 7989.63000000 0.004132689518 Long DBT CORP US N 2 2025-07-20 Fixed 3.87500000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BB3 260000.00000000 PA USD 317701.84000000 0.164333400207 Long DBT CORP CH N 2 2033-11-15 Fixed 9.01600000 N N N N N N SYNOPSYS INC QG7T915N9S0NY5UKNE63 871607AB3 210000.00000000 PA USD 211317.55000000 0.109305415149 Long DBT CORP US N 2 2028-04-01 Fixed 4.65000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DCC7 20000.00000000 PA USD 20046.69000000 0.010369284391 Long DBT CORP US N 2 2035-08-15 Fixed 5.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WGQ6 42416.10000000 PA USD 37420.91000000 0.019356215812 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9M92 420492.54000000 PA USD 355542.60000000 0.183906786239 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 58.00000000 NC USD 16675.00000000 0.008625255203 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 2025-12-16 0.00000000 USD 2500.00000000 96.00000000 USD 2025-09-12 XXXX 1328.20000000 N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 293791AP4 10000.00000000 PA USD 10875.30000000 0.005625321613 Long DBT CORP US N 2 2034-10-15 Fixed 6.65000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 40000.00000000 PA USD 39949.96000000 0.020664383829 Long DBT CORP US N 2 2025-06-25 Fixed 2.90000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QCH9 150000.00000000 PA USD 149861.60000000 0.077516914250 Long DBT CORP CA N 2 2025-06-12 Fixed 1.15000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAG4 180000.00000000 PA USD 192755.58000000 0.099704112102 Long DBT CORP US N 2 2030-02-01 Variable 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AFRX4 246957.87000000 PA USD 8922.29000000 0.004615114137 Long ABS-MBS USGSE US N 2 2032-09-25 Fixed 3.00000000 N N N N N N CHUBB INA HOLDINGS LLC CZCBJZWDMLTHWJDXU843 00440EAV9 10000.00000000 PA USD 9903.94000000 0.005122879161 Long DBT CORP US N 2 2026-05-03 Fixed 3.35000000 N N N N N N Onslow Bay Financial LLC N/A 670857AA9 266204.12000000 PA USD 215887.15000000 0.111669071292 Long ABS-MBS CORP US N 2 2061-05-25 Variable 1.10100000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122EG9 110000.00000000 PA USD 112656.91000000 0.058272539678 Long DBT CORP US N 2 2031-02-22 Fixed 5.10000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BR2 100000.00000000 PA USD 81961.79000000 0.042395283696 Long DBT CORP US N 2 2032-02-03 Fixed 2.15000000 N N N N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAK7 250000.00000000 PA USD 245918.43000000 0.127202951596 Long DBT CORP US N 2 2027-03-24 Fixed 3.37500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 56.00000000 NC USD 18375.00000000 0.009504591565 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 2025-09-19 0.00000000 USD 100000.00000000 111.25000000 USD 2025-06-13 XXXX 778.12000000 N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBB0 3000.00000000 PA USD 2934.98000000 0.001518138021 Long DBT CORP US N 2 2027-08-15 Fixed 3.55700000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAN9 20000.00000000 PA USD 18921.82000000 0.009787437865 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N Kings Park CLO Ltd N/A 496094AA1 330000.00000000 PA USD 330555.13000000 0.170981850369 Long ABS-CBDO CORP KY N 2 2035-01-21 Floating 5.66108000 N N N N N N Nelnet Student Loan Trust N/A 64031CAA0 280911.60000000 PA USD 279082.28000000 0.144357174670 Long ABS-O CORP US N 2 2033-12-26 Floating 5.23645000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUU4 74933.12000000 PA USD 64632.48000000 0.033431582273 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXF98 61517.50000000 PA USD 56597.53000000 0.029275450681 Long ABS-MBS USGSE US N 2 2057-06-01 Fixed 4.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADF9 100000.00000000 PA USD 99866.79000000 0.051656764621 Long DBT CORP US N 2 2034-04-15 Fixed 5.15000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DQ5 520000.00000000 PA USD 342810.00000000 0.177320763786 Long DBT NUSS CO N 2 2049-05-15 Fixed 5.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQBZ8 164064.29000000 PA USD 163837.47000000 0.084746026420 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AK3 140000.00000000 PA USD 142253.92000000 0.073581790922 Long DBT CORP US N 2 2029-08-15 Fixed 6.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -41440.62000000 -0.02143543767 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2032-01-31 0.00000000 USD -103216.40000000 USD -21504000.00000000 USD 61775.78000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFZ0 36405.26000000 PA USD 33493.69000000 0.017324835018 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 4.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B35Z9 228908.47000000 PA USD 219798.30000000 0.113692139771 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 3.61000000 N N N N N N Aqua Finance Trust N/A 03842VAB3 1050000.00000000 PA USD 949853.10000000 0.491317864639 Long ABS-O CORP US N 2 2046-07-17 Fixed 2.40000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122EH7 250000.00000000 PA USD 251998.24000000 0.130347773955 Long DBT CORP US N 2 2034-02-22 Fixed 5.20000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFT7 200000.00000000 PA USD 198776.39000000 0.102818416316 Long DBT CORP US N 2 2035-07-19 Fixed 5.32000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FW3E8 149930.72000000 PA USD 25428.10000000 0.013152854682 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 20000.00000000 PA USD 19058.44000000 0.009858105473 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XQA23 457092.36000000 PA USD 392805.38000000 0.203181208252 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGV97 73067.45000000 PA USD 64719.40000000 0.033476542224 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.00000000 N N N N N N STRIP PRINC 254900HROIFWPRGM1V77 912803FJ7 5220000.00000000 PA USD 1555309.02000000 0.804493986029 Long DBT UST US N 2 2049-05-15 None 0.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 14652.38000000 0.007579041489 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2036-04-28 0.00000000 USD -11511.21000000 USD -4899000.00000000 USD 26163.59000000 N N N Navient Student Loan Trust N/A 63942FAB1 148363.61000000 PA USD 148582.83000000 0.076855461921 Long ABS-O CORP US N 2 2069-06-25 Floating 5.48645000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AB4U3 78537.08000000 PA USD 74468.08000000 0.038519112112 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.50000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBL3 160000.00000000 PA USD 153670.13000000 0.079486901848 Long DBT CORP US N 2 2030-04-06 Fixed 3.63300000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBG7 100000.00000000 PA USD 94732.81000000 0.049001179151 Long DBT CORP US N 2 2034-09-15 Fixed 5.20000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SP4 30000.00000000 PA USD 14400.59000000 0.007448801428 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9LV4 406525.88000000 PA USD 360680.85000000 0.186564580395 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.00000000 N N N N N N PRKCM Trust N/A 69361JAA4 374092.16000000 PA USD 329204.24000000 0.170283093488 Long ABS-MBS CORP US N 2 2056-11-25 Variable 2.07100000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FS25 1148824.11000000 PA USD 1112413.28000000 0.575403204270 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.15920000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A2E1 170000.00000000 PA USD 164806.83000000 0.085247434359 Long DBT CORP CA N 2 2032-06-08 Fixed 4.45600000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 490000.00000000 PA USD 406010.03000000 0.210011401723 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 56.00000000 NC USD 31850.00000000 0.016474625380 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 2025-12-12 XXXX -8167.60000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 53442.44000000 0.027643459290 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2053-11-15 0.00000000 USD -593.07000000 USD -1100000.00000000 USD 54035.51000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYAR7 277624.25000000 PA USD 241377.71000000 0.124854233827 Long ABS-MBS USGSE US N 2 2041-04-25 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FXC89 75598.27000000 PA USD 10387.16000000 0.005372827936 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKP3 170000.00000000 PA USD 169230.74000000 0.087535731375 Long DBT CORP US N 2 2028-04-27 Fixed 4.37600000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBL6 750000.00000000 PA USD 636828.05000000 0.329403565318 Long DBT CORP US N 2 2032-02-04 Fixed 2.45000000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112CG6 130000.00000000 PA USD 132142.66000000 0.068351674105 Long DBT CORP US N 2 2032-11-01 Fixed 5.65000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WDN6 49629.01000000 PA USD 44336.60000000 0.022933402688 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AHGQ7 16794.27000000 PA USD 1801.43000000 0.000931801707 Long ABS-MBS USGSE US N 2 2043-12-25 Floating 1.51355000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCY5 160000.00000000 PA USD 122460.99000000 0.063343765587 Long DBT CORP US N 2 2039-11-01 Fixed 3.25000000 N N N N N N Hin Timeshare Trust N/A 433403AA0 169385.57000000 PA USD 169533.85000000 0.087692517049 Long ABS-O CORP US N 2 2044-03-15 Fixed 5.01000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJM3 190000.00000000 PA USD 196183.50000000 0.101477226633 Long DBT CORP US N 2 2029-06-12 Fixed 5.77500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -26134.04000000 -0.01351800686 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-04-28 0.00000000 USD -731.71000000 USD 20976000.00000000 USD -25402.33000000 N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AM9 40000.00000000 PA USD 40101.95000000 0.020743001672 Long DBT CORP US N 2 2028-06-15 Fixed 5.62500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMX7 230000.00000000 PA USD 230776.74000000 0.119370811239 Long DBT CORP US N 2 2030-08-15 Fixed 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AETS6 14054.08000000 PA USD 1591.24000000 0.000823079525 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 1.71355000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2DY3 190224.68000000 PA USD 15055.96000000 0.007787795941 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 1.80324000 N N N N N N SWCH Commercial Mortgage Trust N/A 78489CAA7 460000.00000000 PA USD 456756.63000000 0.236260419755 Long ABS-MBS CORP US N 2 2042-02-15 Floating 5.77161000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BY5 120000.00000000 PA USD 106229.08000000 0.054947701648 Long DBT CORP US N 2 2031-03-15 Fixed 2.60000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAL7 100000.00000000 PA USD 97436.74000000 0.050399805016 Long DBT CORP US N 2 2032-06-01 Fixed 4.40000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SZ2 3210000.00000000 PA USD 1804433.80000000 0.933355443594 Long DBT UST US N 2 2051-08-15 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378KTM1 3028531.78000000 PA USD 24911.79000000 0.012885789883 Long ABS-MBS USGA US N 2 2047-04-16 Variable 0.38169000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AH3 180000.00000000 PA USD 179035.09000000 0.092607096944 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N Sycamore Tree CLO Ltd 2138001M3BAXCUCAUG38 87122HAA0 280000.00000000 PA USD 279650.00000000 0.144650831635 Long ABS-CBDO CORP KY N 2 2038-04-20 Floating 5.48212000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9QM9 259428.73000000 PA USD 218708.51000000 0.113128438609 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CX6 131000.00000000 PA USD 129569.21000000 0.067020539892 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 92928QAE8 200000.00000000 PA USD 194789.24000000 0.100756036329 Long DBT CORP US N 2 2028-09-20 Fixed 4.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABCD2 71364.28000000 PA USD 59413.72000000 0.030732143781 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FREM9 3100000.00000000 PA USD 175841.61000000 0.090955248069 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.37864500 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AH0 270000.00000000 PA USD 266235.61000000 0.137712148748 Long DBT CORP US N 2 2027-07-15 Variable 3.90000000 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAR2 170000.00000000 PA USD 170223.76000000 0.088049377608 Long DBT CORP US N 2 2028-06-30 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKNS5 71146.81000000 PA USD 74145.06000000 0.038352027858 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AYSU8 22512.06000000 PA USD 2143.89000000 0.001108941431 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 1.76355000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0BK7 164737.02000000 PA USD 168055.42000000 0.086927789250 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.00000000 N N N N N N AXIS Equipment Finance Receiva 254900UXD59DZRJ7U848 03237FAB1 120000.00000000 PA USD 120394.98000000 0.062275108105 Long ABS-O CORP US N 2 2031-09-22 Fixed 4.70000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CF5 80000.00000000 PA USD 81039.05000000 0.041917990264 Long DBT CORP US N 2 2030-02-10 Fixed 5.12500000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAZ8 100000.00000000 PA USD 86547.80000000 0.044767428021 Long DBT CORP US N 2 2030-06-24 Fixed 1.45000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAX4 520000.00000000 PA USD 516624.92000000 0.267227692907 Long DBT CORP US N 2 2029-12-05 Fixed 4.45200000 N N N N N N TENNESSEE GAS PIPELINE N/A 880451AZ2 20000.00000000 PA USD 18259.82000000 0.009445013940 Long DBT CORP US N 2 2030-03-01 Fixed 2.90000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2H6 370000.00000000 PA USD 373783.48000000 0.193342003338 Long DBT CORP FR N 2 2030-01-10 Fixed 5.19800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381B4T8 164640.98000000 PA USD 147744.83000000 0.076422000820 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CHR5 530000.00000000 PA USD 530207.03000000 0.274253130085 Long DBT UST US N 2 2030-07-31 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381H8H7 1488837.92000000 PA USD 1113595.38000000 0.576014653396 Long ABS-MBS USGA US N 2 2064-06-16 Fixed 2.00000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DBJ3 10000.00000000 PA USD 9978.83000000 0.005161616514 Long DBT CORP US N 2 2034-11-14 Fixed 5.40000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAQ6 230000.00000000 PA USD 217704.99000000 0.112609361182 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N MF1MultifamilyHousingMortga N/A 55287KAA1 200000.00000000 PA USD 200424.12000000 0.103670715672 Long ABS-CBDO CORP KY N 2 2042-05-18 Floating 5.81800000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAS9 680000.00000000 PA USD 455787.00000000 0.235758872156 Long DBT NUSS MX N 2 2052-02-12 Fixed 4.40000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 770000.00000000 PA USD 742779.72000000 0.384207774789 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N AMERICAN TRANSMISSION SY N/A 030288AC8 140000.00000000 PA USD 121463.63000000 0.062827874460 Long DBT CORP US N 2 2032-01-15 Fixed 2.65000000 N N N N N N Golub Capital Partners CLO Ltd N/A 38179AAA0 1730000.00000000 PA USD 1730954.96000000 0.895348022483 Long ABS-CBDO CORP US N 2 2034-10-25 Floating 6.03338000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 120000.00000000 PA USD 121106.00000000 0.062642887952 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A92R8 336294.51000000 PA USD 303692.37000000 0.157086908213 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 3.00000000 N N N N N N AON NORTH AMERICA INC N/A 03740MAB6 290000.00000000 PA USD 295913.45000000 0.153063209850 Long DBT CORP US N 2 2029-03-01 Fixed 5.15000000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 168863DS4 430000.00000000 PA USD 313900.00000000 0.162366873056 Long DBT NUSS CL N 2 2041-05-07 Fixed 3.10000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AK0 10000.00000000 PA USD 9933.31000000 0.005138070990 Long DBT CORP US N 2 2028-08-15 Fixed 4.75000000 N N N N N N Deutsche Bank Commercial Mortg N/A 23312LAU2 360000.00000000 PA USD 340551.14000000 0.176152353353 Long ABS-MBS CORP US N 2 2049-05-10 Variable 4.19500000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CBK9 1270000.00000000 PA USD 1330711.59000000 0.688319464189 Long ABS-O CORP US N 2 2032-12-15 Fixed 14.59200000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AN7 10000.00000000 PA USD 10113.76000000 0.005231409958 Long DBT CORP US N 2 2030-06-14 Fixed 6.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFX7 434000.00000000 PA USD 372049.06000000 0.192444863000 Long DBT CORP US N 2 2030-10-30 Fixed 1.68000000 N N N N N N Mosaic Solar Loans LLC N/A 61946LAA0 882346.17000000 PA USD 818338.31000000 0.423290960488 Long ABS-O CORP US N 2 2044-02-22 Fixed 4.20000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFQ2 90000.00000000 PA USD 86408.85000000 0.044695555205 Long DBT CORP US N 2 2030-07-01 Fixed 3.60000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AA8 30000.00000000 PA USD 26795.71000000 0.013860260095 Long DBT CORP US N 2 2031-07-15 Fixed 2.90200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FUVK7 179351.37000000 PA USD 148162.04000000 0.076637805481 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BLE0 25152.35000000 PA USD 25257.72000000 0.013064724488 Long ABS-MBS USGA US N 2 2061-03-20 Floating 4.93344000 N N N N N N Carval CLO LTD 254900BDRF474L9PWM54 14688RAA8 1000000.00000000 PA USD 1003425.30000000 0.519028443157 Long ABS-CBDO CORP KY N 2 2037-10-20 Floating 5.65947000 N N N N N N Credit Suisse Mortgage Trust N/A 12662EAC7 173249.29000000 PA USD 155725.31000000 0.080549957440 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.53800000 N N N N N N Morgan Stanley Capital I Trust N/A 61692CBX5 250000.00000000 PA USD 204811.05000000 0.105939884536 Long ABS-MBS CORP US N 2 2054-06-15 Variable 3.45790600 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 240000.00000000 PA USD 236546.21000000 0.122355108159 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N BDS Ltd N/A 07335YAJ5 640000.00000000 PA USD 641625.34000000 0.331884995635 Long ABS-CBDO CORP KY N 2 2036-12-16 Floating 7.29118000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBW2 70000.00000000 PA USD 53640.74000000 0.027746031291 Long DBT CORP US N 2 2050-01-31 Fixed 4.20000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBS9 10000.00000000 PA USD 9905.98000000 0.005123934364 Long DBT CORP US N 2 2026-03-01 Fixed 3.15000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDQ2 20000.00000000 PA USD 15956.95000000 0.008253839041 Long DBT CORP US N 2 2048-12-15 Fixed 4.45000000 N N N N N N GUARDIAN LIFE GLOB FUND 635400NHILJ5JEKILC36 40139LAG8 180000.00000000 PA USD 179643.81000000 0.092921961432 Long DBT CORP US N 2 2025-06-23 Fixed 1.10000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3E1 300000.00000000 PA USD 307816.36000000 0.159220069604 Long DBT CORP US N 2 2029-07-25 Fixed 5.57400000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46514BRL3 300000.00000000 PA USD 297332.40000000 0.153797171221 Long DBT NUSS IL N 2 2034-03-12 Fixed 5.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CMV0 90000.00000000 PA USD 89906.84000000 0.046504913912 Long DBT UST US N 2 2027-03-31 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383CRU6 610320.34000000 PA USD 497375.25000000 0.257270672438 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.00000000 N N N N N N SACO I Trust N/A 78386KAA3 1167.66000000 PA USD 911.03000000 0.000471236356 Long ABS-MBS CORP US N 2 2021-06-25 Variable 4.04762100 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAL1 50000.00000000 PA USD 48581.71000000 0.025129214209 Long DBT CORP US N 2 2035-05-15 Fixed 4.50000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BT2 190000.00000000 PA USD 111813.71000000 0.057836388842 Long DBT CORP US N 2 2050-06-03 Fixed 2.50000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAZ3 90000.00000000 PA USD 89597.14000000 0.046344719517 Long DBT CORP US N 2 2032-10-15 Fixed 5.60000000 N N N N N N Credit Suisse Mortgage Trust N/A 12596XAA0 291524.80000000 PA USD 282244.66000000 0.145992936862 Long ABS-MBS CORP US N 2 2049-07-25 Variable 3.57300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBMQ2 138051.08000000 PA USD 23283.90000000 0.012043752900 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381BDT8 181390.06000000 PA USD 171779.74000000 0.088854218663 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHG7 380000.00000000 PA USD 373261.06000000 0.193071778101 Long DBT CORP US N 2 2029-03-05 Fixed 3.97000000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568PAE9 380000.00000000 PA USD 385518.36000000 0.199411948452 Long DBT CORP ID N 2 2028-05-21 Fixed 5.45000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBX0 120000.00000000 PA USD 111471.42000000 0.057659337051 Long DBT CORP US N 2 2030-01-31 Fixed 2.80000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313385MQ6 380000.00000000 PA USD 374342.28000000 0.193631046373 Long DBT USGSE US N 2 2025-10-06 None 0.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FB72 179277.31000000 PA USD 171980.33000000 0.088957975181 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.17920000 N N N N N N Cent CLO LP N/A 19737PAA2 1500000.00000000 PA USD 1504855.95000000 0.778396798351 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.86947000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 260000.00000000 PA USD 237274.62000000 0.122731883100 Long DBT CORP US N 2 2031-01-22 Fixed 2.69900000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967ME8 750000.00000000 PA USD 728727.04000000 0.376938932133 Long DBT CORP US N 2 2030-03-20 Fixed 3.98000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KA8 350000.00000000 PA USD 348615.34000000 0.180323614703 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N Onslow Bay Financial LLC N/A 67114JAA8 395968.14000000 PA USD 320985.47000000 0.166031879772 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.05400000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CC4 160000.00000000 PA USD 125005.22000000 0.064659785559 Long DBT CORP US N 2 2040-04-15 Fixed 3.30000000 N N N N N N PETROLEOS DEL PERU SA 549300ZMGDLC9JT2OR80 716564AA7 520000.00000000 PA USD 389158.85000000 0.201295016237 Long DBT CORP PE N 2 2032-06-19 Fixed 4.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CLW9 100000.00000000 PA USD 99039.06000000 0.051228615746 Long DBT UST US N 2 2034-11-15 Fixed 4.25000000 N N N N N N Galaxy CLO Ltd 3912004FNLYTWOWSZU31 36321EAC9 780000.00000000 PA USD 783545.49000000 0.405294141794 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.81947000 N N N N N N Morgan Stanley BAML Trust N/A 61765TAF0 435000.00000000 PA USD 432937.23000000 0.223939675900 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 3.63500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RJX1 180000.00000000 PA USD 172779.45000000 0.089371325342 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F042665 300000.00000000 PA USD 282986.02000000 0.146376410277 Long ABS-MBS USGSE US N 2 2055-06-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKP78 125592.38000000 PA USD 104293.07000000 0.053946287535 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BZ4 10000.00000000 PA USD 10325.94000000 0.005341161481 Long DBT CORP US N 2 2028-12-01 Fixed 5.75000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AT2 10000.00000000 PA USD 9755.69000000 0.005046195857 Long DBT CORP US N 2 2029-04-15 Fixed 3.65000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382MTZ2 131762.64000000 PA USD 129316.40000000 0.066889772229 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 5.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHD4 502000.00000000 PA USD 487175.21000000 0.251994633573 Long DBT CORP US N 2 2028-12-20 Fixed 3.41900000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 400000.00000000 PA USD 399797.03000000 0.206797685946 Long DBT CORP FR N 2 2026-06-09 Fixed 2.21900000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 310000.00000000 PA USD 279559.39000000 0.144603963007 Long DBT CORP GB N 2 2031-06-04 Fixed 2.84800000 N N N N N N Greystone Commercial Real Esta N/A 39810MAA7 250000.00000000 PA USD 250334.50000000 0.129487193320 Long ABS-CBDO CORP US N 2 2043-01-15 Floating 5.78106000 N N N N N N AMER AIRLN 15-1 A PTT N/A 023770AA8 469548.83000000 PA USD 456401.56000000 0.236076757424 Long DBT CORP US N 2 2027-05-01 Fixed 3.37500000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBY8 50000.00000000 PA USD 35021.06000000 0.018114877360 Long DBT CORP US N 2 2051-01-31 Fixed 3.70000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -56.00000000 NC USD -1750.00000000 -0.00090519919 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 2025-12-12 XXXX 15632.40000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAR7 340000.00000000 PA USD 334878.24000000 0.173218007912 Long DBT CORP US N 2 2029-04-23 Fixed 4.00500000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AS0 40000.00000000 PA USD 39140.58000000 0.020245726614 Long DBT CORP US N 2 2028-01-15 Fixed 4.37500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGL8 210000.00000000 PA USD 209070.61000000 0.108143170416 Long DBT CORP US N 2 2027-07-22 Fixed 4.30000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662QAA4 274474.43000000 PA USD 239913.24000000 0.124096726931 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.75600000 N N N N N N HOLCIM FINANCE US LLC 529900FB2F1WKLFNGY62 43475RAD8 60000.00000000 PA USD 59809.62000000 0.030936925702 Long DBT CORP US N 2 2035-04-07 Fixed 5.40000000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AB1 140000.00000000 PA USD 131659.80000000 0.068101911542 Long DBT CORP US N 2 2030-04-01 Fixed 3.20000000 N N N N N N Credit Suisse Mortgage Trust N/A 12596XAC6 640996.52000000 PA USD 620126.63000000 0.320764644193 Long ABS-MBS CORP US N 2 2049-07-25 Variable 3.87700000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SH5 310000.00000000 PA USD 303806.00000000 0.157145684090 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325VKQ6 67143.49000000 PA USD 6943.21000000 0.003591421779 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 1.65324000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGY4 680000.00000000 PA USD 654673.28000000 0.338634129810 Long DBT CORP US N 2 2035-02-15 Fixed 4.78000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BR9 370000.00000000 PA USD 351704.81000000 0.181921663710 Long DBT CORP US N 2 2032-06-15 Fixed 3.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617JYLP6 51793.53000000 PA USD 46128.32000000 0.023860181834 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SX7 3320000.00000000 PA USD 2054963.27000000 1.062943486450 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAC9 350000.00000000 PA USD 348315.80000000 0.180168675636 Long DBT CORP MA N 2 2025-10-22 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHNF4 100577.30000000 PA USD 99976.63000000 0.051713580095 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.62197000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AN7 190000.00000000 PA USD 186360.00000000 0.096395955600 Long DBT CORP US N 2 2026-01-15 Fixed 1.60000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKK4 220000.00000000 PA USD 193981.83000000 0.100338398110 Long DBT CORP US N 2 2033-02-04 Fixed 2.97200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACKW9 249415.40000000 PA USD 244085.81000000 0.126255016652 Long ABS-MBS USGA US N 2 2053-05-20 Fixed 5.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFL4 830000.00000000 PA USD 835249.77000000 0.432038526207 Long DBT CORP US N 2 2035-01-18 Fixed 5.46600000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 110000.00000000 PA USD 85133.20000000 0.044035716716 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CG2 410000.00000000 PA USD 409939.97000000 0.212044189455 Long DBT CORP GB N 2 2026-06-04 Fixed 2.09900000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3F8 180000.00000000 PA USD 182363.00000000 0.094328480634 Long DBT CORP US N 2 2034-07-25 Fixed 5.55700000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AQ0 130000.00000000 PA USD 113890.28000000 0.058910508554 Long DBT CORP US N 2 2030-08-15 Fixed 1.90000000 N N N N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887BG3 20000.00000000 PA USD 16919.76000000 0.008751858948 Long DBT CORP US N 2 2044-12-15 Fixed 4.68500000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BJ2 10000.00000000 PA USD 8843.00000000 0.004574100855 Long DBT CORP US N 2 2030-05-04 Fixed 1.75000000 N N N N N N BRAVO Residential Funding Trus N/A 10569JAA8 269847.03000000 PA USD 268517.63000000 0.138892538846 Long ABS-MBS CORP US N 2 2062-07-25 Variable 5.10800000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BM1 100000.00000000 PA USD 78950.01000000 0.040837420361 Long DBT CORP US N 2 2050-03-25 Fixed 4.75000000 N N N N N N PRKCM Trust N/A 69391XAA7 730584.68000000 PA USD 738666.41000000 0.382080137699 Long ABS-MBS CORP US N 2 2059-05-25 Variable 6.43100000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CW7 100000.00000000 PA USD 99377.35000000 0.051403598509 Long DBT CORP US N 2 2029-05-03 Fixed 4.05000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CMA6 230000.00000000 PA USD 231783.40000000 0.119891512852 Long DBT UST US N 2 2029-11-30 Fixed 4.12500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -56.00000000 NC USD -15050.00000000 -0.00778471309 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 2025-12-12 XXXX 7932.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXKP6 30977.43000000 PA USD 29276.60000000 0.015143517030 Long ABS-MBS USGSE US N 2 2058-08-01 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810UE6 380000.00000000 PA USD 354825.00000000 0.183535602843 Long DBT UST US N 2 2054-11-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5S4 28640.42000000 PA USD 26502.16000000 0.013708419396 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BG4M0 191150.22000000 PA USD 168117.38000000 0.086959838474 Long ABS-MBS USGSE US N 2 2046-01-25 Fixed 2.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JF5 400000.00000000 PA USD 377556.56000000 0.195293654187 Long DBT CORP US N 2 2027-08-01 Fixed 2.10000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46593EAA3 620000.00000000 PA USD 620628.18000000 0.321024074283 Long ABS-MBS CORP US N 2 2039-03-15 Floating 5.73228000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XQX2 1052751.11000000 PA USD 4857.39000000 0.002512517443 Long ABS-MBS USGA US N 2 2054-08-16 Variable 0.18686000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BCD80 666095.62000000 PA USD 105387.58000000 0.054512430148 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.50000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBT9 270000.00000000 PA USD 268133.44000000 0.138693814000 Long DBT CORP US N 2 2028-10-16 Fixed 4.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVF3 140637.09000000 PA USD 118914.28000000 0.061509206133 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 25.00000000 NC USD 5468.75000000 0.002828747489 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 2025-12-16 0.00000000 USD 2500.00000000 96.12500000 USD 2025-09-12 XXXX -7083.75000000 N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AR8 180000.00000000 PA USD 157671.76000000 0.081556771712 Long DBT CORP US N 2 2031-01-15 Fixed 2.15000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CJ1 120000.00000000 PA USD 110737.50000000 0.057279712026 Long DBT CORP US N 2 2033-04-01 Fixed 4.40000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 90000.00000000 PA USD 81168.25000000 0.041984819827 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78015K7H1 150000.00000000 PA USD 149894.37000000 0.077533864752 Long DBT CORP CA N 2 2025-06-10 Fixed 1.15000000 N N N N N N KENVUE INC 5493008HSF8L4M2LIJ82 49177JAF9 280000.00000000 PA USD 287139.59000000 0.148524872122 Long DBT CORP US N 2 2028-03-22 Fixed 5.05000000 N N N N N N Obra CLO Ltd N/A 674436AA8 440000.00000000 PA USD 440812.24000000 0.228013077457 Long ABS-CBDO CORP KY N 2 2038-07-20 Floating 0.01000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAC9 130000.00000000 PA USD 113895.96000000 0.058913446572 Long DBT CORP US N 2 2045-09-15 Fixed 5.10000000 N N N N N N CIFC Funding Ltd N/A 17181UAA6 750000.00000000 PA USD 753419.33000000 0.389711184175 Long ABS-CBDO CORP KY N 2 2037-04-22 Floating 5.79238000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMHZ2 85035.72000000 PA USD 84986.54000000 0.043959855851 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFL8 160000.00000000 PA USD 159361.40000000 0.082430749295 Long DBT CORP US N 2 2026-10-22 Fixed 4.25000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 50.00000000 NC USD 10937.50000000 0.005657494979 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 2025-12-16 0.00000000 USD 2500.00000000 96.12500000 USD 2025-09-12 XXXX -12292.50000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CMD0 10000.00000000 PA USD 10177.34000000 0.005264297138 Long DBT UST US N 2 2029-12-31 Fixed 4.37500000 N N N N N N SOLVENTUM CORP 254900I70403OSGY4M28 83444MAR2 280000.00000000 PA USD 282510.30000000 0.146130340928 Long DBT CORP US N 2 2034-03-23 Fixed 5.60000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8U9 150000.00000000 PA USD 148388.09000000 0.076754731354 Long DBT CORP US N 2 2034-08-15 Fixed 4.75000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AV2 300000.00000000 PA USD 287474.61000000 0.148698163456 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAD7 170000.00000000 PA USD 167610.32000000 0.086697558300 Long DBT CORP US N 2 2027-06-15 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UEA6 8185.89000000 PA USD 7835.11000000 0.004052763016 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 4.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHQ5 890000.00000000 PA USD 868179.96000000 0.449071887084 Long DBT CORP US N 2 2030-02-07 Fixed 3.97400000 N N N N N N Dryden Senior Loan Fund N/A 26246GAA1 1020000.00000000 PA USD 1023771.96000000 0.529552889036 Long ABS-CBDO CORP KY N 2 2034-05-20 Floating 5.68360000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLDT2 84859.80000000 PA USD 71646.21000000 0.037059480994 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACPU8 341590.96000000 PA USD 340440.51000000 0.176095129246 Long ABS-MBS USGA US N 2 2053-08-20 Fixed 5.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -60.00000000 NC USD -21375.00000000 -0.01105636161 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 96.56250000 USD 2025-12-12 XXXX 249.00000000 N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBQ5 400000.00000000 PA USD 420501.57000000 0.217507247647 Long DBT CORP US N 2 2028-11-01 Fixed 6.20000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDS5 450000.00000000 PA USD 456628.54000000 0.236194164346 Long DBT CORP US N 2 2029-03-15 Fixed 4.80000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBV4 290000.00000000 PA USD 275341.76000000 0.142422365699 Long DBT CORP US N 2 2029-07-31 Fixed 3.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHLW9 105838.11000000 PA USD 105448.13000000 0.054543750040 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.62197000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2L6 80000.00000000 PA USD 78690.08000000 0.040702969831 Long DBT CORP US N 2 2031-04-04 Fixed 4.47800000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JCZ5 70000.00000000 PA USD 70153.90000000 0.036287573672 Long DBT CORP US N 2 2035-04-01 Fixed 5.35000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAP3 280000.00000000 PA USD 274040.66000000 0.141749363028 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAQ8 400000.00000000 PA USD 396387.87000000 0.205034275150 Long DBT CORP ES N 2 2028-03-24 Fixed 4.17500000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BP3K5 200000.00000000 PA USD 189573.32000000 0.098058066847 Long ABS-MBS USGSE US N 2 2032-09-25 Variable 3.76706000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BD8 270000.00000000 PA USD 181614.21000000 0.093941164002 Long DBT CORP IN N 2 2052-01-12 Fixed 3.62500000 N N N N N N 2025-07-22 Western Asset Funds Inc Christopher Berarducci Christopher Berarducci Principal Financial Officer