NPORT-P false 0000889512 XXXXXXXX S000069099 C000220869 Legg Mason Partners Institutional Trust 811-06740 0000889512 54930003LJE4ZPPMRV82 620 Eighth Avenue 47thFloor New York 10018 1-877-721-1926 Western Asset SMASh Series Core Completion Fund S000069099 549300HUUQMD5AMJIL20 2023-02-28 2022-11-30 N 348595009.56 31537904.04 317057105.52 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 24681886.74000000 0.00000000 1000000.00000000 USD N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAVM3 83920.35000000 PA USD 71246.02000000 0.022471037160 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -135.00000000 NC USD -35859.40000000 -0.01131007612 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 2023-03-22 0.00000000 USD 100000.00000000 111.50000000 USD 2022-12-23 XXXX 54610.24000000 N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 3801110.59000000 1.198872544983 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.39.V1 Y Default Event 2027-12-20 0.00000000 USD -187061.73000000 USD 294655000.00000000 USD 3988172.32000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 48.00000000 NC USD 44250.02000000 0.013956482674 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 2023-03-22 0.00000000 USD 100000.00000000 113.50000000 USD 2022-12-23 XXXX 198.21000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUA8 94425.00000000 PA USD 85533.30000000 0.026977253785 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNB36 286305.64000000 PA USD 264409.63000000 0.083394954850 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 14.00000000 NC USD 43750.00000000 0.013798776068 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 2023-03-22 0.00000000 USD 100000.00000000 110.50000000 USD 2022-12-23 XXXX 27319.53000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFVE8 2663862.75000000 PA USD 2220929.24000000 0.700482405640 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AJE90 76220.87000000 PA USD 63761.22000000 0.020110326780 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -2135.00000000 NC USD 2756803.86000000 0.869497580090 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2024-03-19 -512915053.86000000 USD 2756803.86000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVX4 2366494.06000000 PA USD 1939720.05000000 0.611788859555 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCZ68 265756.01000000 PA USD 229959.71000000 0.072529429555 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BD8 2730000.00000000 PA USD 1857218.04000000 0.585767676442 Long DBT CORP IN N 2 2052-01-12 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKJ34 83169.68000000 PA USD 69446.21000000 0.021903376013 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1055719.23000000 0.332974474194 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2047-08-15 396159.79000000 USD 0.00000000 USD -3940000.00000000 USD 659559.44000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -14.00000000 NC USD -9843.75000000 -0.00310472461 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 2023-03-22 0.00000000 USD 100000.00000000 113.00000000 USD 2022-12-23 XXXX 1069.53000000 N N N AGL CLO 6 LTD 5493008ZSC34VKNPZN79 00119VAN9 3050000.00000000 PA USD 2972023.46000000 0.937377970169 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.44257000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 228.00000000 NC USD 274312.52000000 0.086518332257 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 2023-03-22 0.00000000 USD 100000.00000000 113.00000000 USD 2022-12-23 XXXX 69152.44000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -8.00000000 NC USD -50.00000000 -0.00001577002 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2022-12-19 0.00000000 USD 1000000.00000000 96.50000000 USD 2022-12-19 XXXX 5233.20000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -866.00000000 NC USD -5412.50000000 -0.00170710572 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2022-12-19 0.00000000 USD 1000000.00000000 97.00000000 USD 2022-12-19 XXXX 728868.90000000 N N N Freddie Mac - STACR N/A 35564KKY4 5210000.00000000 PA USD 4880508.66000000 1.539315339423 Long ABS-MBS CORP US N 2 2041-10-25 Floating 5.04687000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9SV8 152081.80000000 PA USD 131889.30000000 0.041597963806 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N LUKOIL CAPITAL DAC 984500BEC55D7EHC4M56 549875AA0 2260000.00000000 PA USD 1604600.00000000 0.506091796103 Long DBT CORP IE N 2 2027-04-26 Fixed 2.80000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401BB3 250000.00000000 PA USD 254046.02000000 0.080126266081 Long DBT CORP CH N 2 2033-11-15 Fixed 9.01600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KYDF8 86543.10000000 PA USD 75584.50000000 0.023839396337 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N SMB Private Education Loan Tru N/A 78448YAC5 3229566.31000000 PA USD 2765698.86000000 0.872303068390 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.59000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LRT40 90142.27000000 PA USD 78104.91000000 0.024634335152 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFB32 401494.59000000 PA USD 349085.37000000 0.110101733701 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 13926763.56000000 4.392509525108 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-08-15 550532.83000000 USD 0.00000000 USD -109264000.00000000 USD 13376230.73000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 654.00000000 NC USD 143062.50000000 0.045121997744 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2024-06-18 0.00000000 USD 2500.00000000 95.62500000 USD 2023-01-13 XXXX -87210.90000000 N N N RBSCF Trust N/A 74932QAA8 4760000.00000000 PA USD 4573026.25000000 1.442335204095 Long ABS-MBS CORP US N 2 2032-01-15 Variable 3.96138700 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KRQ69 83204.75000000 PA USD 72322.93000000 0.022810695215 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DW9 2280000.00000000 PA USD 1522434.73000000 0.480176820987 Long DBT NUSS PE N 2 2072-01-15 Fixed 3.60000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 73.00000000 NC USD 261203.13000000 0.082383622840 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 2023-03-22 0.00000000 USD 100000.00000000 110.00000000 USD 2022-12-23 XXXX 169826.84000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LPCJ9 96654.26000000 PA USD 81672.77000000 0.025759640322 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -7.00000000 NC USD -4921.88000000 -0.00155236388 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 2023-03-22 0.00000000 USD 100000.00000000 127.00000000 USD 2022-12-02 XXXX -230.86000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAVK7 161632.93000000 PA USD 136832.84000000 0.043157159268 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7YH6 151380.87000000 PA USD 135662.50000000 0.042788033334 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MJ6K6 94897.88000000 PA USD 81812.01000000 0.025803556701 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGN8 310000.00000000 PA USD 249103.17000000 0.078567288246 Long DBT CORP US N 2 2032-03-15 Fixed 2.35500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 223.00000000 NC USD -128431.20000000 -0.04050727700 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2023-03-13 53001731.20000000 USD -128431.20000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEA8 300000.00000000 PA USD 284524.81000000 0.089739294608 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691JBA1 755000.00000000 PA USD 651621.32000000 0.205521752597 Long ABS-MBS CORP US N 2 2050-06-15 Variable 4.28100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2EC2 546395.69000000 PA USD 456391.02000000 0.143945999649 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLE3 75377.44000000 PA USD 65755.23000000 0.020739238722 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DT6 600000.00000000 PA USD 437727.46000000 0.138059501704 Long DBT NUSS PE N 2 2051-03-10 Fixed 3.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFZA2 93424.92000000 PA USD 80593.22000000 0.025419149609 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N RUSSIAN FEDERATION 5493004EHVGF71PDBU58 000000000 1200000.00000000 PA USD 735000.00000000 0.231819437950 Long DBT NUSS RU N 2 2042-04-04 Fixed 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKT82 234189.20000000 PA USD 203340.08000000 0.064133582392 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -67.00000000 NC USD -47109.38000000 -0.01485832652 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 2023-03-22 0.00000000 USD 100000.00000000 114.00000000 USD 2022-12-23 XXXX 4071.60000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381ETV0 4333188.02000000 PA USD 222955.31000000 0.070320237622 Long ABS-MBS USGA US N 2 2061-02-16 Variable 0.64040000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAQ8 200000.00000000 PA USD 185513.47000000 0.058511058976 Long DBT CORP ES N 2 2028-03-24 Fixed 4.17500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -66.00000000 NC USD -44343.75000000 -0.01398604517 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 2023-03-22 0.00000000 USD 100000.00000000 124.00000000 USD 2022-12-23 XXXX 58667.07000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H040616 700000.00000000 PA USD 668664.06000000 0.210897042948 Long ABS-MBS USGA US N 2 2053-01-15 Fixed 4.00000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691MAA5 2830000.00000000 PA USD 2748439.40000000 0.866859424422 Long ABS-MBS CORP US N 2 2035-07-15 Floating 4.77500000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36255TAJ1 118956.52000000 PA USD 85516.93000000 0.026972090677 Long ABS-MBS CORP US N 2 2031-09-15 Floating 6.87500000 N N N N N N BX Trust N/A 05610HAA1 4585080.88000000 PA USD 4407062.82000000 1.389990239383 Long ABS-MBS CORP US N 2 2039-02-15 Floating 4.80715000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 696.00000000 NC USD 256238.19000000 0.080817677805 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 2023-03-31 142673887.50000000 USD 256238.19000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175BS2 390000.00000000 PA USD 309519.19000000 0.097622536953 Long DBT CORP US N 2 2049-07-01 Fixed 5.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABU83 94850.04000000 PA USD 86174.51000000 0.027179491801 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAVL5 158720.67000000 PA USD 133963.85000000 0.042252278112 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM5J0 94848.76000000 PA USD 82078.69000000 0.025887667732 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KXAB2 79452.97000000 PA USD 68848.72000000 0.021714927311 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H032613 7700000.00000000 PA USD 7154984.38000000 2.256686336761 Long ABS-MBS USGA US N 2 2053-01-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133APF79 92071.13000000 PA USD 79641.14000000 0.025118863010 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1149.00000000 NC USD -24746.29000000 -0.00780499461 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 278168921.29000000 USD -24746.29000000 N N N Morgan Stanley Capital I Trust N/A 61691DAA5 10500000.00000000 PA USD 9306063.90000000 2.935138099093 Long ABS-MBS CORP US N 2 2040-07-11 Variable 4.41853300 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCZ2 140000.00000000 PA USD 104583.22000000 0.032985609904 Long DBT CORP US N 2 2050-02-01 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBQ52 151788.76000000 PA USD 131875.16000000 0.041593504042 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL52 1291847.37000000 PA USD 1123933.50000000 0.354489295597 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46593EAA3 3420000.00000000 PA USD 3307307.24000000 1.043126674160 Long ABS-MBS CORP US N 2 2039-03-15 Floating 4.61771000 N N N N N N CODELCO INC 549300UVMBCBCIPSUI70 21987BBA5 3100000.00000000 PA USD 2322800.33000000 0.732612608126 Long DBT CORP CL N 2 2050-01-30 Fixed 3.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAVN1 163857.78000000 PA USD 139015.70000000 0.043845634612 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 179.00000000 NC USD 277205.98000000 0.087430931265 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 43132531.52000000 USD 277205.98000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MNP83 96096.54000000 PA USD 88914.50000000 0.028043686279 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LN5G8 89455.98000000 PA USD 77384.86000000 0.024407230953 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Whitebox CLO III Ltd 549300JXCQSPB1A61C68 96467HAA4 2850000.00000000 PA USD 2751145.26000000 0.867712854278 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.29914000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAN1 312000.00000000 PA USD 283200.01000000 0.089321451899 Long DBT CORP US N 2 2035-04-01 Fixed 3.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFSJ1 193483.90000000 PA USD 173222.51000000 0.054634482868 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N BHMS Mortgage Trust N/A 05549GAL5 280000.00000000 PA USD 255692.50000000 0.080645566854 Long ABS-MBS CORP US N 2 2035-07-15 Floating 6.12529000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KYEH3 3804136.81000000 PA USD 3147813.35000000 0.992822206219 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -80.00000000 NC USD -48750.00000000 -0.01537577904 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 2023-03-22 0.00000000 USD 100000.00000000 112.75000000 USD 2022-12-23 XXXX 2361.60000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138L9U26 476988.36000000 PA USD 435667.03000000 0.137409640854 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.93000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBK3 120000.00000000 PA USD 117378.77000000 0.037021333998 Long DBT CORP US N 2 2027-05-09 Fixed 4.35000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B5FE7 1262503.46000000 PA USD 1051869.83000000 0.331760371140 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNPL0 95197.92000000 PA USD 87758.45000000 0.027679067421 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.50000000 N N N N N N KREF 2022-Fl3 Ltd 549300DG0FGL1EU1CT79 48275EAA4 2000000.00000000 PA USD 1935063.00000000 0.610320023210 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 5.38153000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFUG4 95866.08000000 PA USD 82846.57000000 0.026129857542 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N AREIT CRE Trust N/A 04002VAA9 2395729.34000000 PA USD 2295717.22000000 0.724070579094 Long ABS-MBS CORP KY N 2 2037-01-16 Floating 4.64212000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUU4 98177.70000000 PA USD 86864.99000000 0.027397269604 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBTG5 439604.18000000 PA USD 366251.22000000 0.115515853019 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JBVE3 97405.33000000 PA USD 81948.70000000 0.025846668809 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -81.00000000 NC USD -37968.75000000 -0.01197536637 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 2023-03-22 0.00000000 USD 100000.00000000 123.00000000 USD 2022-12-23 XXXX 102359.87000000 N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06417XAG6 870000.00000000 PA USD 751437.67000000 0.237003888863 Long DBT CORP CA N 2 2037-05-04 Fixed 4.58800000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BK9 2000000.00000000 PA USD 1738207.14000000 0.548231567669 Long DBT NUSS PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617VKGV5 81189.83000000 PA USD 70834.09000000 0.022341114192 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8CP0 78389.05000000 PA USD 68228.79000000 0.021519401020 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFPU9 91704.11000000 PA USD 80097.08000000 0.025262666757 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 68560EAA6 1800000.00000000 PA USD 1571688.00000000 0.495711331692 Long DBT CORP MX N 2 2026-05-11 Fixed 1.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWS4 290154.03000000 PA USD 268469.27000000 0.084675367725 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -61.00000000 NC USD -16197.33000000 -0.00510864753 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 2023-03-22 -7282833.92000000 USD -16197.33000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -28.00000000 NC USD -102812.52000000 -0.03242713006 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 2023-03-22 0.00000000 USD 100000.00000000 124.00000000 USD 2022-12-23 XXXX -83610.94000000 N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAD0 2770000.00000000 PA USD 1694124.94000000 0.534328015523 Long DBT CORP NL N 2 2050-08-03 Fixed 4.02700000 N N N N N N BX Trust N/A 05609RAA2 6510000.00000000 PA USD 6187626.75000000 1.951581163857 Long ABS-MBS CORP US N 2 2026-10-15 Floating 4.51093000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNBV4 194565.04000000 PA USD 174151.56000000 0.054927505792 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -264.00000000 NC USD 111675.72000000 0.035222588630 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 2023-03-22 -33639675.72000000 USD 111675.72000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGV97 185190.94000000 PA USD 169979.37000000 0.053611594580 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -105.00000000 NC USD -70546.88000000 -0.02225052798 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 2023-03-31 0.00000000 USD 100000.00000000 108.50000000 USD 2022-12-23 XXXX -10134.75000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFBK6 81943.32000000 PA USD 74012.59000000 0.023343614986 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 3.00000000 N N N N N N La Quinta Mortgage Trust N/A 50172LAA8 478203.01000000 PA USD 466068.18000000 0.146998181679 Long ABS-MBS CORP US N 2 2039-03-15 Floating 5.53472300 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCC3 800000.00000000 PA USD 651225.06000000 0.205396771957 Long DBT CORP US N 2 2047-11-01 Fixed 3.96900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W5GH5 58561.29000000 PA USD 53797.88000000 0.016967883407 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 8.00000000 NC USD 57125.00000000 0.018017259038 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 2023-03-22 0.00000000 USD 100000.00000000 120.00000000 USD 2022-12-23 XXXX 39861.16000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCN9 160000.00000000 PA USD 148099.86000000 0.046710784089 Long DBT CORP US N 2 2058-10-15 Fixed 4.95000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -71.00000000 NC USD -19129.67000000 -0.00603350931 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 2023-03-22 -8039370.33000000 USD -19129.67000000 N N N Credit Suisse Mortgage Trust N/A 12653VAC0 1480000.00000000 PA USD 1453568.53000000 0.458456380473 Long ABS-MBS CORP US N 2 2036-05-15 Floating 5.10500000 N N N N N N Credit Suisse Mortgage Trust N/A 126405AA7 1053724.65000000 PA USD 936346.26000000 0.295324168327 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGN3 180820.26000000 PA USD 157331.25000000 0.049622369996 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N BX Commercial Mortgage Trust 2 N/A 056054AA7 5945202.38000000 PA USD 5845334.87000000 1.843622100950 Long ABS-MBS CORP US N 2 2036-10-15 Floating 4.82873000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 210.00000000 NC USD 751406.25000000 0.236993978976 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 2023-03-22 0.00000000 USD 100000.00000000 110.00000000 USD 2022-12-23 XXXX 467449.20000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -160.00000000 NC USD -23750.09000000 -0.00749079253 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 2023-03-31 0.00000000 USD 100000.00000000 107.00000000 USD 2022-12-23 XXXX 20035.65000000 N N N Nelnet Student Loan Trust N/A 64035DAB2 1396146.14000000 PA USD 1231128.65000000 0.388298709780 Long ABS-O CORP US N 2 2062-04-20 Fixed 1.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L5QW9 85273.89000000 PA USD 73890.21000000 0.023305016261 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -6.00000000 NC USD -5718.75000000 -0.00180369715 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 2023-03-22 0.00000000 USD 100000.00000000 125.00000000 USD 2022-12-23 XXXX 739.62000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 578068.87000000 0.182323266041 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2047-02-15 0.00000000 USD 0.00000000 USD -2325000.00000000 USD 578068.87000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGRZ4 181250.50000000 PA USD 166525.27000000 0.052522169382 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -55.00000000 NC USD -146953.13000000 -0.04634910476 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 2023-03-22 0.00000000 USD 100000.00000000 111.00000000 USD 2022-12-23 XXXX -93345.15000000 N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAF9 2500000.00000000 PA USD 2484012.50000000 0.783459022602 Long DBT CORP AT N 2 2029-01-15 Fixed 6.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 126416AA4 1136349.65000000 PA USD 924972.93000000 0.291737013268 Long ABS-MBS CORP US N 2 2066-11-25 Variable 2.26500000 N N N N N N SG Capital Partners N/A 78433QAA3 1157946.67000000 PA USD 1035980.84000000 0.326748974226 Long ABS-MBS CORP US N 2 2062-03-27 Variable 3.16600000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DZ5 11890000.00000000 PA USD 8506510.02000000 2.682958328925 Long DBT NUSS CO N 2 2032-04-22 Fixed 3.25000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -41.00000000 NC USD -109546.88000000 -0.03455115122 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 2023-03-22 0.00000000 USD 100000.00000000 111.00000000 USD 2022-12-23 XXXX -66055.31000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 774456.64000000 0.244264085717 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-02-15 0.00000000 USD -52703.10000000 USD -22681000.00000000 USD 827159.74000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFF97 93614.54000000 PA USD 81004.72000000 0.025548936954 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DSJ2 117568.89000000 PA USD 101660.22000000 0.032063693962 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N 522 Funding CLO Ltd N/A 33835AAJ8 4440000.00000000 PA USD 4295591.09000000 1.354831989320 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 5.47457000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 20.00000000 NC USD 22812.51000000 0.007195079246 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 2023-03-22 0.00000000 USD 100000.00000000 128.50000000 USD 2022-12-23 XXXX -12331.49000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -394.00000000 NC USD -2462.50000000 -0.00077667396 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2022-12-19 0.00000000 USD 1000000.00000000 96.50000000 USD 2022-12-19 XXXX 257735.10000000 N N N PETROLEOS DEL PERU SA 549300ZMGDLC9JT2OR80 716564AB5 4640000.00000000 PA USD 3189953.60000000 1.006113266179 Long DBT CORP PE N 2 2047-06-19 Fixed 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LH6Y5 332131.33000000 PA USD 313401.25000000 0.098846940990 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.25000000 N N N N N N Ellington Financial Mortgage T N/A 31573CAA3 4543185.26000000 PA USD 3776312.40000000 1.191051181081 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20600000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAS9 2530000.00000000 PA USD 1952344.56000000 0.615770637531 Long DBT NUSS MX N 2 2052-02-12 Fixed 4.40000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DBJ3 410000.00000000 PA USD 383253.65000000 0.120878429572 Long DBT CORP US N 2 2034-11-14 Fixed 5.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFUH2 95138.45000000 PA USD 82112.77000000 0.025898416585 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAZZ0 911385.92000000 PA USD 754423.92000000 0.237945753892 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KK3X5 155954.43000000 PA USD 135352.17000000 0.042690155067 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -68.00000000 NC USD -21250.00000000 -0.00670226266 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 2023-03-22 0.00000000 USD 100000.00000000 122.00000000 USD 2022-12-23 XXXX 80397.99000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F032617 5300000.00000000 PA USD 4855710.96000000 1.531494130067 Long ABS-MBS USGSE US N 2 2053-01-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B6T83 94699.68000000 PA USD 81839.07000000 0.025812091441 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N LUKOIL CAPITAL DAC 984500BEC55D7EHC4M56 549875AB8 330000.00000000 PA USD 253770.00000000 0.080039209209 Long DBT CORP IE N 2 2031-10-26 Fixed 3.60000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AT0 480000.00000000 PA USD 452710.63000000 0.142785202450 Long DBT CORP US N 2 2032-05-15 Fixed 4.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ASGU1 184072.30000000 PA USD 159401.78000000 0.050275416391 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A4XN1 62953.63000000 PA USD 56888.86000000 0.017942780341 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N Arbor Realty Collateralized Lo N/A 03880XAA4 2268000.00000000 PA USD 2205630.00000000 0.695657016228 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 4.66771000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M33H1 93649.13000000 PA USD 81034.07000000 0.025558193962 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNTM4 95385.99000000 PA USD 87880.51000000 0.027717565217 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N BNY MELLON CASH RESERVE EOD FUND N/A 000000000 18149956.46000000 NS USD 18149956.46000000 5.724507082165 Long STIV CORP US N 2 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMVK8 88771.06000000 PA USD 79406.44000000 0.025044838490 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKK24 698789.25000000 PA USD 608975.50000000 0.192071235559 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 168863DQ8 1240000.00000000 PA USD 800109.52000000 0.252355019354 Long DBT NUSS CL N 2 2061-01-22 Fixed 3.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBX62 85868.95000000 PA USD 74445.58000000 0.023480180290 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 959077.71000000 0.302493681202 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2052-04-21 7920.91000000 USD 0.00000000 USD -8500000.00000000 USD 951156.80000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -21.00000000 NC USD -62015.64000000 -0.01955976980 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 2023-03-22 0.00000000 USD 100000.00000000 125.00000000 USD 2022-12-23 XXXX -32848.84000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8SG3 76781.81000000 PA USD 66691.44000000 0.021034519914 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHD61 94467.10000000 PA USD 81329.72000000 0.025651442148 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BB9 3500000.00000000 PA USD 2593303.27000000 0.817929396581 Long DBT NUSS PA N 2 2053-04-29 Fixed 4.30000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 187.00000000 NC USD 283421.88000000 0.089391429829 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 2023-03-22 0.00000000 USD 100000.00000000 112.50000000 USD 2022-12-23 XXXX 84926.50000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKS75 155212.76000000 PA USD 135218.02000000 0.042647844077 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1228.00000000 NC USD 2919602.28000000 0.920844298761 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 2023-03-22 164433772.72000000 USD 2919602.28000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TJ7 770000.00000000 PA USD 659553.13000000 0.208023450197 Long DBT UST US N 2 2052-08-15 Fixed 3.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 296.00000000 NC USD -1282523.60000000 -0.40450870763 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2023-06-19 71456723.60000000 USD -1282523.60000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133APK73 90582.80000000 PA USD 78265.16000000 0.024684878098 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9BG4 149778.01000000 PA USD 137718.93000000 0.043436632582 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.00000000 N N N N N N EQUATE PETROCHEMICAL BV 635400Y3Z5R4NJSMQ630 29441WAD7 2870000.00000000 PA USD 2464976.99000000 0.777455211406 Long DBT CORP NL N 2 2028-04-28 Fixed 2.62500000 N N N N N N Reese Park CLO, Ltd. N/A 758465BA5 4570000.00000000 PA USD 4418250.12000000 1.393518720469 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.20914000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WNF1 10246816.51000000 PA USD 9331295.12000000 2.943096040915 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N MTN Commercial Mortgage Trust N/A 62475WAA3 2100000.00000000 PA USD 2024893.50000000 0.638652616436 Long ABS-MBS CORP US N 2 2039-03-15 Floating 5.19115000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL94 942380.71000000 PA USD 814291.73000000 0.256828096839 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 129.00000000 NC USD -1311470.90000000 -0.41363870330 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2023-09-18 31948970.90000000 USD -1311470.90000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -72.00000000 NC USD -69750.00000000 -0.02199919156 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 2023-03-22 0.00000000 USD 100000.00000000 129.00000000 USD 2022-12-23 XXXX 7172.32000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ABUR9 80585.00000000 PA USD 70203.88000000 0.022142345583 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6PV1 164227.37000000 PA USD 151060.08000000 0.047644439241 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AQPP6 272103.01000000 PA USD 236084.98000000 0.074461343363 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDS7 160000.00000000 PA USD 106989.46000000 0.033744539433 Long DBT CORP US N 2 2051-11-01 Fixed 2.88700000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -30.00000000 NC USD -28593.75000000 -0.00901848578 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 2023-03-22 0.00000000 USD 100000.00000000 125.00000000 USD 2022-12-23 XXXX -989.40000000 N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAG0 2000000.00000000 PA USD 1877280.00000000 0.592095230580 Long DBT CORP US N 2 2042-11-08 Fixed 5.25000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 220312.97000000 0.069486842011 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-02-15 274324.17000000 USD 0.00000000 USD -8899000.00000000 USD -54011.20000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -110.00000000 NC USD -293906.26000000 -0.09269820952 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 2023-03-22 0.00000000 USD 100000.00000000 111.00000000 USD 2022-12-23 XXXX -181518.43000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -13.00000000 NC USD -4062.50000000 -0.00128131492 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 2023-03-22 0.00000000 USD 100000.00000000 128.00000000 USD 2022-12-02 XXXX 4852.51000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DTQ5 3801809.50000000 PA USD 3160151.50000000 0.996713666081 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L6TB0 78013.90000000 PA USD 65357.90000000 0.020613920603 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJA69 64936.71000000 PA USD 56435.95000000 0.017799932257 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBYG9 178042.64000000 PA USD 155495.88000000 0.049043493204 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMFR1 619665.12000000 PA USD 535477.37000000 0.168889881563 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AU7 660000.00000000 PA USD 588493.38000000 0.185611162706 Long DBT CORP US N 2 2052-05-15 Fixed 4.55000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -20.00000000 NC USD -26562.52000000 -0.00837783463 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 2023-03-22 0.00000000 USD 100000.00000000 126.00000000 USD 2022-12-23 XXXX 2465.42000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1420661.79000000 0.448077575069 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2032-03-18 106184.95000000 USD 0.00000000 USD -13100000.00000000 USD 1314476.84000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -294.00000000 NC USD 27006.11000000 0.008517743185 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short FEDERAL RESERVE BANK OF NEW YORK 30 DAY FEDERAL FUNDS 2022-11-30 -117902872.92000000 USD 27006.11000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LRU55 89440.65000000 PA USD 77600.87000000 0.024475360636 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JXN6 1830000.00000000 PA USD 1401091.92000000 0.441905226410 Long DBT NUSS IL N 2 2050-01-15 Fixed 3.37500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -83.00000000 NC USD -10375.00000000 -0.00327228118 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 2023-03-22 0.00000000 USD 100000.00000000 110.50000000 USD 2022-12-23 XXXX 31028.29000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133APF61 87524.68000000 PA USD 76041.06000000 0.023983395633 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 11623162.87000000 3.665952494878 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2047-02-15 0.00000000 USD -1069384.43000000 USD -40873000.00000000 USD 12692547.30000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCXQ6 813737.53000000 PA USD 703082.55000000 0.221752655202 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAFA5 81873.27000000 PA USD 71132.01000000 0.022435078338 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -33.00000000 NC USD -14695.33000000 -0.00463491583 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 2023-03-31 0.00000000 USD 100000.00000000 109.00000000 USD 2022-12-23 XXXX -572.72000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDBN5 256106.12000000 PA USD 229472.34000000 0.072375712767 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -951.00000000 NC USD -5943.75000000 -0.00187466229 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2022-12-19 0.00000000 USD 1000000.00000000 97.00000000 USD 2022-12-19 XXXX 684259.15000000 N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2H3 1000000.00000000 PA USD 911020.92000000 0.287336541001 Long DBT CORP CH N 2 2025-02-21 Fixed 3.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133APLD9 90694.45000000 PA USD 78794.69000000 0.024851892175 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TG3 2670000.00000000 PA USD 2220271.88000000 0.700275073904 Long DBT UST US N 2 2052-05-15 Fixed 2.87500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -81.00000000 NC USD -29109.39000000 -0.00918111895 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 2023-03-22 0.00000000 USD 100000.00000000 115.00000000 USD 2022-12-23 XXXX 8719.27000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -107.00000000 NC USD -38453.13000000 -0.01212814011 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 2023-03-22 0.00000000 USD 100000.00000000 115.00000000 USD 2022-12-23 XXXX 25721.15000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LYRC9 93940.74000000 PA USD 80871.79000000 0.025507010753 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBM9 90000.00000000 PA USD 88267.64000000 0.027839666250 Long DBT CORP US N 2 2024-05-09 Fixed 3.60000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -26.00000000 NC USD -12187.50000000 -0.00384394476 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 2023-03-22 0.00000000 USD 100000.00000000 123.00000000 USD 2022-12-23 XXXX 25548.77000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 708.00000000 NC USD -3286699.30000000 -1.03662691760 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2022-12-19 171618124.30000000 USD -3286699.30000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC USD -1037660.48000000 -0.32727873368 N/A DE CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 US TREASURY N/B United States Treasury Note/Bond Y 2023-08-21 0.00000000 USD 0.00000000 USD 7702736.55000000 USD -1037660.48000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGNF2 94966.17000000 PA USD 85640.29000000 0.027010998494 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -301.00000000 NC USD -112875.00000000 -0.03560084225 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 2023-03-22 0.00000000 USD 100000.00000000 112.00000000 USD 2022-12-23 XXXX 84135.52000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JBUY0 1415051.08000000 PA USD 1176036.33000000 0.370922559225 Long ABS-MBS USGSE US N 2 2032-02-01 Variable 2.14900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LHPM0 287748.10000000 PA USD 274807.87000000 0.086674565942 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.45000000 N N N N N N GoldenTree Loan Management US 5493007PBV0WMI12LF68 38138TAC5 5000000.00000000 PA USD 4846189.45000000 1.528491040139 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.34257000 N N N N N N Cayuga Park CLO, Ltd. 549300SVH2QJEV4A2G21 149791AP0 5770000.00000000 PA USD 5587621.41000000 1.762339122107 Long ABS-CBDO CORP KY N 2 2034-07-17 Floating 5.19914000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFN23 182657.13000000 PA USD 164106.03000000 0.051759139644 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BB2 1570000.00000000 PA USD 1309193.85000000 0.412920520375 Long DBT CORP IN N 2 2032-01-12 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGTU3 93559.34000000 PA USD 86654.10000000 0.027330754772 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDGP5 87165.37000000 PA USD 75932.16000000 0.023949048508 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUF7 95674.80000000 PA USD 86936.06000000 0.027419685124 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7M48 15691402.94000000 PA USD 15043408.41000000 4.744699976153 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 4.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -635688.07000000 -0.20049639605 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-06-30 34311.64000000 USD 0.00000000 USD -27856000.00000000 USD -669999.71000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LHFT6 180514.34000000 PA USD 169855.55000000 0.053572541678 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.20000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -80.00000000 NC USD -37500.00000000 -0.01182752234 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 2023-03-22 0.00000000 USD 100000.00000000 123.00000000 USD 2022-12-23 XXXX 44861.60000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGR4 729807.05000000 PA USD 634269.18000000 0.200048877302 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFU74 378396.14000000 PA USD 326011.42000000 0.102824196122 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AKJH4 79663.66000000 PA USD 66740.26000000 0.021049917771 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFPJ4 187927.59000000 PA USD 162625.75000000 0.051292258450 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HF4E6 201427.92000000 PA USD 174375.02000000 0.054997985209 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 6.00000000 NC USD 6375.00000000 0.002010678798 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 2023-03-22 0.00000000 USD 100000.00000000 113.25000000 USD 2022-12-23 XXXX 1208.37000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -55.00000000 NC USD -103125.00000000 -0.03252568644 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 2023-03-22 0.00000000 USD 100000.00000000 112.00000000 USD 2022-12-23 XXXX -66704.52000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLZ82 368164.59000000 PA USD 317574.07000000 0.100163050905 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 21.00000000 NC USD 48890.64000000 0.015420136987 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 2023-03-22 0.00000000 USD 100000.00000000 126.00000000 USD 2022-12-23 XXXX 9041.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L7PC0 78336.14000000 PA USD 65627.66000000 0.020699003068 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Onslow Bay Financial LLC N/A 67114VAA1 4187850.55000000 PA USD 3529468.93000000 1.113196603561 Long ABS-MBS CORP US N 2 2061-11-25 Variable 2.30500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ABUS7 79639.71000000 PA USD 69204.72000000 0.021827209923 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AM0 230000.00000000 PA USD 224235.94000000 0.070724149087 Long DBT CORP CH N 2 2026-05-12 Fixed 4.48800000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -245.00000000 NC USD -36367.31000000 -0.01147027124 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 2023-03-31 0.00000000 USD 100000.00000000 107.00000000 USD 2022-12-23 XXXX 55177.63000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFA68 280247.06000000 PA USD 242137.00000000 0.076370154077 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N NYT Mortgage Trust N/A 62954PAG5 1250000.00000000 PA USD 1156365.38000000 0.364718329874 Long ABS-MBS CORP US N 2 2035-12-15 Floating 5.27500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 14.00000000 NC USD 7218.75000000 0.002276798051 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 2023-03-22 0.00000000 USD 100000.00000000 112.50000000 USD 2022-12-23 XXXX -6367.97000000 N N N Tharaldson Hotel Portfolio Tru N/A 88327HAL7 267326.49000000 PA USD 250449.90000000 0.078992047690 Long ABS-MBS CORP US N 2 2034-11-11 Floating 6.14700000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 470000.00000000 PA USD 432118.21000000 0.136290340912 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133JLYK9 97342.89000000 PA USD 81873.40000000 0.025822919144 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N CSAIL Commercial Mortgage Trus N/A 12595BAJ0 2500000.00000000 PA USD 2092637.75000000 0.660019193251 Long ABS-MBS CORP US N 2 2050-06-15 Variable 4.43673400 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -13.00000000 NC USD -81.25000000 -0.00002562629 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2022-12-19 0.00000000 USD 1000000.00000000 99.00000000 USD 2022-12-19 XXXX 4116.45000000 N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAG4 1000000.00000000 PA USD 1053428.59000000 0.332252004973 Long DBT CORP US N 2 2030-02-01 Variable 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFSM4 189197.29000000 PA USD 163480.59000000 0.051561875496 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9AZ8 157806.42000000 PA USD 136757.13000000 0.043133280288 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KPFT0 96349.77000000 PA USD 88746.65000000 0.027990746289 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020612 15700000.00000000 PA USD 12951273.36000000 4.084839334781 Long ABS-MBS USGSE US N 2 2053-01-15 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -13.00000000 NC USD -23156.25000000 -0.00730349504 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 2023-03-22 0.00000000 USD 100000.00000000 127.00000000 USD 2022-12-23 XXXX -4584.99000000 N N N Bank N/A 06541XAL4 818000.00000000 PA USD 697377.64000000 0.219953323189 Long ABS-MBS CORP US N 2 2060-09-15 Variable 4.14789200 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 13239986.02000000 4.175899479775 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-08-15 0.00000000 USD -101212.44000000 USD -107914000.00000000 USD 13341198.46000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAZY3 1452965.49000000 PA USD 1231622.62000000 0.388454508212 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N Golub Capital Partners CLO Ltd 2549007JA1TZWEDGPD41 381743AA1 5920000.00000000 PA USD 5694062.40000000 1.795910673776 Long ABS-CBDO CORP KY N 2 2033-08-05 Floating 6.06157000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -94.00000000 NC USD -75640.67000000 -0.02385711238 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 2023-03-31 0.00000000 USD 100000.00000000 108.25000000 USD 2022-12-23 XXXX -5412.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LRTA6 88448.35000000 PA USD 76681.07000000 0.024185255168 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83X3 343150.45000000 PA USD 297402.50000000 0.093800925707 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYV30 297866.44000000 PA USD 243853.76000000 0.076911621204 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 1.50000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AJ8 2000000.00000000 PA USD 1380000.00000000 0.435252822275 Long DBT CORP CO N 2 2045-05-28 Fixed 5.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XEC77 371600.91000000 PA USD 344203.90000000 0.108562115154 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -473.00000000 NC USD -173483.02000000 -0.05471664787 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 2023-03-31 -51180273.61000000 USD -173483.02000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -69.00000000 NC USD -184359.38000000 -0.05814705830 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 2023-03-22 0.00000000 USD 100000.00000000 111.00000000 USD 2022-12-23 XXXX -112228.75000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBW71 83802.21000000 PA USD 72817.37000000 0.022966641886 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -27.00000000 NC USD -5062.50000000 -0.00159671551 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 2023-03-22 0.00000000 USD 100000.00000000 128.50000000 USD 2022-12-02 XXXX 10062.67000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBK82 261960.65000000 PA USD 226777.17000000 0.071525654543 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 74977RDP6 250000.00000000 PA USD 214495.50000000 0.067652008507 Long DBT CORP NL N 2 2033-04-06 Fixed 3.75800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCQ68 79351.76000000 PA USD 71701.66000000 0.022614746287 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFHS3 185365.41000000 PA USD 166926.77000000 0.052648802721 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -33.00000000 NC USD -58781.25000000 -0.01853964127 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 2023-03-22 0.00000000 USD 100000.00000000 127.00000000 USD 2022-12-23 XXXX -5728.96000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -44.00000000 NC USD -78375.00000000 -0.02471952169 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 2023-03-22 0.00000000 USD 100000.00000000 127.00000000 USD 2022-12-23 XXXX -15201.12000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ANC36 90395.36000000 PA USD 78639.92000000 0.024803077625 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N New Residential Mortgage Loan N/A 64831MAA0 1851825.37000000 PA USD 1634304.22000000 0.515460524790 Long ABS-MBS CORP US N 2 2062-03-27 Variable 3.07900000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BL7 130000.00000000 PA USD 107696.63000000 0.033967581273 Long DBT CORP US N 2 2047-05-01 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDKE5 811828.52000000 PA USD 728557.95000000 0.229787611542 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 150000.00000000 PA USD 118998.45000000 0.037532182035 Long DBT CORP US N 2 2032-02-01 Fixed 2.25000000 N N N N N N REPUBLIC OF KAZAKHSTAN 5493007OEK8EF02UO833 486661AF8 1300000.00000000 PA USD 1163500.00000000 0.366968593273 Long DBT NUSS KZ N 2 2044-10-14 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JBLD6 93479.93000000 PA USD 78999.21000000 0.024916397905 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 6521.35000000 0.002056837675 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-04-30 668.87000000 USD 0.00000000 USD -563000.00000000 USD 5852.48000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 53.00000000 NC USD 25955.05000000 0.008186238235 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2022-12-20 5974638.70000000 USD 25955.05000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1326825.44000000 0.418481534367 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-02-15 14849.01000000 USD 0.00000000 USD -13024000.00000000 USD 1311976.43000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -24.00000000 NC USD -4125.00000000 -0.00130102745 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 2023-03-22 0.00000000 USD 100000.00000000 111.00000000 USD 2022-12-23 XXXX 11052.23000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LRUQ9 92316.77000000 PA USD 79947.46000000 0.025215476520 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Deephaven Residential Mortgage N/A 24382JAA4 1957205.79000000 PA USD 1708854.97000000 0.538973875762 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABV33 94825.18000000 PA USD 84279.80000000 0.026581899138 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662QAA4 4789841.13000000 PA USD 3933734.14000000 1.240702091677 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.75600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXTS1 286532.73000000 PA USD 239958.38000000 0.075683016031 Long ABS-MBS USGSE US N 2 2061-09-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 272.00000000 NC USD -1242458.70000000 -0.39187221430 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long NA 90 DAY EURO DOLLAR TIME DEPOSIT 2023-12-18 66060058.70000000 USD -1242458.70000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L23B7 3943808.24000000 PA USD 3265395.65000000 1.029907733701 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVKW4 249886.19000000 PA USD 225136.01000000 0.071008031701 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1198845.05000000 0.378116443103 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-02-15 802171.75000000 USD 0.00000000 USD -11670000.00000000 USD 396673.30000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMT62 76486.07000000 PA USD 64291.19000000 0.020277479634 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 40.00000000 NC USD 15625.00000000 0.004928134310 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 2023-03-31 0.00000000 USD 100000.00000000 108.00000000 USD 2022-12-23 XXXX -10850.46000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B3XG7 94489.45000000 PA USD 81768.15000000 0.025789723231 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -121.00000000 NC USD -226875.00000000 -0.07155651018 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 2023-03-22 0.00000000 USD 100000.00000000 112.00000000 USD 2022-12-23 XXXX -122584.33000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCE9 150000.00000000 PA USD 122601.09000000 0.038668456838 Long DBT CORP US N 2 2049-11-01 Fixed 3.99900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABP55 382169.42000000 PA USD 346929.13000000 0.109421654320 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 13.00000000 NC USD 11984.38000000 0.003779880592 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 2023-03-22 0.00000000 USD 100000.00000000 113.50000000 USD 2022-12-23 XXXX 477.51000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWP0 93094.30000000 PA USD 80749.10000000 0.025468314254 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 30.00000000 NC USD 6562.50000000 0.002069816410 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2024-06-18 0.00000000 USD 2500.00000000 95.62500000 USD 2023-01-13 XXXX -4000.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFTH4 283008.53000000 PA USD 244905.10000000 0.077243214467 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N COLT Funding LLC N/A 19685EAA9 1056528.88000000 PA USD 935684.27000000 0.295115376286 Long ABS-MBS CORP US N 2 2067-02-25 Variable 2.99400000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -268.00000000 NC USD -64906.38000000 -0.02047151092 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 2023-03-31 0.00000000 USD 100000.00000000 107.50000000 USD 2022-12-23 XXXX 39317.48000000 N N N JP Morgan Chase Commercial Mor N/A 46652BBE8 7320000.00000000 PA USD 6544803.95000000 2.064235065562 Long ABS-MBS CORP US N 2 2037-01-16 Fixed 3.06480000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBLK4 85011.31000000 PA USD 76293.23000000 0.024062930201 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AN5F7 88022.83000000 PA USD 76132.50000000 0.024012235863 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 37.00000000 NC USD 19078.13000000 0.006017253569 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 2023-03-22 0.00000000 USD 100000.00000000 112.50000000 USD 2022-12-23 XXXX -16907.77000000 N N N Avenue of Americas N/A 00192NAA5 6510000.00000000 PA USD 6032120.43000000 1.902534377870 Long ABS-MBS CORP US N 2 2038-10-15 Floating 4.75040000 N N N N N N EQUATE PETROCHEMICAL BV 635400Y3Z5R4NJSMQ630 29441WAC9 2000000.00000000 PA USD 1898420.00000000 0.598762799176 Long DBT CORP NL N 2 2026-11-03 Fixed 4.25000000 N N N N N N Starwood Commercial Mortgage T N/A 78485KAA3 5020000.00000000 PA USD 4850239.66000000 1.529768478787 Long ABS-O CORP KY N 2 2038-11-15 Floating 4.56771000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36255TAA0 951652.15000000 PA USD 798085.57000000 0.251716664318 Long ABS-MBS CORP US N 2 2031-09-15 Floating 5.67500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -137.00000000 NC USD -21406.25000000 -0.00675154400 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 2023-03-22 0.00000000 USD 100000.00000000 120.00000000 USD 2022-12-23 XXXX 117497.37000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMWN1 87878.72000000 PA USD 76007.81000000 0.023972908563 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 68560EAB4 1700000.00000000 PA USD 1341597.50000000 0.423140650893 Long DBT CORP MX N 2 2031-05-11 Fixed 2.87500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -7.00000000 NC USD -3281.25000000 -0.00103490820 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 2023-03-22 0.00000000 USD 100000.00000000 127.50000000 USD 2022-12-02 XXXX 1737.89000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCCC0 163089.07000000 PA USD 146955.95000000 0.046349994193 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -13.00000000 NC USD -4062.50000000 -0.00128131492 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 2023-03-22 0.00000000 USD 100000.00000000 128.00000000 USD 2022-12-02 XXXX 2336.89000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DV5Y7 7310417.41000000 PA USD 6746007.42000000 2.127694759887 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 3087216.42000000 0.973709898390 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2047-05-15 449568.42000000 USD 0.00000000 USD -11450000.00000000 USD 2637648.00000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -28.00000000 NC USD -37187.51000000 -0.01172896281 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 2023-03-22 0.00000000 USD 100000.00000000 128.00000000 USD 2022-12-23 XXXX 5576.57000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B2MQ9 95857.15000000 PA USD 85578.25000000 0.026991431041 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMT95 838031.45000000 PA USD 722873.20000000 0.227994638005 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFY88 7370428.91000000 PA USD 6120267.59000000 1.930336044657 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N 2023-01-24 Legg Mason Partners Institutional Trust Christopher Berarducci Christopher Berarducci Principal Financial Officer XXXX