E-MINI S&P FUTURES 9/18/2020

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9ET6B8VCXWW51H8Z3M54 AMERICAN EXPRESS CREDIT 2.25% DUE 05/05/21 0258M0EB1 2000000 PA USD 2027481.82 0.009812 Long DBT CORP US N 2 2021-05-05 Fixed 2.25 N N N N N N Truist Financial Corporation 549300DRQQI75D2JP341 BB&T CORPORATION 3.75%, DUE 12/06/2023 05531FBF9 1000000 PA USD 1095209.11 0.0053 Long DBT CORP US N 2 2023-12-06 Fixed 3.75 N N N N N N Bank of America Corporation 9DJT3UXIJIZJI4WXO774 Bank of America Corporation 3.875%, Due 08/01/2025 06051GFS3 861000 PA USD 974851.75 0.004718 Long DBT CORP US N 2 2025-08-01 Fixed 3.875 N N N N N N Berkshire Hathaway Energy Company 549300JD0S5IZJE9LY15 BERKSHIRE HATHAWAY ENERGY CO SR NT 2.375%, Due 01/15/2021 084659AH4 1462000 PA USD 1478285.61 0.007154 Long DBT CORP US N 2 2021-01-15 Fixed 2.375 N N N N N N BP Capital Markets America, Inc. 5493009NTB34VXE1T760 BP Cap Markets America 4.500%, Due 10/01/2020 10373QAF7 4300000 PA USD 4339905.46 0.021004 Long DBT CORP US N 2 2020-10-01 Fixed 4.5 N N N N N N Burlington Northern Santa Fe LLC N/A BURLINGTON NORTH SANTE FE 3.05%, DUE 03/15/2022 12189LAH4 1700000 PA USD 1768093.35 0.008557 Long DBT CORP US N 2 2022-03-15 Fixed 3.05 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 CVS Health Corporation 3.700%, DUE 03/09/2023 126650CV0 3095000 PA USD 3323826.84 0.016086 Long DBT CORP US N 2 2023-03-09 Fixed 3.7 N N N N N N Chevron Corporation N/A CHEVRON CORPORATION FLOATING RATE, DUE 03/03/2022 166764AU4 2100000 PA USD 2109203.27 0.010208 Long DBT CORP US N 2 2022-03-03 Floating 1.992751 N N N N N N Eaton Electric Holdings, LLC 5493004SYEPWK96UXQ46 Eaton Electric Holdings LLC 3.875% DUE 12/15/2020 216871AE3 1465000 PA USD 1474881.19 0.007138 Long DBT CORP US N 2 2020-12-15 Fixed 3.875 N N N N N N Duke Energy Corp I1BZKREC126H0VB1BL91 Duke Energy Corp 3.750%, Due 04/15/2024 26441CAN5 3220000 PA USD 3525653.77 0.017063 Long DBT CORP US N 2 2024-04-15 Fixed 3.75 N N N N N N Enterprise Products Operating LP 5493004LGN656HWLDA30 ENTERPRISE PRODUCTS OPERATING LLC 5.20%, DUE 09/01/2020 29379VAP8 1000000 PA USD 1007569.65 0.004876 Long DBT CORP US N 2 2020-09-01 Fixed 5.2 N N N N N N Enterprise Products Operating LP 5493004LGN656HWLDA30 ENTERPRISE PRODUCTS OPERATING LLC 3.35%, DUE 03/15/2023 29379VAZ6 2447000 PA USD 2591313.61 0.012541 Long DBT CORP US N 2 2023-03-15 Fixed 3.35 N N N N N N Eversource Energy SJ7XXD41SQU3ZNWUJ746 EVERSOURCE ENERGY 2.75%, DUE 03/15/2022 30040WAC2 3200000 PA USD 3316545.95 0.016051 Long DBT CORP US N 2 2022-03-15 Fixed 2.75 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 Freddie Mac Giant Pool #G16330 3128MFHF8 2055182.92 PA USD 2176001.82 0.010531 Long ABS-MBS USGSE US N 2 N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 FREDDIE MAC GOLD 15 YEAR MORTGAGE BACKED 3.50%, MATURITY 04/01/2032 3128MMWC3 2200809.09 PA USD 2328238.21 0.011268 Long ABS-MBS USGSE US N 2 N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LOAN MORTGAGE CORPORATION POOL #J12635 3128PR4U0 69034.69 PA USD 73019.97 0.000353 Long ABS-MBS USGSE US N 2 N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool FG J32364 31307NTV6 2097830.4 PA USD 2201026.39 0.010652 Long ABS-MBS USGSE US N 2 N N N Federal Home Loan Mortgage Corporation N/A FHLMC 3.50% 07/01/2030 3132A8AG4 1882962.94 PA USD 1996841.98 0.009664 Long ABS-MBS USGA US N 2 N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corporation 0.43%, Due 06/09/2023 3134GVG69 3770000 PA USD 3771025.89 0.01825 Long DBT USGSE US N 2 2023-06-09 Fixed 0.43 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 Freddie Mac 1.100%, Due 04/13/2023 3134GVJW9 5000000 PA USD 5001384.7 0.024205 Long DBT USGSE US N 2 2023-04-13 Fixed 1.1 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 FREDDIE MAC 0.450%, DUE 05/26/2023 3134GVWK0 1800000 PA USD 1800143.96 0.008712 Long DBT USGSE US N 2 2023-05-26 Fixed 0.45 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 Freddie Mac 0.500%, Due 06/03/2024 3134GVYX0 1140000 PA USD 1140164.94 0.005518 Long DBT USGSE US N 2 2024-06-03 Fixed 0.5 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Fannie Mae 0.750%, Due 04/20/2023 3135G03D3 9000000 PA USD 9008922.06 0.0436 Long DBT USGSE US N 2 2023-04-20 Fixed 0.75 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Fannie Mae 0.500%, Due 06/17/2025 3135G04Z3 6200000 PA USD 6202365.67 0.030017 Long DBT USGSE US N 2 2025-06-17 Fixed 0.5 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FANNIE MAE COLLATERALIZED 3136ABX57 349090.84 PA USD 351189.47 0.0017 Long ABS-O USGSE US N 2 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES #2017-30 G 3136AWQL4 924156.75 PA USD 944990.2 0.004573 Long ABS-O USGSE US N 2 N N N Federal National Mortgage Association N/A Fannie Mae Series 20-44 Class TE 3136BAM68 4285000 PA USD 4484399.05 0.021703 Long ABS-O USGSE US N 2 N N N Federal Home Loan Mortgage Corporation N/A FREDDIE MAC 2.00%, DUE 06/15/2041 3137ALBQ1 914097.91 PA USD 941558.42 0.004557 Long ABS-O USGSE US N 2 N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 Freddie Mac Series 4198 Class BE 3137B1LE0 3051434.4 PA USD 3095434.56 0.014981 Long ABS-O USGSE US N 2 N N N FHLMC Pc Prepay Prm 30 N/A Freddie Mac Series 4271 Class CE 3137B5MH3 871779.72 PA USD 885452.71 0.004285 Long ABS-O USGSE US N 2 N N N FHLMC Pc Prepay Prm 30 S6XOOCT0IEG5ABCC6L87 FREDDIE MAC 2.00%, DUE 12/15/2026 3137B6XD8 530475.72 PA USD 542351.9 0.002625 Long ABS-O USGSE US N 2 N N N Federal Home Loan Mortgage Corporation N/A Federal Home Loan Mortgage Corp. Series 4440-VC 3137BGG86 1421706.17 PA USD 1462175.75 0.007076 Long ABS-O USGSE US N 2 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL #AJ7509 3138E0KX6 160249.26 PA USD 168191.33 0.000814 Long ABS-MBS USGSE US N 2 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FANNIE MAE 15 YR MORTGAGE BACKED SECURITY 3.5%, Due 12/01/2029 3138ERHG8 1811899.59 PA USD 1939587.16 0.009387 Long ABS-MBS USGSE US N 2 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool AT2060 3138WPJE5 2213342.99 PA USD 2348870.05 0.011368 Long ABS-MBS USGSE US N 2 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL #833200 31407KUZ0 466835.04 PA USD 536030.92 0.002594 Long ABS-MBS USGSE US N 2 N N N Fnma Pass-Thru I B1V7KEBTPIMZEU4LTD58 FANNIE MAE POOL FM1536 3140X4V60 991118.68 PA USD 1038825.34 0.005028 Long ABS-MBS USGSE US N 2 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL #MA1106 31418AGQ5 4431838.22 PA USD 4670817.96 0.022605 Long ABS-MBS USGSE US N 2 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL #MA2710 31418CAL8 1247996.38 PA USD 1307505.59 0.006328 Long ABS-MBS USGSE US N 2 N N N Fifth Third Bancorp THRNG6BD57P9QWTQLG42 Fifth Third Bancorp 3.500%, Due 03/15/2022 316773CL2 865000 PA USD 905245.11 0.004381 Long DBT CORP US N 2 2022-03-15 Fixed 3.5 N N N N N N Fifth Third Bancorp THRNG6BD57P9QWTQLG42 FIFTH THIRD BANCORP 4.30%, DUE 01/16/2024 316773CP3 2544000 PA USD 2805775.84 0.013579 Long DBT CORP US N 2 2024-01-16 Fixed 4.3 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION POOL #726475 3620ADCL4 87533.46 PA USD 92368.66 0.000447 Long ABS-MBS USGA US N 2 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION POOL #728920 3620AFYR2 126682.07 PA USD 133692.45 0.000647 Long ABS-MBS USGA US N 2 N N N Georgia Power Company D981X4Z4RWS7PDMJUZ03 GEORGIA POWER COMPANY 2.850%, DUE 05/15/2022 373334JX0 2600000 PA USD 2699531.72 0.013065 Long DBT CORP US N 2 2022-05-15 Fixed 2.85 N N N N N N Georgia Power Company D981X4Z4RWS7PDMJUZ03 Georgia Power Company 2.10%, due 7/30/2023 373334KM2 1000000 PA USD 1040560 0.005036 Long DBT CORP US N 2 2023-07-30 Fixed 2.1 N N N N N N Goldman Sachs Group, Inc. 784F5XWPLTWKTBV3E584 Goldman Sachs Group, Inc. 2.60%, Due 12/27/2020 38141GWG5 3500000 PA USD 3536714.13 0.017116 Long DBT CORP US N 2 2020-12-27 Fixed 2.6 N N N N N N Huntington Bancshares Incorporated 549300XTVCVV9I7B5T19 HUNTINGTON BAN CSHARES 3.15%, DUE 03/14/2021 446150AJ3 1100000 PA USD 1118318.55 0.005412 Long DBT CORP US N 2 2021-03-14 Fixed 3.15 N N N N N N Huntington Bancshares Incorporated 549300XTVCVV9I7B5T19 Huntington Bancshares, Inc. 2.30%, Due 01/14/2022 446150AK0 2123000 PA USD 2179060.09 0.010546 Long DBT CORP US N 2 2022-01-14 Fixed 2.3 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 Jpmorgan Chase & Company 4.50%, DUE 01/24/2022 46625HJD3 2600000 PA USD 2759964.9 0.013357 Long DBT CORP US N 2 2022-01-24 Fixed 4.5 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Company 2.55%, Due 10/29/2020 46625HNX4 1700000 PA USD 1708670.9 0.008269 Long DBT CORP US N 2 2020-10-29 Fixed 2.55 N N N N N N KANSAS ST DEV FIN AUTH 549300WTL7BL8KBDPR87 Kansas State Development Finance Authority 3.227%, Due, 04/15/2022 485429Y57 1700000 PA USD 1747226 0.008456 Long DBT MUN US N 2 2022-04-15 Fixed 3.227 N N N N N N KENT ST UNIV OHIO 549300HL3HX54032AG28 KENT STATE UNIVERISTY OH REVENUE 1.875%, Due 05/01/2023 490728A69 1000000 PA USD 1005230 0.004865 Long DBT MUN US N 2 2023-05-01 Fixed 1.875 N N N N N N KENTUCKY ASSET / LIABILITY COMMN N/A KENTUCKY STATE ASSET/LIABILITY COMMISSION GENERAL FUND REVENUE 491189FM3 355000 PA USD 369359.75 0.001788 Long DBT MUN US N 2 2022-04-01 Fixed 5.339 N N N N N N KENTUCKY ASSET / LIABILITY COMMN N/A KENTUCKY STATE ASSET/LIABILITY COMMISSION (FEDERAL LY TAXABLE) 491189FV3 820000 PA USD 828290.2 0.004009 Long DBT MUN US N 2 2021-04-01 Fixed 2.668 N N N N N N KEYCORP RKPI3RZGV1V1FJTH5T61 Keycorp 5.10%, DUE 03/24/2021 49326EED1 3500000 PA USD 3616713.7 0.017504 Long DBT CORP US N 2 2021-03-24 Fixed 5.1 N N N N N N The Kroger Co. 6CPEOKI6OYJ13Q6O7870 THE KROGER CO 3.40%, DUE 04/15/2022 501044CQ2 1000000 PA USD 1042143.69 0.005044 Long DBT CORP US N 2 2022-04-15 Fixed 3.4 N N N N N N LUCAS CNTY OHIO N/A Lucas County Ohio Taxable GO 54930LSU0 1000000 PA USD 1004970 0.004864 Long DBT MUN US N 2 2021-07-08 Fixed 1.25 N N N N N N MUFG Americas Holdings Corp 5493004K1ECE43Q0BX47 MUFG AMERICAS HOLDINGS CORP SR UNSECURED NOTES Callable 1/10/2025 @ $100 553794AC2 3500000 PA USD 3722536.3 0.018016 Long DBT CORP US N 2 2025-02-10 Fixed 3 N N N N N N McDonald's Corporation UE2136O97NLB5BYP9H04 MCDONALD'S CORPORATION SENIOR UNSECURED NOTES 2.625%, DUE 01/15/2022 58013MEM2 2300000 PA USD 2377257.14 0.011505 Long DBT CORP US N 2 2022-01-15 Fixed 2.625 N N N N N N McDonald's Corporation UE2136O97NLB5BYP9H04 McDonald's Corporation 2.750%, Due 12/09/2020 58013MEX8 1000000 PA USD 1008751.53 0.004882 Long DBT CORP US N 2 2020-12-09 Fixed 2.75 N N N N N N Berkshire Hathaway Energy Company 549300JD0S5IZJE9LY15 BERKSHIRE HATHAWAY ENERGY COMPANY 3.75%, DUE 11/15/2023 59562VAY3 1700000 PA USD 1868354.13 0.009042 Long DBT CORP US N 2 2023-11-15 Fixed 3.75 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY 5.50%, DUE 07/28/2021 61747WAL3 3500000 PA USD 3685528.84 0.017837 Long DBT CORP US N 2 2021-07-28 Fixed 5.5 N N N N N N Oracle Corporation 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP 1.90% DUE 9/15/2021 68389XBK0 1063000 PA USD 1081166.67 0.005232 Long DBT CORP US N 2 2021-09-15 Fixed 1.9 N N N N N N Shell International Finance B.V. 213800ITMMKU4Z7I4F78 SHELL INTERNATIONAL SENIOR UNSECURED NOTE 1.75%, DUE 09/12/2021 822582BW1 4050000 PA USD 4108898.66 0.019886 Long DBT CORP US N 2 2021-09-12 Fixed 1.75 N N N N N N Union Pacific Corporation 549300LMMRSZZCZ8CL11 Union Pacific Corporation 3.15%, Due 03/01/2024 907818FA1 2800000 PA USD 3037808.03 0.014702 Long DBT CORP US N 2 2024-03-01 Fixed 3.15 N N N N N N United States Treasury Bills 254900HROIFWPRGM1V77 US Treasury Bill 0.000%, Due 02/25/2021 912796XE4 3500000 PA USD 3496282.23 0.016921 Long DBT UST US N 2 2021-02-25 None 0 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 US Treasury Notes 2.500%, due 12/31/2020 9128285S5 1467000 PA USD 1483732.97 0.007181 Long DBT UST US N 2 2020-12-31 Fixed 2.5 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 U.S. Treasury Notes 2.000%, Due 08/15/2025 912828K74 8400000 PA USD 9118593.79 0.044131 Long DBT UST US N 2 2025-08-15 Fixed 2 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 U.S. Treasury Notes 1.375, Due 09/30/2020 912828L65 1300000 PA USD 1303858.79 0.00631 Long DBT UST US N 2 2020-09-30 Fixed 1.375 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 U.S. TREASURY NOTES 1.375, DUE 05/31/2021 912828R77 4800000 PA USD 4852500 0.023484 Long DBT UST US N 2 2021-05-31 Fixed 1.375 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 U.S. Treasury Notes 1.75%, Due 05/31/2022 912828XR6 44000 PA USD 45325.16 0.000219 Long DBT UST US N 2 2022-05-31 Fixed 1.75 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 U.S. Treasury Notes 1.5%, Due 01/15/2023 912828Z29 1734000 PA USD 1792116.09 0.008673 Long DBT UST US N 2 2023-01-15 Fixed 1.5 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 US Treasury 0.375%, Due 04/30/2025 912828ZL7 5500000 PA USD 5524921.88 0.026739 Long DBT UST US N 2 2025-04-30 Fixed 0.375 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 US Treasury Notes 0.125%, Due 04/30/2022 912828ZM5 8235000 PA USD 8228566.41 0.039823 Long DBT UST US N 2 2022-04-30 Fixed 0.125 N N N N N N UNIVERSITY AKRON OHIO N/A University of Akron Ohio Taxable; Series B 914023MY9 500000 PA USD 501810 0.002429 Long DBT MUN US N 2 2021-01-01 Fixed 1.976 N N N N N N UNIVERSITY CINCINNATI OHIO 549300E0RD3ICJ858L23 UNIVERSITY OF CINCINNATI 1.878%, DUE 06/01/2023 914119U34 1200000 PA USD 1216416 0.005887 Long DBT MUN US N 2 2023-06-01 Fixed 1.878 N N N N N N Virginia Electric and Power Company CQKUMNNZVDJLRYV2PT43 VIRGINIA ELECTRIC & POWER COMPANY 2.95%, DUE 01/15/2022 927804FK5 500000 PA USD 513702.25 0.002486 Long DBT CORP US N 2 2022-01-15 Fixed 2.95 N N N N N N Virginia Electric and Power Company CQKUMNNZVDJLRYV2PT43 VIRGINIA ELECTRIC & POWER COMPANY 2.75%, DUE 03/15/2023 927804FN9 2410000 PA USD 2534636.26 0.012267 Long DBT CORP US N 2 2023-03-15 Fixed 2.75 N N N N N N Wells Fargo & Company PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY 3.45%, DUE 02/13/2023 94974BFJ4 3140000 PA USD 3333071.97 0.016131 Long DBT CORP US N 2 2023-02-13 Fixed 3.45 N N N N N N Xcel Energy Inc LGJNMI9GH8XIDG5RCM61 XCEL ENERGY INC 2.60%, DUE 03/15/2022 98389BAT7 2061000 PA USD 2121733.12 0.010268 Long DBT CORP US N 2 2022-03-15 Fixed 2.6 N N N N N N Nuveen Invt Fds Inc N/A First American Government Obligations Fund Class Z 31846V567 16406099.67 PA USD 16406099.67 0.0794 Long STIV RF US N 1 N N N 2020-08-31 Johnson Mutual Funds Trust Marc Figgins Marc E. Figgins Treasurer