NPORT-P false 0000893818 XXXXXXXX S000079204 C000244507 C000244506 BlackRock Funds III 811-07332 0000893818 5493008LW2651I1QB503 100 Bellevue Parkway Wilmington 19809 800-441-7762 BlackRock Diversified Fixed Income Fund S000079204 549300SEQK2DPV0R7O94 2024-10-31 2024-04-30 N 872848647.53 190497751.97 682350895.56 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 11114460.21000000 0.00000000 0.00000000 9085044.79000000 USD N Bloomberg US Aggregate Bond Index LBUSTRUU UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAG2 121000.00000000 PA USD 116387.99000000 0.017056911738 Long DBT CORP US N 2 2026-04-15 Fixed 4.38000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 351.83000000 0.000051561447 N/A DFE BR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 21000.00000000 USD 110871.51000000 BRL 2024-05-03 351.83000000 N N N Micron Technology Inc B3DXGBC8GAIYWI2Z0172 595112BN2 75000.00000000 PA USD 74262.45000000 0.010883322713 Long DBT CORP US N 2 2029-02-06 Fixed 5.33000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNE41 592149.39000000 PA USD 479914.83000000 0.070332556624 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.50000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 -71000.00000000 OU Notional Amount USD -911.00000000 -0.00013350902 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD -911.00000000 0.00000000 DFE ZA -71000.00000000 USD -1292200.00000000 ZAR 2024-08-15 1.00000000 18.20000000 USD 2024-08-15 XXXX 35.71000000 N N N CENCORA INC AI8GXW8LG5WK7E9UD086 03073EAT2 350000.00000000 PA USD 293155.21000000 0.042962530262 Long DBT CORP US N 2 2031-03-15 Fixed 2.70000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 14668.00000000 OU Notional Amount USD 1150.92000000 0.000168669815 N/A DCR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Turkiye Government International Bonds Turkiye Government International Bonds Y buy protection 2029-06-20 1332.33000000 USD 0.00000000 USD 14668.00000000 USD -181.41000000 N N N GS Mortgage-Backed Securities Trust N/A 36264EAG9 75920.52000000 PA USD 66595.96000000 0.009759782017 Long ABS-MBS CORP US N 2 2062-05-25 Variable 4.00000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAT1 460000.00000000 PA USD 300114.86000000 0.043982482026 Long DBT CORP US N 2 2051-03-15 Fixed 2.95000000 N N N N N N NNN REIT INC 5493008JKH5SOTI0JS97 637417AP1 44000.00000000 PA USD 27161.75000000 0.003980613226 Long DBT US N 2 2050-04-15 Fixed 3.10000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 321.31000000 0.000047088675 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 2600000000.00000000 IDR 159996.06000000 USD 2024-06-20 321.31000000 N N N VF UKRAINE (VFU FUNDING) N/A 918212AA9 14000.00000000 PA USD 10990.00000000 0.001610608276 Long DBT CORP UA N 2 2025-02-11 Fixed 6.20000000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AW5 60000.00000000 PA USD 41333.70000000 0.006057543159 Long DBT CORP US N 2 2041-10-01 Fixed 2.80000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 6521.78000000 0.000955780968 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 15000000.00000000 JPY 102337.94000000 USD 2024-06-20 6521.78000000 N N N CATERPILLAR FINL SERVICE EDBQKYOPJUCJKLOJDE72 14913R3C9 65000.00000000 PA USD 65027.44000000 0.009529912017 Long DBT CORP US N 2 2025-03-10 Fixed 5.40000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 550000.00000000 OU Notional Amount 4985.58000000 0.000730647535 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 2467.87000000 EUR 0.00000000 EUR 550000.00000000 EUR 2351.87000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810TL2 1986000.00000000 PA USD 1740232.50000000 0.255034837841 Long DBT UST US N 2 2052-11-15 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -4413.25000000 -0.00064677133 N/A DFE CH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 332535.99000000 USD 300000.00000000 CHF 2024-06-20 -4413.25000000 N N N SIXTH STREET SPECIALTY 549300TX61566GJWCN05 83012AAC3 150000.00000000 PA USD 147070.80000000 0.021553543925 Long DBT CORP US N 2 2029-03-01 Fixed 6.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSFD8 42508.58000000 PA USD 41410.55000000 0.006068805693 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.50000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBH8 275000.00000000 PA USD 224124.20000000 0.032845886399 Long DBT US N 2 2030-07-15 Fixed 2.15000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 277.11000000 0.000040611070 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3900000.00000000 THB 105909.19000000 USD 2024-06-20 277.11000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WTZ1 532816.53000000 PA USD 453707.02000000 0.066491745369 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XAW5 135000.00000000 PA USD 109228.38000000 0.016007655402 Long DBT CORP US N 2 2044-07-08 Fixed 4.50000000 N N N N N N TALOS PRODUCTION INC 549300GZ2DZZE2Y8TX15 87485LAE4 208000.00000000 PA USD 221665.31000000 0.032485530749 Long DBT CORP US N 2 2031-02-01 Fixed 9.38000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBJ8 53000.00000000 PA USD 45566.51000000 0.006677870622 Long DBT US N 2 2028-01-31 Fixed 1.50000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FH6 110000.00000000 PA USD 94297.25000000 0.013819465998 Long DBT CORP US N 2 2030-02-05 Fixed 2.40000000 N N N N N N Impac Secured Assets Corp. N/A 45256VAD9 96498.84000000 PA USD 96578.56000000 0.014153796914 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.77000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5037522.00000000 OU Notional Amount -839.29000000 -0.00012299976 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 56.23000000 THB 0.00000000 THB 5037522.00000000 THB -840.82000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount -2719.84000000 -0.00039859843 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 GBP -1063.85000000 GBP 1000000.00000000 GBP -1388.59000000 N N N DELL INT LLC / EMC CORP N/A 24703TAF3 151000.00000000 PA USD 153507.36000000 0.022496835718 Long DBT CORP US N 2 2027-07-15 Fixed 6.10000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SE9 100000.00000000 PA USD 78269.53000000 0.011470568956 Long DBT UST US N 2 2048-11-15 Fixed 3.38000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 2016.64000000 0.000295542954 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 176219.59000000 USD 4200000.00000000 CZK 2024-06-20 2016.64000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VQT0 306852.74000000 PA USD 261584.24000000 0.038335736305 Long ABS-MBS USGA US N 2 2050-07-20 Fixed 3.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468P7 250000.00000000 PA USD 224701.36000000 0.032930470445 Long DBT CORP US N 2 2031-04-01 Fixed 3.62000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCT6 300000.00000000 PA USD 287273.89000000 0.042100610092 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N Betony CLO 2, Ltd. 5493000QRX4XEMRJZO43 08763QAA0 192279.63000000 PA USD 192602.04000000 0.028226245653 Long ABS-CBDO CORP KY N 2 2031-04-30 Floating 6.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTC72 743273.24000000 PA USD 707839.06000000 0.103735345641 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.00000000 N N N N N N STARWOOD PROPERTY TRUST BUGSFQZERKRBFWIG5267 85571BBB0 40000.00000000 PA USD 39459.89000000 0.005782932250 Long DBT US N 2 2029-04-01 Fixed 7.25000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 250000.00000000 PA USD 191698.43000000 0.028093819653 Long DBT CORP US N 2 2036-11-15 Fixed 3.19000000 N N N N N N BX Trust N/A 05612HAA9 103000.00000000 PA USD 102871.25000000 0.015076004247 Long ABS-MBS CORP US N 2 2029-04-15 Floating 6.76000000 N N N N N N Credit Suisse Mortgage Trust N/A 12663YAM0 189618.71000000 PA USD 184146.60000000 0.026987082628 Long ABS-MBS CORP US N 2 2067-12-25 Variable 9.27000000 N N N N N N Ajax Mortgage Loan Trust N/A 009691AA4 126580.68000000 PA USD 120675.56000000 0.017685264397 Long ABS-O CORP US N 2 2062-10-25 Variable 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XTCF6 847815.61000000 PA USD 673706.92000000 0.098733206680 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -105.04000000 -0.00001539383 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 60000.00000000 GBP 74887.08000000 USD 2024-06-20 -105.04000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0GS5 476846.08000000 PA USD 449052.38000000 0.065809597806 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.50000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 196600000.00000000 PA 43968.39000000 0.006443662679 Long DBT NUSS CO N 2 2027-11-03 Fixed 5.75000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AE8 400000.00000000 PA USD 312380.94000000 0.045780102588 Long DBT CORP CH N 2 2032-02-11 Fixed 2.10000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AY1 30000.00000000 PA USD 30175.89000000 0.004422341964 Long DBT CORP US N 2 2054-09-15 Fixed 5.85000000 N N N N N N TOTALENERGIES CAP INTL 549300U37G2I8G4RUG09 89153VAS8 35000.00000000 PA USD 34277.45000000 0.005023434456 Long DBT CORP FR N 2 2025-01-10 Fixed 2.43000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJH5 659133.08000000 PA USD 662881.91000000 0.097146778045 Long DBT UST US N 2 2028-10-15 Fixed 2.38000000 N N N N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCF6 40000.00000000 PA USD 36742.32000000 0.005384666487 Long DBT US N 2 2053-06-15 Fixed 5.25000000 N N N N N N Ares Capital Corp WEQ82666OJYSI5GUAB47 04010LAV5 20000.00000000 PA USD 19675.44000000 0.002883478299 Long DBT CORP US N 2 2025-03-01 Fixed 4.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 750000.00000000 OU Notional Amount 3061.48000000 0.000448666517 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 8.36000000 AUD 0.00000000 AUD 750000.00000000 AUD 3056.09000000 N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358WEK6 110000.00000000 PA USD 101692.45000000 0.014903248557 Long DBT MUN US N 2 2051-10-01 Fixed 4.93000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CU1 230000.00000000 PA USD 224423.91000000 0.032889809548 Long DBT CORP US N 2 2034-04-01 Fixed 5.60000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDC7 85000.00000000 PA USD 79102.55000000 0.011592649839 Long DBT CORP US N 2 2033-04-26 Fixed 4.59000000 N N N N N N BAXTER INTERNATIONAL INC J5OIVXX3P24RJRW5CK77 071813BY4 20000.00000000 PA USD 18260.56000000 0.002676124574 Long DBT CORP US N 2 2030-04-01 Fixed 3.95000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEU4 30000.00000000 PA USD 27956.45000000 0.004097078230 Long DBT CORP US N 2 2029-12-03 Fixed 4.02000000 N N N N N N MHP LUX SA 222100RHC7R1WZ1J3M44 59318YAB4 14000.00000000 PA USD 9563.79000000 0.001401594115 Long DBT CORP LU N 2 2029-09-19 Fixed 6.25000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 50000.00000000 PA USD 42909.38000000 0.006288462472 Long DBT US N 2 2028-03-15 Fixed 1.55000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 15186.82000000 0.002225661327 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1800000.00000000 PLN 458697.36000000 USD 2024-06-20 15186.82000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVMH5 365410.47000000 PA USD 331698.35000000 0.048611110816 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QUHU3 507666.75000000 PA USD 503629.11000000 0.073807935664 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 7225000.00000000 OU Notional Amount USD -466669.19000000 -0.06839137942 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.42 2I65BRAB2 Y buy protection 2029-06-20 0.00000000 USD -394081.38000000 USD 7225000.00000000 USD -72587.81000000 N N N DOMINION ENERGY SOUTH 3QRVFYR22IUIEOORTK28 25731VAB0 39000.00000000 PA USD 41284.12000000 0.006050277103 Long DBT CORP US N 2 2053-10-15 Fixed 6.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2160000.00000000 OU Notional Amount -8934.99000000 -0.00130944211 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 24.08000000 PLN 0.00000000 PLN 2160000.00000000 PLN -8941.12000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -170.75000000 -0.00002502378 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4035.29000000 USD 157800.00000000 TRY 2024-12-04 -170.75000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 8430.44000000 0.001235499221 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 190000000.00000000 KRW 145838.58000000 USD 2024-06-20 8430.44000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 3798.15000000 0.000556627099 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 900000.00000000 SEK 85642.62000000 USD 2024-06-20 3798.15000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -3613.00000000 -0.00052949296 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 335103.80000000 USD 310000.00000000 EUR 2024-06-20 -3613.00000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLD5 1250274.65000000 PA USD 1055669.94000000 0.154710713632 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BP2 252000.00000000 PA USD 258659.86000000 0.037907162089 Long DBT CORP US N 2 2030-10-06 Fixed 6.38000000 N N N N N N UMBS, TBA N/A 01F040651 2015000.00000000 PA USD 1802064.62000000 0.264096468800 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133USJU6 348560.62000000 PA USD 265557.54000000 0.038918032016 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N NOVANT HEALTH INC 549300ZUXEGFGE8EP917 66988AAG9 50000.00000000 PA USD 36765.19000000 0.005388018135 Long DBT CORP US N 2 2036-11-01 Fixed 2.64000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -95.17000000 -0.00001394736 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 79484.10000000 USD 1500000.00000000 ZAR 2024-06-20 -95.17000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9GK5 246141.52000000 PA USD 224568.10000000 0.032910940904 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N PRP Advisors, LLC N/A 693582AA6 131107.07000000 PA USD 128090.78000000 0.018771980931 Long ABS-O CORP US N 2 2027-02-25 Variable 3.72000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1607.53000000 0.000235586999 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 98355.44000000 EUR 106837.62000000 USD 2024-07-02 1607.53000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -6559.94000000 -0.00096137339 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 444983.25000000 USD 410000.00000000 EUR 2024-06-20 -6559.94000000 N N N UMBS, TBA N/A 01F012452 736000.00000000 PA USD 618758.09000000 0.090680336763 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 1.50000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAU9 600000.00000000 PA USD 596533.48000000 0.087423272085 Long DBT CORP ES N 2 2028-08-08 Fixed 5.59000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1542.67000000 0.000226081626 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3707852.16000000 CZK 158868.60000000 USD 2024-06-04 1542.67000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QS5C1 56848.47000000 PA USD 57625.81000000 0.008445187128 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPJW9 1392750.06000000 PA USD 1056171.65000000 0.154784240318 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAQ8 143000.00000000 PA USD 136863.90000000 0.020057700647 Long DBT CORP US N 2 2034-04-01 Fixed 5.35000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 10000.00000000 OU Notional Amount USD 952.97000000 0.000139659815 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD 952.97000000 0.00000000 DFE US 75000.00000000 CNY 10000.00000000 USD 2024-10-23 1.00000000 7.50000000 USD 2024-10-23 XXXX -22.03000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECD0 843315.97000000 PA USD 727233.00000000 0.106577569507 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DE6 90000.00000000 PA USD 89491.20000000 0.013115128972 Long DBT CORP US N 2 2033-09-07 Fixed 5.63000000 N N N N N N PUGET SOUND ENERGY INC 8MNFJR7KOMBQ7X62LK44 745332CL8 10000.00000000 PA USD 9448.12000000 0.001384642426 Long DBT CORP US N 2 2053-06-01 Fixed 5.45000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEB8 180000.00000000 PA USD 175632.30000000 0.025739293542 Long DBT CORP US N 2 2030-01-23 Fixed 5.01000000 N N N N N N Chile Government International Bonds 549300FLZTJM5YJF8D34 168863DW5 200000.00000000 PA USD 148250.00000000 0.021726358236 Long DBT NUSS CL N 2 2052-01-31 Fixed 4.00000000 N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAK7 201000.00000000 PA USD 179343.80000000 0.026283221897 Long DBT CORP US N 2 2031-03-01 Fixed 4.00000000 N N N N N N MASTR Reperforming Loan Trust N/A 576436AT6 365727.28000000 PA USD 251612.21000000 0.036874313734 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 7.00000000 N N N N N N BARINGS BDC INC 549300GSF4KFZP6ONG49 06759LAC7 50000.00000000 PA USD 45587.85000000 0.006680998046 Long DBT CORP US N 2 2026-11-23 Fixed 3.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJM4 3000.00000000 PA USD 2942.70000000 0.000431259051 Long DBT UST US N 2 2030-11-30 Fixed 4.38000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BP3 126000.00000000 PA USD 103741.92000000 0.015203602820 Long DBT CORP US N 2 2030-06-15 Fixed 1.85000000 N N N N N N FIDELITY NATL INFO SERV 6WQI0GK1PRFVBA061U48 31620MBR6 35000.00000000 PA USD 32288.67000000 0.004731974444 Long DBT CORP US N 2 2026-03-01 Fixed 1.15000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 4400000.00000000 PA 219672.52000000 0.032193483064 Long DBT NUSS MX N 2 2034-11-23 Fixed 7.75000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBL1 105000.00000000 PA USD 99210.70000000 0.014539542725 Long DBT CORP US N 2 2032-05-09 Fixed 4.75000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 987.66000000 0.000144743709 N/A DFE ZA N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 51621.33000000 USD 994975.17000000 ZAR 2024-07-02 987.66000000 N N N Kinross Gold Corp 549300UEBMAQDN0K0R06 496902AQ0 20000.00000000 PA USD 19281.25000000 0.002825708902 Long DBT CORP CA N 2 2027-07-15 Fixed 4.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 2469.16000000 0.000361860739 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4000000.00000000 TWD 125129.04000000 USD 2024-06-20 2469.16000000 N N N BX Trust N/A 12434GAA3 100000.00000000 PA USD 100625.00000000 0.014746811450 Long ABS-MBS CORP US N 2 2040-12-09 Floating 7.08000000 N N N N N N DISH NETWORK CORP 529900U350CWHH15G169 25470MAG4 25000.00000000 PA USD 25200.93000000 0.003693250813 Long DBT CORP US N 2 2027-11-15 Fixed 11.75000000 N N N N N N EUROPEAN UNION 529900FZRK8FGMPEOM08 000000000 640000.00000000 PA 632736.21000000 0.092728860490 Long DBT NUSS XX N 2 2053-03-04 Fixed 3.00000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAV3 65000.00000000 PA USD 58828.15000000 0.008621392656 Long DBT US N 2 2026-07-15 Fixed 1.05000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AN2 200000.00000000 PA USD 196466.06000000 0.028792526144 Long DBT CORP US N 2 2024-10-01 Fixed 1.80000000 N N N N N N UMBS, TBA N/A 01F050650 6268025.00000000 PA USD 5939001.64000000 0.870373539280 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A32Y8 138726.87000000 PA USD 141540.39000000 0.020743050374 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.50000000 N N N N N N HUGHES SATELLITE SYSTEMS N/A 444454AD4 75000.00000000 PA USD 62099.24000000 0.009100777972 Long DBT CORP US N 2 2026-08-01 Fixed 5.25000000 N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CX5 120000.00000000 PA USD 108745.21000000 0.015936845794 Long DBT CORP US N 2 2053-05-15 Fixed 5.10000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 4369.31000000 0.000640331833 N/A DFE CL N 2 UBS AG BFM8T61CT2L1QCEMIK50 434984.28000000 USD 422000000.00000000 CLP 2024-06-21 4369.31000000 N N N DK Trust N/A 23346LAA6 72000.00000000 PA USD 71910.00000000 0.010538566076 Long ABS-MBS CORP US N 2 2034-03-15 Floating 6.82000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -284.30000000 -0.00004166478 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 50000.00000000 GBP 62209.13000000 USD 2024-06-20 -284.30000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 4339.39000000 0.000635946992 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1700000.00000000 SEK 158934.50000000 USD 2024-06-20 4339.39000000 N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816DA4 50000.00000000 PA USD 46410.61000000 0.006801575304 Long DBT CORP US N 2 2033-08-03 Fixed 4.42000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61746BEG7 45000.00000000 PA USD 37333.53000000 0.005471309592 Long DBT CORP US N 2 2047-01-22 Fixed 4.38000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076AS1 20000.00000000 PA USD 20730.09000000 0.003038039538 Long DBT CORP US N 2 2036-12-16 Fixed 5.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WQA9 1110915.09000000 PA USD 911367.23000000 0.133562839285 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QAZ9 60000.00000000 PA USD 47907.83000000 0.007020996134 Long DBT CORP US N 2 2042-05-01 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSQK0 70018.46000000 PA USD 69648.01000000 0.010207066547 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6.00000000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 742718FK0 25000.00000000 PA USD 19138.52000000 0.002804791511 Long DBT CORP US N 2 2050-03-25 Fixed 3.60000000 N N N N N N NUCOR CORP 549300GGJCRSI2TIEJ46 670346AV7 70000.00000000 PA USD 59731.81000000 0.008753825984 Long DBT CORP US N 2 2032-04-01 Fixed 3.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL94 3678028.24000000 PA USD 2958899.09000000 0.433633063172 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 290000.00000000 OU Notional Amount -222.28000000 -0.00003257561 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 3.24000000 SGD 0.00000000 SGD 290000.00000000 SGD -224.66000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1203.66000000 -0.00017639897 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 236455.19000000 USD 220000.00000000 EUR 2024-06-20 -1203.66000000 N N N Argentina Government International Bonds 549300KPBYGYF7HCHO27 040114HU7 27742.00000000 PA USD 14065.19000000 0.002061284024 Long DBT NUSS AR N 2 2038-01-09 Variable 4.25000000 N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CBL7 217000.00000000 PA USD 203818.10000000 0.029869983512 Long DBT CORP US N 2 2054-01-15 Fixed 5.40000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 150000.00000000 PA USD 122567.73000000 0.017962566004 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3890.97000000 0.000570230071 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 620000.00000000 CAD 454621.11000000 USD 2024-06-20 3890.97000000 N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAD3 164000.00000000 PA USD 175005.53000000 0.025647439043 Long DBT CORP US N 2 2032-02-01 Fixed 9.88000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3610.06000000 0.000529062103 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2628000.00000000 BRL 507406.43000000 USD 2024-06-20 3610.06000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKPN2 433074.53000000 PA USD 377447.70000000 0.055315777037 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 2.00000000 N N N N N N AMEREN ILLINOIS CO RC71E2BZ6UOMFPDJSE79 02361DAX8 45000.00000000 PA USD 27500.28000000 0.004030225530 Long DBT CORP US N 2 2051-06-15 Fixed 2.90000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701CAA8 228711.63000000 PA USD 228820.34000000 0.033534115876 Long ABS-CBDO CORP KY N 2 2030-04-15 Floating 6.38000000 N N N N N N Zoetis Inc 549300HD9Q1LOC9KLJ48 98978VAN3 300000.00000000 PA USD 283310.97000000 0.041519835592 Long DBT CORP US N 2 2028-08-20 Fixed 3.90000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -488.03000000 -0.00007152185 N/A DFE NZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 65305.31000000 USD 110000.00000000 NZD 2024-06-20 -488.03000000 N N N MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 000000000 70000.00000000 OU Notional Amount USD 1204.00000000 0.000176448804 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD 1204.00000000 0.00000000 DFE US 1281000.00000000 MXN 70000.00000000 USD 2024-10-18 1.00000000 18.30000000 USD 2024-10-18 XXXX -116.90000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -205.33000000 -0.00003009155 N/A DFE ID N 2 Bank of America NA B4TYDEB6GKMZO031MB27 49347.18000000 USD 800855425.00000000 IDR 2024-07-17 -205.33000000 N N N Westlake Automobile Receivables Trust N/A 96042XAF2 515000.00000000 PA USD 513338.92000000 0.075230929326 Long ABS-O CORP US N 2 2028-08-15 Fixed 5.74000000 N N N N N N RAISING CANE'S RESTAURAN 254900V6ADXFWHYOED66 75103AAA3 130000.00000000 PA USD 139426.18000000 0.020433208325 Long DBT CORP US N 2 2029-05-01 Fixed 9.38000000 N N N N N N College Ave Student Loans N/A 19424RAB4 141000.00000000 PA USD 139776.11000000 0.020484491323 Long ABS-O CORP US N 2 2054-06-25 Floating 7.07000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGTV1 890196.60000000 PA USD 810382.41000000 0.118763295435 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 4.00000000 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CR0 36000.00000000 PA USD 26849.49000000 0.003934850847 Long DBT CORP US N 2 2049-06-01 Fixed 4.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDR4 180000.00000000 PA USD 175043.28000000 0.025652971387 Long DBT CORP US N 2 2034-06-01 Fixed 5.35000000 N N N N N N BX Trust N/A 05609WAA1 103724.49000000 PA USD 103659.66000000 0.015191547439 Long ABS-MBS CORP US N 2 2037-04-15 Floating 6.81000000 N N N N N N PBF HOLDING CO LLC N/A 69318FAL2 51000.00000000 PA USD 52452.70000000 0.007687056665 Long DBT CORP US N 2 2030-09-15 Fixed 7.88000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -2294.15000000 -0.00033621264 N/A DFE TH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 265020.08000000 USD 9700000.00000000 THB 2024-06-20 -2294.15000000 N N N Santander Drive Auto Receivables Trust N/A 80288AAE2 240000.00000000 PA USD 237055.30000000 0.034740967080 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.45000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -17.43000000 -0.00000255440 N/A DFE IN N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 21000.00000000 USD 1750707.00000000 INR 2024-05-03 -17.43000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount 9265.91000000 0.001357939157 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 CAD -760.85000000 CAD 1000000.00000000 CAD 9827.32000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -131.02000000 -0.00001920126 N/A DFE PH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 43370.40000000 USD 2500000.00000000 PHP 2024-06-20 -131.02000000 N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAD4 200000.00000000 PA USD 204875.00000000 0.030024874493 Long DBT CORP NL N 2 2030-07-28 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9SR7 590853.98000000 PA USD 475150.91000000 0.069634393842 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Freddie Mac - STACR 5493000ISOMSKCX2AW62 35564KND7 1544000.00000000 PA USD 1605864.37000000 0.235342897686 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 8.98000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042VAG4 1050000.00000000 PA USD 1037330.49000000 0.152023027558 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.48000000 N N N N N N WAMU Asset-Backed Certificates N/A 92926SAC0 402619.89000000 PA USD 148485.49000000 0.021760869805 Long ABS-O CORP US N 2 2037-04-25 Floating 5.62000000 N N N N N N FAIRFAX FINL HLDGS LTD GLS7OQD0WOEDI8YAP031 303901BP6 140000.00000000 PA USD 138404.42000000 0.020283467186 Long DBT CORP CA N 2 2054-03-22 Fixed 6.35000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1060000.00000000 OU Notional Amount 15337.26000000 0.002247708634 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.82000000 AUD 0.00000000 AUD 1060000.00000000 AUD 15329.43000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLUW6 460516.26000000 PA USD 386860.46000000 0.056695237379 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZU1 400000.00000000 PA USD 386450.91000000 0.056635216941 Long DBT CORP US N 2 2028-08-23 Fixed 4.48000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10087000000.00000000 OU Notional Amount 14672.34000000 0.002150263170 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 112690.00000000 KRW 0.00000000 KRW 10087000000.00000000 KRW 14591.08000000 N N N VICI PROPERTIES / NOTE N/A 92564RAB1 154000.00000000 PA USD 142869.02000000 0.020937763975 Long DBT US N 2 2029-12-01 Fixed 4.63000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042WAG2 1000000.00000000 PA USD 968897.40000000 0.141994010164 Long ABS-O CORP US N 2 2027-03-15 Fixed 3.49000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 272287747.00000000 OU Notional Amount 1434.09000000 0.000210168992 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-12-20 2679.00000000 KRW 0.00000000 KRW 272287747.00000000 KRW 1432.07000000 N N N UMBS, TBA N/A 01F060659 1925000.00000000 PA USD 1907103.70000000 0.279490173224 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 250000.00000000 PA USD 235915.31000000 0.034573899079 Long DBT CORP US N 2 2028-03-24 Fixed 3.53000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCX8 34000.00000000 PA USD 27480.46000000 0.004027320866 Long DBT CORP US N 2 2047-01-15 Fixed 4.20000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 472.70000000 0.000069275207 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 274498.40000000 USD 220000.00000000 GBP 2024-06-20 472.70000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJW0 125000.00000000 PA USD 91982.82000000 0.013480281274 Long DBT CORP US N 2 2042-04-22 Fixed 3.31000000 N N N N N N OPEN Trust N/A 68373BAA9 189935.60000000 PA USD 192072.38000000 0.028148622834 Long ABS-MBS CORP US N 2 2028-10-15 Floating 8.41000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCP4 875000.00000000 PA USD 794609.38000000 0.116451723764 Long DBT UST US N 2 2026-07-31 Fixed 0.63000000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 000000000 2202465.00000000 OU Notional Amount -20869.62000000 -0.00305848796 N/A DIR US N 2 MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 2202465.00000000 BRL -20869.62000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 -31147000.00000000 OU Notional Amount USD -13887.51000000 -0.00203524463 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 31147000.00000000 OU Notional Amount N/A -13887.51000000 0.00000000 DIR US N/A N/A 2025-10-18 0.00000000 N/A 0.00000000 N/A 31147000.00000000 USD 1.00000000 3.84200000 USD 2024-10-16 XXXX 11964.45000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1041.26000000 -0.00015259890 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 514043000.00000000 COP 129094.90000000 USD 2024-06-17 -1041.26000000 N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BS7 190000.00000000 PA USD 190088.45000000 0.027857873600 Long DBT CORP US N 2 2026-02-15 Fixed 5.88000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFF6 50000.00000000 PA USD 47458.37000000 0.006955126798 Long DBT CORP US N 2 2028-04-01 Fixed 3.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRVS0 205892.02000000 PA USD 200141.23000000 0.029331130258 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 956.03000000 0.000140108264 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 3000000.00000000 CZK 128267.62000000 USD 2024-06-20 956.03000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10000000.00000000 OU Notional Amount -5359.88000000 -0.00078550201 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 111.41000000 TWD 0.00000000 TWD 10000000.00000000 TWD -5363.41000000 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 100000.00000000 PA 98281.17000000 0.014403318093 Long DBT NUSS EG N 2 2026-04-16 Fixed 4.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 26500000.00000000 OU Notional Amount -55514.70000000 -0.00813579939 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 295.48000000 CZK 0.00000000 CZK 26500000.00000000 CZK -55527.46000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XNAA2 934649.76000000 PA USD 778296.95000000 0.114061101855 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWA60 377596.98000000 PA USD 301413.64000000 0.044172821045 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1398600.00000000 OU Notional Amount USD 937.06000000 0.000137328170 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 937.06000000 0.00000000 DFE US 1952445.60000000 CAD 1398600.00000000 USD 2024-05-15 1.00000000 1.39600000 USD 2024-05-15 XXXX -1874.13000000 N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAH8 244000.00000000 PA USD 244135.91000000 0.035778645794 Long DBT CORP US N 2 2024-06-15 Fixed 7.13000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 276.91000000 0.000040581759 N/A DFE ZA N 2 Bank of America NA B4TYDEB6GKMZO031MB27 21000.00000000 USD 400879.50000000 ZAR 2024-05-16 276.91000000 N N N Consumers Energy Co 7NKTFWJ1G6MELP9TU740 210518DE3 37000.00000000 PA USD 27578.24000000 0.004041650737 Long DBT CORP US N 2 2050-02-15 Fixed 3.75000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1720000.00000000 OU Notional Amount USD 29523.92000000 0.004326794350 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1720000.00000000 OU Notional Amount N/A 29523.92000000 0.00000000 DIR US N/A N/A 2034-10-21 0.00000000 N/A 0.00000000 N/A 1720000.00000000 USD 1.00000000 4.43000000 USD 2024-10-17 XXXX 4089.58000000 N N N COGENT COMMUNICATIONS GR 549300KFWFYF8Q1U0Y26 19240CAE3 160000.00000000 PA USD 157949.86000000 0.023147893705 Long DBT CORP US N 2 2027-06-15 Fixed 7.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -239.31000000 -0.00003507139 N/A DFE CL N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 21000.00000000 USD 19935300.00000000 CLP 2024-05-16 -239.31000000 N N N UNITI GROUP/CSL CAPITAL N/A 91327BAA8 96000.00000000 PA USD 77176.96000000 0.011310450459 Long DBT US N 2 2029-02-15 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 612810.00000000 OU Notional Amount 9310.19000000 0.001364428486 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-02-19 21.84000000 EUR 0.00000000 EUR 612810.00000000 EUR 9286.75000000 N N N Westlake Automobile Receivables Trust N/A 959926AG1 900000.00000000 PA USD 910938.33000000 0.133499983062 Long ABS-O CORP US N 2 2028-11-15 Fixed 7.01000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3770000.00000000 OU Notional Amount -1637.61000000 -0.00023999528 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 SEK -4803.53000000 SEK 3770000.00000000 SEK -1196.43000000 N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826CAJ1 35000.00000000 PA USD 26568.95000000 0.003893737104 Long DBT CORP US N 2 2047-09-15 Fixed 3.65000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -2720.45000000 -0.00039868783 N/A DFE TW N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 88582.37000000 USD 2800000.00000000 TWD 2024-06-20 -2720.45000000 N N N BX Trust N/A 05610MAC6 488200.00000000 PA USD 489725.63000000 0.071770350590 Long ABS-MBS CORP US N 2 2027-06-15 Floating 8.46000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 5687.90000000 0.000833574050 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 2200000.00000000 NOK 203976.56000000 USD 2024-06-20 5687.90000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTEX3 156373.02000000 PA USD 158247.52000000 0.023191516422 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADA0 100000.00000000 PA USD 97455.36000000 0.014282293851 Long DBT CORP US N 2 2028-07-15 Fixed 4.80000000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 913017BT5 20000.00000000 PA USD 16992.60000000 0.002490302293 Long DBT CORP US N 2 2042-06-01 Fixed 4.50000000 N N N N N N Exeter Automobile Receivables Trust N/A 301989AF6 400000.00000000 PA USD 401838.48000000 0.058890298615 Long ABS-O CORP US N 2 2029-04-16 Fixed 6.68000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBF1 122000.00000000 PA USD 91293.11000000 0.013379202781 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AM1 119000.00000000 PA USD 114016.60000000 0.016709379403 Long DBT CORP US N 2 2028-06-15 Fixed 4.40000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 87000.00000000 OU Notional Amount USD -1938.58000000 -0.00028410309 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Dominion Energy, Inc. Dominion Energy, Inc. Y buy protection 2029-06-20 0.00000000 USD -1749.22000000 USD 87000.00000000 USD -189.36000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -571.81000000 -0.00008379999 N/A DFE HU N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 38650.14000000 USD 14000000.00000000 HUF 2024-06-20 -571.81000000 N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAN2 40000.00000000 PA USD 30985.26000000 0.004540956889 Long DBT CORP US N 2 2031-02-15 Fixed 1.10000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLC1 100000.00000000 PA USD 102091.23000000 0.014961690629 Long DBT CORP US N 2 2028-11-10 Fixed 6.20000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AQ2 250000.00000000 PA USD 252110.45000000 0.036947331884 Long DBT CORP IT N 2 2034-04-02 Fixed 7.30000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 340000.00000000 OU Notional Amount USD 3579.80000000 0.000524627434 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2034-03-06 7.07000000 USD 0.00000000 USD 340000.00000000 USD 3572.73000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -47.70000000 -0.00000699053 N/A DFE NO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 8000.00000000 USD 88308.39000000 NOK 2024-05-16 -47.70000000 N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BQ1 309000.00000000 PA USD 307349.18000000 0.045042687274 Long DBT CORP US N 2 2025-04-15 Fixed 5.25000000 N N N N N N Diameter Capital CLO 25490018I1ROE4V49X69 25255DAA8 250000.00000000 PA USD 250280.10000000 0.036679090132 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 6.83000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QUHR0 387444.98000000 PA USD 384826.94000000 0.056397220624 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -35.60000000 -0.00000521725 N/A DFE BR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 21000.00000000 USD 108859.73000000 BRL 2024-05-03 -35.60000000 N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112CD3 125000.00000000 PA USD 122655.43000000 0.017975418629 Long DBT CORP US N 2 2031-01-15 Fixed 5.30000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KCS7 135000.00000000 PA USD 133786.55000000 0.019606708347 Long DBT CORP US N 2 2026-01-29 Fixed 4.95000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHZ5 73000.00000000 PA USD 61435.83000000 0.009003553801 Long DBT CORP US N 2 2031-02-13 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XTD8 45579.66000000 PA USD 44727.49000000 0.006554910426 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 5.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 107.17000000 0.000015705995 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 820000000.00000000 IDR 50466.13000000 USD 2024-06-20 107.17000000 N N N Brex Inc N/A 05601DAE3 100000.00000000 PA USD 99430.22000000 0.014571713856 Long ABS-O CORP US N 2 2027-07-15 Fixed 6.05000000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BH5 200000.00000000 PA USD 201146.63000000 0.029478473804 Long DBT CORP NL N 2 2034-09-11 Fixed 6.11000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BG7 280000.00000000 PA USD 234859.19000000 0.034419122408 Long DBT CORP US N 2 2031-04-15 Fixed 2.85000000 N N N N N N OGLETHORPE POWER CORP 3EERXCUSWMS9GV5D9M98 677050AT3 75000.00000000 PA USD 74531.64000000 0.010922773090 Long DBT CORP US N 2 2053-12-01 Fixed 6.20000000 N N N N N N RITHM CAPITAL CORP 549300WNTHGEO5LP2G31 64828TAB8 182000.00000000 PA USD 177971.11000000 0.026082051208 Long DBT US N 2 2029-04-01 Fixed 8.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 550.38000000 0.000080659379 N/A DFE PL N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 122646.99000000 USD 500000.00000000 PLN 2024-06-20 550.38000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 31000000.00000000 OU Notional Amount -61090.67000000 -0.00895296985 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 345.65000000 CZK 0.00000000 CZK 31000000.00000000 CZK -61105.59000000 N N N State of California N/A 13063DGE2 370000.00000000 PA USD 343478.68000000 0.050337543664 Long DBT MUN US N 2 2038-04-01 Fixed 4.60000000 N N N N N N HRT DNT / HRT DNT FIN N/A 42239PAB5 67000.00000000 PA USD 70524.97000000 0.010335586933 Long DBT CORP US N 2 2028-04-30 Fixed 10.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AR0 599000.00000000 PA USD 489956.54000000 0.071804190950 Long DBT US N 2 2032-01-15 Fixed 3.25000000 N N N N N N Washington Mutual Asset-Backed CTFS N/A 93934TAB8 502028.25000000 PA USD 138716.98000000 0.020329273531 Long ABS-O CORP US N 2 2037-02-25 Floating 5.53000000 N N N N N N FMG RESOURCES AUG 2006 549300EFD6S2NFE9D745 30251GBD8 142000.00000000 PA USD 136513.72000000 0.020006381011 Long DBT CORP AU N 2 2030-04-15 Fixed 5.88000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AN9 133000.00000000 PA USD 105162.36000000 0.015411771375 Long DBT CORP US N 2 2031-01-15 Fixed 1.80000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -853.62000000 -0.00012509985 N/A DFE CH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 99290.44000000 USD 90000.00000000 CHF 2024-06-20 -853.62000000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAF8 150000.00000000 PA USD 156301.49000000 0.022906321515 Long DBT CORP US N 2 2034-03-30 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D4B5 953489.62000000 PA USD 803321.25000000 0.117728467160 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 1.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8JQ9 35455.45000000 PA USD 30785.94000000 0.004511746111 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 2.00000000 N N N N N N INTER-AMERICAN DEVEL BK VKU1UKDS9E7LYLMACP54 4581X0EK0 190000.00000000 PA USD 187721.91000000 0.027511052043 Long DBT NUSS XX N 2 2026-05-15 Fixed 4.50000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DB2 670000.00000000 PA USD 656671.67000000 0.096236653937 Long DBT CORP US N 2 2033-02-15 Fixed 5.38000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BT8 50000.00000000 PA USD 46949.72000000 0.006880583040 Long DBT CORP US N 2 2040-05-01 Fixed 5.15000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -90.65000000 -0.00001328495 N/A DFE ZA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 137698.12000000 USD 2600000.00000000 ZAR 2024-06-20 -90.65000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 109000.00000000 PA USD 77869.95000000 0.011412009642 Long DBT CORP US N 2 2051-03-25 Fixed 3.95000000 N N N N N N Affirm Inc N/A 00792FAD0 1000000.00000000 PA USD 1017301.90000000 0.149087794362 Long ABS-O CORP US N 2 2028-09-15 Fixed 8.78000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CC6 200000.00000000 PA USD 183443.72000000 0.026884074043 Long DBT CORP JP N 2 2028-01-19 Fixed 2.34000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -178.35000000 -0.00002613757 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 125000.00000000 EUR 133290.13000000 USD 2024-05-16 -178.35000000 N N N Precision Castparts Corp 0XOOAY5P5J7Q734SEC89 740189AM7 35000.00000000 PA USD 34147.50000000 0.005004390002 Long DBT CORP US N 2 2025-06-15 Fixed 3.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5000000.00000000 OU Notional Amount -3120.37000000 -0.00045729697 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 46.53000000 MXN 0.00000000 MXN 5000000.00000000 MXN -3123.20000000 N N N NXP BV/NXP FDG/NXP USA N/A 62954HBB3 50000.00000000 PA USD 47521.50000000 0.006964378637 Long DBT CORP XX N 2 2033-01-15 Fixed 5.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 690.15000000 0.000101142975 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 5399858.00000000 JPY 35000.00000000 USD 2024-05-16 690.15000000 N N N ENSTAR GROUP LTD 213800AMAL5QFXVUCN04 29359UAC3 370000.00000000 PA USD 295304.00000000 0.043277440085 Long DBT CORP BM N 2 2031-09-01 Fixed 3.10000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804FT6 90000.00000000 PA USD 71459.51000000 0.010472545792 Long DBT CORP US N 2 2045-05-15 Fixed 4.20000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 4917.48000000 0.000720667332 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1100000.00000000 NOK 104061.81000000 USD 2024-06-20 4917.48000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 140000.00000000 OU Notional Amount 1479.61000000 0.000216840046 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-03-15 94.40000000 EUR 0.00000000 EUR 140000.00000000 EUR 1376.80000000 N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HLL2 105000.00000000 PA USD 95439.66000000 0.013986888655 Long DBT CORP US N 2 2045-06-01 Fixed 4.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DJR4 276565.10000000 PA USD 232331.33000000 0.034048659056 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 240000.00000000 PA USD 224027.49000000 0.032831713339 Long DBT CORP US N 2 2031-03-31 Fixed 4.41000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFT6 50000.00000000 PA USD 45598.06000000 0.006682494343 Long DBT CORP US N 2 2052-09-09 Fixed 5.15000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBH3 92000.00000000 PA USD 56635.34000000 0.008300031606 Long DBT CORP US N 2 2052-06-15 Fixed 2.88000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 870000.00000000 PA USD 897702.41000000 0.131560230350 Long DBT CORP US N 2 2029-10-24 Fixed 6.48000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBH8 550000.00000000 PA USD 532051.80000000 0.077973342375 Long DBT CORP US N 2 2026-03-13 Fixed 2.01000000 N N N N N N Angel Oak Mortgage Trust 2549003MM0537Y3QHI22 03465XAA7 48678.40000000 PA USD 47177.12000000 0.006913909002 Long ABS-MBS CORP US N 2 2068-08-25 Variable 5.21000000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAN0 57000.00000000 PA USD 36608.51000000 0.005365056342 Long DBT CORP US N 2 2051-05-15 Fixed 3.45000000 N N N N N N JEFFERIES FIN GROUP INC 549300HOF34RGOJ5YL07 47233JAG3 20000.00000000 PA USD 19612.37000000 0.002874235254 Long DBT CORP US N 2 2027-01-15 Fixed 4.85000000 N N N N N N SMB Private Education Loan Trust 5493008SQ2WS8HE83M61 78449GAB5 8978.60000000 PA USD 8807.18000000 0.001290711283 Long ABS-O CORP US N 2 2032-02-17 Fixed 2.43000000 N N N N N N UMBS, TBA N/A 01F032658 11266100.00000000 PA USD 9709561.65000000 1.422957266294 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F020653 11102000.00000000 PA USD 8378642.21000000 1.227908142939 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 2.00000000 N N N N N N Realty Income Corp 549300CUWDAUZSH43859 756109AS3 20000.00000000 PA USD 18778.20000000 0.002751985836 Long DBT CORP US N 2 2027-01-15 Fixed 3.00000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BL5 191000.00000000 PA USD 192184.72000000 0.028165086504 Long DBT CORP PA N 2 2026-03-01 Fixed 7.63000000 N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 860000.00000000 OU Notional Amount USD 1231.54000000 0.000180484851 N/A DIR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK NA E57ODZWZ7FF32TWEFA76 CITIBANK NA E57ODZWZ7FF32TWEFA76 N/A 860000.00000000 OU Notional Amount N/A 1231.54000000 0.00000000 DIR US N/A N/A 2034-05-07 0.00000000 N/A 0.00000000 N/A 860000.00000000 USD 1.00000000 4.38000000 USD 2024-05-03 XXXX 563.65000000 N N N DTE ELECTRIC CO 9N0FWODEJVKHC2DYLO03 23338VAL0 43000.00000000 PA USD 27003.38000000 0.003957403760 Long DBT CORP US N 2 2050-03-01 Fixed 2.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHC8 412000.00000000 PA USD 372345.00000000 0.054567965312 Long DBT UST US N 2 2033-05-15 Fixed 3.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040657 2587000.00000000 PA USD 2344136.97000000 0.343538344457 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 4.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 154.42000000 0.000022630585 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 54432000.00000000 COP 14000.00000000 USD 2024-05-16 154.42000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -7892.03000000 -0.00115659407 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 489088.35000000 USD 450000.00000000 EUR 2024-06-20 -7892.03000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 128000.00000000 PA USD 102434.86000000 0.015012050349 Long DBT CORP US N 2 2032-07-21 Fixed 2.38000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CS1 250000.00000000 PA USD 248962.61000000 0.036486009122 Long DBT CORP JP N 2 2029-02-22 Fixed 5.42000000 N N N N N N ICE Futures Europe - Financial Products Division N/A 000000000 -10.00000000 NC 12822.88000000 0.001879220806 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Short Long Gilt Futures G M4 Comdty 2024-06-26 -968062.00000000 GBP 12822.88000000 N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBT6 20000.00000000 PA USD 20430.95000000 0.002994199924 Long DBT CORP US N 2 2029-06-13 Fixed 6.99000000 N N N N N N TEGNA INC 549300YC5EDBGX85AO10 87901JAJ4 219000.00000000 PA USD 197361.12000000 0.028923699123 Long DBT CORP US N 2 2028-03-15 Fixed 4.63000000 N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 6952.67000000 0.001018928830 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1850000.00000000 AUD 1207126.89000000 USD 2024-06-20 6952.67000000 N N N HUNGARY 5299003F3UFKGCCMAP43 000000000 85000.00000000 PA 93886.97000000 0.013759338576 Long DBT NUSS HU N 2 2033-09-12 Fixed 5.38000000 N N N N N N Fannie Mae - CAS N/A 20754NAB1 1438952.54000000 PA USD 1480641.01000000 0.216991143359 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 8.08000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4790000.00000000 OU Notional Amount -1490.17000000 -0.00021838763 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 44.57000000 MXN 0.00000000 MXN 4790000.00000000 MXN -1492.78000000 N N N LYB INT FINANCE III 984500A51LA0B8EB4053 50249AAD5 60000.00000000 PA USD 44614.26000000 0.006538316325 Long DBT CORP US N 2 2050-05-01 Fixed 4.20000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 28000.00000000 OU Notional Amount USD 341.74000000 0.000050082736 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 N/A 1.00000000 NC USD 341.74000000 0.00000000 DFE US 1078000.00000000 TRY 28000.00000000 USD 2024-09-27 1.00000000 38.50000000 USD 2024-09-27 XXXX 35.14000000 N N N PECO ENERGY CO YH65D4JBECK76IFEJ279 693304BC0 149000.00000000 PA USD 90687.77000000 0.013290488895 Long DBT CORP US N 2 2051-09-15 Fixed 2.85000000 N N N N N N BLACKSTONE PRIVATE CRE 549300ORP3TTCNXSYO43 09261HAK3 100000.00000000 PA USD 91771.11000000 0.013449254715 Long DBT CORP US N 2 2027-03-15 Fixed 3.25000000 N N N N N N NATIONSTAR MTG HLD INC N/A 63861CAF6 180000.00000000 PA USD 177425.19000000 0.026002045451 Long DBT CORP US N 2 2032-02-01 Fixed 7.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 230000.00000000 OU Notional Amount 1678.68000000 0.000246014185 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 538.25000000 GBP 0.00000000 GBP 230000.00000000 GBP 1008.64000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8JH7 164958.27000000 PA USD 156443.39000000 0.022927117267 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJB6 200000.00000000 PA USD 168195.97000000 0.024649483292 Long DBT CORP US N 2 2031-04-29 Fixed 2.59000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -23.77000000 -0.00000348354 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 2740000000.00000000 IDR 168248.86000000 USD 2024-06-20 -23.77000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 650000.00000000 OU Notional Amount -1853.95000000 -0.00027170038 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 7.25000000 AUD 0.00000000 AUD 650000.00000000 AUD -1858.67000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1606.55000000 0.000235443378 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 160000.00000000 CHF 176605.35000000 USD 2024-06-20 1606.55000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2286.00000000 0.000335018245 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 2800000.00000000 MXN 164490.39000000 USD 2024-06-20 2286.00000000 N N N Sequoia Mortgage Trust N/A 81746HBF7 140153.42000000 PA USD 129974.01000000 0.019047972362 Long ABS-MBS CORP US N 2 2047-08-25 Variable 4.51000000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAA9 25000.00000000 PA USD 25561.70000000 0.003746122437 Long DBT CORP US N 2 2028-06-01 Fixed 8.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKHJ2 52617.91000000 PA USD 52251.56000000 0.007657579163 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.00000000 N N N N N N CANADIAN IMPERIAL BANK 2IGI19DL77OX0HC3ZE78 13608JAA5 150000.00000000 PA USD 147673.27000000 0.021641837207 Long DBT CORP CA N 2 2029-04-08 Fixed 5.26000000 N N N N N N COINBASE GLOBAL INC 5493004G3J2SC154DU06 19260QAD9 93000.00000000 PA USD 72519.39000000 0.010627873499 Long DBT CORP US N 2 2031-10-01 Fixed 3.63000000 N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CL6 300000.00000000 PA USD 223050.74000000 0.032688568513 Long DBT CORP US N 2 2063-04-01 Fixed 5.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GMA4 147000.00000000 PA USD 142952.75000000 0.020950034788 Long DBT CORP US N 2 2035-01-23 Fixed 5.47000000 N N N N N N EQUIPMENTSHARE.COM INC 254900PWJK48CGPKPI80 29450YAA7 15000.00000000 PA USD 15398.69000000 0.002256711334 Long DBT CORP US N 2 2028-05-15 Fixed 9.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A6NF9 58518.31000000 PA USD 59280.65000000 0.008687707510 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H060663 1153000.00000000 PA USD 1150500.86000000 0.168608390123 Long ABS-MBS USGA US N 2 2054-06-20 Fixed 6.00000000 N N N N N N SMB Private Education Loan Trust N/A 78448YAD3 254216.95000000 PA USD 236609.50000000 0.034675634126 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.31000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 -860000.00000000 OU Notional Amount USD -10407.90000000 -0.00152530026 N/A DIR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written CITIBANK NA E57ODZWZ7FF32TWEFA76 CITIBANK NA E57ODZWZ7FF32TWEFA76 N/A 860000.00000000 OU Notional Amount N/A -10407.90000000 0.00000000 DIR US N/A N/A 2034-05-07 0.00000000 N/A 0.00000000 N/A 860000.00000000 USD 1.00000000 4.18000000 USD 2024-05-03 XXXX -7941.83000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BP9 50000.00000000 PA USD 47446.88000000 0.006953442914 Long DBT CORP US N 2 2025-10-30 Fixed 2.60000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 282000.00000000 PA USD 241564.88000000 0.035401855785 Long DBT CORP US N 2 2031-01-22 Fixed 2.70000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CG7 520000.00000000 PA USD 295234.15000000 0.043267203417 Long DBT CORP US N 2 2062-06-30 Fixed 3.95000000 N N N N N N CZECH REPUBLIC 3157007EFDLQABN47912 000000000 670000.00000000 PA 29529.61000000 0.004327628232 Long DBT NUSS CZ N 2 2030-09-30 Fixed 5.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4095.11000000 0.000600147230 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 240000000.00000000 KRW 177663.28000000 USD 2024-06-20 4095.11000000 N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAM6 50000.00000000 PA USD 30282.92000000 0.004438027442 Long DBT CORP US N 2 2051-08-15 Fixed 2.90000000 N N N N N N DTE ELECTRIC CO 9N0FWODEJVKHC2DYLO03 23338VAR7 20000.00000000 PA USD 14220.28000000 0.002084012799 Long DBT CORP US N 2 2052-03-01 Fixed 3.65000000 N N N N N N CANADIAN NATL RAILWAY 3SU7BEP7TH9YEQOZCS77 136375DB5 300000.00000000 PA USD 251451.11000000 0.036850704181 Long DBT CORP CA N 2 2052-08-05 Fixed 4.40000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92553PAW2 21000.00000000 PA USD 15131.68000000 0.002217580441 Long DBT CORP US N 2 2044-04-01 Fixed 5.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 170000.00000000 OU Notional Amount USD 1917.55000000 0.000281021101 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2034-03-05 54.73000000 USD 0.00000000 USD 170000.00000000 USD 1862.82000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 6715.49000000 0.000984169588 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2800000.00000000 MXN 168919.88000000 USD 2024-06-20 6715.49000000 N N N DELL INT LLC / EMC CORP N/A 24703TAE6 202000.00000000 PA USD 198953.05000000 0.029156999909 Long DBT CORP US N 2 2026-10-01 Fixed 4.90000000 N N N N N N SUNCOKE ENERGY INC 1KF1J2NXQE2PI0QOB943 86722AAD5 60000.00000000 PA USD 52978.98000000 0.007764184138 Long DBT CORP US N 2 2029-06-30 Fixed 4.88000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -3637.45000000 -0.00053307616 N/A DFE CH N 2 Bank of America NA B4TYDEB6GKMZO031MB27 309885.34000000 USD 280000.00000000 CHF 2024-06-20 -3637.45000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GRLU2 249745.30000000 PA USD 252739.24000000 0.037039482419 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.50000000 N N N N N N NUFARM AUSTRALIA/AMERICA N/A 67052NAB1 5000.00000000 PA USD 4564.61000000 0.000668953470 Long DBT CORP AU N 2 2030-01-27 Fixed 5.00000000 N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -5177.98000000 -0.00075884417 N/A DFE KR N 2 Bank of America NA B4TYDEB6GKMZO031MB27 146202.12000000 USD 195000000.00000000 KRW 2024-06-20 -5177.98000000 N N N WALMART INC Y87794H0US1R65VBXU25 931142FE8 25000.00000000 PA USD 21755.50000000 0.003188315592 Long DBT CORP US N 2 2053-04-15 Fixed 4.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 169.48000000 0.000024837660 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 21071.09000000 USD 805000.00000000 TRY 2024-09-25 169.48000000 N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAW4 580000.00000000 PA USD 577004.40000000 0.084561243160 Long DBT CORP US N 2 2028-03-09 Fixed 4.88000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 629.96000000 0.000092322000 N/A DFE CA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 282893.84000000 USD 390000.00000000 CAD 2024-06-20 629.96000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWKK9 199548.59000000 PA USD 178721.32000000 0.026191996106 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 2.50000000 N N N N N N ENTERGY CORP 4XM3TW50JULSLG8BNC79 29364GAL7 20000.00000000 PA USD 17058.92000000 0.002500021632 Long DBT CORP US N 2 2030-06-15 Fixed 2.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179V7D6 1242925.66000000 PA USD 978965.54000000 0.143469517863 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.00000000 N N N N N N LINCOLN NATIONAL CORP EFQMQROEDSNBRIP7LE47 534187BK4 20000.00000000 PA USD 17120.81000000 0.002509091746 Long DBT CORP US N 2 2031-01-15 Fixed 3.40000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -2479.54000000 -0.00036338195 N/A DFE PL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 88717.70000000 USD 350000.00000000 PLN 2024-06-20 -2479.54000000 N N N HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 427866AX6 35000.00000000 PA USD 32791.22000000 0.004805624234 Long DBT CORP US N 2 2026-08-15 Fixed 2.30000000 N N N N N N UMBS, TBA N/A 01F030660 774800.00000000 PA USD 640119.77000000 0.093810937182 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 3.00000000 N N N N N N GSMPS Mortgage Loan Trust N/A 36242DT52 151833.82000000 PA USD 137736.28000000 0.020185549824 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.78000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NKJM4 56331.69000000 PA USD 54848.82000000 0.008038213235 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC N/A -110.09000000 -0.00001613392 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 41956.02000000 GBP 49000.00000000 EUR 2024-05-16 -110.09000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 90000.00000000 OU Notional Amount USD -2695.03000000 -0.00039496247 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 American Electric Power Co., Inc. American Electric Power Co., Inc. Y buy protection 2029-06-20 0.00000000 USD -2553.55000000 USD 90000.00000000 USD -141.48000000 N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513ECL3 68000.00000000 PA USD 40557.28000000 0.005943757129 Long DBT CORP US N 2 2051-09-01 Fixed 2.82000000 N N N N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332BG6 300000.00000000 PA USD 309161.99000000 0.045308358501 Long DBT CORP US N 2 2028-11-01 Fixed 6.25000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -3270.27000000 -0.00047926514 N/A DFE TH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 168489.67000000 USD 6100000.00000000 THB 2024-06-20 -3270.27000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 240000.00000000 OU Notional Amount 810.19000000 0.000118735097 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 188.78000000 EUR 0.00000000 EUR 240000.00000000 EUR 609.05000000 N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59259YBY4 130000.00000000 PA USD 137097.38000000 0.020091917647 Long DBT MUN US N 2 2039-11-15 Fixed 6.67000000 N N N N N N NEVADA POWER CO MJZFGXRJ52U8U4MKJ519 641423CG1 15000.00000000 PA USD 14960.77000000 0.002192533210 Long DBT CORP US N 2 2054-03-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38384CEP0 39771.71000000 PA USD 31553.16000000 0.004624183862 Long ABS-MBS USGA US N 2 2065-04-16 Fixed 2.25000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCB9 430000.00000000 PA USD 299105.33000000 0.043834533221 Long DBT CORP US N 2 2061-03-25 Fixed 4.10000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 9455721.00000000 OU Notional Amount USD -105336.53000000 -0.01543729636 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-06-20 0.00000000 USD -5212.10000000 USD 9455721.00000000 USD -100124.43000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -193.20000000 -0.00002831387 N/A DFE SG N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 44246.65000000 USD 60000.00000000 SGD 2024-06-20 -193.20000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2275.26000000 0.000333444275 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 900000.00000000 SEK 84119.73000000 USD 2024-06-20 2275.26000000 N N N New York City Municipal Water Finance Authority 549300Q2EHQ6RJPQKP05 64972FK88 50000.00000000 PA USD 50576.92000000 0.007412157048 Long DBT MUN US N 2 2042-06-15 Fixed 5.95000000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 740940AA9 143448.32000000 PA USD 142542.19000000 0.020889866332 Long ABS-O CORP US N 2 2053-11-25 Variable 8.11000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95001WAC2 10000.00000000 PA USD 7565.83000000 0.001108788755 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8000000.00000000 OU Notional Amount -3410.73000000 -0.00049984986 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 89.01000000 TWD 0.00000000 TWD 8000000.00000000 TWD -3413.53000000 N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 3900000.00000000 PA 672917.30000000 0.098617486161 Long DBT NUSS BR N 2 2035-01-01 Fixed 10.00000000 N N N N N N Province of Quebec 549300WN65YFEQH74Y36 748148QR7 10000.00000000 PA USD 11140.37000000 0.001632645325 Long DBT NUSS CA N 2 2029-09-15 Fixed 7.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2125.27000000 -0.00031146291 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 322922.82000000 USD 300000.00000000 EUR 2024-06-20 -2125.27000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 103.30000000 0.000015138838 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1600000000.00000000 IDR 98364.69000000 USD 2024-06-20 103.30000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SW9 1288000.00000000 PA USD 846507.81000000 0.124057550962 Long DBT UST US N 2 2041-02-15 Fixed 1.88000000 N N N N N N KIMBERLY-CLARK CORP MP3J6QPYPGN75NVW2S34 494368CA9 15000.00000000 PA USD 9714.80000000 0.001423724957 Long DBT CORP US N 2 2050-02-07 Fixed 2.88000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 16.25000000 0.000002381472 N/A DFE CO N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 17569.64000000 USD 69136540.20000000 COP 2024-05-16 16.25000000 N N N Fannie Mae - CAS N/A 20753XAF1 1400000.00000000 PA USD 1556416.12000000 0.228096149668 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 11.58000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBM4 760000.00000000 PA USD 532214.42000000 0.077997174688 Long DBT CORP US N 2 2041-02-04 Fixed 3.40000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830CE7 75000.00000000 PA USD 69630.47000000 0.010204496022 Long DBT CORP US N 2 2064-02-15 Fixed 5.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 170000.00000000 OU Notional Amount USD 2243.21000000 0.000328747278 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2034-03-14 5.72000000 USD 0.00000000 USD 170000.00000000 USD 2237.49000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLG2 294000.00000000 PA USD 289449.81000000 0.042419495875 Long DBT CORP US N 2 2029-04-25 Fixed 5.20000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -520.46000000 -0.00007627453 N/A DFE BR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 14000.00000000 USD 69993.84000000 BRL 2024-05-03 -520.46000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 4606.96000000 0.000675159955 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 15000000.00000000 JPY 100423.12000000 USD 2024-06-20 4606.96000000 N N N BX Trust N/A 12434GAG0 333000.00000000 PA USD 335393.44000000 0.049152634250 Long ABS-MBS CORP US N 2 2040-12-09 Floating 8.91000000 N N N N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WAT2 20000.00000000 PA USD 15983.32000000 0.002342390125 Long DBT CORP US N 2 2048-09-01 Fixed 4.20000000 N N N N N N MOTOROLA SOLUTIONS INC 6S552MUG6KGJVEBSEC55 620076BT5 400000.00000000 PA USD 328995.97000000 0.048215071181 Long DBT CORP US N 2 2030-11-15 Fixed 2.30000000 N N N N N N LETRA TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 360000.00000000 PA 66535.25000000 0.009750884835 Long DBT NUSS BR N 2 2024-10-01 None 0.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJT7 292000.00000000 PA USD 240589.12000000 0.035258856046 Long DBT CORP US N 2 2032-04-22 Fixed 2.69000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AH9 40000.00000000 PA USD 22702.97000000 0.003327169371 Long DBT CORP US N 2 2050-08-12 Fixed 2.34000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJXL7 38817.24000000 PA USD 36894.38000000 0.005406951209 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 7546.39000000 0.001105939780 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1460000.00000000 BRL 287433.26000000 USD 2024-06-20 7546.39000000 N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBD9 135000.00000000 PA USD 94998.87000000 0.013922289927 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -488.16000000 -0.00007154090 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 51096.79000000 USD 200000000.00000000 COP 2024-06-20 -488.16000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 26.64000000 0.000003904149 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1900000.00000000 THB 51488.42000000 USD 2024-06-20 26.64000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC N/A 54.09000000 0.000007927006 N/A DFE AU N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 9500.00000000 EUR 15735.39000000 AUD 2024-05-16 54.09000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032654 2772000.00000000 PA USD 2441533.44000000 0.357812007852 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.50000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAR2 80000.00000000 PA USD 69434.28000000 0.010175743953 Long DBT US N 2 2030-07-01 Fixed 3.30000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -1320.03000000 -0.00019345325 N/A DFE PL N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 186116.09000000 USD 750000.00000000 PLN 2024-06-20 -1320.03000000 N N N EQT Corp 4NT01YGM4X7ZX86ISY52 26884LAF6 184000.00000000 PA USD 173549.06000000 0.025433990213 Long DBT CORP US N 2 2027-10-01 Fixed 3.90000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 4019.43000000 0.000589056162 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 410000000.00000000 COP 107767.12000000 USD 2024-06-20 4019.43000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810TM0 3546200.00000000 PA USD 3159581.07000000 0.463043441513 Long DBT UST US N 2 2042-11-15 Fixed 4.00000000 N N N N N N SOUTHWEST GAS CORP OQQR1IQTGBKH0UR88X59 845011AE5 25000.00000000 PA USD 22260.82000000 0.003262371331 Long DBT CORP US N 2 2032-03-15 Fixed 4.05000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 890000.00000000 OU Notional Amount 7879.41000000 0.001154744582 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-04-15 960.49000000 EUR 0.00000000 EUR 890000.00000000 EUR 6845.15000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNAK9 789475.36000000 PA USD 683142.40000000 0.100115996688 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 2352000.00000000 OU Notional Amount -26.76000000 -0.00000392173 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A Y 2026-01-02 0.00000000 BRL 0.00000000 BRL 2352000.00000000 BRL -26.76000000 N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BR9 260000.00000000 PA USD 237276.00000000 0.034773311142 Long DBT CORP US N 2 2032-06-15 Fixed 3.90000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1458.17000000 -0.00021369796 N/A DFE AU N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 85794.74000000 USD 130000.00000000 AUD 2024-06-20 -1458.17000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5970000.00000000 OU Notional Amount USD 356104.84000000 0.052187934729 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2054-06-20 0.00000000 USD -23800.76000000 USD 5970000.00000000 USD 379905.60000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4000000.00000000 OU Notional Amount 3409.06000000 0.000499605118 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 44.60000000 ZAR 0.00000000 ZAR 4000000.00000000 ZAR 3406.70000000 N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 446413AZ9 33000.00000000 PA USD 28451.51000000 0.004169630344 Long DBT CORP US N 2 2028-08-16 Fixed 2.04000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBZ7 43000.00000000 PA USD 42734.20000000 0.006262789464 Long DBT CORP US N 2 2034-02-20 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TB4 711000.00000000 PA USD 394271.72000000 0.057781373566 Long DBT UST US N 2 2051-11-15 Fixed 1.88000000 N N N N N N PUBLIC SERVICE COLORADO 5BANEF6PGSEK0SNMQF44 744448CY5 20000.00000000 PA USD 17913.74000000 0.002625297353 Long DBT CORP US N 2 2053-04-01 Fixed 5.25000000 N N N N N N APPALACHIAN POWER CO 3SCHO1ABYYIG382BEI70 037735DA2 30000.00000000 PA USD 27312.54000000 0.004002711827 Long DBT CORP US N 2 2032-08-01 Fixed 4.50000000 N N N N N N EGYPT TREASURY BILL 529900GFIVH4086NMH82 000000000 1850000.00000000 PA 31368.04000000 0.004597054126 Long DBT NUSS EG N 2 2025-03-18 None 0.00000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAP2 87000.00000000 PA USD 86719.30000000 0.012708901030 Long DBT CORP US N 2 2028-08-16 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A6M45 57454.94000000 PA USD 57106.50000000 0.008369081124 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.00000000 N N N N N N CQP HOLDCO LP/BIP-V CHIN N/A 12657NAA8 60000.00000000 PA USD 55136.20000000 0.008080329396 Long DBT CORP US N 2 2031-06-15 Fixed 5.50000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAN2 28000.00000000 PA USD 27359.12000000 0.004009538227 Long DBT CORP US N 2 2029-08-15 Fixed 5.30000000 N N N N N N Freddie Mac - STACR 5493000IS4M3TZMRB410 35564KVE6 1000000.00000000 PA USD 1067500.00000000 0.156444434519 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 9.68000000 N N N N N N DYE & DURHAM LIMITED N/A 267486AA6 90000.00000000 PA USD 90879.64000000 0.013318607858 Long DBT CORP CA N 2 2029-04-15 Fixed 8.63000000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AH3 90000.00000000 PA USD 86071.62000000 0.012613982125 Long DBT CORP US N 2 2028-10-15 Fixed 4.38000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804GN8 95000.00000000 PA USD 92431.12000000 0.013545980609 Long DBT CORP US N 2 2053-08-15 Fixed 5.70000000 N N N N N N Eversource Energy SJ7XXD41SQU3ZNWUJ746 30040WAF5 30000.00000000 PA USD 28143.83000000 0.004124539175 Long DBT CORP US N 2 2029-04-01 Fixed 4.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12468000.00000000 OU Notional Amount 7348.40000000 0.001076923918 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 138.83000000 THB 0.00000000 THB 12468000.00000000 THB 7344.55000000 N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AT6 289000.00000000 PA USD 281642.98000000 0.041275388049 Long DBT CORP US N 2 2031-06-01 Fixed 5.25000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 50000.00000000 PA USD 37150.00000000 0.005444412873 Long DBT CORP US N 2 2041-02-15 Fixed 3.50000000 N N N N N N FIDELITY NATL FINANCIAL 549300CAZYIH39SYQ287 31620RAL9 120000.00000000 PA USD 73113.39000000 0.010714925484 Long DBT CORP US N 2 2051-09-17 Fixed 3.20000000 N N N N N N Homeward Opportunities Fund I Trust N/A 43789KAA0 88577.95000000 PA USD 86207.63000000 0.012633914685 Long ABS-MBS CORP US N 2 2067-07-25 Variable 5.08000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 500000.00000000 OU Notional Amount 2840.33000000 0.000416256506 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 5.58000000 AUD 0.00000000 AUD 500000.00000000 AUD 2836.68000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -6887.07000000 -0.00100931500 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 166580.67000000 USD 25000000.00000000 JPY 2024-06-20 -6887.07000000 N N N BX Trust 2019-OC11 N/A 05606FAA1 87000.00000000 PA USD 75803.73000000 0.011109200631 Long ABS-MBS CORP US N 2 2041-12-09 Fixed 3.20000000 N N N N N N PFIZER INVESTMENT ENTER 5493000FQO8XF9C0RT95 716973AE2 197000.00000000 PA USD 187660.03000000 0.027501983396 Long DBT CORP SG N 2 2033-05-19 Fixed 4.75000000 N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 220000.00000000 OU Notional Amount USD 1183.79000000 0.000173486985 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 0.00000000 USD -672.95000000 USD 220000.00000000 USD 1856.74000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 -35000.00000000 OU Notional Amount USD -416.36000000 -0.00006101845 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD -416.36000000 0.00000000 DFE BR -35000.00000000 USD -187250.00000000 BRL 2024-07-15 1.00000000 5.35000000 USD 2024-07-15 XXXX 98.49000000 N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JN8 241000.00000000 PA USD 196010.55000000 0.028725770168 Long DBT CORP US N 2 2050-07-01 Fixed 4.95000000 N N N N N Countrywide Asset-Backed Certificates N/A 12666VAC5 74877.64000000 PA USD 72549.40000000 0.010632271529 Long ABS-O CORP US N 2 2047-03-25 Floating 5.73000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -876.79000000 -0.00012849547 N/A DFE AU N 2 Bank of America NA B4TYDEB6GKMZO031MB27 163062.50000000 USD 250000.00000000 AUD 2024-06-20 -876.79000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCV4 662000.00000000 PA USD 586015.36000000 0.085881818843 Long DBT CORP US N 2 2036-01-15 Fixed 4.27000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KC4 110000.00000000 PA USD 87362.41000000 0.012803150192 Long DBT CORP US N 2 2049-05-15 Fixed 4.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 310000.00000000 OU Notional Amount 1443.54000000 0.000211553910 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 EUR -84.91000000 EUR 310000.00000000 EUR 1533.99000000 N N N Great Wolf Trust N/A 362414AA2 180000.00000000 PA USD 179550.23000000 0.026313474660 Long ABS-MBS CORP US N 2 2041-05-15 Floating 6.99000000 N N N N N N ICAHN ENTERPRISES/FIN N/A 451102CD7 68000.00000000 PA USD 70526.49000000 0.010335809692 Long DBT CORP US N 2 2029-01-15 Fixed 9.75000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1513.46000000 -0.00022180083 N/A DFE ZA N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 91487.58000000 USD 1700000.00000000 ZAR 2024-06-20 -1513.46000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VHT0 391365.58000000 PA USD 348390.25000000 0.051057344874 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CMU69 29212.83000000 PA USD 29842.71000000 0.004373513714 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 7.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 200000.00000000 PA USD 200171.18000000 0.029335519496 Long DBT CORP GB N 2 2027-08-14 Fixed 5.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QT4C0 340212.26000000 PA USD 344394.82000000 0.050471805963 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.50000000 N N N N N N DIAGEO CAPITAL PLC 213800L23DJLALFC4O95 25243YBH1 600000.00000000 PA USD 604704.59000000 0.088620765933 Long DBT CORP GB N 2 2033-01-24 Fixed 5.50000000 N N N N N N AVNET INC XJI53DCPL7QABOWK4Z75 053807AW3 20000.00000000 PA USD 20262.09000000 0.002969453126 Long DBT CORP US N 2 2028-03-15 Fixed 6.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 128000.00000000 OU Notional Amount 2678.31000000 0.000392512124 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-03-22 4.56000000 EUR 0.00000000 EUR 128000.00000000 EUR 2673.35000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -22445.03000000 -0.00328936770 N/A DFE CH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 591191.12000000 USD 520000.00000000 CHF 2024-06-20 -22445.03000000 N N N Bank N/A 06540WBD4 250000.00000000 PA USD 213805.08000000 0.031333597038 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 3.18000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AS8 7000.00000000 PA USD 7150.68000000 0.001047947624 Long DBT CORP CO N 2 2033-01-13 Fixed 8.88000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAQ2 51000.00000000 PA USD 47624.92000000 0.006979535061 Long DBT CORP US N 2 2053-03-15 Fixed 5.40000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -1447.79000000 -0.00021217675 N/A DFE CH N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 176446.59000000 USD 160000.00000000 CHF 2024-06-20 -1447.79000000 N N N ARTHUR J GALLAGHER & CO 54930049QLLMPART6V29 363576AB5 80000.00000000 PA USD 53227.49000000 0.007800603816 Long DBT CORP US N 2 2051-05-20 Fixed 3.50000000 N N N N N N DUKE ENERGY INDIANA LLC 6URPHM2EAWGJ2C6ISB97 26443TAD8 10000.00000000 PA USD 9263.94000000 0.001357650449 Long DBT CORP US N 2 2053-04-01 Fixed 5.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B92H6 929189.77000000 PA USD 803968.39000000 0.117823306927 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 6301.03000000 0.000923429578 N/A DFE CO N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 122654.02000000 USD 514043000.00000000 COP 2024-08-15 6301.03000000 N N N SMB Private Education Loan Trust 549300INMCHM7L5O6M41 78449LAC2 185769.03000000 PA USD 184922.09000000 0.027100732365 Long ABS-O CORP US N 2 2037-01-15 Floating 6.16000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 36409.00000000 OU Notional Amount USD 2108.96000000 0.000309072650 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Republic of South Africa Government International Bonds Republic of South Africa Government International Bonds Y buy protection 2029-06-20 2209.64000000 USD 0.00000000 USD 36409.00000000 USD -100.68000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -358.21000000 -0.00005249645 N/A DFE CH N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 28500.00000000 USD 25831.81000000 CHF 2024-05-16 -358.21000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 158.82000000 0.000023275414 N/A DFE CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 19600.00000000 USD 77679112.00000000 COP 2024-05-16 158.82000000 N N N XEROX HOLDINGS CORP 5493000Y33XDVO2CXC18 98421MAB2 201000.00000000 PA USD 174410.11000000 0.025560178954 Long DBT CORP US N 2 2028-08-15 Fixed 5.50000000 N N N N N N ENTERGY TEXAS INC LWXX58X12AJXISQ28573 29365TAN4 100000.00000000 PA USD 97830.02000000 0.014337201084 Long DBT CORP US N 2 2053-09-01 Fixed 5.80000000 N N N N N TOWNSQUARE MEDIA INC 549300XBA8C68H0DR538 892231AB7 172000.00000000 PA USD 166919.30000000 0.024462384542 Long DBT CORP US N 2 2026-02-01 Fixed 6.88000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLUM8 930290.23000000 PA USD 778100.67000000 0.114032336597 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.00000000 N N N N N N Czech Republic 3157007EFDLQABN47912 000000000 1580000.00000000 PA 62349.44000000 0.009137445324 Long DBT NUSS CZ N 2 2029-07-23 Fixed 2.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329QM57 34680.52000000 PA USD 31597.14000000 0.004630629226 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 110000.00000000 PA USD 87171.66000000 0.012775195367 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGH1 200000.00000000 PA USD 177088.84000000 0.025952752630 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 628000.00000000 PA USD 603167.94000000 0.088395566551 Long DBT US N 2 2028-02-15 Fixed 4.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 -24000.00000000 OU Notional Amount -397.70000000 -0.00005828379 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 N/A 1.00000000 NC USD -397.70000000 0.00000000 DFE IN -24000.00000000 CNY -300000.00000000 INR 2025-01-23 1.00000000 12.50000000 CNY 2025-01-23 XXXX 325.19000000 N N N MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 000000000 -70000.00000000 OU Notional Amount USD -906.43000000 -0.00013283927 N/A DFE KY N 2 MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD -906.43000000 0.00000000 DFE MX -70000.00000000 USD -1190000.00000000 MXN 2024-10-18 1.00000000 17.00000000 USD 2024-10-18 XXXX 95.27000000 N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFW9 370000.00000000 PA USD 352614.87000000 0.051676472075 Long DBT CORP US N 2 2053-08-14 Fixed 5.45000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 905000.00000000 OU Notional Amount USD 6410.30000000 0.000939443333 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 8.42000000 USD 0.00000000 USD 905000.00000000 USD 6401.88000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1701.40000000 -0.00024934385 N/A DFE SE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 129015.02000000 USD 1400000.00000000 SEK 2024-06-20 -1701.40000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAV7 240000.00000000 PA USD 221692.99000000 0.032489587313 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -7059.21000000 -0.00103454249 N/A DFE CA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 494138.56000000 USD 670000.00000000 CAD 2024-06-20 -7059.21000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CET4 2253000.00000000 PA USD 2109547.25000000 0.309158713460 Long DBT UST US N 2 2027-05-31 Fixed 2.63000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 5572.10000000 0.000816603310 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 1060000.00000000 BRL 208777.64000000 USD 2024-06-20 5572.10000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -424.51000000 -0.00006221285 N/A DFE BR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 71354.74000000 USD 370000.00000000 BRL 2024-06-20 -424.51000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -262.08000000 -0.00003840839 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 214347.21000000 USD 330000.00000000 AUD 2024-06-20 -262.08000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397D59 410000.00000000 PA USD 419182.44000000 0.061432093476 Long DBT CORP US N 2 2028-11-07 Fixed 6.80000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YCZ0 200000.00000000 PA USD 200641.97000000 0.029404514789 Long DBT CORP JP N 2 2029-07-06 Fixed 5.78000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -118.90000000 -0.00001742505 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 109662.00000000 BRL 21000.00000000 USD 2024-05-03 -118.90000000 N N N ROGERS COMMUNICATIONS IN 5493000M6Z4XFIP6PF03 775109DF5 189000.00000000 PA USD 181186.55000000 0.026553280896 Long DBT CORP CA N 2 2034-02-15 Fixed 5.30000000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659BF7 230000.00000000 PA USD 185986.35000000 0.027256701971 Long DBT CORP US N 2 2053-05-01 Fixed 4.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRWZ2 68916.81000000 PA USD 65673.33000000 0.009624568594 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.00000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCS3 25000.00000000 PA USD 24763.25000000 0.003629107862 Long DBT CORP US N 2 2029-01-17 Fixed 5.65000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAW1 294000.00000000 PA USD 232609.94000000 0.034089489955 Long DBT US N 2 2031-04-01 Fixed 2.10000000 N N N N N N Neuberger Berman CLO Ltd 549300UTI4Y2IA4RUP16 64129KBE6 406196.57000000 PA USD 406398.45000000 0.059558572084 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 6.51000000 N N N N N N DELEK LOG PART/FINANCE N/A 24665FAD4 190000.00000000 PA USD 191437.61000000 0.028055595917 Long DBT CORP US N 2 2029-03-15 Fixed 8.63000000 N N N N N N MCKESSON CORP 549300WZWOM80UCFSF54 581557BQ7 610000.00000000 PA USD 567020.57000000 0.083098091273 Long DBT CORP US N 2 2025-12-03 Fixed 0.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBT7 3172500.00000000 PA USD 2926011.63000000 0.428813334757 Long DBT UST US N 2 2026-03-31 Fixed 0.75000000 N N N N N N Madison Park Funding Ltd N/A 55822AAN7 250000.00000000 PA USD 251076.50000000 0.036795804275 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 7.24000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -879.27000000 -0.00012885892 N/A DFE CA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 139006.25000000 USD 190000.00000000 CAD 2024-06-20 -879.27000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828ZW3 1313000.00000000 PA USD 1239964.38000000 0.181719462532 Long DBT UST US N 2 2025-06-30 Fixed 0.25000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAV1 45000.00000000 PA USD 40506.48000000 0.005936312279 Long DBT CORP US N 2 2036-05-14 Fixed 4.30000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -1.00000000 NC USD -46.88000000 -0.00000687036 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 1.00000000 NC N/A -46.88000000 0.00000000 DIR US Short CBOT 10 Year US Treasury Note TYM4 Comdty 2024-06-18 1.00000000 USD 1000.00000000 111.00000000 USD 2024-05-24 XXXX 357.82000000 N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KD8 68000.00000000 PA USD 57155.62000000 0.008376279766 Long DBT CORP US N 2 2052-03-01 Fixed 5.25000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BS0 100000.00000000 PA USD 108600.81000000 0.015915683661 Long DBT CORP PA N 2 2030-06-01 Fixed 10.50000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 42000.00000000 OU Notional Amount USD 574.48000000 0.000084191286 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 574.48000000 0.00000000 DFE US 1575000.00000000 TRY 42000.00000000 USD 2024-10-08 1.00000000 37.50000000 USD 2024-10-08 XXXX 147.97000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XEF9 165000.00000000 PA USD 163966.30000000 0.024029616003 Long DBT CORP US N 2 2026-04-06 Fixed 5.40000000 N N N N N N SOUTHERN CALIF GAS CO XY0N0J73VHV5F4CUJV89 842434CY6 100000.00000000 PA USD 96779.53000000 0.014183249502 Long DBT CORP US N 2 2053-06-01 Fixed 5.75000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2123.45000000 -0.00031119619 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 179667.61000000 USD 170531517.00000000 CLP 2024-06-21 -2123.45000000 N N N SMB Private Education Loan Trust 5493000RGRVHYZAIY180 831943AC9 154000.00000000 PA USD 151071.77000000 0.022139894734 Long ABS-O CORP US N 2 2056-03-15 Fixed 5.88000000 N N N N N N JAZZ SECURITIES DAC 6354009DV8VV7K6KOO02 47216FAA5 75000.00000000 PA USD 68237.06000000 0.010000288772 Long DBT CORP IE N 2 2029-01-15 Fixed 4.38000000 N N N N N N Voya CLO Ltd N/A 92917WBG2 225125.89000000 PA USD 225265.74000000 0.033013181555 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.63000000 N N N N N N COMM Mortgage Trust N/A 12593PAW2 460000.00000000 PA USD 446977.03000000 0.065505450774 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 3.76000000 N N N N N N Residential Funding Mtg Sec I N/A 74959AAB9 261498.57000000 PA USD 162119.54000000 0.023758969330 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.42000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TQ1 921000.00000000 PA USD 804543.87000000 0.117907644766 Long DBT UST US N 2 2043-02-15 Fixed 3.88000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 770.85000000 0.000112969735 N/A DFE CO N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 67294.23000000 USD 278800000.00000000 COP 2025-02-24 770.85000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 4155.95000000 0.000609063463 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 95000000.00000000 KRW 72860.02000000 USD 2024-06-20 4155.95000000 N N N Pretium Mortgage Credit Partners LLC N/A 69381VAA3 176566.91000000 PA USD 169664.84000000 0.024864749369 Long ABS-O CORP US N 2 2054-01-25 Variable 7.14000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 500.57000000 0.000073359616 N/A DFE CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 50400.00000000 USD 200108664.00000000 COP 2024-05-16 500.57000000 N N N Fannie Mae - CAS N/A 20753VBE7 975000.00000000 PA USD 1037838.65000000 0.152097499505 Long ABS-MBS USGSE US N 2 2040-02-25 Floating 9.09000000 N N N N N N Steelcase Inc GIE4CCPBJDI8SMV1OX95 858155AE4 37000.00000000 PA USD 34607.66000000 0.005071827446 Long DBT CORP US N 2 2029-01-18 Fixed 5.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3725000000.00000000 OU Notional Amount 4060.92000000 0.000595136611 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 41597.00000000 KRW 0.00000000 KRW 3725000000.00000000 KRW 4030.73000000 N N N GLP CAPITAL LP / FIN II N/A 361841AQ2 99000.00000000 PA USD 86689.82000000 0.012704580673 Long DBT US N 2 2031-01-15 Fixed 4.00000000 N N N N N N Whitebox CLO I Ltd 549300C89ZJ5IWOT1F21 96466CAQ1 400000.00000000 PA USD 401123.24000000 0.058785478645 Long ABS-CBDO CORP KY N 2 2034-10-24 Floating 7.33000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 5407.92000000 0.000792542375 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 760000.00000000 BRL 151102.45000000 USD 2024-06-20 5407.92000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828YU8 1750000.00000000 PA USD 1611230.46000000 0.236129309785 Long DBT UST US N 2 2026-11-30 Fixed 1.63000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BY4 80000.00000000 PA USD 72025.48000000 0.010555489920 Long DBT CORP US N 2 2039-06-15 Fixed 5.13000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1123.67000000 -0.00016467626 N/A DFE GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 576063.24000000 USD 460000.00000000 GBP 2024-06-20 -1123.67000000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBF2 100000.00000000 PA USD 94542.77000000 0.013855447485 Long DBT US N 2 2025-07-15 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A6MP8 38485.96000000 PA USD 39779.13000000 0.005829717563 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 7.50000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 -14000.00000000 OU Notional Amount USD -355.14000000 -0.00005204653 N/A DFE KY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD -355.14000000 0.00000000 DFE BR -14000.00000000 USD -72100.00000000 BRL 2024-07-03 1.00000000 5.15000000 USD 2024-07-03 XXXX -163.34000000 N N N Arrow Electronics Inc 549300YNNLBXT8N8R512 042735BF6 20000.00000000 PA USD 18808.32000000 0.002756399987 Long DBT CORP US N 2 2028-01-12 Fixed 3.88000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A2K7 130000.00000000 PA USD 129456.26000000 0.018972094979 Long DBT CORP CA N 2 2026-01-09 Fixed 5.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKPD6 465911.48000000 PA USD 389227.23000000 0.057042092643 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 180000.00000000 OU Notional Amount 2648.92000000 0.000388204956 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 555.15000000 GBP 0.00000000 GBP 180000.00000000 GBP 1952.68000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRB86 64274.92000000 PA USD 62614.65000000 0.009176312423 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBF7 616000.00000000 PA USD 485557.79000000 0.071159544621 Long DBT CORP US N 2 2033-02-15 Fixed 2.60000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCA6 200000.00000000 PA USD 190304.46000000 0.027889530333 Long DBT CORP JP N 2 2025-07-08 Fixed 1.47000000 N N N N N N CONCENTRIX CORP 5493000EAJN1KMPVA737 20602DAB7 20000.00000000 PA USD 19940.39000000 0.002922307295 Long DBT CORP US N 2 2028-08-02 Fixed 6.60000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KM2 815000.00000000 PA USD 749878.78000000 0.109896357560 Long DBT CORP US N 2 2027-02-09 Fixed 2.20000000 N N N N N N Edison International 549300I7ROF15MAEVP56 281020AM9 20000.00000000 PA USD 18815.89000000 0.002757509387 Long DBT CORP US N 2 2028-03-15 Fixed 4.13000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 600.28000000 0.000087972332 N/A DFE CL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 38962.37000000 USD 38000000.00000000 CLP 2024-06-21 600.28000000 N N N NXP BV/NXP FDG/NXP USA N/A 62954HBA5 94000.00000000 PA USD 76688.96000000 0.011238933003 Long DBT CORP XX N 2 2031-05-11 Fixed 2.50000000 N N N N N N BX Trust N/A 12433EAA9 150000.00000000 PA USD 148968.75000000 0.021831692604 Long ABS-MBS CORP US N 2 2039-01-15 Floating 6.32000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 603.06000000 0.000088379747 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 4300000000.00000000 IDR 264680.54000000 USD 2024-06-20 603.06000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMJ56 1784520.89000000 PA USD 1363595.72000000 0.199837902884 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N BX Trust N/A 05610DAG7 262000.00000000 PA USD 262655.00000000 0.038492658500 Long ABS-MBS CORP US N 2 2038-05-15 Floating 9.71000000 N N N N N N INTERPUBLIC GROUP COS 5493008IUOJ5VWTRC333 460690BS8 5000.00000000 PA USD 3551.83000000 0.000520528370 Long DBT CORP US N 2 2041-03-01 Fixed 3.38000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -104.72000000 -0.00001534694 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 10300000.00000000 INR 123058.54000000 USD 2024-06-20 -104.72000000 N N N PPL ELECTRIC UTILITIES 549300GCZLSGYEYPIR35 69351UBB8 40000.00000000 PA USD 37374.64000000 0.005477334351 Long DBT CORP US N 2 2053-05-15 Fixed 5.25000000 N N N N N N SABRE GLBL INC F2TJC7HPPHLHU1AQMP98 78573NAH5 101000.00000000 PA USD 94394.51000000 0.013833719661 Long DBT CORP US N 2 2027-12-15 Fixed 11.25000000 N N N N N WAMU Mortgage Pass-Through Certificates N/A 933636AA0 385022.80000000 PA USD 328102.22000000 0.048084090185 Long ABS-MBS CORP US N 2 2037-04-25 Variable 3.87000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -12779.29000000 -0.00187283259 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 166085.14000000 USD 24000000.00000000 JPY 2024-06-20 -12779.29000000 N N N Countrywide Home Loans N/A 12543RAS8 159208.23000000 PA USD 74326.23000000 0.010892669810 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GM3 190000.00000000 PA USD 179972.61000000 0.026375375363 Long DBT CORP US N 2 2053-04-01 Fixed 5.30000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 43.00000000 NC USD -1436.28000000 -0.00021048994 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYM4 Comdty 2024-06-18 4622592.53000000 USD -1436.28000000 N N N Ventas Realty LP 32SXKSJ72K64GM3HOU64 92277GAG2 20000.00000000 PA USD 19409.35000000 0.002844482234 Long DBT CORP US N 2 2026-01-15 Fixed 4.13000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BQ4 73000.00000000 PA USD 44406.06000000 0.006507804164 Long DBT CORP US N 2 2051-12-15 Fixed 2.90000000 N N N N N SOLVENTUM CORP 254900I70403OSGY4M28 83444MAL5 143000.00000000 PA USD 132380.66000000 0.019400672126 Long DBT CORP US N 2 2064-05-15 Fixed 6.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -3069.13000000 -0.00044978764 N/A DFE NZ N 2 Bank of America NA B4TYDEB6GKMZO031MB27 274123.20000000 USD 460000.00000000 NZD 2024-06-20 -3069.13000000 N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EE6 105000.00000000 PA USD 70536.12000000 0.010337220989 Long DBT CORP US N 2 2041-02-08 Fixed 2.38000000 N N N N N N Affirm Inc N/A 00834BAB3 510000.00000000 PA USD 503875.51000000 0.073844046117 Long ABS-O CORP US N 2 2029-02-15 Fixed 5.93000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAR0 199000.00000000 PA USD 191492.81000000 0.028063685597 Long DBT CORP US N 2 2034-04-01 Fixed 5.15000000 N N N N N N PUBLIC STORAGE OP CO 549300LMZF40TKJ6DM64 74460WAG2 50000.00000000 PA USD 48438.35000000 0.007098744988 Long DBT US N 2 2033-08-01 Fixed 5.10000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBF0 224587.90000000 PA USD 236633.85000000 0.034679202671 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 11.14000000 N N N N N N WESTINGHOUSE AIR BRAKE 06BTX5UWZD0GQ5N5Y745 960386AR1 160000.00000000 PA USD 157288.42000000 0.023050958242 Long DBT CORP US N 2 2034-03-11 Fixed 5.61000000 N N N N N N Clover CLO N/A 00140WAU4 250000.00000000 PA USD 250253.05000000 0.036675125896 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 6.75000000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 92939UAM8 50000.00000000 PA USD 50056.23000000 0.007335848802 Long DBT CORP US N 2 2026-09-12 Fixed 5.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNTW3 421531.34000000 PA USD 402840.99000000 0.059037218624 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 5.00000000 N N N N N N Freddie Mac - STACR 5493000ISONLNOUKGB71 35564KLU1 1850000.00000000 PA USD 1908665.54000000 0.279719064255 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 8.73000000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAR1 110000.00000000 PA USD 106011.71000000 0.015536245455 Long DBT CORP US N 2 2033-06-01 Fixed 5.40000000 N N N N N N ICE Futures Europe - Financial Products Division N/A 000000000 191.00000000 NC -431359.03000000 -0.06321659908 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long Long Gilt Futures G M4 Comdty 2024-06-26 18639191.46000000 GBP -431359.03000000 N N N Banc of America Alternative Loan Trust N/A 059469AD8 25456.85000000 PA USD 7304.05000000 0.001070424329 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 6450.89000000 0.000945391885 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 2300000.00000000 SEK 215608.99000000 USD 2024-06-20 6450.89000000 N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513ECU3 293000.00000000 PA USD 297618.33000000 0.043616610154 Long DBT CORP US N 2 2029-01-15 Fixed 5.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 22136.81000000 0.003244197398 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 16700000.00000000 THB 474458.78000000 USD 2024-06-20 22136.81000000 N N N ACREC LLC N/A 00501BAA7 150000.00000000 PA USD 150282.89000000 0.022024282664 Long ABS-CBDO CORP US N 2 2038-02-19 Floating 7.55000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1.00000000 NC USD 1437.50000000 0.000210668735 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 1.00000000 NC N/A 1437.50000000 0.00000000 DIR US Long CBOT 10 Year US Treasury Note TYM4 Comdty 2024-06-18 1.00000000 USD 1000.00000000 108.50000000 USD 2024-05-24 XXXX 935.95000000 N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFB5 500000.00000000 PA USD 477149.55000000 0.069927298858 Long DBT CORP US N 2 2027-03-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SC3 3800000.00000000 PA USD 2846585.93000000 0.417173326586 Long DBT UST US N 2 2048-05-15 Fixed 3.13000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -105.35000000 -0.00001543927 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 43000.00000000 USD 161508.00000000 PEN 2024-05-16 -105.35000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2000000.00000000 OU Notional Amount -1676.82000000 -0.00024574159 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 2827.30000000 SEK 0.00000000 SEK 2000000.00000000 SEK -1947.79000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 440000.00000000 OU Notional Amount 6302.15000000 0.000923593717 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-02-15 0.00000000 EUR -197.48000000 EUR 440000.00000000 EUR 6516.44000000 N N N AON CORP/AON GLOBAL HOLD N/A 03740LAE2 25000.00000000 PA USD 18040.42000000 0.002643862581 Long DBT CORP US N 2 2052-02-28 Fixed 3.90000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -776.63000000 -0.00011381680 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Three-Month SOFR Futures SFRM4 Comdty 2024-09-17 237501.63000000 USD -776.63000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CCS8 3115000.00000000 PA USD 2460484.95000000 0.360589392643 Long DBT UST US N 2 2031-08-15 Fixed 1.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GRSL5 355000.00000000 PA USD 354655.89000000 0.051975587972 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1648.27000000 0.000241557534 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 11000000.00000000 JPY 71913.45000000 USD 2024-06-20 1648.27000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CFV8 158000.00000000 PA USD 151704.69000000 0.022232650530 Long DBT UST US N 2 2032-11-15 Fixed 4.13000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 6975.17000000 0.001022226254 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 350000000.00000000 KRW 260095.42000000 USD 2024-06-20 6975.17000000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 536940.00000000 OU Notional Amount -1698.66000000 -0.00024894229 N/A DIR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 536940.00000000 BRL -1698.66000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 226373AT5 613000.00000000 PA USD 632132.96000000 0.092640452897 Long DBT CORP US N 2 2031-02-01 Fixed 7.38000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 2165500.00000000 OU Notional Amount 1656.72000000 0.000242795900 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 1656.72000000 0.00000000 DFE AU 1368596.00000000 USD 2165500.00000000 AUD 2024-05-15 1.00000000 0.63200000 AUD 2024-05-15 XXXX -3099.22000000 N N N AMERIPRISE FINANCIAL INC 6ZLKQF7QB6JAEKQS5388 03076CAM8 410000.00000000 PA USD 401616.84000000 0.058857816793 Long DBT CORP US N 2 2033-05-15 Fixed 5.15000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADF9 35000.00000000 PA USD 33699.28000000 0.004938702391 Long DBT CORP US N 2 2034-04-15 Fixed 5.15000000 N N N N N N BAE SYSTEMS PLC 8SVCSVKSGDWMW2QHOH83 05523RAF4 200000.00000000 PA USD 159073.44000000 0.023312556784 Long DBT CORP GB N 2 2031-02-15 Fixed 1.90000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CK3 120000.00000000 PA USD 103217.42000000 0.015126736210 Long DBT CORP US N 2 2032-03-15 Fixed 3.63000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCA5 80000.00000000 PA USD 67778.84000000 0.009933135640 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N ENLINK MIDSTREAM PARTNER 88CPW63VL7KHJWS0NY83 29336UAG2 32000.00000000 PA USD 27127.83000000 0.003975642177 Long DBT CORP US N 2 2047-06-01 Fixed 5.45000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 64223.00000000 OU Notional Amount USD 4148.22000000 0.000607930615 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.42 2I65BRAB2 Y sell protection 2029-06-20 4073.98000000 USD 0.00000000 USD 64223.00000000 USD 74.24000000 N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CU3 353000.00000000 PA USD 211325.00000000 0.030970135948 Long DBT CORP US N 2 2051-10-01 Fixed 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A6M86 29855.31000000 PA USD 29647.24000000 0.004344867163 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.00000000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AL1 100000.00000000 PA USD 89959.07000000 0.013183696333 Long DBT CORP US N 2 2027-07-15 Fixed 3.25000000 N N N N N N TICP CLO Ltd 254900JG2DPAYUCW8T83 87246MAS1 250000.00000000 PA USD 250259.35000000 0.036676049174 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 6.71000000 N N N N N N MTN Commercial Mortgage Trust 2022-LPFL N/A 62475WAA3 100000.00000000 PA USD 98437.50000000 0.014426228593 Long ABS-MBS CORP US N 2 2039-03-15 Floating 6.73000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 4084.01000000 0.000598520501 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 5000000.00000000 CZK 216269.99000000 USD 2024-06-20 4084.01000000 N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAY0 80000.00000000 PA USD 72542.72000000 0.010631292561 Long DBT CORP US N 2 2062-06-15 Fixed 5.20000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 42809HAD9 78000.00000000 PA USD 75885.04000000 0.011121116788 Long DBT CORP US N 2 2041-02-15 Fixed 5.60000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4790000.00000000 OU Notional Amount 19210.84000000 0.002815390164 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-06-19 6726.86000000 GBP 0.00000000 GBP 4790000.00000000 GBP 10760.89000000 N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DQ0 657000.00000000 PA USD 651206.61000000 0.095435737570 Long DBT CORP US N 2 2030-03-02 Fixed 5.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -75.94000000 -0.00001112917 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 34243.87000000 USD 32000.00000000 EUR 2024-05-16 -75.94000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 262.76000000 0.000038508046 N/A DFE ZA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 21000.00000000 USD 401064.41000000 ZAR 2024-05-30 262.76000000 N N N NSTAR ELECTRIC CO 54930080R72Y2Z31UR68 67021CAT4 50000.00000000 PA USD 44137.01000000 0.006468374305 Long DBT CORP US N 2 2052-09-15 Fixed 4.95000000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EK2 58000.00000000 PA USD 45939.07000000 0.006732470096 Long DBT CORP US N 2 2048-09-15 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGT2 5173300.00000000 PA USD 4957880.58000000 0.726588125297 Long DBT UST US N 2 2028-03-31 Fixed 3.63000000 N N N N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAK1 1084000.00000000 PA USD 1112306.49000000 0.163010922567 Long DBT CORP US N 2 2026-03-01 Fixed 7.63000000 N N N N N N Credit Suisse Mortgage Trust N/A 12659VAA8 300000.00000000 PA USD 298687.50000000 0.043773299330 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.59000000 N N N N N N CONSTELLATION EN GEN LLC S2PEWKCZFFECR4533P43 210385AE0 25000.00000000 PA USD 25947.24000000 0.003802624158 Long DBT CORP US N 2 2053-10-01 Fixed 6.50000000 N N N N N N Angel Oak Mortgage Trust 254900DRGJVOF9SOT744 03466DAA0 172885.38000000 PA USD 165699.62000000 0.024283637799 Long ABS-MBS CORP US N 2 2067-11-25 Variable 4.80000000 N N N N N N ESSENTIAL UTILITIES INC 549300ILTEOF3E3QY357 29670GAH5 120000.00000000 PA USD 115562.89000000 0.016935991548 Long DBT CORP US N 2 2034-01-15 Fixed 5.38000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 054989AD0 100000.00000000 PA USD 104663.43000000 0.015338652104 Long DBT CORP US N 2 2053-08-02 Fixed 7.08000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RML3 730000.00000000 PA USD 679814.18000000 0.099628238846 Long DBT CORP US N 2 2026-03-25 Fixed 1.70000000 N N N N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XBD9 10000.00000000 PA USD 9966.93000000 0.001460675154 Long DBT CORP US N 2 2028-10-01 Fixed 5.20000000 N N N N N N Exeter Automobile Receivables Trust N/A 30167FAF9 100000.00000000 PA USD 101654.48000000 0.014897683971 Long ABS-O CORP US N 2 2029-02-15 Fixed 7.40000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4767000.00000000 OU Notional Amount 581.80000000 0.000085264048 N/A DIR CZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-03-20 13.72000000 CZK 0.00000000 CZK 4767000.00000000 CZK 581.11000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1027.31000000 0.000150554503 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 140000.00000000 GBP 176008.92000000 USD 2024-06-20 1027.31000000 N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AG8 50000.00000000 PA USD 47878.32000000 0.007016671380 Long DBT CORP US N 2 2028-03-01 Fixed 4.10000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GFD1 25000.00000000 PA USD 26386.31000000 0.003866970816 Long DBT CORP US N 2 2037-10-01 Fixed 6.75000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -2654.25000000 -0.00038898607 N/A DFE CH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 112028.50000000 USD 100000.00000000 CHF 2024-06-20 -2654.25000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3865.37000000 -0.00056647833 N/A DFE CA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 200151.08000000 USD 270000.00000000 CAD 2024-06-20 -3865.37000000 N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBA8 209000.00000000 PA USD 204782.54000000 0.030011324280 Long DBT CORP BM N 2 2026-03-15 Fixed 5.88000000 N N N N N N DARDEN RESTAURANTS INC CY1NFSCCB5GUXC7WZC70 237194AN5 110000.00000000 PA USD 111544.72000000 0.016347120041 Long DBT CORP US N 2 2033-10-10 Fixed 6.30000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC N/A 109.05000000 0.000015981513 N/A DFE XX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 438027.62000000 MXN 24000.00000000 EUR 2024-05-16 109.05000000 N N N Cold Storage Trust N/A 193051AS8 167108.38000000 PA USD 166742.83000000 0.024436522482 Long ABS-MBS CORP US N 2 2037-11-15 Floating 8.93000000 N N N N N N FIRSTCASH INC 549300V2X3UU7K0DG350 31944TAA8 105000.00000000 PA USD 98944.99000000 0.014500602350 Long DBT CORP US N 2 2030-01-01 Fixed 5.63000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 10000000.00000000 OU Notional Amount -4675.88000000 -0.00068526033 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 93.05000000 MXN 0.00000000 MXN 10000000.00000000 MXN -4681.34000000 N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XAN8 20000.00000000 PA USD 16862.39000000 0.002471219736 Long DBT CORP US N 2 2044-04-01 Fixed 4.50000000 N N N N N N Fannie Mae - CAS N/A 207932AA2 522658.24000000 PA USD 536378.02000000 0.078607359276 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 7.73000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCL8 80000.00000000 PA USD 75467.24000000 0.011059887294 Long DBT CORP US N 2 2033-03-15 Fixed 4.65000000 N N N N N N BX Trust N/A 05612FAA3 60000.00000000 PA USD 59962.50000000 0.008787634102 Long ABS-MBS CORP US N 2 2041-03-15 Floating 7.41000000 N N N N N N KYNDRYL HOLDINGS INC 549300LQ4LWX2R8ZV130 50155QAL4 70000.00000000 PA USD 57055.79000000 0.008361649463 Long DBT CORP US N 2 2031-10-15 Fixed 3.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XNE2 354239.04000000 PA USD 330200.21000000 0.048391555158 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 4.50000000 N N N N N N Allina Health System 5493001V00JCD7SQ0G44 01959LAC6 50000.00000000 PA USD 37474.65000000 0.005491991033 Long DBT CORP US N 2 2049-04-15 Fixed 3.89000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AR8 50000.00000000 PA USD 32250.00000000 0.004726307272 Long DBT CORP CA N 2 2030-10-15 Fixed 14.00000000 N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1968.14000000 -0.00028843517 N/A DFE TW N 2 Citibank NA E57ODZWZ7FF32TWEFA76 90896.55000000 USD 2900000.00000000 TWD 2024-06-20 -1968.14000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECP3 1412145.29000000 PA USD 1068199.85000000 0.156546999051 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 290000.00000000 OU Notional Amount -700.88000000 -0.00010271548 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 CAD -149.19000000 CAD 290000.00000000 CAD -592.00000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AV8 419000.00000000 PA USD 419505.58000000 0.061479450342 Long DBT CORP US N 2 2026-06-30 Fixed 5.88000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -1362.74000000 -0.00019971249 N/A DFE SG N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 60100.68000000 USD 80000.00000000 SGD 2024-06-20 -1362.74000000 N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807CL4 66000.00000000 PA USD 62938.68000000 0.009223799720 Long DBT CORP US N 2 2034-06-01 Fixed 4.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJV4 880000.00000000 PA USD 867590.63000000 0.127147283845 Long DBT UST US N 2 2026-01-31 Fixed 4.25000000 N N N N N Gracie Point International Funding N/A 38410KAA7 110000.00000000 PA USD 110269.92000000 0.016160295343 Long ABS-O CORP US N 2 2028-03-01 Floating 7.06000000 N N N N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 26444HAN1 202000.00000000 PA USD 203331.91000000 0.029798731315 Long DBT CORP US N 2 2052-11-15 Fixed 5.95000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HDF9 430000.00000000 PA USD 422938.22000000 0.061982511161 Long DBT CORP US N 2 2035-02-01 Fixed 6.05000000 N N N N N N Countrywide Alternative Loan Trust N/A 23245FAE3 357902.70000000 PA USD 291329.47000000 0.042694964115 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.89000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2464.45000000 0.000361170479 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 350000.00000000 PLN 88702.61000000 USD 2024-06-20 2464.45000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 899.62000000 0.000131841257 N/A DFE CZ N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 117924.53000000 USD 2800000.00000000 CZK 2024-06-20 899.62000000 N N N Drive Auto Receivables Trust N/A 262081AE2 329283.21000000 PA USD 324946.25000000 0.047621575953 Long ABS-O CORP US N 2 2027-01-15 Fixed 1.47000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAW0 234000.00000000 PA USD 220537.89000000 0.032320304909 Long DBT CORP US N 2 2054-05-15 Fixed 5.95000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967EW7 20000.00000000 PA USD 24411.07000000 0.003577495121 Long DBT CORP US N 2 2039-07-15 Fixed 8.13000000 N N N N N N Argent Securities Inc. N/A 040104MY4 166309.39000000 PA USD 129843.06000000 0.019028781356 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.91000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BEQS5 10447.49000000 PA USD 9984.27000000 0.001463216369 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 5.00000000 N N N N N N NNN REIT INC 5493008JKH5SOTI0JS97 637417AQ9 97000.00000000 PA USD 65337.94000000 0.009575416464 Long DBT US N 2 2051-04-15 Fixed 3.50000000 N N N N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VBM5 380000.00000000 PA USD 276038.17000000 0.040453991017 Long DBT CORP US N 2 2062-03-01 Fixed 3.90000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 2587.58000000 0.000379215447 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 160000.00000000 CHF 177586.38000000 USD 2024-06-20 2587.58000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 805.25000000 0.000118011129 N/A DFE CA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 435385.21000000 USD 600000.00000000 CAD 2024-06-20 805.25000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5320000.00000000 OU Notional Amount 3148.94000000 0.000461483969 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 58.96000000 THB 0.00000000 THB 5320000.00000000 THB 3147.30000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -564.74000000 -0.00008276386 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 278800000.00000000 COP 70016.83000000 USD 2024-06-17 -564.74000000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BF9 725000.00000000 PA USD 728394.52000000 0.106747792776 Long DBT CORP NL N 2 2027-09-11 Fixed 6.08000000 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAT5 116000.00000000 PA USD 115082.96000000 0.016865656768 Long DBT CORP US N 2 2028-03-01 Fixed 5.45000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 43000000.00000000 OU Notional Amount 22678.01000000 0.003323511429 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 479.70000000 CNY 0.00000000 CNY 43000000.00000000 CNY 22611.75000000 N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VAR5 230000.00000000 PA USD 115721.43000000 0.016959225928 Long DBT CORP US N 2 2060-08-15 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XTA35 912066.21000000 PA USD 695146.24000000 0.101875185410 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYN8 314000.00000000 PA USD 254258.67000000 0.037262158173 Long DBT CORP US N 2 2032-10-21 Fixed 2.65000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -3319.22000000 -0.00048643887 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 276879.21000000 USD 10100000.00000000 THB 2024-06-20 -3319.22000000 N N N JABIL INC 5493000CGCQY2OQU7669 466313AM5 100000.00000000 PA USD 95862.97000000 0.014048925651 Long DBT CORP US N 2 2027-05-15 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQ3S3 1047773.80000000 PA USD 938919.23000000 0.137600644493 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.00000000 N N N N N N RAKUTEN GROUP INC 529900IMXUCQKUL1H943 75102WAG3 175000.00000000 PA USD 181737.65000000 0.026634045794 Long DBT CORP JP N 2 2027-02-15 Fixed 11.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount 759.25000000 0.000111269730 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.15000000 CHF 0.00000000 CHF 1000000.00000000 CHF 747.04000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1151.73000000 0.000168788523 N/A DFE CZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 270446.33000000 USD 6400000.00000000 CZK 2024-06-20 1151.73000000 N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAX9 50000.00000000 PA USD 33474.91000000 0.004905820482 Long DBT US N 2 2041-04-01 Fixed 2.90000000 N N N N N N BSST Mortgage Trust N/A 05601PAU0 28925.14000000 PA USD 27361.37000000 0.004009867969 Long ABS-MBS CORP US N 2 2036-04-15 Floating 10.34000000 N N N N N N AEP Transmission Co LLC 549300X123Z1I0LA3Y84 00115AAF6 59000.00000000 PA USD 45752.69000000 0.006705155704 Long DBT CORP US N 2 2046-12-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 87600.00000000 OU Notional Amount 3483.57000000 0.000510524720 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-07-21 2022.90000000 EUR 0.00000000 EUR 87600.00000000 EUR 1325.50000000 N N N Equity One ABS Inc N/A 294751CU4 288573.74000000 PA USD 220458.65000000 0.032308692116 Long ABS-O CORP US N 2 2033-12-25 Variable 5.46000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DJ6 85000.00000000 PA USD 76944.31000000 0.011276355098 Long DBT CORP US N 2 2033-03-01 Fixed 4.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020659 4325000.00000000 PA USD 3402767.10000000 0.498682880339 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 2.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2126.98000000 0.000311713520 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 280000.00000000 BRL 55803.91000000 USD 2024-06-20 2126.98000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -22.00000000 NC 24537.52000000 0.003596026642 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 10 Year Euro BUND Futures RXM4 Comdty 2024-06-06 -2884752.42000000 EUR 24537.52000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 358233.00000000 OU Notional Amount USD 19620.02000000 0.002875356378 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 358233.00000000 OU Notional Amount N/A 19620.02000000 0.00000000 DIR US N/A N/A 2037-04-14 0.00000000 N/A 0.00000000 N/A 358233.00000000 USD 1.00000000 4.00900000 USD 2027-04-12 XXXX 1296.40000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DV7L3 221509.07000000 PA USD 176898.12000000 0.025924802202 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2132.09000000 0.000312462402 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1000000.00000000 MXN 60062.23000000 USD 2024-06-20 2132.09000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 140000.00000000 OU Notional Amount 2124.28000000 0.000311317829 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-03-15 0.00000000 EUR -277.41000000 EUR 140000.00000000 EUR 2427.96000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -575.71000000 -0.00008437154 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 740000.00000000 NZD 435467.80000000 USD 2024-06-20 -575.71000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEX6 350000.00000000 PA USD 318818.70000000 0.046723570244 Long DBT CORP US N 2 2063-04-15 Fixed 5.20000000 N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162CF5 20000.00000000 PA USD 16666.09000000 0.002442451546 Long DBT CORP US N 2 2051-06-15 Fixed 4.66000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3.04000000 -0.00000044551 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 5000.00000000 USD 786447.00000000 JPY 2024-05-16 -3.04000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHP66 80211.88000000 PA USD 71643.04000000 0.010499442510 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 2.50000000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674ZW3 200000.00000000 PA USD 200918.36000000 0.029445020341 Long DBT CORP CH N 2 2028-09-11 Fixed 5.65000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 427.03000000 0.000062582170 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 460000000.00000000 COP 116826.88000000 USD 2024-06-20 427.03000000 N N N BROADRIDGE FINANCIAL SOL 549300KZDJZQ2YIHRC28 11133TAE3 450000.00000000 PA USD 368222.77000000 0.053963843587 Long DBT CORP US N 2 2031-05-01 Fixed 2.60000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XCE8 140000.00000000 PA USD 140895.35000000 0.020648518367 Long DBT US N 2 2028-11-15 Fixed 5.80000000 N N N N N N PROV ST JOSEPH HLTH OBL N/A 743756AE8 50000.00000000 PA USD 38198.26000000 0.005598037644 Long DBT CORP US N 2 2048-10-01 Fixed 3.93000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SU3 515000.00000000 PA USD 287514.84000000 0.042135921835 Long DBT UST US N 2 2051-02-15 Fixed 1.88000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CR4 110000.00000000 PA USD 68746.73000000 0.010074982013 Long DBT CORP US N 2 2059-08-01 Fixed 3.95000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -5438.87000000 -0.00079707816 N/A DFE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 267911.28000000 USD 210000.00000000 GBP 2024-06-20 -5438.87000000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAB7 430000.00000000 PA USD 358022.48000000 0.052468969020 Long DBT CORP US N 2 2052-04-15 Fixed 4.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZS2 3193000.00000000 PA USD 2797990.97000000 0.410051630063 Long DBT UST US N 2 2027-05-31 Fixed 0.50000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05553RAC4 40000.00000000 PA USD 39543.26000000 0.005795150304 Long ABS-MBS CORP US N 2 2056-04-15 Fixed 5.45000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBA7 62000.00000000 PA USD 53463.76000000 0.007835229696 Long DBT US N 2 2030-01-15 Fixed 2.90000000 N N N N N N PRKCM Trust N/A 69377CAA1 91714.55000000 PA USD 86460.80000000 0.012671017296 Long ABS-MBS CORP US N 2 2057-04-25 Variable 4.10000000 N N N N N N Indonesia Government International Bonds 529900FWX0GRR7WG5W79 455780CQ7 670000.00000000 PA USD 584993.75000000 0.085732099687 Long DBT NUSS ID N 2 2030-02-14 Fixed 2.85000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBE2 125000.00000000 PA USD 95739.24000000 0.014030792752 Long DBT CORP US N 2 2052-03-15 Fixed 5.14000000 N N N N N N Credit Suisse Mortgage Trust N/A 22946BAP1 69110.72000000 PA USD 69636.22000000 0.010205338697 Long ABS-MBS CORP US N 2 2060-02-25 Variable 3.56000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122EG9 28000.00000000 PA USD 27549.09000000 0.004037378741 Long DBT CORP US N 2 2031-02-22 Fixed 5.10000000 N N N N N N GS Mortgage Securities Trust N/A 36261PAX0 190000.00000000 PA USD 162515.38000000 0.023816980538 Long ABS-MBS CORP US N 2 2052-11-10 Fixed 3.34000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12050000.00000000 OU Notional Amount -1437.34000000 -0.00021064528 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 133.51000000 THB 0.00000000 THB 12050000.00000000 THB -1440.96000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 668.48000000 0.000097967190 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 247041.85000000 PEN 66279.92000000 USD 2024-05-16 668.48000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131Y0YY2 2382.78000000 PA USD 2174.46000000 0.000318671817 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Regional Management Issuance Trust N/A 75907DAA5 200000.00000000 PA USD 191392.44000000 0.028048976156 Long ABS-O CORP US N 2 2032-03-15 Fixed 3.07000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AH8 29000.00000000 PA USD 28785.47000000 0.004218572905 Long DBT CORP US N 2 2026-09-01 Fixed 5.38000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCG5 74000.00000000 PA USD 69415.70000000 0.010173021014 Long DBT CORP MX N 2 2027-03-13 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VN30 232244.81000000 PA USD 198928.74000000 0.029153437226 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 3.00000000 N N N N N N ONEOK Inc 2T3D6M0JSY48PSZI1Q41 682680AU7 40000.00000000 PA USD 38466.06000000 0.005637284313 Long DBT CORP US N 2 2028-07-15 Fixed 4.55000000 N N N N N N KAISER FOUNDATION HOSPIT DW4Z57L3G4IRMHYZYK62 48305QAD5 50000.00000000 PA USD 40508.09000000 0.005936548228 Long DBT CORP US N 2 2047-05-01 Fixed 4.15000000 N N N N N N Invesco CLO LTD 5493000BVI47XOSBML18 46146JAC0 250000.00000000 PA USD 250940.38000000 0.036775855594 Long ABS-CBDO CORP KY N 2 2034-10-22 Floating 7.24000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -65.47000000 -0.00000959477 N/A DFE PE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 18640.72000000 USD 69940.00000000 PEN 2024-05-16 -65.47000000 N N N Great Wolf Trust N/A 39152MAA3 100000.00000000 PA USD 99937.38000000 0.014646039251 Long ABS-MBS CORP US N 2 2039-03-15 Floating 6.86000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -3.52000000 -0.00000051586 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 26000.00000000 EUR 27757.92000000 USD 2024-05-16 -3.52000000 N N N OVINTIV INC 2549003MEX7YMKLGI239 69047QAA0 475000.00000000 PA USD 473414.41000000 0.069379906010 Long DBT CORP US N 2 2025-05-15 Fixed 5.65000000 N N N N N N MED Trust N/A 58403YAX4 480693.03000000 PA USD 479491.30000000 0.070270487387 Long ABS-MBS CORP US N 2 2038-11-15 Floating 9.44000000 N N N N N N Fannie Mae - CAS N/A 20754RAB2 99387.81000000 PA USD 99592.61000000 0.014595512462 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 6.88000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -612.41000000 -0.00008975001 N/A DFE MX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 52749.53000000 USD 900000.00000000 MXN 2024-06-20 -612.41000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UMM1 155506.81000000 PA USD 146791.58000000 0.021512623630 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 4.50000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HV8 50000.00000000 PA USD 47667.68000000 0.006985801632 Long DBT CORP US N 2 2053-03-01 Fixed 5.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D2V3 550188.10000000 PA USD 448025.51000000 0.065659107786 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 2.00000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 20754KAB7 2150000.00000000 PA USD 2158062.50000000 0.316268728310 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 7.33000000 N N N N N N NGL ENRGY OP/FIN CORP 5299005YSRP46BE8Z459 62922LAD0 282000.00000000 PA USD 286554.86000000 0.041995234690 Long DBT CORP US N 2 2032-02-15 Fixed 8.38000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBM1 54000.00000000 PA USD 44605.00000000 0.006536959252 Long DBT US N 2 2031-04-15 Fixed 2.70000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 15716.90000000 0.002303345698 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 33000000.00000000 JPY 226512.45000000 USD 2024-06-20 15716.90000000 N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EL7 100000.00000000 PA USD 96577.43000000 0.014153631310 Long DBT CORP US N 2 2033-04-15 Fixed 5.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 70000.00000000 OU Notional Amount USD 166.74000000 0.000024436107 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 N/A 1.00000000 NC USD 166.74000000 0.00000000 DFE US 508200.00000000 CNY 70000.00000000 USD 2024-05-20 1.00000000 7.26000000 USD 2024-05-20 XXXX -46.06000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -179.12000000 -0.00002625042 N/A DFE SG N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 58917.06000000 USD 80000.00000000 SGD 2024-06-20 -179.12000000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDW6 145000.00000000 PA USD 140384.81000000 0.020573697625 Long DBT CORP US N 2 2054-03-15 Fixed 5.40000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 86.56000000 0.000012685555 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 46410.93000000 BRL 9000.00000000 USD 2024-06-04 86.56000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 80000.00000000 PA USD 69612.30000000 0.010201833170 Long DBT CORP US N 2 2045-07-20 Fixed 5.13000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816DK2 150000.00000000 PA USD 146785.63000000 0.021511751644 Long DBT CORP US N 2 2034-07-28 Fixed 5.63000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -53445.20000000 -0.00783250968 N/A DFE SG N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1984454.85000000 USD 2630000.00000000 SGD 2024-06-20 -53445.20000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CKF7 407000.00000000 PA USD 393136.56000000 0.057615013412 Long DBT UST US N 2 2031-03-31 Fixed 4.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHPZ4 523577.69000000 PA USD 414986.02000000 0.060817099046 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 2.50000000 N N N N N N BROWN & BROWN INC 549300PC8KTJ71XKFY89 115236AF8 230000.00000000 PA USD 190280.93000000 0.027886081961 Long DBT CORP US N 2 2052-03-17 Fixed 4.95000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAT1 208000.00000000 PA USD 149316.45000000 0.021882648791 Long DBT CORP US N 2 2047-12-01 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QQFP5 462012.51000000 PA USD 431368.69000000 0.063218014779 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95000YAY1 200000.00000000 PA USD 186256.76000000 0.027296331141 Long ABS-MBS CORP US N 2 2050-10-15 Fixed 3.58000000 N N N N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAQ7 20000.00000000 PA USD 19252.24000000 0.002821457423 Long DBT CORP US N 2 2028-04-10 Fixed 4.55000000 N N N N N N VERISK ANALYTICS INC 549300I1YSWNIRKBWP67 92345YAG1 35000.00000000 PA USD 24365.01000000 0.003570744928 Long DBT CORP US N 2 2050-05-15 Fixed 3.63000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -3014.44000000 -0.00044177270 N/A DFE NZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 132649.00000000 USD 220000.00000000 NZD 2024-06-20 -3014.44000000 N N N CAMB Commercial Mortgage Trust N/A 12482HAA2 100000.00000000 PA USD 99843.75000000 0.014632317572 Long ABS-MBS CORP US N 2 2037-12-15 Floating 6.69000000 N N N N N N Race Point CLO Ltd 5493008ABAJEYBWITR69 74982LAY6 320665.35000000 PA USD 320669.94000000 0.046994873471 Long ABS-CBDO CORP KY N 2 2030-02-20 Floating 6.62000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QNA2 200000.00000000 PA USD 180777.51000000 0.026493335199 Long DBT CORP IE N 2 2035-11-15 Fixed 4.42000000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAP1 50000.00000000 PA USD 38242.30000000 0.005604491801 Long DBT CORP US N 2 2049-12-15 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RC4 711000.00000000 PA USD 596434.57000000 0.087408776610 Long DBT UST US N 2 2043-08-15 Fixed 3.63000000 N N N N N N Whitebox CLO I Ltd 549300E4AC0513DYO913 96467FAJ9 250000.00000000 PA USD 250149.83000000 0.036659998781 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 6.71000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -62.42000000 -0.00000914778 N/A DFE ID N 2 Bank of America NA B4TYDEB6GKMZO031MB27 79398.81000000 USD 1292930266.00000000 IDR 2024-07-17 -62.42000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -7190.97000000 -0.00105385221 N/A DFE CA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 457921.11000000 USD 620000.00000000 CAD 2024-06-20 -7190.97000000 N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36270GAE1 530000.00000000 PA USD 508414.96000000 0.074509312335 Long ABS-MBS CORP US N 2 2038-09-10 Variable 5.69000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7000000.00000000 OU Notional Amount -5504.77000000 -0.00080673595 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 78.05000000 PLN 0.00000000 PLN 7000000.00000000 PLN -5524.03000000 N N N RCO Mortgage LLC N/A 754921AA2 108759.26000000 PA USD 107789.28000000 0.015796752184 Long ABS-MBS CORP US N 2 2029-01-25 Variable 7.02000000 N N N N N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 046353AD0 20000.00000000 PA USD 21751.25000000 0.003187692745 Long DBT CORP GB N 2 2037-09-15 Fixed 6.45000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 2849.01000000 0.000417528579 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 700000.00000000 PLN 175325.33000000 USD 2024-06-20 2849.01000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CEH0 1565600.00000000 PA USD 1527514.95000000 0.223860620677 Long DBT UST US N 2 2025-04-15 Fixed 2.63000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC N/A -145.92000000 -0.00002138489 N/A DFE NO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 18000.00000000 EUR 211807.12000000 NOK 2024-05-16 -145.92000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022655 5374815.00000000 PA USD 4405675.50000000 0.645661276136 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6000000.00000000 OU Notional Amount -249.74000000 -0.00003659993 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 66.90000000 HKD 0.00000000 HKD 6000000.00000000 HKD -258.29000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -859.48000000 -0.00012595865 N/A DFE CN N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 66000.00000000 USD 461340.00000000 CNY 2025-01-27 -859.48000000 N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759BA7 88000.00000000 PA USD 69148.51000000 0.010133863742 Long DBT CORP US N 2 2033-03-15 Fixed 2.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13000000.00000000 OU Notional Amount 5020.55000000 0.000735772464 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 146.31000000 THB 0.00000000 THB 13000000.00000000 THB 5016.56000000 N N N CFCRE Commercial Mortgage Trust N/A 12531YAU2 560000.00000000 PA USD 529119.02000000 0.077543537121 Long ABS-MBS CORP US N 2 2058-05-10 Fixed 3.69000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPML9 38144.63000000 PA USD 37864.66000000 0.005549147842 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.00000000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CCA1 200000.00000000 PA USD 199590.04000000 0.029250352171 Long DBT CORP US N 2 2053-09-15 Fixed 6.10000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3210.01000000 0.000470433910 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 111000000.00000000 HUF 305116.74000000 USD 2024-06-20 3210.01000000 N N N AMC NETWORKS INC 549300VGG9K75226LR46 00164VAG8 50000.00000000 PA USD 49909.00000000 0.007314271927 Long DBT CORP US N 2 2029-01-15 Fixed 10.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XDA1 854632.37000000 PA USD 701243.48000000 0.102768749123 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 2.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AP4 49000.00000000 PA USD 43881.42000000 0.006430917037 Long DBT US N 2 2030-01-15 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -3.00000000 NC USD -750.00000000 -0.00010991412 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 3.00000000 NC N/A -750.00000000 0.00000000 DIR US Short CBOT 5 Year U.S. Treasury Notes FVM4 Comdty 2024-06-28 3.00000000 USD 1000.00000000 104.00000000 USD 2024-05-24 XXXX 168.34000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -2091.11000000 -0.00030645669 N/A DFE SE N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 29372.60000000 USD 300000.00000000 SEK 2024-06-20 -2091.11000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0ZD7 726231.20000000 PA USD 709329.26000000 0.103953737675 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -43.57000000 -0.00000638527 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 57016127.00000000 COP 14459.32000000 USD 2024-05-16 -43.57000000 N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46591EAS6 40000.00000000 PA USD 35290.60000000 0.005171913780 Long ABS-MBS CORP US N 2 2052-06-13 Fixed 3.12000000 N N N N N N Madison Park Funding Ltd N/A 55821YAC0 250000.00000000 PA USD 251940.23000000 0.036922385775 Long ABS-CBDO CORP KY N 2 2037-04-25 Floating 7.34000000 N N N N N N ELI LILLY & CO FRDRIPF3EKNDJ2CQJL29 532457CG1 45000.00000000 PA USD 41175.96000000 0.006034426021 Long DBT CORP US N 2 2053-02-27 Fixed 4.88000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109CE2 38000.00000000 PA USD 30817.99000000 0.004516443108 Long DBT US N 2 2032-02-15 Fixed 2.70000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -26.30000000 -0.00000385432 N/A DFE IN N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 55031.25000000 USD 4600000.00000000 INR 2024-06-20 -26.30000000 N N N SIERRA PACIFIC POWER CO QB888G5GSVGE1LD1WV84 826418BP9 30000.00000000 PA USD 29396.04000000 0.004308053259 Long DBT CORP US N 2 2054-03-15 Fixed 5.90000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDV1 38000.00000000 PA USD 27595.10000000 0.004044121606 Long DBT CORP US N 2 2059-08-15 Fixed 3.88000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -754.71000000 -0.00011060438 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 34223.32000000 USD 126000.00000000 PEN 2024-05-06 -754.71000000 N N N Enbridge Inc 98TPTUM4IVMFCZBCUR27 29250NAL9 65000.00000000 PA USD 63006.85000000 0.009233790181 Long DBT CORP CA N 2 2026-12-01 Fixed 4.25000000 N N N N N N NVR INC 529900RWXR4JI3JYTV70 62944TAF2 1300000.00000000 PA USD 1127040.21000000 0.165170181109 Long DBT CORP US N 2 2030-05-15 Fixed 3.00000000 N N N N N N Uruguay Government International Bonds 549300RDR012H2V82H43 760942BB7 500000.00000000 PA USD 492656.25000000 0.072199839291 Long DBT NUSS UY N 2 2027-10-27 Fixed 4.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMXS8 373727.38000000 PA USD 314612.49000000 0.046107141068 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 1.50000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBN2 478000.00000000 PA USD 314832.04000000 0.046139316596 Long DBT CORP US N 2 2051-02-04 Fixed 3.70000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 21.00000000 NC USD -92087.43000000 -0.01349561209 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USM4 Comdty 2024-06-18 2484118.68000000 USD -92087.43000000 N N N OneMain Financial Issuance Trust N/A 682696AB5 240000.00000000 PA USD 212829.91000000 0.031190683764 Long ABS-O CORP US N 2 2035-09-14 Fixed 2.21000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172BL2 950000.00000000 PA USD 753993.56000000 0.110499387471 Long DBT CORP US N 2 2044-11-10 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWAF0 5157588.60000000 PA USD 3926379.16000000 0.575419360559 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1370000.00000000 OU Notional Amount -710.19000000 -0.00010407988 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 15.28000000 PLN 0.00000000 PLN 1370000.00000000 PLN -713.99000000 N N N MFRA Trust N/A 55284PAF2 100000.00000000 PA USD 82508.69000000 0.012091827025 Long ABS-MBS CORP US N 2 2066-12-25 Variable 4.26000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703DBN0 460000.00000000 PA USD 445682.01000000 0.065315662791 Long DBT CORP US N 2 2034-04-15 Fixed 5.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKEQ9 191286.82000000 PA USD 154818.64000000 0.022689006639 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 2.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA95 1288000.00000000 PA USD 1288679.65000000 0.188858790746 Long DBT CORP US N 2 2035-04-25 Fixed 5.85000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109CD4 33000.00000000 PA USD 28352.67000000 0.004155145129 Long DBT US N 2 2031-02-15 Fixed 3.20000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 3000.00000000 PA 2938.75000000 0.000430680170 Long DBT NUSS RO N 2 2029-03-11 Fixed 2.88000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CG3 80000.00000000 PA USD 78053.84000000 0.011438959120 Long DBT CORP US N 2 2033-02-10 Fixed 5.20000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 11370.65000000 0.001666393357 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 553000.00000000 EUR 602707.46000000 USD 2024-06-20 11370.65000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -169.31000000 -0.00002481274 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 220822000.00000000 COP 56000.00000000 USD 2024-05-16 -169.31000000 N N N Affirm Inc N/A 00792FAA6 250000.00000000 PA USD 252567.73000000 0.037014347257 Long ABS-O CORP US N 2 2028-09-15 Fixed 6.82000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KK2 112000.00000000 PA USD 115086.58000000 0.016866187287 Long DBT CORP US N 2 2053-04-01 Fixed 6.70000000 N N N N N N Lear Corp 549300UPNBTXA1SYTQ33 521865AY1 35000.00000000 PA USD 33138.58000000 0.004856530593 Long DBT CORP US N 2 2027-09-15 Fixed 3.80000000 N N N N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAH2 220000.00000000 PA USD 191926.32000000 0.028127217425 Long DBT CORP US N 2 2032-04-05 Fixed 3.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGG45 904676.53000000 PA USD 785587.55000000 0.115129555059 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.50000000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92259LAB4 553259.16000000 PA USD 497059.26000000 0.072845109933 Long ABS-MBS CORP US N 2 2050-02-25 Variable 2.61000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBQ3 1465600.00000000 PA USD 1349153.51000000 0.197721365763 Long DBT UST US N 2 2026-02-28 Fixed 0.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 15940000.00000000 OU Notional Amount -67019.65000000 -0.00982187470 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 0.00000000 AUD -1150.56000000 AUD 15940000.00000000 AUD -66267.24000000 N N N VICI PROPERTIES / NOTE N/A 92564RAD7 28000.00000000 PA USD 26261.98000000 0.003848749986 Long DBT US N 2 2027-02-15 Fixed 3.75000000 N N N N N N Freddie Mac - STACR 5493000ISE4NWBTOSK36 35564KNS4 1750000.00000000 PA USD 1763505.80000000 0.258445590307 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 7.68000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 124000.00000000 PA USD 83867.03000000 0.012290894691 Long DBT CORP US N 2 2050-04-01 Fixed 3.60000000 N N N N N N DIRECTV FIN LLC/COINC N/A 25461LAA0 180000.00000000 PA USD 167773.83000000 0.024587617762 Long DBT CORP US N 2 2027-08-15 Fixed 5.88000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -2148.04000000 -0.00031479990 N/A DFE CH N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 166209.41000000 USD 150000.00000000 CHF 2024-06-20 -2148.04000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2956.76000000 -0.00043331957 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 610000.00000000 EUR 649331.58000000 USD 2024-06-20 -2956.76000000 N N N Merck & Co Inc 4YV9Y5M8S0BRK1RP0397 58933YAJ4 80000.00000000 PA USD 66636.36000000 0.009765702724 Long DBT CORP US N 2 2043-05-18 Fixed 4.15000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBQ2 61000.00000000 PA USD 39484.55000000 0.005786546226 Long DBT CORP US N 2 2061-02-08 Fixed 3.38000000 N N N N N N SOUTHERN CO GAS CAPITAL E8CD46SWUD2TSN8PA636 001192AH6 20000.00000000 PA USD 19416.50000000 0.002845530082 Long DBT CORP US N 2 2041-03-15 Fixed 5.88000000 N N N N N N SEMPRA PBBKGKLRK5S5C0Y4T545 816851BJ7 40000.00000000 PA USD 29577.52000000 0.004334649546 Long DBT CORP US N 2 2048-02-01 Fixed 4.00000000 N N N N N N Westlake Automobile Receivables Trust N/A 96043RAG2 680000.00000000 PA USD 676805.09000000 0.099187250196 Long ABS-O CORP US N 2 2029-10-15 Fixed 6.02000000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585AAJ1 140000.00000000 PA USD 117479.69000000 0.017216902735 Long DBT CORP US N 2 2054-09-15 Fixed 5.00000000 N N N N N N MDC HOLDINGS INC 5299005FV4VNV75R8R35 552676AV0 15000.00000000 PA USD 12422.53000000 0.001820548647 Long DBT CORP US N 2 2061-08-06 Fixed 3.97000000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BY4 25000.00000000 PA USD 24855.97000000 0.003642696179 Long DBT CORP KY N 2 2029-05-15 Fixed 8.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 387.86000000 0.000056841722 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1600000.00000000 MXN 93076.08000000 USD 2024-06-20 387.86000000 N N N Soundview Home Equity Loan Trust N/A 83611MGX0 25000.00000000 PA USD 17824.17000000 0.002612170675 Long ABS-O CORP US N 2 2035-11-25 Floating 6.45000000 N N N N N N CISCO SYSTEMS INC 549300LKFJ962MZ46593 17275RBU5 205000.00000000 PA USD 197256.49000000 0.028908365370 Long DBT CORP US N 2 2054-02-26 Fixed 5.30000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BZ5 30000.00000000 PA USD 24826.72000000 0.003638409528 Long DBT CORP US N 2 2049-02-01 Fixed 4.85000000 N N N N N N New York City Municipal Water Finance Authority 549300Q2EHQ6RJPQKP05 64972FL20 60000.00000000 PA USD 61078.85000000 0.008951237610 Long DBT MUN US N 2 2042-06-15 Fixed 6.01000000 N N N N N N ADVENTIST HEALTH SYS/W 5493008YM33UCY5QPW83 007944AH4 50000.00000000 PA USD 49044.73000000 0.007187611289 Long DBT CORP US N 2 2032-03-01 Fixed 5.43000000 N N N N N N UMBS, TBA N/A 01F040651 -371338.00000000 PA USD -332096.81000000 -0.04866950599 Short ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -568.86000000 -0.00008336766 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 670155.12000000 ZAR 35000.00000000 USD 2024-05-16 -568.86000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 688.86000000 0.000100953923 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 35000.00000000 USD 672415.94000000 ZAR 2024-05-16 688.86000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ET59 497395.94000000 PA USD 471569.79000000 0.069109572958 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8CV7 656023.23000000 PA USD 505162.01000000 0.074032585475 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SLS4 639401.52000000 PA USD 572369.71000000 0.083882019313 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBE8 200000.00000000 PA USD 197914.48000000 0.029004795228 Long DBT CORP JP N 2 2025-07-03 Fixed 5.10000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BV8 108000.00000000 PA USD 107816.40000000 0.015800726679 Long DBT CORP US N 2 2032-03-01 Fixed 6.63000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 56646.57000000 0.008301677387 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 76200000.00000000 PHP 1374582.84000000 USD 2024-06-20 56646.57000000 N N N Fannie Mae - CAS N/A 20754LAA7 315873.69000000 PA USD 315873.69000000 0.046291972657 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 6.33000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 335000000.00000000 OU Notional Amount 1528.98000000 0.000224075326 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 3730.67000000 THB 0.00000000 THB 335000000.00000000 THB 1427.41000000 N N N Countrywide Home Loans N/A 12669GXD8 192213.71000000 PA USD 181731.80000000 0.026633188463 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.79000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BJ0 100000.00000000 PA USD 98093.25000000 0.014375778010 Long DBT CORP LR N 2 2026-08-31 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 358000.00000000 OU Notional Amount 1013.74000000 0.000148565790 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-20 1.41000000 PLN 0.00000000 PLN 358000.00000000 PLN 1013.33000000 N N N GLP CAPITAL LP / FIN II 2549005PXW31DRW8EC44 361841AK5 535000.00000000 PA USD 528461.12000000 0.077447120453 Long DBT US N 2 2028-06-01 Fixed 5.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 720000.00000000 OU Notional Amount 6158.68000000 0.000902567878 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI) 2034-04-15 3670.39000000 GBP 0.00000000 GBP 720000.00000000 GBP 1555.46000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDZ1 150000.00000000 PA USD 149721.90000000 0.021942068366 Long DBT CORP US N 2 2025-11-07 Fixed 5.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 360.43000000 0.000052821796 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 310000000.00000000 COP 78803.81000000 USD 2024-06-20 360.43000000 N N N OneMain Financial Issuance Trust N/A 682696AA7 100000.00000000 PA USD 92641.41000000 0.013576799063 Long ABS-O CORP US N 2 2035-09-14 Fixed 1.75000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 168.00000000 NC USD -162550.68000000 -0.02382215382 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVM4 Comdty 2024-06-28 17765800.68000000 USD -162550.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XTCE9 652036.09000000 PA USD 547744.38000000 0.080273123925 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.00000000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AH0 110000.00000000 PA USD 99010.48000000 0.014510200051 Long DBT CORP US N 2 2027-01-15 Fixed 2.63000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5000000.00000000 OU Notional Amount 65.25000000 0.000009562528 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 46.53000000 MXN 0.00000000 MXN 5000000.00000000 MXN 62.52000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2375.54000000 -0.00034814052 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 205131.03000000 USD 3500000.00000000 MXN 2024-06-20 -2375.54000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -189.71000000 -0.00002780241 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 399686.62000000 ZAR 21000.00000000 USD 2024-05-30 -189.71000000 N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2K6 310000.00000000 PA USD 303188.12000000 0.044432874928 Long DBT CORP CH N 2 2027-07-09 Fixed 5.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -2881.83000000 -0.00042233842 N/A DFE CL N 2 Bank of America NA B4TYDEB6GKMZO031MB27 254833.41000000 USD 242000000.00000000 CLP 2024-06-21 -2881.83000000 N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KR1 90000.00000000 PA USD 81643.98000000 0.011965101904 Long DBT CORP US N 2 2052-05-15 Fixed 5.13000000 N N N N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WAY1 35000.00000000 PA USD 28425.45000000 0.004165811195 Long DBT CORP US N 2 2031-06-01 Fixed 2.30000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 47495.49000000 0.006960566815 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3170000.00000000 CAD 2352035.10000000 USD 2024-06-20 47495.49000000 N N N Massachusetts School Building Authority N/A 576000ZW6 50000.00000000 PA USD 36145.88000000 0.005297256915 Long DBT MUN US N 2 2043-05-15 Fixed 2.95000000 N N N N N TCI-Symphony CLO N/A 87232BAF9 186295.68000000 PA USD 186345.37000000 0.027309317128 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.52000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBR0 80000.00000000 PA USD 57478.58000000 0.008423610253 Long DBT CORP US N 2 2041-06-17 Fixed 3.06000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668AEV3 10410.06000000 PA USD 9347.57000000 0.001369906606 Long ABS-MBS CORP US N 2 2035-11-20 Floating 6.09000000 N N N N N N IDEX CORP 549300U5Y5EL6PHYLF13 45167RAG9 430000.00000000 PA USD 370218.36000000 0.054256301619 Long DBT CORP US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Western Digital Corp 549300QQXOOYEF89IC56 958102AM7 170000.00000000 PA USD 165428.22000000 0.024243863542 Long DBT CORP US N 2 2026-02-15 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRCJ1 48886.54000000 PA USD 48571.31000000 0.007118230563 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3A9 100000.00000000 PA USD 97439.00000000 0.014279896257 Long DBT CORP US N 2 2028-07-25 Fixed 4.81000000 N N N N N N Bank N/A 06540MBH7 150000.00000000 PA USD 132061.41000000 0.019353885348 Long ABS-MBS CORP US N 2 2065-04-15 Variable 3.92000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BM7G4 50177.97000000 PA USD 47869.85000000 0.007015430083 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2000000.00000000 OU Notional Amount -17233.06000000 -0.00252554222 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 EUR -8257.70000000 EUR 2000000.00000000 EUR -8461.73000000 N N N NATIONSTAR MTG HLD INC N/A 63861CAC3 245000.00000000 PA USD 230392.05000000 0.033764453377 Long DBT CORP US N 2 2028-08-15 Fixed 5.50000000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAG2 35000.00000000 PA USD 18935.93000000 0.002775101509 Long DBT CORP US N 2 2060-08-15 Fixed 2.25000000 N N N N N N Peru Government International Bonds 254900STKLK2DBJJZ530 715638DT6 380000.00000000 PA USD 255312.50000000 0.037416599239 Long DBT NUSS PE N 2 2051-03-10 Fixed 3.55000000 N N N N N N Exeter Automobile Receivables Trust N/A 30166TAF0 350000.00000000 PA USD 354794.86000000 0.051995954326 Long ABS-O CORP US N 2 2029-12-17 Fixed 6.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6790000.00000000 OU Notional Amount -2090.84000000 -0.00030641712 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 75.71000000 CZK 0.00000000 CZK 6790000.00000000 CZK -2094.04000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 21500000.00000000 OU Notional Amount 30351.97000000 0.004448146869 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 239.73000000 ZAR 0.00000000 ZAR 21500000.00000000 ZAR 30339.14000000 N N N AREIT CRE Trust N/A 00193AAA2 370000.00000000 PA USD 369075.37000000 0.054088793962 Long ABS-CBDO CORP KY N 2 2041-05-17 Floating 6.99000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XNB8 451418.29000000 PA USD 384797.76000000 0.056392944232 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 3.00000000 N N N N N N Affirm Inc N/A 00834JAH3 1000000.00000000 PA USD 1015540.30000000 0.148829628070 Long ABS-O CORP US N 2 2028-01-18 Fixed 9.09000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC N/A 125.78000000 0.000018433331 N/A DFE HU N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 16000.00000000 EUR 6316854.40000000 HUF 2024-05-16 125.78000000 N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 913229AA8 151000.00000000 PA USD 140277.51000000 0.020557972578 Long DBT CORP US N 2 2029-04-15 Fixed 5.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAM5 85000.00000000 PA USD 66296.07000000 0.009715832489 Long DBT CORP US N 2 2042-08-09 Fixed 4.25000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAR6 200000.00000000 PA USD 197605.33000000 0.028959488627 Long DBT CORP ES N 2 2025-08-18 Fixed 5.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GQSS2 81803.08000000 PA USD 82699.11000000 0.012119733488 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -43.74000000 -0.00000641019 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 127490.05000000 USD 2200000.00000000 MXN 2024-06-20 -43.74000000 N N N BAUSCH + LOMB CORP 549300NY6OZM39SO6475 071705AA5 126000.00000000 PA USD 130126.50000000 0.019070320101 Long DBT CORP CA N 2 2028-10-01 Fixed 8.38000000 N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -635.03000000 -0.00009306502 N/A DFE CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 25730.93000000 USD 98661123.90000000 COP 2024-05-16 -635.03000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGT5 444000.00000000 PA USD 429436.59000000 0.062934861343 Long DBT CORP US N 2 2033-05-09 Fixed 5.05000000 N N N N N N GRAN TIERRA ENERGY INC 549300IH2S17MAIUCM32 38500TAC5 15000.00000000 PA USD 14077.50000000 0.002063088081 Long DBT CORP US N 2 2029-10-15 Fixed 9.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0SZ6 138814.81000000 PA USD 130379.45000000 0.019107390471 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 4.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 183.73000000 0.000026926028 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 312283.43000000 USD 250000.00000000 GBP 2024-06-20 183.73000000 N N N Morgan Stanley Capital I Trust N/A 61767FBA8 305000.00000000 PA USD 282105.82000000 0.041343218252 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 2.78000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 250000.00000000 OU Notional Amount USD 2422.45000000 0.000355015288 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 888.33000000 USD 0.00000000 USD 250000.00000000 USD 1534.12000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LWCU9 134974.72000000 PA USD 117482.91000000 0.017217374632 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKW8 235000.00000000 PA USD 230531.79000000 0.033784932576 Long DBT CORP US N 2 2028-07-22 Fixed 4.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 612810.00000000 OU Notional Amount 7107.21000000 0.001041577001 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-02-20 21.84000000 EUR 0.00000000 EUR 612810.00000000 EUR 7083.67000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -4918.52000000 -0.00072081974 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 184501.95000000 USD 3100000.00000000 MXN 2024-06-20 -4918.52000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -780.17000000 -0.00011433560 N/A DFE ID N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 43769.53000000 USD 700000000.00000000 IDR 2024-06-20 -780.17000000 N N N Fannie Mae - CAS N/A 20753YCH3 352895.40000000 PA USD 357403.57000000 0.052378266420 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 7.33000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAS4 200000.00000000 PA USD 202165.71000000 0.029627822182 Long DBT CORP GB N 2 2026-11-21 Fixed 6.83000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -8.61000000 -0.00000126181 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 4900000.00000000 THB 132708.61000000 USD 2024-06-20 -8.61000000 N N N PFIZER INVESTMENT ENTER 5493000FQO8XF9C0RT95 716973AH5 10000.00000000 PA USD 9173.62000000 0.001344413857 Long DBT CORP SG N 2 2063-05-19 Fixed 5.34000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3700000.00000000 OU Notional Amount -278.41000000 -0.00004080158 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 41.26000000 ZAR 0.00000000 ZAR 3700000.00000000 ZAR -280.60000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACY9 277000.00000000 PA USD 265356.11000000 0.038888512014 Long DBT CORP US N 2 2033-07-15 Fixed 5.05000000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 28228PAC5 100000.00000000 PA USD 103229.78000000 0.015128547595 Long DBT CORP GB N 2 2028-11-30 Fixed 12.00000000 N N N N N N UNITI GROUP/CSL CAPITAL N/A 91327TAA9 135000.00000000 PA USD 140053.02000000 0.020525073083 Long DBT US N 2 2028-02-15 Fixed 10.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRXL2 242900.15000000 PA USD 236337.61000000 0.034635788058 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3286000.00000000 OU Notional Amount 440.78000000 0.000064597262 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-01-23 4.20000000 MXN 0.00000000 MXN 3286000.00000000 MXN 440.45000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 646.37000000 0.000094726921 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 90000.00000000 EUR 96885.63000000 USD 2024-06-20 646.37000000 N N N UMBS, TBA N/A 01F062655 6475000.00000000 PA USD 6523827.84000000 0.956081084153 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DA4 300000.00000000 PA USD 292495.30000000 0.042865819024 Long DBT CORP GB N 2 2026-03-10 Fixed 3.00000000 N N N N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAX0 80000.00000000 PA USD 79648.31000000 0.011672632148 Long DBT CORP US N 2 2028-12-01 Fixed 5.35000000 N N N N N N New Jersey Turnpike Authority 5493005YN67D71KSMI84 646139W35 130000.00000000 PA USD 151157.86000000 0.022152511410 Long DBT MUN US N 2 2040-01-01 Fixed 7.41000000 N N N N N N GOEASY LTD 5493009DJVZG2P8YV435 380355AJ6 70000.00000000 PA USD 69985.46000000 0.010256520575 Long DBT CORP CA N 2 2029-07-01 Fixed 7.63000000 N N N N N COCA-COLA FEMSA SAB CV 5493008KEVFYPMGTXO33 191241AH1 300000.00000000 PA USD 259401.00000000 0.038015777760 Long DBT CORP MX N 2 2030-01-22 Fixed 2.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1615.51000000 -0.00023675648 N/A DFE TW N 2 UBS AG BFM8T61CT2L1QCEMIK50 35346.98000000 USD 1100000.00000000 TWD 2024-06-20 -1615.51000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 186.59000000 0.000027345168 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 349716.12000000 MXN 20558.99000000 USD 2024-05-16 186.59000000 N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BU9 30000.00000000 PA USD 27092.28000000 0.003970432247 Long DBT CORP US N 2 2044-03-01 Fixed 5.50000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAM1 1127000.00000000 PA USD 1068591.87000000 0.156604450430 Long DBT CORP US N 2 2026-12-01 Fixed 3.25000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804FE9 50000.00000000 PA USD 51943.90000000 0.007612490924 Long DBT CORP US N 2 2037-11-30 Fixed 6.35000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -7434.05000000 -0.00108947611 N/A DFE NZ N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 225455.80000000 USD 370000.00000000 NZD 2024-06-20 -7434.05000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDP3 154000.00000000 PA USD 83958.58000000 0.012304311542 Long DBT CORP US N 2 2052-08-15 Fixed 2.45000000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JCS1 50000.00000000 PA USD 50225.84000000 0.007360705514 Long DBT CORP US N 2 2033-11-15 Fixed 5.65000000 N N N N N N TD SYNNEX CORP 5493004HI6PFLF46NS53 87162WAL4 270000.00000000 PA USD 268126.30000000 0.039294489352 Long DBT CORP US N 2 2034-04-12 Fixed 6.10000000 N N N N N N Blue Bridge Funding LLC N/A 09531MAA8 298054.41000000 PA USD 298853.29000000 0.043797596214 Long ABS-O CORP US N 2 2030-11-15 Fixed 7.37000000 N N N N N N CANADA GOVERNMENT 4BFD7AQU0A75QLAHK410 135087N75 35000.00000000 PA USD 34176.90000000 0.005008698636 Long DBT NUSS CA N 2 2025-04-28 Fixed 2.88000000 N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 -131.00000000 NC 106006.44000000 0.015535473125 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Short Montreal Exchange 10 Year Canadian Bond Futures CNM4 Comdty 2024-06-19 -15471623.76000000 CAD 106006.44000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 3440000.00000000 OU Notional Amount USD 59047.84000000 0.008653588701 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3440000.00000000 OU Notional Amount N/A 59047.84000000 0.01000000 DIR US N/A N/A 2034-10-21 0.00000000 N/A 0.00000000 N/A 3440000.00000000 USD 1.00000000 4.43000000 USD 2024-10-17 XXXX 3434.70000000 N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAR1 55000.00000000 PA USD 60843.55000000 0.008916753886 Long DBT CORP US N 2 2030-11-15 Fixed 9.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 11.52000000 0.000001688280 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 558215.89000000 CNY 77000.00000000 USD 2024-05-16 11.52000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3276.83000000 0.000480226525 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 7400000.00000000 THB 203706.92000000 USD 2024-06-20 3276.83000000 N N N BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 000000000 3017498.66000000 OU Notional Amount -27804.92000000 -0.00407487118 N/A DIR US N 2 BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 3017498.66000000 BRL -27804.92000000 N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816DF3 220000.00000000 PA USD 210995.88000000 0.030921902700 Long DBT CORP US N 2 2034-05-01 Fixed 5.04000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJR2 75000.00000000 PA USD 73268.25000000 0.010737620552 Long DBT CORP US N 2 2035-01-23 Fixed 5.68000000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAV2 325000.00000000 PA USD 323578.13000000 0.047421075007 Long DBT NUSS MX N 2 2035-02-09 Fixed 6.35000000 N N N N N N ARTHUR J GALLAGHER & CO 54930049QLLMPART6V29 04316JAG4 125000.00000000 PA USD 134600.44000000 0.019725985687 Long DBT CORP US N 2 2054-02-15 Fixed 6.75000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCE4 51000.00000000 PA USD 26842.74000000 0.003933861620 Long DBT CORP US N 2 2050-08-01 Fixed 2.05000000 N N N N N N GS Mortgage Securities Trust N/A 36254KAL6 300000.00000000 PA USD 276848.88000000 0.040572802322 Long ABS-MBS CORP US N 2 2050-11-10 Fixed 3.47000000 N N N N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAK5 40000.00000000 PA USD 32069.58000000 0.004699866331 Long DBT CORP US N 2 2042-04-05 Fixed 4.35000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -74.01000000 -0.00001084632 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3300000.00000000 THB 89306.98000000 USD 2024-06-20 -74.01000000 N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 341081FL6 60000.00000000 PA USD 48142.04000000 0.007055320116 Long DBT CORP US N 2 2044-10-01 Fixed 4.05000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAV1 30000.00000000 PA USD 30978.10000000 0.004539907575 Long DBT CORP US N 2 2033-03-15 Fixed 6.25000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 292.76000000 0.000042904611 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 260000.00000000 NZD 153497.24000000 USD 2024-06-20 292.76000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCV6 205000.00000000 PA USD 199595.98000000 0.029251222691 Long DBT CORP US N 2 2026-02-24 Fixed 2.60000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AU0 65000.00000000 PA USD 61944.09000000 0.009078040404 Long DBT CORP US N 2 2028-03-15 Fixed 4.20000000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAR1 749000.00000000 PA USD 599949.00000000 0.087923823930 Long DBT NUSS MX N 2 2034-02-12 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1900.54000000 0.000278528248 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 120789.59000000 USD 640000.00000000 BRL 2024-06-20 1900.54000000 N N N Motorola Solutions Inc 6S552MUG6KGJVEBSEC55 620076BL2 65000.00000000 PA USD 63040.80000000 0.009238765627 Long DBT CORP US N 2 2028-02-23 Fixed 4.60000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -181.88000000 -0.00002665490 N/A DFE HU N 2 Bank of America NA B4TYDEB6GKMZO031MB27 152495.19000000 USD 56000000.00000000 HUF 2024-06-20 -181.88000000 N N N AMCOR FINANCE USA INC 549300ZMT7FVT8R77U18 02343UAJ4 26000.00000000 PA USD 25790.45000000 0.003779646244 Long DBT CORP US N 2 2033-05-26 Fixed 5.63000000 N N N N N Countrywide Home Loans N/A 12545AAZ7 89854.33000000 PA USD 38540.45000000 0.005648186329 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 6.00000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAM1 172000.00000000 PA USD 162512.69000000 0.023816586313 Long DBT CORP US N 2 2026-05-15 Fixed 3.13000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3166.23000000 0.000464017856 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 190000.00000000 GBP 240641.27000000 USD 2024-06-20 3166.23000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -8852.21000000 -0.00129731052 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 194096.78000000 USD 29000000.00000000 JPY 2024-06-20 -8852.21000000 N N N XEROX HOLDINGS CORP 5493000Y33XDVO2CXC18 98421MAC0 50000.00000000 PA USD 47634.05000000 0.006980873083 Long DBT CORP US N 2 2029-11-30 Fixed 8.88000000 N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBN9 121000.00000000 PA USD 73302.63000000 0.010742659015 Long DBT CORP US N 2 2050-11-10 Fixed 2.77000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AQ2 507000.00000000 PA USD 493857.28000000 0.072375852836 Long DBT CORP US N 2 2033-07-31 Fixed 5.40000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 409.18000000 0.000059966214 N/A DFE HU N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 47000.00000000 USD 17401585.50000000 HUF 2024-05-16 409.18000000 N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348AW6 150000.00000000 PA USD 141626.16000000 0.020755620154 Long DBT CORP US N 2 2027-06-01 Fixed 3.45000000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 59562VBD8 45000.00000000 PA USD 41684.80000000 0.006108997624 Long DBT CORP US N 2 2043-11-15 Fixed 5.15000000 N N N N N N Cold Storage Trust N/A 193051AL3 137618.67000000 PA USD 137317.63000000 0.020124195761 Long ABS-MBS CORP US N 2 2037-11-15 Floating 7.08000000 N N N N N N VIPER ENERGY INC 5299009LINL232255G03 92763MAA3 1305000.00000000 PA USD 1273202.24000000 0.186590542825 Long DBT CORP US N 2 2027-11-01 Fixed 5.38000000 N N N N N N HARTFORD FINL SVCS GRP IU7C3FTM7Y3BQM112U94 416515BB9 34000.00000000 PA USD 27814.51000000 0.004076276616 Long DBT CORP US N 2 2043-04-15 Fixed 4.30000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5000000.00000000 OU Notional Amount 1732.99000000 0.000253973433 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 55.67000000 CNY 0.00000000 CNY 5000000.00000000 CNY 1725.29000000 N N N State of Texas 549300X9CH74QB747L76 882722KF7 115000.00000000 PA USD 115400.88000000 0.016912248632 Long DBT MUN US N 2 2039-04-01 Fixed 5.52000000 N N N N N N WAMU Asset-Backed Certificates N/A 92926SAD8 593606.25000000 PA USD 218920.92000000 0.032083334458 Long ABS-O CORP US N 2 2037-04-25 Floating 5.68000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XHW9 646694.70000000 PA USD 569786.51000000 0.083503445764 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 3.50000000 N N N N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 89352HAX7 40000.00000000 PA USD 35075.83000000 0.005140438772 Long DBT CORP CA N 2 2038-05-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ER6J4 106407.25000000 PA USD 99850.75000000 0.014633343438 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 260000.00000000 OU Notional Amount 1168.66000000 0.000171269651 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 511.29000000 EUR 0.00000000 EUR 260000.00000000 EUR 621.45000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -223.15000000 -0.00003270311 N/A DFE PL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 37182.36000000 USD 150000.00000000 PLN 2024-06-20 -223.15000000 N N N GS Mortgage Securities Trust 54930066YOFVQE068N73 36250PAL9 56000.00000000 PA USD 52578.95000000 0.007705558876 Long ABS-MBS CORP US N 2 2048-07-10 Variable 4.55000000 N N N N N N UNIV OF NOTRE DAME XV74408A6JGDG5126L34 914748AA6 150000.00000000 PA USD 110503.59000000 0.016194540187 Long DBT CORP US N 2 2048-02-15 Fixed 3.39000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8000000.00000000 OU Notional Amount 38.69000000 0.000005670103 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 89.24000000 TWD 0.00000000 TWD 8000000.00000000 TWD 35.91000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6050000.00000000 OU Notional Amount 112000.01000000 0.016413843775 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-06-19 49330.13000000 GBP 0.00000000 GBP 6050000.00000000 GBP 51047.62000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BM4 100000.00000000 PA USD 99858.91000000 0.014634539303 Long DBT CORP US N 2 2026-09-15 Fixed 5.45000000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641594A1 300000.00000000 PA USD 275163.59000000 0.040325819426 Long DBT CORP CA N 2 2026-06-24 Fixed 1.35000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 4903.38000000 0.000718600947 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 510000.00000000 CHF 562712.05000000 USD 2024-06-20 4903.38000000 N N N FRONTIER COMMUNICATIONS N/A 35908MAD2 126000.00000000 PA USD 128284.38000000 0.018800353430 Long DBT CORP US N 2 2030-05-15 Fixed 8.75000000 N N N N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WBA2 90000.00000000 PA USD 84031.92000000 0.012315059677 Long DBT CORP US N 2 2032-06-01 Fixed 4.45000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount 9835.50000000 0.001441413803 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 SGD -11.15000000 SGD 1000000.00000000 SGD 9843.76000000 N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358WCX0 30000.00000000 PA USD 30921.45000000 0.004531605395 Long DBT MUN US N 2 2040-11-01 Fixed 5.65000000 N N N N N N Exeter Automobile Receivables Trust N/A 30166QAE9 500000.00000000 PA USD 493566.10000000 0.072333179777 Long ABS-O CORP US N 2 2028-07-17 Fixed 3.85000000 N N N N N N Fannie Mae - CAS N/A 20753YAF9 1500000.00000000 PA USD 1629883.65000000 0.238862975135 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 10.58000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CA8 300000.00000000 PA USD 278435.35000000 0.040805302933 Long DBT CORP US N 2 2027-04-15 Fixed 2.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 386.68000000 0.000056668790 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1450000000.00000000 IDR 89436.06000000 USD 2024-06-20 386.68000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 18730000.00000000 OU Notional Amount USD -73184.33000000 -0.01072532189 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-06-20 0.00000000 USD -31510.18000000 USD 18730000.00000000 USD -41674.15000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 999.70000000 0.000146508197 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 100000.00000000 GBP 125986.56000000 USD 2024-06-20 999.70000000 N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBR3 82000.00000000 PA USD 86614.69000000 0.012693570209 Long DBT CORP US N 2 2033-11-01 Fixed 6.88000000 N N N N N N AMER SPORTS COMPANY 549300NRKH9WF70VFC95 02352NAA7 213000.00000000 PA USD 208877.39000000 0.030611433407 Long DBT CORP US N 2 2031-02-16 Fixed 6.75000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 6460.39000000 0.000946784131 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 37000000.00000000 JPY 242806.91000000 USD 2024-06-20 6460.39000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 71000.00000000 OU Notional Amount USD 313.25000000 0.000045907465 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD 313.25000000 0.00000000 DFE US 365650.00000000 BRL 71000.00000000 USD 2024-05-15 1.00000000 5.15000000 USD 2024-05-15 XXXX -345.63000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1005000.00000000 OU Notional Amount 7064.26000000 0.001035282586 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 6.58000000 GBP 0.00000000 GBP 1005000.00000000 GBP 7056.00000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 150000.00000000 PA USD 126760.90000000 0.018577084140 Long DBT CORP US N 2 2031-03-25 Fixed 2.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9000000.00000000 OU Notional Amount 5350.99000000 0.000784199161 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 100.13000000 THB 0.00000000 THB 9000000.00000000 THB 5348.16000000 N N N UMBS, TBA N/A 01F060667 309500.00000000 PA USD 306525.93000000 0.044922038205 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.00000000 N N N N N N BlackRock Funds III 5493008LW2651I1QB503 066922519 11953620.73000000 NS USD 11957206.81000000 1.752354527238 Long STIV RF US N 1 N N Velocity Commercial Capital Loan Trust N/A 92260AAB5 148260.06000000 PA USD 147687.14000000 0.021643869885 Long ABS-MBS CORP US N 2 2053-05-25 Variable 7.03000000 N N N N N N BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 000000000 69168.00000000 OU Notional Amount USD 2618.35000000 0.000383724857 N/A DCR US N 2 BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 Colombia Government International Bonds Colombia Government International Bonds Y buy protection 2029-06-20 2432.12000000 USD 0.00000000 USD 69168.00000000 USD 186.23000000 N N N Affirm Inc N/A 00834KAD9 300000.00000000 PA USD 307722.66000000 0.045097421576 Long ABS-O CORP US N 2 2028-11-15 Fixed 9.55000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BG7 100000.00000000 PA USD 101586.14000000 0.014887668597 Long DBT CORP US N 2 2032-11-15 Fixed 6.10000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 160000.00000000 OU Notional Amount 2071.45000000 0.000303575479 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-03-15 27.10000000 EUR 0.00000000 EUR 160000.00000000 EUR 2042.17000000 N N N NORFOLK SOUTHERN CORP 54930036C8MWP850MI84 655844CH9 214000.00000000 PA USD 132178.60000000 0.019371059796 Long DBT CORP US N 2 2055-05-15 Fixed 3.16000000 N N N N N N TOTALENERGIES CAPITAL SA 529900QI55ZLJVCMPA71 89157XAB7 320000.00000000 PA USD 311367.34000000 0.045631557315 Long DBT CORP FR N 2 2054-04-05 Fixed 5.49000000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 31428XCA2 80000.00000000 PA USD 72225.18000000 0.010584756387 Long DBT CORP US N 2 2050-05-15 Fixed 5.25000000 N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -186.19000000 -0.00002728654 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 53112.14000000 USD 1000000.00000000 ZAR 2024-06-20 -186.19000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXM1 350000.00000000 PA USD 324453.48000000 0.047549359444 Long DBT CORP US N 2 2026-12-09 Fixed 1.09000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAM7 45000.00000000 PA USD 38910.14000000 0.005702365198 Long DBT CORP US N 2 2052-06-15 Fixed 5.00000000 N N N N N N MT SINAI HOSPITAL 549300IJEDK5LH7YPT15 623115AE2 100000.00000000 PA USD 71995.66000000 0.010551119734 Long DBT CORP US N 2 2049-07-01 Fixed 3.74000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -2310.73000000 -0.00033864248 N/A DFE ID N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 98729.72000000 USD 1570000000.00000000 IDR 2024-06-20 -2310.73000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 6886.77000000 0.001009271042 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3800000.00000000 NOK 349385.37000000 USD 2024-06-20 6886.77000000 N N N Extended Stay America Trust N/A 30227FAA8 137138.31000000 PA USD 136966.89000000 0.020072794055 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.52000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCD3 60000.00000000 PA USD 49856.72000000 0.007306610180 Long DBT CORP US N 2 2030-03-01 Fixed 4.75000000 N N N N N N SMYRNA READY MIX CONCRET 549300S7RFWHQFOIOY93 83283WAE3 100000.00000000 PA USD 105314.34000000 0.015434044372 Long DBT CORP US N 2 2031-11-15 Fixed 8.88000000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585ABE1 30000.00000000 PA USD 23847.58000000 0.003494914442 Long DBT CORP US N 2 2048-04-01 Fixed 4.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 2153.11000000 0.000315542928 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 220000.00000000 CHF 242776.46000000 USD 2024-06-20 2153.11000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 132.47000000 0.000019413765 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 9348.52000000 USD 37273209.60000000 COP 2024-05-16 132.47000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1078.93000000 0.000158119525 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 213040.00000000 PEN 57659.88000000 USD 2024-05-16 1078.93000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 250000.00000000 OU Notional Amount 4804.38000000 0.000704092283 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI) 2034-03-15 284.44000000 GBP 0.00000000 GBP 250000.00000000 GBP 4442.53000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2000000.00000000 OU Notional Amount -13451.71000000 -0.00197137720 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 4190.30000000 GBP 0.00000000 GBP 2000000.00000000 GBP -18627.36000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 -105000.00000000 OU Notional Amount USD -79.38000000 -0.00001163331 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 N/A 1.00000000 NC USD -79.38000000 0.00000000 DFE CN -105000.00000000 USD -768600.00000000 CNY 2024-05-20 1.00000000 7.32000000 USD 2024-05-20 XXXX 45.99000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -2226.55000000 -0.00032630571 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 64000000.00000000 HUF 171845.80000000 USD 2024-06-20 -2226.55000000 N N N IDEX CORP 549300U5Y5EL6PHYLF13 45167RAH7 645000.00000000 PA USD 530768.30000000 0.077785242674 Long DBT CORP US N 2 2031-06-15 Fixed 2.63000000 N N N N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 91153LAA5 129000.00000000 PA USD 126891.87000000 0.018596278077 Long DBT CORP US N 2 2025-11-15 Fixed 5.50000000 N N N N N N FRONTIER COMMUNICATIONS N/A 35908MAE0 11000.00000000 PA USD 11109.70000000 0.001628150570 Long DBT CORP US N 2 2031-03-15 Fixed 8.63000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCD2 120000.00000000 PA USD 101311.58000000 0.014847431235 Long DBT CORP US N 2 2043-03-15 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPBG2 475110.46000000 PA USD 393715.29000000 0.057699827546 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8XH3 962150.28000000 PA USD 835239.45000000 0.122406148425 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80285UAE1 300000.00000000 PA USD 296464.83000000 0.043447562233 Long ABS-O CORP US N 2 2027-08-16 Fixed 4.13000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 107997.00000000 OU Notional Amount USD 2182.69000000 0.000319877941 N/A DCR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Brazil Government International Bonds Brazil Government International Bonds Y buy protection 2029-06-20 1778.48000000 USD 0.00000000 USD 107997.00000000 USD 404.21000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZM9 548000.00000000 PA USD 455906.22000000 0.066814042887 Long DBT CORP US N 2 2033-02-24 Fixed 3.10000000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CL1 39000.00000000 PA USD 30777.82000000 0.004510556108 Long DBT CORP US N 2 2044-05-15 Fixed 4.13000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1622.59000000 0.000237794074 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 8100000.00000000 ZAR 430322.80000000 USD 2024-06-20 1622.59000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 17000000.00000000 OU Notional Amount -538.00000000 -0.00007884506 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 158.19000000 MXN 0.00000000 MXN 17000000.00000000 MXN -547.30000000 N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451AZ1 235000.00000000 PA USD 230596.72000000 0.033794448208 Long DBT CORP AU N 2 2028-02-28 Fixed 4.75000000 N N N N N N ENERGY TRANSFER LP 5493006LL0CKP8WQW329 86765BAQ2 85000.00000000 PA USD 74593.65000000 0.010931860789 Long DBT CORP US N 2 2045-05-15 Fixed 5.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTH36 75023.15000000 PA USD 75788.70000000 0.011106997952 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.50000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAH3 15000.00000000 PA USD 13962.86000000 0.002046287341 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H062669 220000.00000000 PA USD 222195.27000000 0.032563197534 Long ABS-MBS USGA US N 2 2054-06-20 Fixed 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QN1 3438000.00000000 PA USD 3409126.16000000 0.499614814340 Long DBT UST US N 2 2041-02-15 Fixed 4.75000000 N N N N N N Ajax Mortgage Loan Trust N/A 009926AA4 229675.66000000 PA USD 213992.97000000 0.031361132724 Long ABS-MBS CORP US N 2 2063-05-25 Variable 3.50000000 N N N N N N CISCO SYSTEMS INC 549300LKFJ962MZ46593 17275RBS0 247000.00000000 PA USD 242938.12000000 0.035603107078 Long DBT CORP US N 2 2031-02-26 Fixed 4.95000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -1639.67000000 -0.00024029718 N/A DFE CZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 133194.98000000 USD 3100000.00000000 CZK 2024-06-20 -1639.67000000 N N N United States Treasury 254900HROIFWPRGM1V77 9128284V9 15000000.00000000 PA USD 13905468.75000000 2.037876529580 Long DBT UST US N 2 2028-08-15 Fixed 2.88000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AF6 49000.00000000 PA USD 42731.39000000 0.006262377653 Long DBT CORP US N 2 2029-12-15 Fixed 2.90000000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 000000000 15000.00000000 OU Notional Amount USD 868.85000000 0.000127331847 N/A DCR US N 2 MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Republic of South Africa Government International Bonds Republic of South Africa Government International Bonds Y buy protection 2029-06-20 964.27000000 USD 0.00000000 USD 15000.00000000 USD -95.42000000 N N N HIG RCP Trust N/A 40443GAA3 250893.50000000 PA USD 250380.30000000 0.036693774658 Long ABS-CBDO CORP US N 2 2038-09-19 Floating 7.59000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KZ3 430000.00000000 PA USD 389218.46000000 0.057040807381 Long DBT CORP US N 2 2053-02-06 Fixed 5.10000000 N N N N N N Pfizer Inc 765LHXWGK1KXCLTFYQ30 717081EK5 68000.00000000 PA USD 54957.54000000 0.008054146386 Long DBT CORP US N 2 2048-09-15 Fixed 4.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 95000000.00000000 OU Notional Amount 9876.40000000 0.001447407787 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 1060.47000000 TWD 0.00000000 TWD 95000000.00000000 TWD 9843.76000000 N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EM8 295000.00000000 PA USD 181113.02000000 0.026542504916 Long DBT CORP US N 2 2050-06-15 Fixed 2.90000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0MD8 325064.41000000 PA USD 336441.66000000 0.049306253159 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 8.69000000 N N N N N N BX Trust N/A 05612FAG0 56000.00000000 PA USD 55720.90000000 0.008166018446 Long ABS-MBS CORP US N 2 2041-03-15 Floating 10.71000000 N N N N N N Pikes Peak CLO 635400BKNXKWEO3G2J74 72132YAL9 250000.00000000 PA USD 250586.75000000 0.036724030353 Long ABS-CBDO CORP KY N 2 2034-05-18 Floating 6.75000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8J4 20000.00000000 PA USD 16650.74000000 0.002440201970 Long DBT CORP US N 2 2052-08-15 Fixed 4.45000000 N N N N N N 280 Park Avenue Mortgage Trust N/A 90205FAN0 138458.00000000 PA USD 124629.48000000 0.018264719927 Long ABS-MBS CORP US N 2 2034-09-15 Floating 7.74000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 05530QAN0 200000.00000000 PA USD 185711.83000000 0.027216470471 Long DBT CORP GB N 2 2026-03-25 Fixed 1.67000000 N N N N N N PACKAGING CORP OF AMERIC 549300XZP8MFZFY8TJ84 695156AX7 200000.00000000 PA USD 199235.05000000 0.029198327619 Long DBT CORP US N 2 2033-12-01 Fixed 5.70000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 -860000.00000000 OU Notional Amount USD -0.01000000 -0.00000000146 N/A DIR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written CITIBANK NA E57ODZWZ7FF32TWEFA76 CITIBANK NA E57ODZWZ7FF32TWEFA76 N/A 860000.00000000 OU Notional Amount N/A -0.01000000 0.00000000 DIR US N/A N/A 2034-05-07 0.00000000 N/A 0.00000000 N/A 860000.00000000 USD 1.00000000 3.78000000 USD 2024-05-03 XXXX 2322.91000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -4751.01000000 -0.00069627079 N/A DFE NZ N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 199202.85000000 USD 330000.00000000 NZD 2024-06-20 -4751.01000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 181.18000000 0.000026552320 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 144452.00000000 BRL 28000.00000000 USD 2024-05-03 181.18000000 N N N USA COM PART/USA COM FIN N/A 91740PAG3 117000.00000000 PA USD 116251.70000000 0.017036938143 Long DBT CORP US N 2 2029-03-15 Fixed 7.13000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADG7 75000.00000000 PA USD 70412.14000000 0.010319051452 Long DBT CORP US N 2 2055-01-15 Fixed 5.50000000 N N N N N N Uruguay Government International Bonds 549300RDR012H2V82H43 760942BA9 30000.00000000 PA USD 27285.00000000 0.003998675780 Long DBT NUSS UY N 2 2050-06-18 Fixed 5.10000000 N N N N N N VERISIGN INC LMPL4N8ZOJRMF0KOF759 92343EAM4 310000.00000000 PA USD 254195.24000000 0.037252862369 Long DBT CORP US N 2 2031-06-15 Fixed 2.70000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 240000.00000000 OU Notional Amount USD 868.85000000 0.000127331847 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 251.23000000 USD 0.00000000 USD 240000.00000000 USD 617.62000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11300000.00000000 OU Notional Amount -214079.63000000 -0.03137383293 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-06-19 0.00000000 EUR -27404.88000000 EUR 11300000.00000000 EUR -184237.09000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -258.73000000 -0.00003791744 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 84780.54000000 EUR 90539.66000000 USD 2024-07-24 -258.73000000 N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AE5 80000.00000000 PA USD 77772.76000000 0.011397766238 Long DBT CORP US N 2 2027-05-15 Fixed 4.65000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLS6 110000.00000000 PA USD 110647.20000000 0.016215586543 Long DBT CORP US N 2 2029-09-15 Fixed 5.82000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -14284.93000000 -0.00209348739 N/A DFE NZ N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1216350.82000000 USD 2040000.00000000 NZD 2024-06-20 -14284.93000000 N N N Nelnet Student Loan Trust N/A 64035DAE6 100000.00000000 PA USD 80911.26000000 0.011857720203 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.85000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 59.54000000 0.000008725715 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 130765.60000000 ZAR 7000.00000000 USD 2024-05-16 59.54000000 N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GL5 110000.00000000 PA USD 107235.48000000 0.015715591596 Long DBT CORP US N 2 2033-04-01 Fixed 5.10000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 26300000.00000000 OU Notional Amount 203873.60000000 0.029878117157 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-06-19 25411.71000000 GBP 0.00000000 GBP 26300000.00000000 GBP 171459.71000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AS5 405000.00000000 PA USD 399022.90000000 0.058477669274 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJK8 312000.00000000 PA USD 309635.63000000 0.045377771468 Long DBT UST US N 2 2026-11-15 Fixed 4.63000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAM8 45000.00000000 PA USD 40558.25000000 0.005943899284 Long DBT CORP US N 2 2045-07-15 Fixed 5.20000000 N N N N N N Navient Student Loan Trust N/A 63941KAC9 332120.72000000 PA USD 335590.45000000 0.049181506492 Long ABS-O CORP US N 2 2068-11-15 Floating 7.04000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 4353.17000000 0.000637966481 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 690000.00000000 BRL 136628.47000000 USD 2024-06-20 4353.17000000 N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AV7 20000.00000000 PA USD 16174.73000000 0.002370441675 Long DBT CORP US N 2 2031-10-01 Fixed 2.10000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 121.59000000 0.000017819277 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1200000.00000000 ZAR 63632.73000000 USD 2024-06-20 121.59000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -65.39000000 -0.00000958304 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 21000.00000000 USD 78823.50000000 PEN 2024-05-16 -65.39000000 N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 28368EAD8 20000.00000000 PA USD 22204.65000000 0.003254139496 Long DBT CORP US N 2 2031-08-01 Fixed 7.80000000 N N N N N N ENLINK MIDSTREAM PARTNER 88CPW63VL7KHJWS0NY83 29336UAD9 122000.00000000 PA USD 98116.97000000 0.014379254228 Long DBT CORP US N 2 2045-04-01 Fixed 5.05000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3070000.00000000 OU Notional Amount 42230.73000000 0.006189004847 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 17928.68000000 GBP 0.00000000 GBP 3070000.00000000 GBP 19713.20000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -1848.45000000 -0.00027089434 N/A DFE PL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 88086.61000000 USD 350000.00000000 PLN 2024-06-20 -1848.45000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDW8 802000.00000000 PA USD 456225.68000000 0.066860860441 Long DBT CORP US N 2 2063-11-01 Fixed 2.99000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8R6 300000.00000000 PA USD 298961.57000000 0.043813464882 Long DBT CORP US N 2 2063-05-15 Fixed 5.75000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDH6 425000.00000000 PA USD 404067.26000000 0.059216931146 Long DBT CORP US N 2 2033-07-25 Fixed 4.91000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAK0 35000.00000000 PA USD 33493.82000000 0.004908591784 Long DBT CORP US N 2 2043-11-15 Fixed 5.80000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1000000.00000000 OU Notional Amount USD 10058.25000000 0.001474058298 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 2046.70000000 USD 0.00000000 USD 1000000.00000000 USD 8011.55000000 N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XAY0 50000.00000000 PA USD 46641.98000000 0.006835483078 Long DBT CORP US N 2 2027-12-01 Fixed 3.63000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLH0 180000.00000000 PA USD 173382.07000000 0.025409517467 Long DBT CORP US N 2 2034-04-25 Fixed 5.29000000 N N N N N N Regatta XVIII Funding Ltd N/A 75884EAA0 500000.00000000 PA USD 500638.95000000 0.073369721247 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 6.69000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAL5 25000.00000000 PA USD 23505.58000000 0.003444793602 Long DBT US N 2 2029-02-15 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGX61 180349.83000000 PA USD 166577.71000000 0.024412323788 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 2.50000000 N N N N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 136385AY7 220000.00000000 PA USD 187902.45000000 0.027537510571 Long DBT CORP CA N 2 2047-06-01 Fixed 4.95000000 N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 6913.87000000 0.001013242606 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 325000000.00000000 KRW 241954.10000000 USD 2024-06-20 6913.87000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -3929.50000000 -0.00057587672 N/A DFE BR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 103000.00000000 USD 514433.50000000 BRL 2024-05-03 -3929.50000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 260000.00000000 OU Notional Amount 4932.38000000 0.000722850960 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 248.89000000 GBP 0.00000000 GBP 260000.00000000 GBP 4614.91000000 N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBQ3 134000.00000000 PA USD 113384.54000000 0.016616749642 Long DBT CORP US N 2 2045-08-15 Fixed 4.60000000 N N N N N N Bay Area Toll Authority 5493001FUZGUQMIP5D78 072024ND0 100000.00000000 PA USD 105020.60000000 0.015390996140 Long DBT MUN US N 2 2049-04-01 Fixed 6.26000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCY5 3173300.00000000 PA USD 2733624.40000000 0.400618569974 Long DBT UST US N 2 2028-09-30 Fixed 1.25000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 311.91000000 0.000045711085 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 74000000.00000000 HUF 201583.06000000 USD 2024-06-20 311.91000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEA6 251000.00000000 PA USD 153784.11000000 0.022537394030 Long DBT CORP US N 2 2060-05-15 Fixed 3.13000000 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89788MAP7 155000.00000000 PA USD 152087.18000000 0.022288705267 Long DBT CORP US N 2 2034-06-08 Fixed 5.87000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 100000.00000000 PA USD 89988.98000000 0.013188079708 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBT6 168000.00000000 PA USD 140414.81000000 0.020578094190 Long DBT CORP US N 2 2052-03-14 Fixed 4.95000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CL1 675000.00000000 PA USD 528694.01000000 0.077481250986 Long DBT CORP US N 2 2052-03-15 Fixed 4.63000000 N N N N N N Fannie Mae - CAS N/A 20753VCZ9 1250000.00000000 PA USD 1332045.38000000 0.195214132298 Long ABS-MBS USGSE US N 2 2040-02-25 Floating 9.09000000 N N N N N N Fannie Mae - CAS N/A 20755DAA4 454188.02000000 PA USD 466678.19000000 0.068392698395 Long ABS-MBS USGSE US N 2 2042-07-25 Floating 7.88000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAG9 40000.00000000 PA USD 32159.57000000 0.004713054560 Long DBT CORP US N 2 2040-04-01 Fixed 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1396.74000000 0.000204695268 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3963100.00000000 MXN 230979.67000000 USD 2024-06-20 1396.74000000 N N N Santander Drive Auto Receivables Trust N/A 80287HAD0 195000.00000000 PA USD 193507.33000000 0.028358917861 Long ABS-O CORP US N 2 2027-03-15 Fixed 4.43000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1150000.00000000 OU Notional Amount 8053.69000000 0.001180285693 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 7.54000000 EUR 0.00000000 EUR 1150000.00000000 EUR 8045.60000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1341.79000000 0.000196642227 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 99000000.00000000 CLP 104412.89000000 USD 2024-06-21 1341.79000000 N N N EAGLE MATERIALS 529900KRXRGXL61SG039 26969PAB4 295000.00000000 PA USD 241707.80000000 0.035422801021 Long DBT CORP US N 2 2031-07-01 Fixed 2.50000000 N N N N N N Freddie Mac - STACR 5493000ISHRHX47NOH65 35564KJP5 700000.00000000 PA USD 701316.00000000 0.102779377086 Long ABS-MBS USGSE US N 2 2041-09-25 Floating 7.43000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBR1 20000.00000000 PA USD 18701.58000000 0.002740757009 Long DBT CORP US N 2 2029-04-15 Fixed 4.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 580000.00000000 OU Notional Amount USD 8194.21000000 0.001200879203 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 0.00000000 USD -1036.47000000 USD 580000.00000000 USD 9230.68000000 N N N Countrywide Asset-Backed Certificates N/A 12666TAD8 265587.43000000 PA USD 249796.32000000 0.036608191126 Long ABS-O CORP US N 2 2035-12-25 Variable 6.30000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKD3 125000.00000000 PA USD 87825.71000000 0.012871047810 Long DBT CORP US N 2 2043-02-01 Fixed 3.10000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 86000.00000000 OU Notional Amount USD -2575.24000000 -0.00037740699 N/A DCR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 American Electric Power Co., Inc. American Electric Power Co., Inc. Y buy protection 2029-06-20 0.00000000 USD -2440.07000000 USD 86000.00000000 USD -135.17000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 56868.92000000 0.008334263261 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 214384157.00000000 JPY 1426300.00000000 USD 2024-06-20 56868.92000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EMN23 173791.58000000 PA USD 159514.40000000 0.023377180426 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.00000000 N N N N N N Panama Government International Bonds 549300SHS4T08CL0LP14 698299BR4 200000.00000000 PA USD 149312.50000000 0.021882069910 Long DBT NUSS PA N 2 2033-01-19 Fixed 3.30000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 260.93000000 0.000038239856 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 20000.00000000 GBP 25258.30000000 USD 2024-06-20 260.93000000 N N N Anchorage Capital CLO LTD 54930064GO7DB3TVDY21 03328QBN0 250000.00000000 PA USD 250655.58000000 0.036734117538 Long ABS-CBDO CORP KY N 2 2034-04-22 Floating 7.42000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKZB9 521459.74000000 PA USD 456856.11000000 0.066953251321 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.50000000 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AN1 480000.00000000 PA USD 460293.53000000 0.067457012659 Long DBT CORP US N 2 2054-03-05 Fixed 5.90000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount 1042.53000000 0.000152785026 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 33.45000000 PLN 0.00000000 PLN 3000000.00000000 PLN 1034.30000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -2122.01000000 -0.00031098515 N/A DFE SE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 220373.94000000 USD 2400000.00000000 SEK 2024-06-20 -2122.01000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -608.33000000 -0.00008915207 N/A DFE MX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 91873.71000000 USD 1566677.43000000 MXN 2024-05-16 -608.33000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030658 4367000.00000000 PA USD 3714518.93000000 0.544370785496 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 3.00000000 N N N N N N Chicago Transit Authority Sales & Transfer Tax Receipts Revenue 549300CB8XLRGIPN3E12 167725AF7 48515.22000000 PA USD 52783.89000000 0.007735593276 Long DBT MUN US N 2 2040-12-01 Fixed 6.90000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 361.15000000 0.000052927313 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 107169.30000000 BRL 21000.00000000 USD 2024-05-03 361.15000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CHT1 3095000.00000000 PA USD 2905431.25000000 0.425797235543 Long DBT UST US N 2 2033-08-15 Fixed 3.88000000 N N N N N N VALARIS LTD N/A 91889FAC5 170000.00000000 PA USD 174830.48000000 0.025621785087 Long DBT CORP BM N 2 2030-04-30 Fixed 8.38000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1880000.00000000 OU Notional Amount USD 57349.40000000 0.008404678644 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-06-20 838.99000000 USD 0.00000000 USD 1880000.00000000 USD 56510.41000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SX7 1201600.00000000 PA USD 758040.63000000 0.111092494335 Long DBT UST US N 2 2051-05-15 Fixed 2.38000000 N N N N N N Booking Holdings Inc FXM8FAOHMYDIPD38UZ17 741503BC9 20000.00000000 PA USD 18787.03000000 0.002753279891 Long DBT CORP US N 2 2028-03-15 Fixed 3.55000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBS0 542000.00000000 PA USD 507242.68000000 0.074337512165 Long DBT CORP US N 2 2031-02-01 Fixed 4.88000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -547.01000000 -0.00008016549 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 23000000.00000000 INR 274477.75000000 USD 2024-06-20 -547.01000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CFK2 2723000.00000000 PA USD 2662477.08000000 0.390191776302 Long DBT UST US N 2 2025-09-15 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TN8 771000.00000000 PA USD 629931.10000000 0.092317765551 Long DBT UST US N 2 2053-02-15 Fixed 3.63000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1080.75000000 0.000158386250 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 23000000.00000000 JPY 147998.86000000 USD 2024-06-20 1080.75000000 N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAN9 1229000.00000000 PA USD 1116208.40000000 0.163582755919 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59261A2M8 45000.00000000 PA USD 44998.60000000 0.006594642183 Long DBT MUN US N 2 2049-11-15 Fixed 5.18000000 N N N N N N Westlake Automobile Receivables Trust N/A 96041CAN2 180000.00000000 PA USD 180238.70000000 0.026414371428 Long ABS-O CORP US N 2 2029-03-15 Fixed 6.47000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCQ5 38000.00000000 PA USD 34464.11000000 0.005050789883 Long DBT CORP US N 2 2034-11-01 Fixed 4.40000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFS3 100000.00000000 PA USD 97981.35000000 0.014359378823 Long DBT CORP US N 2 2025-08-01 Fixed 3.88000000 N N N N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 111021AE1 20000.00000000 PA USD 23907.47000000 0.003503691451 Long DBT CORP GB N 2 2030-12-15 Fixed 9.63000000 N N N N N N VEDANTA UK INVESTMENTS 2138007MYEKPEAZQTW83 92241TAM4 8460.00000000 PA USD 7516.18000000 0.001101512440 Long DBT CORP GB N 2 2028-12-09 Fixed 13.88000000 N N N N N N IRON MOUNTAIN INC SQL3F6CKNNBM3SQGHX24 46284VAP6 158000.00000000 PA USD 158899.34000000 0.023287042053 Long DBT US N 2 2029-02-15 Fixed 7.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5000000.00000000 OU Notional Amount 2604.69000000 0.000381722954 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 55.75000000 CNY 0.00000000 CNY 5000000.00000000 CNY 2596.99000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAJ8 30000.00000000 PA USD 33078.32000000 0.004847699360 Long DBT CORP US N 2 2038-07-01 Fixed 7.50000000 N N N N N N KODIAK GAS SERVICES LLC 549300ZQBRWEUOVOM131 50012LAC8 45000.00000000 PA USD 45324.51000000 0.006642404999 Long DBT CORP US N 2 2029-02-15 Fixed 7.25000000 N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAE1 615000.00000000 PA USD 479555.86000000 0.070279948794 Long DBT UST US N 2 2030-08-15 Fixed 0.63000000 N N N N N N 3650R Commercial Mortgage Trust N/A 88575JAW8 300000.00000000 PA USD 288101.94000000 0.042221962611 Long ABS-MBS CORP US N 2 2055-11-15 Variable 5.47000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -16262.66000000 -0.00238332800 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 373976.32000000 USD 56000000.00000000 JPY 2024-06-20 -16262.66000000 N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BJ2 260000.00000000 PA USD 214989.64000000 0.031507196868 Long DBT CORP US N 2 2030-05-04 Fixed 1.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2L6 225000.00000000 PA USD 211421.10000000 0.030984219611 Long DBT CORP US N 2 2031-04-04 Fixed 4.48000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BE1 106000.00000000 PA USD 90843.98000000 0.013313381808 Long DBT CORP US N 2 2044-10-01 Fixed 4.95000000 N N N N N N STAR PARENT INC 254900GRGCJYRMDRWT73 855170AA4 5000.00000000 PA USD 5230.25000000 0.000766504453 Long DBT CORP US N 2 2030-10-01 Fixed 9.00000000 N N N N N N LYB INT FINANCE III 984500A51LA0B8EB4053 50249AAK9 100000.00000000 PA USD 65944.05000000 0.009664243196 Long DBT CORP US N 2 2060-10-01 Fixed 3.80000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 338310000.00000000 OU Notional Amount -122.26000000 -0.00001791746 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 3773.00000000 KRW 0.00000000 KRW 338310000.00000000 KRW -124.99000000 N N N BX Trust N/A 05612HAJ0 100000.00000000 PA USD 99875.00000000 0.014636897328 Long ABS-MBS CORP US N 2 2029-04-15 Floating 9.01000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -161.87000000 -0.00002372239 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 56000.00000000 USD 219520000.00000000 COP 2024-05-16 -161.87000000 N N N STANLEY BLACK & DECKER I 549300DJ09SMTO561131 854502AL5 65000.00000000 PA USD 53948.09000000 0.007906209305 Long DBT CORP US N 2 2030-03-15 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XNAQ7 115636.43000000 PA USD 117803.73000000 0.017264391498 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.50000000 N N N N N N Taubman Centers Commercial Mortgage Trust N/A 87666YAA5 174000.00000000 PA USD 174978.75000000 0.025643514376 Long ABS-MBS CORP US N 2 2037-05-15 Floating 7.51000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12580000.00000000 OU Notional Amount -11880.00000000 -0.00174103970 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 140.27000000 CZK 0.00000000 CZK 12580000.00000000 CZK -11886.01000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -3128.81000000 -0.00045853387 N/A DFE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 378089.40000000 USD 300000.00000000 GBP 2024-06-20 -3128.81000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 4884.38000000 0.000715816456 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 160000.00000000 GBP 204863.36000000 USD 2024-06-20 4884.38000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DQ70 918022.10000000 PA USD 699830.29000000 0.102561643071 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.00000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703DBL4 20000.00000000 PA USD 20146.25000000 0.002952476523 Long DBT CORP US N 2 2033-02-01 Fixed 5.75000000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 913017CY3 70000.00000000 PA USD 66518.95000000 0.009748496035 Long DBT CORP US N 2 2028-11-16 Fixed 4.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CMUX0 21406.67000000 PA USD 22112.72000000 0.003240666956 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 7.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -331.00000000 -0.00004850876 N/A DFE AU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 156029.28000000 USD 240000.00000000 AUD 2024-06-20 -331.00000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175CA0 402000.00000000 PA USD 241761.51000000 0.035430672337 Long DBT CORP US N 2 2052-06-01 Fixed 3.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ3S7 65951.78000000 PA USD 58063.35000000 0.008509309561 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DN7 160000.00000000 PA USD 159546.31000000 0.023381856906 Long DBT CORP US N 2 2026-03-02 Fixed 5.51000000 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CL6 65000.00000000 PA USD 56586.38000000 0.008292856412 Long DBT CORP US N 2 2030-04-15 Fixed 2.88000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CV5 150000.00000000 PA USD 136184.75000000 0.019958169746 Long DBT CORP US N 2 2040-05-01 Fixed 5.71000000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DF1 60000.00000000 PA USD 57234.93000000 0.008387902818 Long DBT CORP US N 2 2051-01-15 Fixed 4.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 71000.00000000 OU Notional Amount USD 911.00000000 0.000133509020 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 911.00000000 0.00000000 DFE US 1292200.00000000 ZAR 71000.00000000 USD 2024-08-15 1.00000000 18.20000000 USD 2024-08-15 XXXX -51.90000000 N N N Santander Drive Auto Receivables Trust N/A 80286FAD5 300000.00000000 PA USD 296448.30000000 0.043445139726 Long ABS-O CORP US N 2 2027-11-15 Fixed 4.42000000 N N N N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451BF4 420000.00000000 PA USD 406033.10000000 0.059505029251 Long DBT CORP AU N 2 2053-09-08 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TX6 30000.00000000 PA USD 27464.06000000 0.004024917411 Long DBT UST US N 2 2054-02-15 Fixed 4.25000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 29000.00000000 OU Notional Amount USD 2283.05000000 0.000334585916 N/A DFE KY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 2283.05000000 0.00000000 DFE US 1232500.00000000 TRY 29000.00000000 USD 2024-12-06 1.00000000 42.50000000 USD 2024-12-06 XXXX 739.87000000 N N N CONOCOPHILLIPS COMPANY 6VJJ5GQWIRDQ06DUXG89 20826FAV8 5000.00000000 PA USD 3675.00000000 0.000538579200 Long DBT CORP US N 2 2052-03-15 Fixed 3.80000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312VAS7 27181.98000000 PA USD 24223.81000000 0.003550051763 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.93000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -46.28000000 -0.00000678243 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 7814.00000000 USD 317178.00000000 TRY 2024-12-04 -46.28000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MBJ3 210000.00000000 PA USD 204821.61000000 0.030017050073 Long DBT CORP IE N 2 2029-01-19 Fixed 5.10000000 N N N N N N JBS USA HOLD/FOOD/LUX CO N/A 46590XAY2 25000.00000000 PA USD 23909.30000000 0.003503959642 Long DBT CORP LU N 2 2033-04-01 Fixed 5.75000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBC8 500000.00000000 PA USD 450894.99000000 0.066079636288 Long DBT CORP US N 2 2027-06-10 Fixed 1.70000000 N N N N N N BELGIUM KINGDOM 549300SZ25JZFHRHWD76 000000000 1231200.00000000 PA 1260438.00000000 0.184719915838 Long DBT NUSS BE N 2 2054-06-22 Fixed 3.30000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1126.77000000 0.000165130581 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 130000.00000000 GBP 163609.69000000 USD 2024-06-20 1126.77000000 N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAC8 25000.00000000 PA USD 27262.27000000 0.003995344650 Long DBT CORP US N 2 2037-12-15 Fixed 7.77000000 N N N N N N ASTRAZENECA FINANCE LLC 549300C3HATU4Q460S18 04636NAE3 150000.00000000 PA USD 131297.87000000 0.019241986909 Long DBT CORP US N 2 2028-05-28 Fixed 1.75000000 N N N N N N FMG RESOURCES AUG 2006 549300EFD6S2NFE9D745 30251GBE6 49000.00000000 PA USD 47446.47000000 0.006953382828 Long DBT CORP AU N 2 2032-04-15 Fixed 6.13000000 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBU3 265000.00000000 PA USD 267755.75000000 0.039240184447 Long DBT CORP US N 2 2030-01-03 Fixed 6.85000000 N N N N N N MAIN STREET CAPITAL CORP 5493001FS9QJLJNF3E20 56035LAH7 150000.00000000 PA USD 151126.58000000 0.022147927259 Long DBT CORP US N 2 2029-03-01 Fixed 6.95000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1757.25000000 0.000257528789 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 160000.00000000 CAD 118074.71000000 USD 2024-06-20 1757.25000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQ6D3 1095898.41000000 PA USD 881412.80000000 0.129172952763 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QT8 2000000.00000000 PA USD 1586718.76000000 0.232537067119 Long DBT UST US N 2 2041-11-15 Fixed 3.13000000 N N N N N N BX Trust N/A 12433YAL1 332500.00000000 PA USD 330006.25000000 0.048363129900 Long ABS-MBS CORP US N 2 2037-10-15 Floating 7.14000000 N N N N N N CHEMOURS CO 549300M1BOLNXL8DOV14 163851AF5 100000.00000000 PA USD 91837.34000000 0.013458960865 Long DBT CORP US N 2 2028-11-15 Fixed 5.75000000 N N N N N AMEREN CORP XRZQ5S7HYJFPHJ78L959 023608AP7 110000.00000000 PA USD 110258.59000000 0.016158634907 Long DBT CORP US N 2 2026-12-01 Fixed 5.70000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -2305.88000000 -0.00033793170 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1247000.00000000 BRL 236748.18000000 USD 2024-06-20 -2305.88000000 N N N KIMCO REALTY OP LLC 549300EA7I6T15IBYS12 49446RAP4 20000.00000000 PA USD 18783.97000000 0.002752831442 Long DBT CORP US N 2 2026-10-01 Fixed 2.80000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAN1 151000.00000000 PA USD 126155.25000000 0.018488324822 Long DBT CORP US N 2 2032-01-31 Fixed 3.25000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AB6 404000.00000000 PA USD 324606.35000000 0.047571762873 Long DBT CORP US N 2 2035-01-15 Fixed 3.30000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1187.44000000 0.000174021901 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 462462.00000000 CNY 66000.00000000 USD 2025-01-27 1187.44000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 43.00000000 NC -6435.02000000 -0.00094306610 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 10 Year Australian Bond Futures XMM4 Comdty 2024-06-17 4848743.43000000 AUD -6435.02000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A6N28 11825.49000000 PA USD 12306.02000000 0.001803473854 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 7.50000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BW5 31000.00000000 PA USD 27752.77000000 0.004067228486 Long DBT CORP US N 2 2044-09-01 Fixed 5.40000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3051.52000000 0.000447206857 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 150000000.00000000 KRW 111531.63000000 USD 2024-06-20 3051.52000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 23880.29000000 0.003499708164 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 31800000.00000000 CZK 1373383.14000000 USD 2024-06-20 23880.29000000 N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AQ0 40000.00000000 PA USD 31219.60000000 0.004575299923 Long DBT CORP CA N 2 2028-09-30 Fixed 11.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 -28894000.00000000 OU Notional Amount USD -63412.22000000 -0.00929319803 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 28894000.00000000 OU Notional Amount N/A -63412.22000000 -0.01000000 DIR US N/A N/A 2025-10-21 0.00000000 N/A 0.00000000 N/A 28894000.00000000 USD 1.00000000 5.10000000 USD 2024-10-17 XXXX -12618.68000000 N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887CK3 74000.00000000 PA USD 54356.95000000 0.007966128622 Long DBT CORP US N 2 2050-05-20 Fixed 3.79000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8000000.00000000 OU Notional Amount 809.84000000 0.000118683804 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 89.23000000 CNY 0.00000000 CNY 8000000.00000000 CNY 797.43000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXG4 273000.00000000 PA USD 234159.33000000 0.034316556411 Long DBT CORP US N 2 2030-02-07 Fixed 2.60000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 57763RAC1 25000.00000000 PA USD 24499.39000000 0.003590438608 Long DBT CORP US N 2 2027-04-15 Fixed 9.25000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAQ5 40000.00000000 PA USD 38606.75000000 0.005657902737 Long DBT CORP US N 2 2032-08-15 Fixed 5.40000000 N N N N N N CFK Trust N/A 12529AAC8 330000.00000000 PA USD 278486.41000000 0.040812785886 Long ABS-MBS CORP US N 2 2039-03-15 Fixed 2.79000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGE5 8300000.00000000 PA USD 8132703.13000000 1.191865238679 Long DBT UST US N 2 2026-01-15 Fixed 3.88000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBD4 500000.00000000 PA USD 485244.54000000 0.071113637156 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XL5C8 493715.94000000 PA USD 480962.57000000 0.070486105188 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.50000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804GF5 44000.00000000 PA USD 26800.16000000 0.003927621429 Long DBT CORP US N 2 2051-11-15 Fixed 2.95000000 N N N N N N SOUTHERN CO GAS CAPITAL E8CD46SWUD2TSN8PA636 8426EPAD0 60000.00000000 PA USD 47604.81000000 0.006976587897 Long DBT CORP US N 2 2031-01-15 Fixed 1.75000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1138.92000000 0.000166911190 N/A DFE CZ N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 363820.97000000 USD 8600000.00000000 CZK 2024-06-20 1138.92000000 N N N Palmer Square Loan Funding Ltd N/A 69690CAQ6 250000.00000000 PA USD 249989.60000000 0.036636516728 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XNUV4 2504605.74000000 PA USD 1900045.86000000 0.278455831503 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CLL46 311922.90000000 PA USD 315503.70000000 0.046237749822 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMB21 37701.20000000 PA USD 34297.60000000 0.005026387482 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 4.00000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XBA6 230000.00000000 PA USD 219571.51000000 0.032178679830 Long DBT CORP US N 2 2054-04-18 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XN6J8 99329.09000000 PA USD 100586.95000000 0.014741235140 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFH3 1078000.00000000 PA USD 1111538.61000000 0.162898388092 Long DBT CORP US N 2 2029-11-01 Fixed 6.41000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFTR2 51351.27000000 PA USD 51126.25000000 0.007492662548 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 5.50000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BT8 660000.00000000 PA USD 625189.16000000 0.091622823985 Long DBT CORP US N 2 2053-03-15 Fixed 5.45000000 N N N N N N ARCHER-DANIELS-MIDLAND C 549300LO13MQ9HYSTR83 039482AE4 20000.00000000 PA USD 18603.66000000 0.002726406621 Long DBT CORP US N 2 2033-08-15 Fixed 4.50000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BE7 72000.00000000 PA USD 59696.13000000 0.008748597003 Long DBT CORP US N 2 2031-04-27 Fixed 2.85000000 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAH0 181000.00000000 PA USD 166814.91000000 0.024447085961 Long DBT CORP US N 2 2029-04-15 Fixed 4.63000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5131.36000000 -0.00075201190 N/A DFE PH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 121012.90000000 USD 6700000.00000000 PHP 2024-06-20 -5131.36000000 N N N TRAVELERS COS INC 549300Y650407RU8B149 89417EAS8 20000.00000000 PA USD 19565.68000000 0.002867392734 Long DBT CORP US N 2 2053-05-25 Fixed 5.45000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount -2734.65000000 -0.00040076887 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.15000000 PLN 0.00000000 PLN 1000000.00000000 PLN -2737.44000000 N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KBJ4 180000.00000000 PA USD 179295.20000000 0.026276099462 Long DBT CORP US N 2 2030-01-09 Fixed 6.17000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -1199.30000000 -0.00017576000 N/A DFE PH N 2 Bank of America NA B4TYDEB6GKMZO031MB27 92866.78000000 USD 5300000.00000000 PHP 2024-06-20 -1199.30000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -81.00000000 NC USD 598295.69000000 0.087681527773 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CME Ultra Long Term U.S. Treasury Bond Futures WNM4 Comdty 2024-06-18 -10290451.94000000 USD 598295.69000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7952478.00000000 OU Notional Amount -1154.32000000 -0.00016916809 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 88.54000000 THB 0.00000000 THB 7952478.00000000 THB -1156.73000000 N N N Ajax Mortgage Loan Trust N/A 009733AA4 46422.68000000 PA USD 44673.51000000 0.006546999540 Long ABS-MBS CORP US N 2 2061-01-25 Variable 2.12000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -905.44000000 -0.00013269419 N/A DFE AU N 2 Bank of America NA B4TYDEB6GKMZO031MB27 130654.00000000 USD 200000.00000000 AUD 2024-06-20 -905.44000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJPM9 494580.56000000 PA USD 459874.95000000 0.067395668854 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQF35 30235.69000000 PA USD 30061.00000000 0.004405504586 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 18000.00000000 PA 17594.81000000 0.002578557471 Long DBT NUSS RO N 2 2028-03-07 Fixed 2.13000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 326.23000000 0.000047809712 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 20000.00000000 CHF 22201.08000000 USD 2024-06-20 326.23000000 N N N BURFORD CAPITAL GLBL FIN 549300JVAOO67CSCH406 12116LAC3 15000.00000000 PA USD 14535.65000000 0.002130230955 Long DBT CORP US N 2 2030-04-15 Fixed 6.88000000 N N N N N N BX Trust N/A 05612FAE5 122000.00000000 PA USD 121544.09000000 0.017812549348 Long ABS-MBS CORP US N 2 2041-03-15 Floating 9.76000000 N N N N N N Chile Government International Bonds 549300FLZTJM5YJF8D34 168863DL9 200000.00000000 PA USD 137375.00000000 0.020132603458 Long DBT NUSS CL N 2 2050-01-25 Fixed 3.50000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BP6 100000.00000000 PA USD 81190.14000000 0.011898590670 Long DBT CORP US N 2 2031-12-15 Fixed 2.38000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACX1 400000.00000000 PA USD 388078.58000000 0.056873755501 Long DBT CORP US N 2 2062-09-15 Fixed 5.80000000 N N N N N N Navient Student Loan Trust N/A 63940YAB2 24955.15000000 PA USD 24031.11000000 0.003521811161 Long ABS-O CORP US N 2 2068-02-15 Fixed 3.13000000 N N N N N N WAMU Asset-Backed Certificates N/A 933631AD5 270694.05000000 PA USD 122647.31000000 0.017974228626 Long ABS-O CORP US N 2 2037-01-25 Floating 5.58000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBP5 57000.00000000 PA USD 51372.24000000 0.007528712915 Long DBT CORP US N 2 2035-08-15 Fixed 4.40000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 950000.00000000 OU Notional Amount -12278.80000000 -0.00179948470 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 10.59000000 SGD 0.00000000 SGD 950000.00000000 SGD -12286.76000000 N N N ONTARIO (PROVINCE OF) C7PVKCRGLG18EBQGZV36 683234DB1 15000.00000000 PA USD 14163.30000000 0.002075662257 Long DBT NUSS CA N 2 2027-05-19 Fixed 3.10000000 N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0LJ6 120861.61000000 PA USD 125998.23000000 0.018465313201 Long ABS-MBS USGSE US N 2 2029-03-25 Floating 9.24000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJF7 84000.00000000 PA USD 67222.91000000 0.009851662896 Long DBT CORP US N 2 2031-07-23 Fixed 1.90000000 N N N N N N Soundview Home Equity Loan Trust N/A 83612QAE8 19068.27000000 PA USD 17038.11000000 0.002496971882 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.78000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -16.05000000 -0.00000235216 N/A DFE PL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 98573.95000000 USD 400000.00000000 PLN 2024-06-20 -16.05000000 N N N Bear Stearns Asset Backed Securities Trust N/A 07387UFW6 197221.41000000 PA USD 175562.61000000 0.025729080322 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.99000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4000000.00000000 OU Notional Amount 11382.83000000 0.001668178363 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 CAD -1756.40000000 CAD 4000000.00000000 CAD 12653.97000000 N N N SREIT Trust N/A 78472UAA6 143529.44000000 PA USD 142542.68000000 0.020889938142 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.17000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 29000.00000000 OU Notional Amount USD 0.00000000 0.000000 N/A DFE US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Call Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 0.00000000 0.00000000 DFE US 559700.00000000 ZAR 29000.00000000 USD 2024-04-30 1.00000000 19.30000000 USD 2024-04-30 XXXX -270.19000000 N N N BX Trust N/A 05608VAA4 164746.29000000 PA USD 163510.69000000 0.023962845372 Long ABS-MBS CORP US N 2 2034-01-15 Floating 6.14000000 N N N N N N Countrywide Alternative Loan Trust N/A 23243VAD2 399786.20000000 PA USD 333975.51000000 0.048944833541 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.93000000 N N N N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 341081FU6 109000.00000000 PA USD 84339.93000000 0.012360199209 Long DBT CORP US N 2 2049-03-01 Fixed 3.99000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XEP7 78000.00000000 PA USD 77489.57000000 0.011356264130 Long DBT CORP US N 2 2034-01-07 Fixed 6.10000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -446.24000000 -0.00006539743 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 175427.85000000 USD 140000.00000000 GBP 2024-06-20 -446.24000000 N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QBZ8 38000.00000000 PA USD 28832.12000000 0.004225409563 Long DBT CORP US N 2 2049-05-01 Fixed 3.85000000 N N N N N N Lehman Brothers Small Balance Commercial N/A 52521VAG7 77557.01000000 PA USD 76550.51000000 0.011218642856 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.83000000 N N N N N N Merit N/A 55293BAP0 250000.00000000 PA USD 247343.75000000 0.036248761686 Long ABS-MBS CORP US N 2 2038-07-15 Floating 8.19000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AN3 24000.00000000 PA USD 16081.04000000 0.002356711203 Long DBT CORP US N 2 2045-01-15 Fixed 4.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H062651 1026000.00000000 PA USD 1038802.92000000 0.152238815360 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 6.50000000 N N N N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 26442UAG9 74000.00000000 PA USD 69417.28000000 0.010173252567 Long DBT CORP US N 2 2028-09-01 Fixed 3.70000000 N N N N N N OVINTIV INC 2549003MEX7YMKLGI239 69047QAD4 147000.00000000 PA USD 158757.49000000 0.023266253628 Long DBT CORP US N 2 2053-07-15 Fixed 7.10000000 N N N N N N FACTSET RESEARCH SYSTEMS 549300ZSJE7NBK6K9P30 303075AA3 320000.00000000 PA USD 297172.90000000 0.043551331424 Long DBT CORP US N 2 2027-03-01 Fixed 2.90000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 8217.50000000 0.001204292403 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 6815000.00000000 THB 192802.78000000 USD 2024-06-20 8217.50000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2646.40000000 0.000387835645 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 9000000.00000000 JPY 60136.09000000 USD 2024-06-20 2646.40000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7860000.00000000 OU Notional Amount -2480.42000000 -0.00036351091 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 87.64000000 CZK 0.00000000 CZK 7860000.00000000 CZK -2484.12000000 N N N AMERIGAS PART/FIN CORP H36E1IF6YS0OBMHM6168 030981AK0 103000.00000000 PA USD 102393.17000000 0.015005940589 Long DBT CORP US N 2 2025-05-20 Fixed 5.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -558.87000000 -0.00008190360 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 12152.48000000 USD 473400.00000000 TRY 2024-12-04 -558.87000000 N N N Freddie Mac - STACR 5493000IRI80KQJUNK40 35564KT58 1030793.65000000 PA USD 1050957.62000000 0.154020112941 Long ABS-MBS USGSE US N 2 2043-04-25 Floating 7.43000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DJ2 30000.00000000 PA USD 15892.66000000 0.002329103706 Long DBT CORP US N 2 2060-05-01 Fixed 2.50000000 N N N N N N Galaxy CLO Ltd 549300QR0537E9AXFW42 36321JAC8 183386.67000000 PA USD 183567.51000000 0.026902215735 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.69000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -3155.54000000 -0.00046245121 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 191290.96000000 USD 290000.00000000 AUD 2024-06-20 -3155.54000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EB90 1406115.98000000 PA USD 1114638.71000000 0.163352714454 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 976.12000000 0.000143052497 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 2000000.00000000 CZK 85850.51000000 USD 2024-06-20 976.12000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -661.87000000 -0.00009699848 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 450000000.00000000 COP 113207.55000000 USD 2024-06-20 -661.87000000 N N N Freddie Mac - STACR 5493000ISMYB8CLVZD05 35564KBS7 635188.17000000 PA USD 650783.75000000 0.095373766523 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 7.58000000 N N N N N N Saluda Grade Alternative Mortgage Trust N/A 795935AA3 100000.00000000 PA USD 100500.27000000 0.014728531999 Long ABS-MBS CORP US N 2 2030-04-25 Variable 7.76000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 222.37000000 0.000032588804 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 240000.00000000 CAD 174698.55000000 USD 2024-06-20 222.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNQL9 1093230.31000000 PA USD 875930.28000000 0.128369477595 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Madison Park Funding Ltd N/A 55821KAC0 250000.00000000 PA USD 249600.85000000 0.036579544575 Long ABS-CBDO CORP KY N 2 2034-07-17 Floating 6.70000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 390.55000000 0.000057235947 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 77599.20000000 PEN 21000.00000000 USD 2024-05-16 390.55000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 155.21000000 0.000022746361 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 317701.78000000 SEK 29000.00000000 USD 2024-05-16 155.21000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -107.36000000 -0.00001573384 N/A DFE TW N 2 UBS AG BFM8T61CT2L1QCEMIK50 43038.32000000 USD 1400000.00000000 TWD 2024-06-20 -107.36000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -6090.84000000 -0.00089262577 N/A DFE SG N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 343833.97000000 USD 460000.00000000 SGD 2024-06-20 -6090.84000000 N N N Extended Stay America Trust N/A 30227FAN0 659178.36000000 PA USD 658354.39000000 0.096483260194 Long ABS-MBS CORP US N 2 2038-07-15 Floating 9.14000000 N N N N N N Argentina Republic Government International Bonds 549300KPBYGYF7HCHO27 040114HX1 24171.00000000 PA USD 14253.34000000 0.002088857813 Long DBT NUSS AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BV4 25000.00000000 PA USD 26272.43000000 0.003850281456 Long DBT CORP US N 2 2029-11-01 Fixed 6.75000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AS2 77000.00000000 PA USD 54126.06000000 0.007932291193 Long DBT CORP US N 2 2051-03-15 Fixed 3.60000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 417.46000000 0.000061179666 N/A DFE CZ N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 84456.93000000 USD 2000000.00000000 CZK 2024-06-20 417.46000000 N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826CAF9 20000.00000000 PA USD 16950.73000000 0.002484166154 Long DBT CORP US N 2 2045-12-14 Fixed 4.30000000 N N N N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XBA5 40000.00000000 PA USD 35042.00000000 0.005135480912 Long DBT CORP US N 2 2052-10-01 Fixed 4.85000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816DP1 465000.00000000 PA USD 459765.73000000 0.067379662427 Long DBT CORP US N 2 2028-02-16 Fixed 5.10000000 N N N N N N Residential Asset Securitization Trust N/A 761143AA4 1088163.23000000 PA USD 311997.94000000 0.045723973109 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.98000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5486.72000000 -0.00080409068 N/A DFE SG N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 196385.01000000 USD 260000.00000000 SGD 2024-06-20 -5486.72000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECR4 333000.00000000 PA USD 328589.79000000 0.048155544623 Long DBT CORP GB N 2 2030-03-12 Fixed 5.69000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CLM45 22195.33000000 PA USD 23049.72000000 0.003377986333 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 7.50000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAN5 81000.00000000 PA USD 80112.57000000 0.011740670455 Long DBT CORP US N 2 2028-03-30 Fixed 5.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount -17357.65000000 -0.00254380116 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 33.45000000 PLN 0.00000000 PLN 3000000.00000000 PLN -17366.18000000 N N N CELANESE US HOLDINGS LLC CD30XVRLT4QO00B1C706 15089QAY0 20000.00000000 PA USD 20644.11000000 0.003025438983 Long DBT CORP US N 2 2033-11-15 Fixed 6.70000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300DT2BKPLXAJ4C66 94989CAZ4 130000.00000000 PA USD 126613.66000000 0.018555505799 Long ABS-MBS CORP US N 2 2048-02-15 Fixed 3.58000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1567.57000000 -0.00022973077 N/A DFE SE N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 119787.36000000 USD 1300000.00000000 SEK 2024-06-20 -1567.57000000 N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833BX7 25000.00000000 PA USD 22531.62000000 0.003302057657 Long DBT CORP US N 2 2046-02-23 Fixed 4.65000000 N N N N N N SAMARCO MINERACAO SA 529900U8HKV15GJC4O60 000000000 43256.00000000 PA USD 39449.47000000 0.005781405176 Long DBT CORP BR N 2 2031-06-30 Fixed 9.50000000 N N Y N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAA9 171000.00000000 PA USD 150939.44000000 0.022120501487 Long DBT CORP US N 2 2033-02-01 Fixed 4.20000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 51.47000000 0.000007543039 N/A DFE CO N 2 Bank of America NA B4TYDEB6GKMZO031MB27 21000.00000000 USD 82761000.00000000 COP 2024-05-16 51.47000000 N N N Countrywide Home Loans N/A 12669GN64 17060.75000000 PA USD 15991.30000000 0.002343559611 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.77000000 N N N N N N Neuberger Berman CLO Ltd 549300IWMW28G8CR9G28 64131WAE7 250000.00000000 PA USD 250217.30000000 0.036669886656 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 6.99000000 N N N N N N ELECTRONIC ARTS INC 549300O7A67PUEYKDL45 285512AF6 25000.00000000 PA USD 15631.07000000 0.002290767126 Long DBT CORP US N 2 2051-02-15 Fixed 2.95000000 N N N N N N AON CORP/AON GLOBAL HOLD N/A 03740LAC6 34000.00000000 PA USD 27755.70000000 0.004067657884 Long DBT CORP US N 2 2031-12-02 Fixed 2.60000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CT4 189000.00000000 PA USD 185062.54000000 0.027121315616 Long DBT CORP US N 2 2031-04-01 Fixed 5.45000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNSY9 463068.40000000 PA USD 385587.86000000 0.056508735096 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAQ2 65000.00000000 PA USD 51346.27000000 0.007524906955 Long DBT CORP US N 2 2051-03-24 Fixed 4.40000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 280000.00000000 OU Notional Amount -358.26000000 -0.00005250377 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 EUR -278.12000000 EUR 280000.00000000 EUR -59.86000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQB54 24807.60000000 PA USD 24656.17000000 0.003613415056 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -5437.10000000 -0.00079681876 N/A DFE NO N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 140633.92000000 USD 1500000.00000000 NOK 2024-06-20 -5437.10000000 N N N KSL Commercial Mortgage Trust N/A 48268TAL6 558000.00000000 PA USD 560092.50000000 0.082082767626 Long ABS-MBS CORP US N 2 2036-12-15 Floating 9.61000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452151LF8 415000.00000000 PA USD 405388.03000000 0.059410492847 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 392000000.00000000 OU Notional Amount 2737.11000000 0.000401129392 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 4364.00000000 KRW 0.00000000 KRW 392000000.00000000 KRW 2733.83000000 N N N TAPESTRY INC 549300LJNVY5SW3VTN33 876030AF4 15000.00000000 PA USD 15668.92000000 0.002296314125 Long DBT CORP US N 2 2033-11-27 Fixed 7.85000000 N N N N N N PRINCIPAL FINANCIAL GRP CUMYEZJOAF02RYZ1JJ85 74251VAU6 110000.00000000 PA USD 102351.52000000 0.014999836691 Long DBT CORP US N 2 2053-03-15 Fixed 5.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -2557.63000000 -0.00037482620 N/A DFE NO N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 74662.60000000 USD 800000.00000000 NOK 2024-06-20 -2557.63000000 N N N CIFC Funding Ltd 549300KEIUMRD7WX5J42 12549QBA2 233684.58000000 PA USD 233933.57000000 0.034283470795 Long ABS-CBDO CORP KY N 2 2031-10-22 Floating 6.79000000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BP2 230000.00000000 PA USD 190109.83000000 0.027861006886 Long DBT CORP US N 2 2031-06-01 Fixed 2.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 271000000.00000000 OU Notional Amount 1668.99000000 0.000244594095 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 3021.00000000 KRW 0.00000000 KRW 271000000.00000000 KRW 1666.76000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 655.14000000 0.000096012184 N/A DFE CZ N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 92706.69000000 USD 2200000.00000000 CZK 2024-06-20 655.14000000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCY3 197000.00000000 PA USD 182910.00000000 0.026805856222 Long DBT CORP US N 2 2035-03-15 Fixed 4.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QF4L0 398127.27000000 PA USD 315918.96000000 0.046298607073 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3263.09000000 0.000478212899 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 25000000.00000000 JPY 162956.69000000 USD 2024-06-20 3263.09000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1088.46000000 0.000159516167 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1600000.00000000 THB 44424.70000000 USD 2024-06-20 1088.46000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 610000.00000000 OU Notional Amount 7355.57000000 0.001077974697 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI) 2034-04-15 264.62000000 GBP 0.00000000 GBP 610000.00000000 GBP 7020.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9SS5 588218.07000000 PA USD 476990.13000000 0.069903935512 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1483.45000000 -0.00021740280 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 88000000.00000000 CLP 90135.31000000 USD 2024-06-21 -1483.45000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 265000.00000000 OU Notional Amount -23378.24000000 -0.00342613165 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe Crossover S41 2I667KKT4 Y buy protection 2029-06-20 0.00000000 EUR -21754.25000000 EUR 265000.00000000 EUR 86.13000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CGC9 6400000.00000000 PA USD 6197500.03000000 0.908257037592 Long DBT UST US N 2 2027-12-31 Fixed 3.88000000 N N N N N N TAPESTRY INC 549300LJNVY5SW3VTN33 876030AE7 15000.00000000 PA USD 15566.47000000 0.002281299856 Long DBT CORP US N 2 2030-11-27 Fixed 7.70000000 N N N N N BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 000000000 98000.00000000 OU Notional Amount 9.10000000 0.000001333624 N/A DFE US N 2 BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 Call Purchased BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 N/A 1.00000000 NC USD 9.10000000 0.00000000 DFE XX 108780.00000000 USD 98000.00000000 EUR 2024-05-29 1.00000000 1.11000000 EUR 2024-05-29 XXXX -457.73000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1405.07000000 0.000205916048 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 350000.00000000 PLN 87643.23000000 USD 2024-06-20 1405.07000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2000000.00000000 OU Notional Amount -10025.54000000 -0.00146926457 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 22.30000000 PLN 0.00000000 PLN 2000000.00000000 PLN -10031.20000000 N N N TUTOR PERINI CORP 549300FHXYVPW8LJ6D98 901109AG3 115000.00000000 PA USD 117843.87000000 0.017270274101 Long DBT CORP US N 2 2029-04-30 Fixed 11.88000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 940000.00000000 OU Notional Amount USD 29503.45000000 0.004323794427 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-06-20 7615.50000000 USD 0.00000000 USD 940000.00000000 USD 21887.95000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEL5 114000.00000000 PA USD 94100.10000000 0.013790573239 Long DBT CORP US N 2 2033-01-21 Fixed 2.94000000 N N N N N N University of Michigan N/A 914455UG3 100000.00000000 PA USD 62103.66000000 0.009101425733 Long DBT MUN US N 2 2050-04-01 Fixed 2.56000000 N N N N N N AMEREN ILLINOIS CO RC71E2BZ6UOMFPDJSE79 02361DBA7 60000.00000000 PA USD 57401.35000000 0.008412292029 Long DBT CORP US N 2 2033-06-01 Fixed 4.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 180000.00000000 OU Notional Amount USD 2308.62000000 0.000338333255 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2034-02-28 3.74000000 USD 0.00000000 USD 180000.00000000 USD 2304.88000000 N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AY8 105000.00000000 PA USD 104876.23000000 0.015369838404 Long DBT CORP US N 2 2028-08-15 Fixed 8.00000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CR7 20000.00000000 PA USD 15988.38000000 0.002343131679 Long DBT CORP US N 2 2049-10-26 Fixed 4.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1353.27000000 -0.00019832464 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 123006.56000000 USD 2100000.00000000 MXN 2024-06-20 -1353.27000000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612KAC6 80000.00000000 PA USD 78511.56000000 0.011506038976 Long DBT CORP US N 2 2052-07-01 Fixed 6.25000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 3027.88000000 0.000443742364 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1130000.00000000 BRL 219652.65000000 USD 2024-06-20 3027.88000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 470000.00000000 OU Notional Amount 1209.68000000 0.000177281221 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 5.24000000 SGD 0.00000000 SGD 470000.00000000 SGD 1205.83000000 N N N ROGERS COMMUNICATIONS IN 5493000M6Z4XFIP6PF03 775109CG4 65000.00000000 PA USD 60975.03000000 0.008936022565 Long DBT CORP CA N 2 2027-03-15 Fixed 3.20000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276RBH0 580000.00000000 PA USD 526201.58000000 0.077115979978 Long ABS-MBS CORP US N 2 2050-10-15 Variable 3.84000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 94973VBL0 30000.00000000 PA USD 24699.74000000 0.003619800334 Long DBT CORP US N 2 2054-08-15 Fixed 4.85000000 N N N N N N Tapestry Inc 549300LJNVY5SW3VTN33 189754AC8 150000.00000000 PA USD 141367.55000000 0.020717720299 Long DBT CORP US N 2 2027-07-15 Fixed 4.13000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 71000.00000000 OU Notional Amount USD 565.52000000 0.000082878179 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 565.52000000 0.00000000 DFE US 1476800.00000000 ZAR 71000.00000000 USD 2024-08-15 1.00000000 20.80000000 USD 2024-08-15 XXXX -633.95000000 N N N PFIZER INVESTMENT ENTER 5493000FQO8XF9C0RT95 716973AG7 325000.00000000 PA USD 303074.69000000 0.044416251516 Long DBT CORP SG N 2 2053-05-19 Fixed 5.30000000 N N N N N N Madison Park Funding Ltd N/A 55819GAS8 400000.00000000 PA USD 401640.04000000 0.058861216804 Long ABS-CBDO CORP KY N 2 2032-04-25 Floating 7.74000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -1007.07000000 -0.00014758828 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 43000000.00000000 HUF 115947.79000000 USD 2024-06-20 -1007.07000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 962.46000000 0.000141050595 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 460000.00000000 BRL 89145.99000000 USD 2024-06-20 962.46000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CGV7 258000.00000000 PA USD 251822.11000000 0.036905075033 Long DBT UST US N 2 2026-04-15 Fixed 3.75000000 N N N N N N GS Mortgage Securities Trust N/A 36267CAC9 510000.00000000 PA USD 510637.50000000 0.074835030381 Long ABS-MBS CORP US N 2 2028-03-15 Floating 8.11000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -163.56000000 -0.00002397007 N/A DFE MX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 56000.00000000 USD 958498.04000000 MXN 2024-05-16 -163.56000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 460.10000000 0.000067428650 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 50000.00000000 CAD 36809.31000000 USD 2024-06-20 460.10000000 N N N Voya CLO Ltd 549300KSCKXTOBY0IP86 92917NAJ7 222808.48000000 PA USD 222893.55000000 0.032665531979 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FE5W0 3463.49000000 PA USD 3170.20000000 0.000464599668 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A 404.21000000 0.000059237850 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 24000.00000000 EUR 490435.80000000 ZAR 2024-05-16 404.21000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 9090000.00000000 OU Notional Amount -7704.93000000 -0.00112917416 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 84.58000000 MXN 0.00000000 MXN 9090000.00000000 MXN -7710.01000000 N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475BQ7 355000.00000000 PA USD 355073.31000000 0.052036761776 Long DBT CORP US N 2 2026-06-12 Fixed 5.81000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9FG5 19857.35000000 PA USD 18114.23000000 0.002654679596 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -4108.64000000 -0.00060213008 N/A DFE ID N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 90701.49000000 USD 1410000000.00000000 IDR 2024-06-20 -4108.64000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 108.75000000 0.000015937547 N/A DFE CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 33074.06000000 USD 130453681.20000000 COP 2024-05-16 108.75000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1993.63000000 -0.00029217078 N/A DFE MX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 94681.85000000 USD 1600000.00000000 MXN 2024-06-20 -1993.63000000 N N N ONTARIO (PROVINCE OF) C7PVKCRGLG18EBQGZV36 683234AU2 35000.00000000 PA USD 28582.83000000 0.004188875575 Long DBT NUSS CA N 2 2032-01-21 Fixed 2.13000000 N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 975.98000000 0.000143031980 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 50000.00000000 CHF 55663.10000000 USD 2024-06-20 975.98000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12000000.00000000 OU Notional Amount -29.49000000 -0.00000432182 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 133.80000000 ZAR 0.00000000 ZAR 12000000.00000000 ZAR -36.52000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLU1 769000.00000000 PA USD 770398.65000000 0.112903588903 Long DBT CORP US N 2 2034-09-15 Fixed 5.87000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 4006.18000000 0.000587114346 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 4800000.00000000 CZK 207704.72000000 USD 2024-06-20 4006.18000000 N N N REPUBLIC OF GUATEMALA 529900QKDFFU9UWW5315 401494AW9 14000.00000000 PA USD 13698.13000000 0.002007490587 Long DBT NUSS GT N 2 2036-06-13 Fixed 6.60000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12000000.00000000 OU Notional Amount 803.47000000 0.000117750266 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 133.80000000 ZAR 0.00000000 ZAR 12000000.00000000 ZAR 796.29000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -2555.49000000 -0.00037451258 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 98794.75000000 USD 90000.00000000 EUR 2024-06-20 -2555.49000000 N N N EGYPT TREASURY BILL 529900GFIVH4086NMH82 000000000 1600000.00000000 PA 28792.64000000 0.004219623684 Long DBT NUSS EG N 2 2024-12-10 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4000000.00000000 OU Notional Amount -2001.71000000 -0.00029335493 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 44.73000000 TWD 0.00000000 TWD 4000000.00000000 TWD -2003.13000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 852000.00000000 OU Notional Amount USD 48942.34000000 0.007172605813 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 852000.00000000 OU Notional Amount N/A 48942.34000000 0.01000000 DIR US N/A N/A 2037-04-14 0.00000000 N/A 0.00000000 N/A 852000.00000000 USD 1.00000000 3.93300000 USD 2027-04-12 XXXX 5234.74000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 5998.90000000 0.000879151773 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 570000.00000000 SGD 424506.70000000 USD 2024-06-20 5998.90000000 N N N NNN REIT INC 5493008JKH5SOTI0JS97 637417AM8 34000.00000000 PA USD 28120.02000000 0.004121049768 Long DBT US N 2 2048-10-15 Fixed 4.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179W7J1 389538.73000000 PA USD 319487.37000000 0.046821565279 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQWT9 35303.87000000 PA USD 34381.47000000 0.005038678812 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.50000000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773DK3 30000.00000000 PA USD 30341.92000000 0.004446674020 Long DBT CORP US N 2 2029-07-27 Fixed 6.34000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDB3 3564583.83000000 PA USD 2695331.55000000 0.395006669960 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.00000000 N N N N N N CALIFORNIA INSTITUTE OF 549300CITPNHOTVPHC04 13034VAA2 35000.00000000 PA USD 28551.31000000 0.004184256250 Long DBT CORP US N 2 2111-11-01 Fixed 4.70000000 N N N N N N MASS INSTITUTE OF TECH DLZO3A31IADZ27B62557 575718AE1 50000.00000000 PA USD 44005.50000000 0.006449101230 Long DBT CORP US N 2 2038-07-01 Fixed 3.96000000 N N N N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WBC8 30000.00000000 PA USD 28294.56000000 0.004146628982 Long DBT CORP US N 2 2054-03-01 Fixed 5.45000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 621000.00000000 OU Notional Amount -38.09000000 -0.00000558217 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-04-23 5.77000000 MXN 0.00000000 MXN 621000.00000000 MXN -38.43000000 N N N ALABAMA POWER CO 0RL818ELFOHP5JHOFU19 010392FV5 56000.00000000 PA USD 36325.76000000 0.005323618718 Long DBT CORP US N 2 2051-07-15 Fixed 3.13000000 N N N N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AX4 200000.00000000 PA USD 165349.02000000 0.024232256611 Long DBT CORP JP N 2 2030-03-31 Fixed 2.05000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EE3 236000.00000000 PA USD 159233.10000000 0.023335955303 Long DBT CORP US N 2 2041-09-15 Fixed 2.80000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 67062.00000000 OU Notional Amount USD 1489.92000000 0.000218350999 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.IG.S42 2I65BYEE1 Y sell protection 2029-06-20 1461.84000000 USD 0.00000000 USD 67062.00000000 USD 28.08000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1649.01000000 -0.00024166598 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 175641.52000000 USD 4100000.00000000 CZK 2024-06-20 -1649.01000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -102.79000000 -0.00001506409 N/A DFE CL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 9960.64000000 USD 9468483.00000000 CLP 2024-06-21 -102.79000000 N N N HTL Commercial Mortgage Trust N/A 404300AJ4 100000.00000000 PA USD 99275.99000000 0.014549111116 Long ABS-MBS CORP US N 2 2039-05-10 Variable 10.26000000 N N N N N N PUBLIC SERVICE COLORADO 5BANEF6PGSEK0SNMQF44 744448DA6 65000.00000000 PA USD 63054.32000000 0.009240747013 Long DBT CORP US N 2 2054-05-15 Fixed 5.75000000 N N N N N N Credit Suisse Mortgage Trust N/A 12650EBQ9 23370.05000000 PA USD 17037.02000000 0.002496812140 Long ABS-MBS CORP US N 2 2036-03-27 Floating 3.53000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KL0 50000.00000000 PA USD 50407.24000000 0.007387290077 Long DBT CORP US N 2 2029-01-15 Fixed 6.10000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAL5 779000.00000000 PA USD 670761.60000000 0.098301563662 Long DBT UST US N 2 2027-09-30 Fixed 0.38000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 000000000 191000.00000000 PA 50647.69000000 0.007422528544 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94000000 N N N N N N Indonesia Government International Bonds 529900FWX0GRR7WG5W79 455780DN3 450000.00000000 PA USD 423421.88000000 0.062053392580 Long DBT NUSS ID N 2 2032-09-20 Fixed 4.65000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738BD9 80000.00000000 PA USD 79765.30000000 0.011689777286 Long DBT CORP US N 2 2028-03-02 Fixed 5.45000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3684.08000000 -0.00053990989 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 153389.60000000 USD 140000.00000000 EUR 2024-06-20 -3684.08000000 N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAQ3 120000.00000000 PA USD 105600.48000000 0.015475978809 Long DBT CORP US N 2 2052-05-15 Fixed 5.25000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1383.05000000 0.000202688969 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 290000.00000000 CAD 212208.44000000 USD 2024-06-20 1383.05000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 241.77000000 0.000035431916 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 40000.00000000 CAD 29321.13000000 USD 2024-06-20 241.77000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3E1 275000.00000000 PA USD 274121.74000000 0.040173134055 Long DBT CORP US N 2 2029-07-25 Fixed 5.57000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1115.66000000 -0.00016350238 N/A DFE HU N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 79992.19000000 USD 29000000.00000000 HUF 2024-06-20 -1115.66000000 N N N KEYSIGHT TECHNOLOGIES 549300GLKVIO8YRCYN02 49338LAE3 100000.00000000 PA USD 97646.02000000 0.014310235486 Long DBT CORP US N 2 2027-04-06 Fixed 4.60000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHD4 935000.00000000 PA USD 866642.63000000 0.127008352394 Long DBT CORP US N 2 2028-12-20 Fixed 3.42000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 5534.40000000 0.000811078293 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 6400000.00000000 CZK 277132.46000000 USD 2024-06-20 5534.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GYG86 21638.80000000 PA USD 19761.51000000 0.002896092044 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PDL3 67000.00000000 PA USD 54538.20000000 0.007992691202 Long DBT CORP US N 2 2048-06-15 Fixed 4.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 305000.00000000 OU Notional Amount 3065.60000000 0.000449270312 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-03-01 10.87000000 EUR 0.00000000 EUR 305000.00000000 EUR 3053.84000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 29000000.00000000 OU Notional Amount -12315.64000000 -0.00180488368 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 29000000.00000000 BRL -12315.64000000 N N N CONSTELLATION EN GEN LLC S2PEWKCZFFECR4533P43 210385AC4 15000.00000000 PA USD 14992.53000000 0.002197187707 Long DBT CORP US N 2 2033-03-01 Fixed 5.80000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7710000.00000000 OU Notional Amount USD 111310.96000000 0.016312862007 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-06-20 0.00000000 USD -2613.44000000 USD 7710000.00000000 USD 113924.40000000 N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BD4 190000.00000000 PA USD 190723.18000000 0.027950894655 Long DBT CORP US N 2 2026-01-15 Fixed 5.85000000 N N N N N N Affirm Inc N/A 00833PAA5 553412.86000000 PA USD 549467.69000000 0.080525678734 Long ABS-O CORP US N 2 2027-06-15 Fixed 4.55000000 N N N N N N GLOBAL PART/GLP FINANCE N/A 37954FAJ3 108000.00000000 PA USD 105692.57000000 0.015489474797 Long DBT CORP US N 2 2029-01-15 Fixed 6.88000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1004.46000000 0.000147205786 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1100000.00000000 SEK 101036.59000000 USD 2024-06-20 1004.46000000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 92035.00000000 OU Notional Amount USD -179.25000000 -0.00002626947 N/A DCR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Mexico Government International Bonds Mexico Government International Bonds Y buy protection 2029-06-20 0.00000000 USD -291.03000000 USD 92035.00000000 USD 111.78000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLEB0 46096.44000000 PA USD 44905.72000000 0.006581030418 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2136.52000000 0.000313111628 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 410000.00000000 NZD 243728.19000000 USD 2024-06-20 2136.52000000 N N N ALGONQUIN PWR & UTILITY 549300K5VIUTJXQL7X75 015857AF2 190000.00000000 PA USD 188015.54000000 0.027554084155 Long DBT CORP CA N 2 2026-06-15 Fixed 5.37000000 N N N N N N IQVIA INC 549300PLWY28YB00C717 46266TAF5 45000.00000000 PA USD 45732.47000000 0.006702192419 Long DBT CORP US N 2 2029-02-01 Fixed 6.25000000 N N N N N N MOTOROLA SOLUTIONS INC 6S552MUG6KGJVEBSEC55 620076BZ1 315000.00000000 PA USD 306334.47000000 0.044893979328 Long DBT CORP US N 2 2034-04-15 Fixed 5.40000000 N N N N N N Palmer Square CLO Ltd N/A 696924AE9 250000.00000000 PA USD 251119.65000000 0.036802128001 Long ABS-CBDO CORP KY N 2 2033-10-20 Floating 7.92000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBG6 20000.00000000 PA USD 19341.99000000 0.002834610480 Long DBT CORP US N 2 2028-01-15 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10500000.00000000 OU Notional Amount -70043.19000000 -0.01026498103 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 0.00000000 CAD -3944.63000000 CAD 10500000.00000000 CAD -67131.16000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3124.78000000 0.000457943269 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2785000.00000000 THB 78556.92000000 USD 2024-06-20 3124.78000000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016EZQ3 20000.00000000 PA USD 18402.41000000 0.002696912998 Long DBT CORP CA N 2 2026-04-27 Fixed 1.20000000 N N N N N N A&D Mortgage Trust 984500L072D83D1AA637 00249XAA6 139883.27000000 PA USD 140755.44000000 0.020628014254 Long ABS-MBS CORP US N 2 2068-11-25 Variable 7.05000000 N N N N N N CLEVELAND-CLIFFS INC 549300TM2WLI2BJMDD86 185899AP6 110000.00000000 PA USD 107429.55000000 0.015744032974 Long DBT CORP US N 2 2032-03-15 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLJ33 368668.84000000 PA USD 333269.09000000 0.048841306162 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SD1 25000.00000000 PA USD 18264.65000000 0.002676723972 Long DBT UST US N 2 2048-08-15 Fixed 3.00000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 202909000.00000000 OU Notional Amount 747.23000000 0.000109508173 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2028-04-01 0.00000000 CLP 0.00000000 CLP 202909000.00000000 CLP 747.23000000 N N N OCP CLO Ltd 254900NXH68CRC058O44 67102SAL8 613657.09000000 PA USD 613679.73000000 0.089936092118 Long ABS-CBDO CORP KY N 2 2031-04-26 Floating 6.67000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 7923.28000000 0.001161173825 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 320000.00000000 EUR 350107.33000000 USD 2024-06-20 7923.28000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount -2899.58000000 -0.00042493972 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.15000000 PLN 0.00000000 PLN 1000000.00000000 PLN -2902.42000000 N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513ECP4 112000.00000000 PA USD 69673.61000000 0.010210818283 Long DBT CORP US N 2 2052-03-15 Fixed 3.03000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967CC3 50000.00000000 PA USD 50449.20000000 0.007393439406 Long DBT CORP US N 2 2033-10-31 Fixed 6.00000000 N N N N N N Consumers Energy Co 7NKTFWJ1G6MELP9TU740 210518DD5 25000.00000000 PA USD 20607.86000000 0.003020126467 Long DBT CORP US N 2 2049-04-15 Fixed 4.35000000 N N N N N N PHILLIPS 66 CO RVJMT2IZVVSKIRJJBH76 718547AW2 60000.00000000 PA USD 57147.28000000 0.008375057521 Long DBT CORP US N 2 2054-06-15 Fixed 5.65000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KBE5 50000.00000000 PA USD 49675.21000000 0.007280009497 Long DBT CORP US N 2 2026-09-09 Fixed 5.81000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A6NP7 43958.01000000 PA USD 45191.81000000 0.006622957527 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 7.00000000 N N N N N N UMBS, TBA N/A 01F042657 7159000.00000000 PA USD 6596404.62000000 0.966717368281 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 4.50000000 N N N N N N Keurig Dr Pepper Inc DYTQ8KRTKO7Y2BVU5K74 26138EAT6 20000.00000000 PA USD 16573.03000000 0.002428813401 Long DBT CORP US N 2 2045-11-15 Fixed 4.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 457.56000000 0.000067056407 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 21126.03000000 USD 818000.00000000 TRY 2024-09-25 457.56000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 220000.00000000 OU Notional Amount -724.33000000 -0.00010615212 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 CHF -74.07000000 CHF 220000.00000000 CHF -642.15000000 N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122EK0 151000.00000000 PA USD 145732.57000000 0.021357423423 Long DBT CORP US N 2 2054-02-22 Fixed 5.55000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAR4 20000.00000000 PA USD 19848.80000000 0.002908884582 Long DBT CORP US N 2 2034-05-25 Fixed 6.17000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H060655 1250000.00000000 PA USD 1253149.99000000 0.183651842205 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 6.00000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AM5 84000.00000000 PA USD 54736.90000000 0.008021811117 Long DBT CORP US N 2 2050-05-15 Fixed 3.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H052652 2025000.00000000 PA USD 1985154.78000000 0.290928727860 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -11.00000000 NC USD 22424.66000000 0.003286382438 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 5 Year U.S. Treasury Notes FVM4 Comdty 2024-06-28 -1175018.41000000 USD 22424.66000000 N N N NOVARTIS CAPITAL CORP 5493002KF87V5RSRQS84 66989HAS7 25000.00000000 PA USD 15810.95000000 0.002317128929 Long DBT CORP US N 2 2050-08-14 Fixed 2.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 4000.00000000 OU Notional Amount USD 405.54000000 0.000059432764 N/A DFE KY N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 N/A 1.00000000 NC USD 405.54000000 0.00000000 DFE US 140000.00000000 TRY 4000.00000000 USD 2024-11-21 1.00000000 35.00000000 USD 2024-11-21 XXXX 45.54000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NQ0 195000.00000000 PA USD 194749.86000000 0.028541013321 Long DBT CORP US N 2 2025-05-24 Fixed 4.14000000 N N N N N N KLA Corp 549300H0BF5JCG96TJ81 482480AH3 78000.00000000 PA USD 71016.43000000 0.010407611459 Long DBT CORP US N 2 2049-03-15 Fixed 5.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 126694S41 209701.34000000 PA USD 174671.26000000 0.025598451051 Long ABS-MBS CORP US N 2 2046-05-20 Floating 5.89000000 N N N N N N BX Trust N/A 05612EAJ7 100000.00000000 PA USD 100178.03000000 0.014681307030 Long ABS-MBS CORP US N 2 2039-02-15 Floating 9.06000000 N N N N N N LD HOLDINGS GROUP LLC N/A 521088AC8 124000.00000000 PA USD 94213.89000000 0.013807249409 Long DBT CORP US N 2 2028-04-01 Fixed 6.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 140000.00000000 OU Notional Amount 2263.33000000 0.000331695908 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-03-15 0.00000000 EUR -67.29000000 EUR 140000.00000000 EUR 2336.85000000 N N N ENERGY TRANSFER LP 549300TLGDBYE711G509 292480AL4 25000.00000000 PA USD 24340.21000000 0.003567110435 Long DBT CORP US N 2 2028-05-15 Fixed 4.95000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 38.17000000 0.000005593896 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 55177471.30000000 COP 14073.37000000 USD 2024-05-16 38.17000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGN8 146000.00000000 PA USD 116487.94000000 0.017071559626 Long DBT CORP US N 2 2032-03-15 Fixed 2.36000000 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807DP9 120000.00000000 PA USD 107929.12000000 0.015817246038 Long DBT US N 2 2027-01-15 Fixed 1.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UCA8 290615.67000000 PA USD 258903.96000000 0.037942935472 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 61769JAC5 10000.00000000 PA USD 7412.21000000 0.001086275411 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 3.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -215.00000000 -0.00003150871 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 300000.00000000 EUR 320582.55000000 USD 2024-06-20 -215.00000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCN3 185000.00000000 PA USD 177354.25000000 0.025991649040 Long DBT CORP US N 2 2030-05-06 Fixed 4.65000000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAF1 134000.00000000 PA USD 129169.42000000 0.018930057957 Long DBT CORP US N 2 2027-08-15 Fixed 4.88000000 N N N N N N GEO GROUP INC/THE 54930024XOXET7NQVZ63 36162JAF3 103000.00000000 PA USD 106186.86000000 0.015561914066 Long DBT CORP US N 2 2031-04-15 Fixed 10.25000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2Z5 25000.00000000 PA USD 20833.70000000 0.003053223808 Long DBT CORP US N 2 2053-04-25 Fixed 4.61000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 383333.00000000 OU Notional Amount USD 21705.51000000 0.003180989450 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 383333.00000000 OU Notional Amount N/A 21705.51000000 0.00000000 DIR US N/A N/A 2037-04-14 0.00000000 N/A 0.00000000 N/A 383333.00000000 USD 1.00000000 3.95600000 USD 2027-04-12 XXXX 2443.03000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4012.40000000 0.000588025900 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 650000.00000000 PLN 164168.98000000 USD 2024-06-20 4012.40000000 N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BJ4 25000.00000000 PA USD 20421.54000000 0.002992820868 Long DBT CORP US N 2 2047-08-22 Fixed 4.05000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3G6 240000.00000000 PA USD 245870.18000000 0.036032806815 Long DBT CORP US N 2 2029-10-23 Fixed 6.30000000 N N N N N N Nevada Power Co MJZFGXRJ52U8U4MKJ519 641423CC0 35000.00000000 PA USD 32601.06000000 0.004777755874 Long DBT CORP US N 2 2029-05-01 Fixed 3.70000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DG2 318000.00000000 PA USD 244249.76000000 0.035795330758 Long DBT CORP US N 2 2062-02-22 Fixed 4.40000000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AX3 35000.00000000 PA USD 22250.58000000 0.003260870637 Long DBT CORP US N 2 2051-10-01 Fixed 2.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SJ8 875000.00000000 PA USD 543115.23000000 0.079594711977 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBR6 95000.00000000 PA USD 85881.59000000 0.012586132818 Long DBT CORP US N 2 2028-06-01 Fixed 2.18000000 N N N N N N AMERIGAS PART/FIN CORP N/A 030981AM6 69000.00000000 PA USD 71692.43000000 0.010506680721 Long DBT CORP US N 2 2028-06-01 Fixed 9.38000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEH5 507000.00000000 PA USD 507339.09000000 0.074351641259 Long DBT CORP US N 2 2035-04-22 Fixed 5.77000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFL4 558000.00000000 PA USD 542865.25000000 0.079558076868 Long DBT CORP US N 2 2035-01-18 Fixed 5.47000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 4195.22000000 0.000614818567 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 230000.00000000 EUR 250140.00000000 USD 2024-06-20 4195.22000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A6MN3 34135.29000000 PA USD 35345.31000000 0.005179931649 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MNQA7 314721.29000000 PA USD 273591.34000000 0.040095402787 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Verisk Analytics Inc 549300I1YSWNIRKBWP67 92345YAE6 40000.00000000 PA USD 37287.14000000 0.005464511037 Long DBT CORP US N 2 2045-06-15 Fixed 5.50000000 N N N N N N Freeport-McMoRan Inc 549300IRDTHJQ1PVET45 35671DBC8 50000.00000000 PA USD 45832.12000000 0.006716796343 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 40000.00000000 PA USD 33172.68000000 0.004861528022 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -560.53000000 -0.00008214688 N/A DFE BR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 21000.00000000 USD 106134.00000000 BRL 2024-05-03 -560.53000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 56719.00000000 OU Notional Amount USD 4593.80000000 0.000673231328 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Turkiye Government International Bonds Turkiye Government International Bonds Y buy protection 2029-06-20 5018.62000000 USD 0.00000000 USD 56719.00000000 USD -424.82000000 N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DA3 30000.00000000 PA USD 26798.08000000 0.003927316601 Long DBT CORP US N 2 2054-05-15 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TR9 57000.00000000 PA USD 46588.59000000 0.006827658658 Long DBT UST US N 2 2053-05-15 Fixed 3.63000000 N N N N N N JOHN DEERE CAPITAL CORP E0KSF7PFQ210NWI8Z391 24422EWR6 60000.00000000 PA USD 59171.79000000 0.008671753841 Long DBT CORP US N 2 2028-01-20 Fixed 4.75000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBL6 400000.00000000 PA USD 315787.64000000 0.046279361843 Long DBT CORP US N 2 2032-02-04 Fixed 2.45000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -35239.49000000 -0.00516442349 N/A DFE XX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3335176.91000000 USD 3086000.00000000 EUR 2024-06-20 -35239.49000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -2744.50000000 -0.00040221241 N/A DFE AU N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 255754.20000000 USD 390000.00000000 AUD 2024-06-20 -2744.50000000 N N N RPM International Inc 549300TJCKW4BRXPJ474 749685AX1 27000.00000000 PA USD 25673.87000000 0.003762561193 Long DBT CORP US N 2 2029-03-01 Fixed 4.55000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CU1 150000.00000000 PA USD 154165.18000000 0.022593240662 Long DBT CORP DE N 2 2029-11-20 Fixed 6.82000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 30247DAA9 29630.49000000 PA USD 18867.48000000 0.002765070013 Long ABS-O CORP US N 2 2036-10-25 Floating 5.67000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBG2 250000.00000000 PA USD 249114.99000000 0.036508340740 Long DBT CORP US N 2 2034-04-30 Fixed 5.57000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073877CH3 210000.00000000 PA USD 207768.71000000 0.030448953954 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.67000000 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TBA3 430000.00000000 PA USD 349830.77000000 0.051268456196 Long DBT US N 2 2031-12-15 Fixed 2.90000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881CAA9 106834.16000000 PA USD 106358.91000000 0.015587128366 Long ABS-CBDO CORP KY N 2 2035-12-15 Floating 6.41000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 66.04000000 0.000009678304 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 34000.00000000 USD 133926000.00000000 COP 2024-05-16 66.04000000 N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBG5 675000.00000000 PA USD 482904.13000000 0.070770645007 Long DBT CORP US N 2 2051-02-15 Fixed 3.75000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCZ6 90000.00000000 PA USD 90795.58000000 0.013306288683 Long DBT CORP US N 2 2029-06-08 Fixed 6.31000000 N N N N N N BRUNSWICK CORP YM4O38W15AX4YLLQKU27 117043AW9 375000.00000000 PA USD 371050.59000000 0.054378266726 Long DBT CORP US N 2 2029-03-18 Fixed 5.85000000 N N N N N N CABLE ONE INC 549300648QS85T0XSH18 12685JAC9 168000.00000000 PA USD 128167.95000000 0.018783290361 Long DBT CORP US N 2 2030-11-15 Fixed 4.00000000 N N N N N KYNDRYL HOLDINGS INC 549300LQ4LWX2R8ZV130 50155QAN0 54000.00000000 PA USD 53709.50000000 0.007871243424 Long DBT CORP US N 2 2034-02-20 Fixed 6.35000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -183.21000000 -0.00002684982 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 528069000.00000000 COP 133566.62000000 USD 2024-06-14 -183.21000000 N N N NOVA CHEMICALS CORP 549300ZOD6N7RI2FJP09 66977WAU3 110000.00000000 PA USD 113343.77000000 0.016610774711 Long DBT CORP CA N 2 2030-02-15 Fixed 9.00000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AY9 100000.00000000 PA USD 90107.24000000 0.013205410967 Long DBT CORP US N 2 2029-09-01 Fixed 3.40000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4470000.00000000 OU Notional Amount -2606.33000000 -0.00038196330 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 49.61000000 THB 0.00000000 THB 4470000.00000000 THB -2607.69000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3000000.00000000 OU Notional Amount -5694.97000000 -0.00083461017 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 27.92000000 MXN 0.00000000 MXN 3000000.00000000 MXN -5696.65000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHXB8 145254.14000000 PA USD 138690.30000000 0.020325363519 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 57763RAD9 25000.00000000 PA USD 25468.75000000 0.003732500413 Long DBT CORP US N 2 2027-04-15 Fixed 7.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 168000000.00000000 OU Notional Amount -2686.15000000 -0.00039366109 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 1872.58000000 INR 0.00000000 INR 168000000.00000000 INR -2708.63000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -2101.97000000 -0.00030804825 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 94000000.00000000 HUF 253566.79000000 USD 2024-06-20 -2101.97000000 N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BH5 200000.00000000 PA USD 199792.96000000 0.029280090537 Long DBT CORP US N 2 2026-11-01 Fixed 5.55000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 103.96000000 0.000015235562 N/A DFE CO N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 28000.00000000 USD 110486880.00000000 COP 2024-05-16 103.96000000 N N N BX Trust N/A 05608RAA3 242000.00000000 PA USD 238975.00000000 0.035022303268 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.33000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -16.00000000 NC 24492.20000000 0.003589384898 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short French Government Bond Futures OATM4 Comdty 2024-06-06 -2030469.95000000 EUR 24492.20000000 N N N FREEDOM MORTGAGE CORP 549300LYRWPSYPK6S325 35640YAL1 62000.00000000 PA USD 67283.08000000 0.009860480939 Long DBT CORP US N 2 2030-10-01 Fixed 12.25000000 N N N N N N NATIONAL GRID PLC 8R95QZMKZLJX5Q2XR704 636274AF9 40000.00000000 PA USD 38461.47000000 0.005636611639 Long DBT CORP GB N 2 2034-01-11 Fixed 5.42000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 350000.00000000 OU Notional Amount 1466.46000000 0.000214912885 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 3.90000000 AUD 0.00000000 AUD 350000.00000000 AUD 1463.95000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -335.57000000 -0.00004917850 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 10400600.00000000 HUF 28000.00000000 USD 2024-05-16 -335.57000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5593047.00000000 OU Notional Amount USD 361259.91000000 0.052943421390 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.42 2I65BRAB2 Y sell protection 2029-06-20 359107.85000000 USD 0.00000000 USD 5593047.00000000 USD 2152.06000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -643.51000000 -0.00009430778 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 32000000.00000000 CLP 32672.40000000 USD 2024-06-21 -643.51000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -621.51000000 -0.00009108363 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 40000000.00000000 HUF 108173.71000000 USD 2024-06-20 -621.51000000 N N N FIRSTCASH INC 549300V2X3UU7K0DG350 33767DAD7 85000.00000000 PA USD 83925.62000000 0.012299481182 Long DBT CORP US N 2 2032-03-01 Fixed 6.88000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HD8 40000.00000000 PA USD 32731.41000000 0.004796858949 Long DBT CORP US N 2 2031-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMKG0 179379.36000000 PA USD 165954.50000000 0.024320991015 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 2.50000000 N N N N N N GOLUB CAPITAL BDC 2549005WE0QLGK9APF78 38173MAE2 380000.00000000 PA USD 366692.05000000 0.053739513260 Long DBT CORP US N 2 2029-07-15 Fixed 6.00000000 N N N N N N FOOT LOCKER INC 549300X383CBNP6MTV94 344849AA2 168000.00000000 PA USD 134096.07000000 0.019652069173 Long DBT CORP US N 2 2029-10-01 Fixed 4.00000000 N N N N N N PACKAGING CORP OF AMERIC 549300XZP8MFZFY8TJ84 695156AV1 420000.00000000 PA USD 318507.44000000 0.046677954417 Long DBT CORP US N 2 2049-12-15 Fixed 4.05000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAG6 78000.00000000 PA USD 74541.29000000 0.010924187318 Long DBT CORP US N 2 2034-12-01 Fixed 5.30000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CBH6 45000.00000000 PA USD 30917.93000000 0.004531089531 Long DBT CORP US N 2 2052-03-15 Fixed 3.55000000 N N N N N N CVR PARTNERS/CVR NITROGE N/A 12663QAC9 104000.00000000 PA USD 97031.89000000 0.014220233406 Long DBT CORP US N 2 2028-06-15 Fixed 6.13000000 N N N N N N Affirm Inc N/A 00834WAF8 250000.00000000 PA USD 249788.68000000 0.036607071467 Long ABS-O CORP US N 2 2027-05-17 Fixed 4.30000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3830000.00000000 OU Notional Amount 4890.76000000 0.000716751459 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 42.70000000 HKD 0.00000000 HKD 3830000.00000000 HKD 4885.31000000 N N N Panama Government International Bonds 549300SHS4T08CL0LP14 698299BK9 200000.00000000 PA USD 162600.00000000 0.023829381782 Long DBT NUSS PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N GOEASY LTD 5493009DJVZG2P8YV435 380355AH0 113000.00000000 PA USD 119310.03000000 0.017485143021 Long DBT CORP CA N 2 2028-12-01 Fixed 9.25000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBP4 50000.00000000 PA USD 50099.00000000 0.007342116838 Long DBT CORP US N 2 2025-03-01 Fixed 6.05000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 300000.00000000 PA USD 214607.29000000 0.031451162649 Long DBT CORP US N 2 2049-09-01 Fixed 3.63000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2H3 284000.00000000 PA USD 279174.55000000 0.040913634292 Long DBT CORP CH N 2 2025-02-21 Fixed 3.70000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36270GAJ0 100000.00000000 PA USD 98550.20000000 0.014442745021 Long ABS-MBS CORP US N 2 2038-09-10 Variable 7.68000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 160000.00000000 PA USD 119887.10000000 0.017569713878 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BL6 200000.00000000 PA USD 202220.26000000 0.029635816603 Long DBT CORP US N 2 2033-09-01 Fixed 6.05000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount 766.49000000 0.000112330767 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.15000000 SGD 0.00000000 SGD 1000000.00000000 SGD 758.30000000 N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558AX1 138000.00000000 PA USD 121262.78000000 0.017771322759 Long DBT CORP US N 2 2044-04-01 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMAZ9 684239.01000000 PA USD 636368.68000000 0.093261206827 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.50000000 N N N N N N ASSURED GUARANTY US HLDG 5493007YCE0652G9TZ64 04621WAF7 226000.00000000 PA USD 229286.56000000 0.033602441425 Long DBT CORP US N 2 2028-09-15 Fixed 6.13000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -332.52000000 -0.00004873152 N/A DFE ZA N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 90306.64000000 USD 1700000.00000000 ZAR 2024-06-20 -332.52000000 N N N HONO Mortgage Trust N/A 40390MAA3 100000.00000000 PA USD 96437.65000000 0.014133146248 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.59000000 N N N N N N Barclays Mortgage Loan Trust N/A 06744JAA4 109312.73000000 PA USD 103847.78000000 0.015219116832 Long ABS-O CORP US N 2 2051-11-25 Variable 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E07G1 238986.18000000 PA USD 237578.82000000 0.034817690069 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1018.50000000 0.000149263378 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 110000.00000000 CAD 80986.75000000 USD 2024-06-20 1018.50000000 N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBS8 325000.00000000 PA USD 258217.66000000 0.037842356722 Long DBT US N 2 2031-09-15 Fixed 2.30000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80287FAD4 700000.00000000 PA USD 700978.95000000 0.102729981679 Long ABS-O CORP US N 2 2028-01-17 Fixed 5.95000000 N N N N N N GULFPORT ENERGY OP CORP 254900DJRGZBUZ3F5038 402635AR7 85000.00000000 PA USD 86095.06000000 0.012617417308 Long DBT CORP US N 2 2026-05-17 Fixed 8.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 5370.21000000 0.000787015893 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 290000.00000000 CHF 322555.53000000 USD 2024-06-20 5370.21000000 N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAN4 195000.00000000 PA USD 169100.06000000 0.024781979638 Long DBT CORP US N 2 2032-04-01 Fixed 3.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZL7 908000.00000000 PA USD 865375.43000000 0.126822641492 Long DBT UST US N 2 2025-04-30 Fixed 0.38000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKK4 95000.00000000 PA USD 78427.97000000 0.011493788681 Long DBT CORP US N 2 2033-02-04 Fixed 2.97000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 200000.00000000 OU Notional Amount USD 768.18000000 0.000112578440 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2034-04-09 4.16000000 USD 0.00000000 USD 200000.00000000 USD 764.02000000 N N N Benefit Street Partners CLO Ltd 5493002BNZCV0YE1MG83 08180FBU4 500000.00000000 PA USD 500748.90000000 0.073385834657 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 6.67000000 N N N N N N Countrywide Home Loans N/A 12545AAM6 140049.68000000 PA USD 59136.64000000 0.008666602533 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 5.88000000 N N N N N N SOUTHERN CALIF GAS CO XY0N0J73VHV5F4CUJV89 842434CX8 15000.00000000 PA USD 15765.43000000 0.002310457874 Long DBT CORP US N 2 2052-11-15 Fixed 6.35000000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93936LAC1 13656.00000000 PA USD 12632.40000000 0.001851305550 Long ABS-MBS CORP US N 2 2037-06-25 Floating 6.05000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 36671.00000000 OU Notional Amount USD 2877.37000000 0.000421684798 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Turkiye Government International Bonds Turkiye Government International Bonds Y buy protection 2029-06-20 3801.82000000 USD 0.00000000 USD 36671.00000000 USD -924.45000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4680000.00000000 OU Notional Amount 2640.18000000 0.000386924090 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 51.77000000 THB 0.00000000 THB 4680000.00000000 THB 2638.74000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 3000.00000000 PA 2797.40000000 0.000409965022 Long DBT NUSS RO N 2 2030-02-08 Fixed 2.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -146.00000000 NC USD 130701.52000000 0.019154590526 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year U.S. Treasury Notes TYM4 Comdty 2024-06-18 -15821139.02000000 USD 130701.52000000 N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JAS3 105000.00000000 PA USD 100295.79000000 0.014698565012 Long DBT CORP US N 2 2042-06-01 Fixed 5.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKKB5 631064.27000000 PA USD 487463.72000000 0.071438862786 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.00000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1398700.00000000 OU Notional Amount USD 10886.08000000 0.001595378575 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD 10886.08000000 0.00000000 DFE US 24127575.00000000 MXN 1398700.00000000 USD 2024-05-15 1.00000000 17.25000000 USD 2024-05-15 XXXX 4186.31000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AZ9 265000.00000000 PA USD 265558.70000000 0.038918202017 Long DBT CORP US N 2 2037-09-15 Fixed 5.90000000 N N N N N N ECO MATERIAL TECH INC N/A 27900QAA4 60000.00000000 PA USD 60440.88000000 0.008857741726 Long DBT CORP US N 2 2027-01-31 Fixed 7.88000000 N N N N N N RENAISSANCERE HOLDINGS L EK6GB9U3U58PDI411C94 75968NAE1 760000.00000000 PA USD 740821.16000000 0.108568943753 Long DBT CORP BM N 2 2033-06-05 Fixed 5.75000000 N N N N N N TAPESTRY INC 549300LJNVY5SW3VTN33 876030AD9 15000.00000000 PA USD 15476.37000000 0.002268095506 Long DBT CORP US N 2 2028-11-27 Fixed 7.35000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 2461.89000000 0.000360795305 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 220000.00000000 CAD 162398.39000000 USD 2024-06-20 2461.89000000 N N N United States Treasury 254900HROIFWPRGM1V77 912797FH5 500000.00000000 PA USD 498900.49000000 0.073114946173 Long DBT UST US N 2 2024-05-16 None 0.00000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92556HAC1 19000.00000000 PA USD 13261.97000000 0.001943570395 Long DBT CORP US N 2 2050-05-19 Fixed 4.95000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -3179.98000000 -0.00046603294 N/A DFE NZ N 2 Bank of America NA B4TYDEB6GKMZO031MB27 138707.02000000 USD 230000.00000000 NZD 2024-06-20 -3179.98000000 N N N UMBS, TBA N/A 01F030454 -9000.00000000 PA USD -8163.90000000 -0.00119643720 Short ABS-MBS USGSE US N 2 2039-05-01 Fixed 3.00000000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508CB8 25000.00000000 PA USD 24454.01000000 0.003583788071 Long DBT CORP US N 2 2033-03-14 Fixed 4.90000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 13511000.00000000 PA 739162.49000000 0.108325862076 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1318000.00000000 OU Notional Amount 514.81000000 0.000075446519 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC USD 514.81000000 0.00000000 DFE XX 1378628.00000000 USD 1318000.00000000 EUR 2024-05-15 1.00000000 1.04600000 EUR 2024-05-15 XXXX -2601.17000000 N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAQ4 206000.00000000 PA USD 205439.80000000 0.030107647155 Long DBT CORP US N 2 2033-06-30 Fixed 5.95000000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 000000000 427136.00000000 OU Notional Amount USD 3992.01000000 0.000585037702 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD 3992.01000000 0.00000000 DFE US 589447.68000000 CAD 427136.00000000 USD 2024-08-16 1.00000000 1.38000000 USD 2024-08-16 XXXX 387.41000000 N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBP7 50000.00000000 PA USD 33952.84000000 0.004975862158 Long DBT CORP US N 2 2061-02-04 Fixed 4.00000000 N N N N N N PUBLIC STORAGE OP CO 549300LMZF40TKJ6DM64 74460WAH0 100000.00000000 PA USD 93833.55000000 0.013751509759 Long DBT US N 2 2053-08-01 Fixed 5.35000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGA3 1666000.00000000 PA USD 1636584.69000000 0.239845027045 Long DBT UST US N 2 2025-12-15 Fixed 4.00000000 N N N N N N Freddie Mac - STACR 5493007ZK0X40BI7UF30 35564KDX4 205000.00000000 PA USD 225051.05000000 0.032981718271 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 8.73000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -3491.93000000 -0.00051174989 N/A DFE NO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 111649.38000000 USD 1200000.00000000 NOK 2024-06-20 -3491.93000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 4949.75000000 0.000725396571 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 400000.00000000 CAD 295743.39000000 USD 2024-06-20 4949.75000000 N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAG4 632000.00000000 PA USD 659650.63000000 0.096673226970 Long DBT CORP US N 2 2030-02-01 Fixed 7.00000000 N N N N N N Argentina Government International Bonds 549300KPBYGYF7HCHO27 040114HT0 60885.00000000 PA USD 27824.45000000 0.004077733345 Long DBT NUSS AR N 2 2035-07-09 Variable 3.63000000 N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDU2 20000.00000000 PA USD 11671.25000000 0.001710446938 Long DBT CORP US N 2 2056-11-01 Fixed 2.94000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0TH2 761264.70000000 PA USD 775538.41000000 0.113656831850 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 7.24000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807CH3 36000.00000000 PA USD 34112.96000000 0.004999328090 Long DBT CORP US N 2 2033-03-15 Fixed 4.70000000 N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NU1 120000.00000000 PA USD 112620.42000000 0.016504766203 Long DBT CORP US N 2 2033-05-24 Fixed 4.91000000 N N N N N N Westlake Automobile Receivables Trust N/A 959926AF3 300000.00000000 PA USD 301247.58000000 0.044148484593 Long ABS-O CORP US N 2 2028-03-15 Fixed 6.29000000 N N N N N N POPULAR INC 5493008CARDZMVQ3LO89 733174AL0 203000.00000000 PA USD 203537.54000000 0.029828866837 Long DBT CORP PR N 2 2028-03-13 Fixed 7.25000000 N N N N N N EVERGY METRO 1128SIJQ26096WL7IO82 30037DAD7 30000.00000000 PA USD 29287.02000000 0.004292076143 Long DBT CORP US N 2 2034-04-01 Fixed 5.40000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 220.62000000 0.000032332338 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 106600.28000000 USD 419951805.50000000 COP 2024-05-16 220.62000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 66000000.00000000 OU Notional Amount -11463.54000000 -0.00168000658 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 SEK -225571.10000000 SEK 66000000.00000000 SEK 9122.55000000 N N N Conn Funding II, L.P N/A 20824DAA1 844328.58000000 PA USD 845577.60000000 0.123921226674 Long ABS-O CORP US N 2 2029-01-16 Fixed 7.05000000 N N N N N N NEW FORTRESS ENERGY INC 254900EICTYTCHA5X705 644393AB6 104000.00000000 PA USD 99451.46000000 0.014574826624 Long DBT CORP US N 2 2026-09-30 Fixed 6.50000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VBD2 140000.00000000 PA USD 139168.81000000 0.020395490195 Long DBT US N 2 2029-06-01 Fixed 5.60000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468U6 92000.00000000 PA USD 71787.99000000 0.010520685246 Long DBT CORP US N 2 2032-02-13 Fixed 1.79000000 N N N N N N SOUTHWESTERN ELEC POWER R64UBJHEC74EB3HGQ410 845437BR2 20000.00000000 PA USD 18785.31000000 0.002753027822 Long DBT CORP US N 2 2028-09-15 Fixed 4.10000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 702.60000000 0.000102967550 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 330788.20000000 USD 310000.00000000 EUR 2024-06-20 702.60000000 N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JBU7 20000.00000000 PA USD 17310.70000000 0.002536920536 Long DBT CORP US N 2 2030-05-15 Fixed 2.75000000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAC5 131000.00000000 PA USD 140806.92000000 0.020635558759 Long DBT CORP US N 2 2029-02-01 Fixed 9.50000000 N N N N N N WISCONSIN POWER & LIGHT JWBYHVQVMY66CVCOSO49 976826BQ9 60000.00000000 PA USD 53737.69000000 0.007875374730 Long DBT CORP US N 2 2032-09-01 Fixed 3.95000000 N N N N N N Fannie Mae - CAS N/A 20754RAF3 1800000.00000000 PA USD 1847598.48000000 0.270769554494 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 8.43000000 N N N N N N EUROPEAN UNION 529900FZRK8FGMPEOM08 000000000 170000.00000000 PA 151798.99000000 0.022246470399 Long DBT NUSS XX N 2 2052-10-04 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TZ1 215000.00000000 PA USD 204115.63000000 0.029913587177 Long DBT UST US N 2 2044-02-15 Fixed 4.50000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CE3 81000.00000000 PA USD 80653.11000000 0.011819887762 Long DBT CORP US N 2 2034-05-19 Fixed 5.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0GT3 258560.72000000 PA USD 236104.49000000 0.034601623817 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.00000000 N N N N N N City of San Antonio TX Electric & Gas Systems Revenue 5493002G2FEH20Q4GQ04 796253Y30 50000.00000000 PA USD 49574.88000000 0.007265305918 Long DBT MUN US N 2 2041-02-01 Fixed 5.81000000 N N N N N N Verisk Analytics Inc 549300I1YSWNIRKBWP67 92345YAF3 200000.00000000 PA USD 188404.03000000 0.027611018205 Long DBT CORP US N 2 2029-03-15 Fixed 4.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131Y0ZS4 13339.97000000 PA USD 12170.86000000 0.001783665864 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFD2 30000.00000000 PA USD 29509.75000000 0.004324717706 Long DBT CORP US N 2 2029-04-20 Fixed 5.16000000 N N N N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAA9 150000.00000000 PA USD 129555.73000000 0.018986672523 Long DBT CORP CA N 2 2030-02-01 Fixed 2.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKPV6 465763.68000000 PA USD 441877.39000000 0.064758087499 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.00000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CG8 300000.00000000 PA USD 302819.31000000 0.044378825025 Long DBT CORP US N 2 2026-08-24 Fixed 5.88000000 N N N N N N TRAVELERS COS INC 549300Y650407RU8B149 89417EAJ8 25000.00000000 PA USD 21978.86000000 0.003221049483 Long DBT CORP US N 2 2043-08-01 Fixed 4.60000000 N N N N N N Freddie Mac - STACR 5493000IT1PBTE7DAT80 35564KBD0 200000.00000000 PA USD 212153.38000000 0.031091536829 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 7.98000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BA1 40000.00000000 PA USD 29263.15000000 0.004288577942 Long DBT US N 2 2033-03-15 Fixed 1.80000000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93935GAE9 355400.02000000 PA USD 136292.53000000 0.019973965138 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A6M37 52128.85000000 PA USD 51842.28000000 0.007597598293 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.00000000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AR4 239000.00000000 PA USD 176078.35000000 0.025804663135 Long DBT CORP US N 2 2050-05-15 Fixed 3.95000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 377.84000000 0.000055373269 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 500000.00000000 PLN 123575.21000000 USD 2024-06-20 377.84000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -2396.63000000 -0.00035123131 N/A DFE AU N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 313793.18000000 USD 480000.00000000 AUD 2024-06-20 -2396.63000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XB2F6 613631.17000000 PA USD 555669.80000000 0.081434611373 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 4.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 02151ABK5 289238.47000000 PA USD 136264.81000000 0.019969902712 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.00000000 N N N N N N METLIFE INC C4BXATY60WC6XEOZDX54 59156RCE6 25000.00000000 PA USD 24814.58000000 0.003636630384 Long DBT CORP US N 2 2033-07-15 Fixed 5.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 500000.00000000 OU Notional Amount 2847.43000000 0.000417297026 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 5.58000000 AUD 0.00000000 AUD 500000.00000000 AUD 2843.78000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10260000.00000000 OU Notional Amount 5129.52000000 0.000751742253 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 114.46000000 CNY 0.00000000 CNY 10260000.00000000 CNY 5113.71000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 350000.00000000 OU Notional Amount -832.31000000 -0.00012197683 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 3.90000000 AUD 0.00000000 AUD 350000.00000000 AUD -834.85000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount 9925.81000000 0.001454648929 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.15000000 AUD 0.00000000 AUD 1000000.00000000 AUD 9918.56000000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 67000.00000000 OU Notional Amount USD 3.08000000 0.000000451380 N/A DFE US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 3.08000000 0.00000000 DFE US 324950.00000000 BRL 67000.00000000 USD 2024-06-03 1.00000000 4.85000000 USD 2024-06-03 XXXX -147.34000000 N N N Credit Suisse Mortgage Trust N/A 126438AE0 570000.00000000 PA USD 534553.18000000 0.078339925026 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 2.82000000 N N N N N N REMIC FUNDING TRUST 98-1 N/A 75806CAA9 93402.87000000 PA USD 93543.46000000 0.013708996442 Long ABS-O CORP US N 2 2059-07-25 Variable 7.50000000 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAF4 45000.00000000 PA USD 36472.79000000 0.005345166282 Long DBT US N 2 2031-06-01 Fixed 2.55000000 N N N N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664CU3 80000.00000000 PA USD 66872.83000000 0.009800357914 Long DBT CORP US N 2 2030-03-12 Fixed 1.85000000 N N N N N N MetLife Inc C4BXATY60WC6XEOZDX54 59156RBN7 35000.00000000 PA USD 27554.18000000 0.004038124692 Long DBT CORP US N 2 2045-03-01 Fixed 4.05000000 N N N N N N CALIFORNIA INSTITUTE OF 549300CITPNHOTVPHC04 13034VAD6 50000.00000000 PA USD 32171.44000000 0.004714794134 Long DBT CORP US N 2 2119-09-01 Fixed 3.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPV70 635475.97000000 PA USD 490360.76000000 0.071863430265 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.00000000 N N N N N N UMBS, TBA N/A 01F022451 -12000.00000000 PA USD -10623.55000000 -0.00155690423 Short ABS-MBS USGSE US N 2 2039-05-01 Fixed 2.50000000 N N N N N N Affirm Inc N/A 00834JAE0 937000.00000000 PA USD 940680.63000000 0.137858781474 Long ABS-O CORP US N 2 2028-01-18 Fixed 6.61000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -104.89000000 -0.00001537185 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 82971000.00000000 COP 21000.00000000 USD 2024-05-16 -104.89000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 694.82000000 0.000101827374 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 350000.00000000 PLN 86932.98000000 USD 2024-06-20 694.82000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2440000.00000000 OU Notional Amount 5170.90000000 0.000757806582 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 27.21000000 HKD 0.00000000 HKD 2440000.00000000 HKD 5167.42000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1517.07000000 0.000222329890 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3140000000.00000000 IDR 194355.04000000 USD 2024-06-20 1517.07000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 320.69000000 0.000046997813 N/A DFE BR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 21000.00000000 USD 110709.81000000 BRL 2024-05-03 320.69000000 N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LJ8 100000.00000000 PA USD 80932.47000000 0.011860828574 Long DBT CORP US N 2 2048-04-24 Fixed 4.28000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQQM1 33110.05000000 PA USD 32858.39000000 0.004815468143 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 6148.01000000 0.000901004166 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 300000.00000000 GBP 381108.60000000 USD 2024-06-20 6148.01000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBX3 113000.00000000 PA USD 89659.83000000 0.013139842064 Long DBT CORP US N 2 2032-02-04 Fixed 1.95000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HZ9 178000.00000000 PA USD 169802.65000000 0.024884945722 Long DBT CORP US N 2 2034-06-01 Fixed 5.20000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -4038.52000000 -0.00059185384 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 137000000.00000000 CLP 138595.23000000 USD 2024-06-21 -4038.52000000 N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBW7 20000.00000000 PA USD 20311.88000000 0.002976749958 Long DBT CORP US N 2 2059-01-23 Fixed 5.80000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBF7 113000.00000000 PA USD 72969.94000000 0.010693902576 Long DBT CORP US N 2 2051-02-15 Fixed 3.05000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 430000.00000000 OU Notional Amount -1234.56000000 -0.00018092743 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 CAD -285.98000000 CAD 430000.00000000 CAD -1027.10000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFV1 135000.00000000 PA USD 78138.07000000 0.011451303209 Long DBT CORP US N 2 2060-11-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQUP9 168921.07000000 PA USD 154226.00000000 0.022602153965 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CBJ2 20000.00000000 PA USD 19249.29000000 0.002821025095 Long DBT CORP US N 2 2033-01-15 Fixed 4.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJG7 10192900.00000000 PA USD 10282087.88000000 1.506862223953 Long DBT UST US N 2 2030-10-31 Fixed 4.88000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAN0 450000.00000000 PA USD 367509.33000000 0.053859287412 Long DBT CORP US N 2 2048-04-15 Fixed 4.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount 1817.07000000 0.000266295539 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 33.45000000 ZAR 0.00000000 ZAR 3000000.00000000 ZAR 1815.28000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -86.61000000 -0.00001269288 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 18930.90000000 USD 70953.00000000 PEN 2024-05-16 -86.61000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 27.87000000 0.000004084408 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1584600.00000000 INR 19000.00000000 USD 2024-05-16 27.87000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QST68 132789.59000000 PA USD 132005.05000000 0.019345625668 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016FZX5 25000.00000000 PA USD 24100.97000000 0.003532049295 Long DBT CORP CA N 2 2033-02-01 Fixed 5.00000000 N N N N N N ACADEMY LTD 549300BN53IR80C35Z14 00401YAA8 98000.00000000 PA USD 95801.15000000 0.014039865796 Long DBT CORP US N 2 2027-11-15 Fixed 6.00000000 N N N N N N Northwest Pipeline LLC 549300FFKMN9OW536A14 66775VAB1 555000.00000000 PA USD 532851.82000000 0.078090587037 Long DBT CORP US N 2 2027-04-01 Fixed 4.00000000 N N N N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 000000000 411000.00000000 PA 88202.28000000 0.012926234958 Long DBT NUSS PL N 2 2029-10-25 Fixed 2.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1456750.00000000 OU Notional Amount 18409.82000000 0.002697998950 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 16.25000000 AUD 0.00000000 AUD 1456750.00000000 AUD 18399.15000000 N N N Credit-Based Asset Servicing and Securitization N/A 1248P8AL3 372204.35000000 PA USD 275160.44000000 0.040325357787 Long ABS-O CORP US N 2 2036-10-25 Variable 6.75000000 N N N N N N Freddie Mac - STACR 5493000IRILHAKSCHN59 35564KP37 824432.59000000 PA USD 838835.43000000 0.122933147074 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 7.43000000 N N N N N N BOOKING HOLDINGS INC FXM8FAOHMYDIPD38UZ17 09857LAR9 100000.00000000 PA USD 96398.14000000 0.014127355972 Long DBT CORP US N 2 2030-04-13 Fixed 4.63000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAL3 171000.00000000 PA USD 110001.13000000 0.016120903587 Long DBT CORP US N 2 2049-09-15 Fixed 3.15000000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513ECW9 444000.00000000 PA USD 458967.11000000 0.067262622938 Long DBT CORP US N 2 2034-03-15 Fixed 6.10000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GK7 30000.00000000 PA USD 29833.79000000 0.004372206469 Long DBT CORP US N 2 2028-04-01 Fixed 5.05000000 N N N N N N Countrywide Home Loans N/A 12544LAA9 534773.61000000 PA USD 223862.38000000 0.032807516111 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.00000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174467Y9 25000.00000000 PA USD 24319.05000000 0.003564009391 Long DBT CORP US N 2 2026-09-08 Fixed 4.35000000 N N N N N N ARES CLO Ltd N/A 04020FAG9 250000.00000000 PA USD 254139.90000000 0.037244752172 Long ABS-CBDO CORP JE N 2 2036-10-15 Floating 10.01000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46590MAR1 133000.00000000 PA USD 124372.46000000 0.018227053090 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 2.82000000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DT1 70000.00000000 PA USD 69786.80000000 0.010227406522 Long DBT CORP US N 2 2034-03-15 Fixed 5.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 48000000.00000000 OU Notional Amount 5028.86000000 0.000736990312 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 535.68000000 THB 0.00000000 THB 48000000.00000000 THB 5014.39000000 N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CV7 250000.00000000 PA USD 238396.86000000 0.034937575600 Long DBT CORP US N 2 2026-07-01 Fixed 3.25000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 956.60000000 0.000140191799 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 154741.68000000 USD 240000.00000000 AUD 2024-06-20 956.60000000 N N N WF-RBS Commercial Mortgage Trust N/A 92939LAE6 300000.00000000 PA USD 295692.54000000 0.043334381463 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 3.63000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880RAA7 520000.00000000 PA USD 516587.76000000 0.075707053857 Long ABS-CBDO CORP KY N 2 2036-11-15 Floating 6.79000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -970.76000000 -0.00014226697 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 483942.43000000 PLN 118318.98000000 USD 2024-05-16 -970.76000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -670.43000000 -0.00009825296 N/A DFE PE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 66290.65000000 USD 247041.85000000 PEN 2024-05-06 -670.43000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DP2 182000.00000000 PA USD 118974.89000000 0.017436027529 Long DBT CORP US N 2 2040-08-21 Fixed 2.70000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -7905.23000000 -0.00115852855 N/A DFE PL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 229660.50000000 USD 900000.00000000 PLN 2024-06-20 -7905.23000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1129.65000000 -0.00016555265 N/A DFE CA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 88367.74000000 USD 120000.00000000 CAD 2024-06-20 -1129.65000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 8006.53000000 0.001173374293 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 490000.00000000 EUR 531975.85000000 USD 2024-06-20 8006.53000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -944.42000000 -0.00013840679 N/A DFE CA N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 109992.04000000 USD 150000.00000000 CAD 2024-06-20 -944.42000000 N N N Fannie Mae - CAS N/A 20754BAF8 825000.00000000 PA USD 867281.25000000 0.127101943537 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 9.83000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 15000000.00000000 OU Notional Amount 13405.59000000 0.001964618217 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 167.25000000 ZAR 0.00000000 ZAR 15000000.00000000 ZAR 13396.68000000 N N N Eaton Corp 0NZWDMRCE180888QQE14 278062AD6 20000.00000000 PA USD 18328.90000000 0.002686139949 Long DBT CORP US N 2 2032-11-02 Fixed 4.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 11006.56000000 0.001613035180 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 615000000.00000000 KRW 455775.00000000 USD 2024-06-20 11006.56000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACQ6 34000.00000000 PA USD 27776.71000000 0.004070736944 Long DBT CORP US N 2 2032-03-15 Fixed 2.70000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -492.33000000 -0.00007215202 N/A DFE GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 50487.08000000 USD 40000.00000000 GBP 2024-06-20 -492.33000000 N N N PRAIRIE ACQUIROR LP 254900Q6KU2LVSIISH22 73943NAA4 65000.00000000 PA USD 66391.66000000 0.009729841410 Long DBT CORP US N 2 2029-08-01 Fixed 9.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -2629.98000000 -0.00038542925 N/A DFE CA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 148026.80000000 USD 200000.00000000 CAD 2024-06-20 -2629.98000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2620000.00000000 OU Notional Amount USD 28724.74000000 0.004209672792 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2034-03-25 9721.53000000 USD 0.00000000 USD 2620000.00000000 USD 19003.21000000 N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89788MAN2 200000.00000000 PA USD 201058.97000000 0.029465627041 Long DBT CORP US N 2 2027-06-08 Fixed 6.05000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGC7 80000.00000000 PA USD 76549.14000000 0.011218442079 Long DBT CORP US N 2 2027-11-25 Fixed 4.18000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAB7 2723000.00000000 PA USD 2561321.88000000 0.375367262894 Long DBT UST US N 2 2025-07-31 Fixed 0.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 330000.00000000 OU Notional Amount USD 1949.59000000 0.000285716632 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 0.00000000 USD -262.93000000 USD 330000.00000000 USD 2212.52000000 N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 26444HAJ0 32000.00000000 PA USD 25962.39000000 0.003804844423 Long DBT CORP US N 2 2030-06-15 Fixed 1.75000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAR1 200000.00000000 PA USD 202352.40000000 0.029655182006 Long DBT CORP US N 2 2026-12-01 Fixed 6.05000000 N N N N N N University of California N/A 91412GHA6 170000.00000000 PA USD 145604.68000000 0.021338680867 Long DBT MUN US N 2 2112-05-15 Fixed 4.86000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -92078.97000000 -0.01349437226 N/A DFE JP N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2852300.00000000 USD 432112040.00000000 JPY 2024-06-20 -92078.97000000 N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93935QAB3 207470.31000000 PA USD 165369.13000000 0.024235203775 Long ABS-MBS CORP US N 2 2047-01-25 Floating 5.79000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -89.94000000 -0.00001318090 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3400000.00000000 THB 91999.56000000 USD 2024-06-20 -89.94000000 N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 25160PAM9 450000.00000000 PA USD 447398.04000000 0.065567150700 Long DBT CORP DE N 2 2027-09-09 Fixed 5.37000000 N N N N N N GREENFIRE RESOURCES LTD 254900MTS0G2VGMJW059 39525UAA5 136000.00000000 PA USD 144150.51000000 0.021125569107 Long DBT CORP CA N 2 2028-10-01 Fixed 12.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKJ7 70000.00000000 PA USD 64473.93000000 0.009448793929 Long DBT CORP US N 2 2028-02-04 Fixed 2.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPQ43 119577.84000000 PA USD 116493.97000000 0.017072443336 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.50000000 N N N N N N Exeter Automobile Receivables Trust N/A 30168CAF5 545000.00000000 PA USD 544011.92000000 0.079726123837 Long ABS-O CORP US N 2 2029-08-15 Fixed 6.32000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 1069.82000000 0.000156784435 N/A DFE AU N 2 Bank of America NA B4TYDEB6GKMZO031MB27 141653.60000000 USD 220000.00000000 AUD 2024-06-20 1069.82000000 N N N COMPASS GROUP DIVERSIFIE 549300I6PTUQPX21TE93 20451RAB8 25000.00000000 PA USD 23369.75000000 0.003424887422 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GQ0 199000.00000000 PA USD 187846.83000000 0.027529359340 Long DBT CORP US N 2 2029-03-01 Fixed 4.20000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1899.49000000 -0.00027837436 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 2200000.00000000 ZAR 114537.60000000 USD 2024-06-20 -1899.49000000 N N N Pretium Mortgage Credit Partners LLC N/A 74142BAA7 163109.07000000 PA USD 161714.99000000 0.023699681652 Long ABS-MBS CORP US N 2 2054-02-25 Variable 7.02000000 N N N N N N KENTUCKY UTILITIES CO AGX0G2MXE54NFNNICD28 491674BM8 25000.00000000 PA USD 16560.62000000 0.002426994689 Long DBT CORP US N 2 2050-06-01 Fixed 3.30000000 N N N N N N Regional Management Issuance Trust N/A 75907QAA6 42880.14000000 PA USD 42181.76000000 0.006181828187 Long ABS-O CORP US N 2 2030-10-15 Fixed 2.34000000 N N N N N N DUKE ENERGY OHIO INC L6KC0HABGHNFU1Z6QY21 26442EAL4 30000.00000000 PA USD 28319.90000000 0.004150342614 Long DBT CORP US N 2 2054-03-15 Fixed 5.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A5H40 368856.41000000 PA USD 324280.80000000 0.047524052816 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDL2 46000.00000000 PA USD 27434.68000000 0.004020611708 Long DBT CORP US N 2 2051-01-15 Fixed 2.80000000 N N N N N N CARDINAL HEALTH INC CCU46N3GJMF4OK4N7U60 14149YBP2 240000.00000000 PA USD 235248.17000000 0.034476128269 Long DBT CORP US N 2 2034-02-15 Fixed 5.45000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 2350.36000000 0.000344450342 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 342760.06000000 BRL 67376.83000000 USD 2024-10-02 2350.36000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 721.56000000 0.000105746179 N/A DFE ZA N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 78667.37000000 USD 1500000.00000000 ZAR 2024-06-20 721.56000000 N N N NATIONAL RURAL UTIL COOP 4NYF266XZC35SCTGX023 63743HFK3 40000.00000000 PA USD 40117.92000000 0.005879367970 Long DBT CORP US N 2 2026-11-13 Fixed 5.60000000 N N N N N N State of California N/A 13063A5G5 150000.00000000 PA USD 176493.23000000 0.025865464696 Long DBT MUN US N 2 2039-04-01 Fixed 7.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKSE1 567800.13000000 PA USD 556025.57000000 0.081486750236 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.50000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GU1 204000.00000000 PA USD 169392.54000000 0.024824843215 Long DBT CORP US N 2 2030-06-01 Fixed 2.25000000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111GD9 170000.00000000 PA USD 176688.08000000 0.025894020385 Long DBT CORP US N 2 2052-11-15 Fixed 6.15000000 N N N N N N UMBS, TBA N/A 01F030652 6588800.00000000 PA USD 5439635.92000000 0.797190412644 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Bank N/A 06540LBA4 350000.00000000 PA USD 279244.53000000 0.040923890012 Long ABS-MBS CORP US N 2 2064-11-15 Fixed 2.37000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 687.80000000 0.000100798578 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 40000.00000000 EUR 43460.81000000 USD 2024-06-20 687.80000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1545.72000000 0.000226528610 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 170000.00000000 CHF 187481.94000000 USD 2024-06-20 1545.72000000 N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 20754KAA9 250683.20000000 PA USD 250682.40000000 0.036738048067 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 6.23000000 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 52532XAD7 35000.00000000 PA USD 34179.01000000 0.005009007861 Long DBT CORP US N 2 2025-05-15 Fixed 3.63000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1287.07000000 -0.00018862289 N/A DFE SG N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 111420.70000000 USD 150000.00000000 SGD 2024-06-20 -1287.07000000 N N N PIEDMONT NATURAL GAS CO VXB4M3BDPKF3I2AZ3G89 720186AQ8 100000.00000000 PA USD 97631.39000000 0.014308091428 Long DBT CORP US N 2 2033-06-15 Fixed 5.40000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CN3 220000.00000000 PA USD 162221.47000000 0.023773907392 Long DBT CORP US N 2 2048-03-15 Fixed 4.20000000 N N N N N N TPGI Trust N/A 87267HAQ0 80000.00000000 PA USD 79800.00000000 0.011694862646 Long ABS-MBS CORP US N 2 2026-06-15 Floating 7.79000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2323.77000000 0.000340553520 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1300000.00000000 MXN 77632.95000000 USD 2024-06-20 2323.77000000 N N N GLOBAL PART/GLP FINANCE N/A 37954FAK0 174000.00000000 PA USD 178248.78000000 0.026122744347 Long DBT CORP US N 2 2032-01-15 Fixed 8.25000000 N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 7489.62000000 0.001097620014 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 108099260.00000000 JPY 698000.00000000 USD 2024-06-20 7489.62000000 N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AX0 110000.00000000 PA USD 105333.90000000 0.015436910933 Long DBT CORP US N 2 2030-06-30 Fixed 7.38000000 N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 90000.00000000 OU Notional Amount USD -2878.77000000 -0.00042188997 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 American Express Co. American Express Co. Y buy protection 2029-06-20 0.00000000 USD -2722.59000000 USD 90000.00000000 USD -156.18000000 N N N Saluda Grade Alternative Mortgage Trust N/A 79584CAA9 140000.00000000 PA USD 138995.95000000 0.020370157188 Long ABS-MBS CORP US N 2 2030-02-25 Variable 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWAH6 117218.80000000 PA USD 97961.16000000 0.014356419935 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 3.00000000 N N N N N N Oglethorpe Power Corp 3EERXCUSWMS9GV5D9M98 677050AN6 10000.00000000 PA USD 8641.82000000 0.001266477417 Long DBT CORP US N 2 2048-10-01 Fixed 5.05000000 N N N N N N Fannie Mae - CAS N/A 20754LAF6 1690000.00000000 PA USD 1741660.26000000 0.255244079158 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 8.48000000 N N N N N N CENT Trust 2023-CITY N/A 12516WAA9 34000.00000000 PA USD 34255.00000000 0.005020144360 Long ABS-MBS CORP US N 2 2038-09-15 Floating 7.94000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 824.55000000 0.000120839586 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 352052.75000000 USD 330000.00000000 EUR 2024-06-20 824.55000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACW3 70000.00000000 PA USD 67128.37000000 0.009837807854 Long DBT CORP US N 2 2053-01-15 Fixed 5.65000000 N N N N N JOHN DEERE CAPITAL CORP E0KSF7PFQ210NWI8Z391 24422EVS5 20000.00000000 PA USD 16162.16000000 0.002368599514 Long DBT CORP US N 2 2031-06-17 Fixed 2.00000000 N N N N N N Progress Residential Trust N/A 74334FAJ7 690000.00000000 PA USD 663806.91000000 0.097282338796 Long ABS-O CORP US N 2 2040-03-17 Fixed 6.15000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAJ3 20000.00000000 PA USD 18802.28000000 0.002755514812 Long DBT CORP US N 2 2028-09-21 Fixed 3.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 82.40000000 0.000012075898 N/A DFE PL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 130000.00000000 USD 527726.81000000 PLN 2024-05-16 82.40000000 N N N CHARTER COMM OPT LLC/CAP 549300TPZNMN50BJ3745 161175BA1 135000.00000000 PA USD 119513.57000000 0.017514972249 Long DBT CORP US N 2 2045-10-23 Fixed 6.48000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 63.16000000 0.000009256234 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 78831.90000000 PEN 21000.00000000 USD 2024-05-16 63.16000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3L5 351000.00000000 PA USD 351244.04000000 0.051475573973 Long DBT CORP US N 2 2028-04-22 Fixed 5.71000000 N N N N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 136385BA8 20000.00000000 PA USD 17175.45000000 0.002517099356 Long DBT CORP CA N 2 2030-07-15 Fixed 2.95000000 N N N N N N Lendmark Funding Trust N/A 52608JAA3 100000.00000000 PA USD 98627.28000000 0.014454041262 Long ABS-O CORP US N 2 2032-07-20 Fixed 5.12000000 N N N N N N Regional Management Issuance Trust N/A 75907UAB5 300000.00000000 PA USD 255159.87000000 0.037394230982 Long ABS-O CORP US N 2 2033-08-15 Fixed 2.35000000 N N N N N N RELIANCE INC 549300E287ZOFT3C5Z56 759509AF9 200000.00000000 PA USD 188908.71000000 0.027684980151 Long DBT CORP US N 2 2025-08-15 Fixed 1.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797JZ1 1500000.00000000 PA USD 1492523.54000000 0.218732553838 Long DBT UST US N 2 2024-06-04 None 0.00000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AP2 17000.00000000 PA USD 12452.50000000 0.001824940815 Long DBT CORP CA N 2 2027-02-01 Fixed 6.13000000 N N N N N N CIT Mortgage Loan Trust N/A 12559QAJ1 676000.00000000 PA USD 588382.15000000 0.086228677038 Long ABS-O CORP US N 2 2037-10-25 Floating 7.18000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3J0 196000.00000000 PA USD 192183.86000000 0.028164960469 Long DBT CORP US N 2 2030-01-23 Fixed 5.20000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CZ0 711000.00000000 PA USD 698856.19000000 0.102418886609 Long DBT CORP US N 2 2028-02-15 Fixed 4.88000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAN1 94000.00000000 PA USD 82133.67000000 0.012036867033 Long DBT US N 2 2029-11-15 Fixed 3.10000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46514BRM1 204000.00000000 PA USD 184110.00000000 0.026981718819 Long DBT NUSS IL N 2 2054-03-12 Fixed 5.75000000 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LBW8 29000.00000000 PA USD 27882.89000000 0.004086297853 Long DBT CORP US N 2 2034-02-15 Fixed 4.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6770000.00000000 OU Notional Amount 5142.63000000 0.000753663552 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 NOK -10379.71000000 NOK 6770000.00000000 NOK 6113.45000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3263.91000000 0.000478333071 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 26000000.00000000 JPY 169345.25000000 USD 2024-06-20 3263.91000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWN5 642737.39000000 PA USD 511952.10000000 0.075027687855 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBM6 60000.00000000 PA USD 55082.36000000 0.008072439027 Long DBT CORP US N 2 2053-05-17 Fixed 5.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -11414.17000000 -0.00167277130 N/A DFE ID N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 243556.70000000 USD 3780000000.00000000 IDR 2024-06-20 -11414.17000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 28000000.00000000 OU Notional Amount -37232.11000000 -0.00545644627 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 SEK -49716.36000000 SEK 28000000.00000000 SEK -32398.86000000 N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109AX2 71000.00000000 PA USD 61798.41000000 0.009056690685 Long DBT US N 2 2031-01-15 Fixed 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XTA4 180019.22000000 PA USD 163176.97000000 0.023913937984 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 4.00000000 N N N N N N PRES & FELLOWS OF HARVAR 6S3X7J22E861RNTJSA74 740816AP8 150000.00000000 PA USD 91269.64000000 0.013375763202 Long DBT CORP US N 2 2050-10-15 Fixed 2.52000000 N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2767.60000000 0.000405597767 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 450000.00000000 PLN 113645.23000000 USD 2024-06-20 2767.60000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 7020.53000000 0.001028873860 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 108172696.00000000 JPY 698000.00000000 USD 2024-06-20 7020.53000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 25000000.00000000 OU Notional Amount 31881.24000000 0.004672264696 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 278.75000000 PLN 0.00000000 PLN 25000000.00000000 PLN 31813.38000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCK9 46000.00000000 PA USD 49941.58000000 0.007319046596 Long DBT CORP US N 2 2052-11-09 Fixed 6.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DV5Y7 58811.07000000 PA USD 51413.91000000 0.007534819743 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.50000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBK0 117000.00000000 PA USD 90270.27000000 0.013229303366 Long DBT CORP US N 2 2049-09-06 Fixed 4.76000000 N N N N N N Bath & Body Works Inc GR3KVMWVCR54YWQNXU90 501797AL8 208000.00000000 PA USD 206616.59000000 0.030280108276 Long DBT CORP US N 2 2035-11-01 Fixed 6.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 720000.00000000 OU Notional Amount 1444.27000000 0.000211660893 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 8.03000000 SGD 0.00000000 SGD 720000.00000000 SGD 1438.34000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1547.15000000 0.000226738179 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 94660.62000000 EUR 102824.16000000 USD 2024-07-02 1547.15000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 23000000.00000000 OU Notional Amount -318.81000000 -0.00004672229 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 256.02000000 THB 0.00000000 THB 23000000.00000000 THB -325.72000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -158.15000000 -0.00002317722 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 172549.23000000 ZAR 9000.00000000 USD 2024-05-16 -158.15000000 N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NBE0 110000.00000000 PA USD 94242.12000000 0.013811386577 Long DBT CORP US N 2 2032-03-15 Fixed 3.35000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RV2 2912000.00000000 PA USD 2148965.00000000 0.314935470002 Long DBT UST US N 2 2047-02-15 Fixed 3.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 36671.00000000 OU Notional Amount USD 2877.37000000 0.000421684798 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Turkiye Government International Bonds Turkiye Government International Bonds Y buy protection 2029-06-20 3801.82000000 USD 0.00000000 USD 36671.00000000 USD -924.45000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJTZ6 446707.50000000 PA USD 396053.40000000 0.058042482625 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RD2 4711000.00000000 PA USD 4019255.89000000 0.589030646277 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YCA5 200000.00000000 PA USD 193600.60000000 0.028372586781 Long DBT CORP JP N 2 2026-05-22 Fixed 2.65000000 N N N N N SAN DIEGO G & E KNIRVXKVNJJ4P8OTMS63 797440CD4 236000.00000000 PA USD 218197.37000000 0.031977296640 Long DBT CORP US N 2 2053-04-01 Fixed 5.35000000 N N N N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAE1 85000.00000000 PA USD 72342.88000000 0.010602005576 Long DBT CORP CA N 2 2032-06-01 Fixed 3.20000000 N N N N N Regents of the University of California Medical Center Pooled Revenue N/A 913366KC3 50000.00000000 PA USD 32164.22000000 0.004713736027 Long DBT MUN US N 2 2060-05-15 Fixed 3.26000000 N N N N N N BX Trust N/A 05608RAL9 270000.00000000 PA USD 263925.00000000 0.038678779747 Long ABS-MBS CORP US N 2 2036-10-15 Floating 7.68000000 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAU2 50000.00000000 PA USD 47153.38000000 0.006910429854 Long DBT CORP US N 2 2033-05-15 Fixed 5.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QW1 952000.00000000 PA USD 735308.44000000 0.107761042710 Long DBT UST US N 2 2042-05-15 Fixed 3.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -4477.20000000 -0.00065614334 N/A DFE CH N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 463849.04000000 USD 420000.00000000 CHF 2024-06-20 -4477.20000000 N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HT3 257000.00000000 PA USD 261450.24000000 0.038316098315 Long DBT CORP US N 2 2032-11-01 Fixed 5.95000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -212.89000000 -0.00003119949 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 500000.00000000 NZD 294411.10000000 USD 2024-06-20 -212.89000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1369.66000000 -0.00020072663 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1390226333.50000000 COP 352254.78000000 USD 2024-05-16 -1369.66000000 N N N Madison Park Funding Ltd N/A 55820BAJ6 500000.00000000 PA USD 499692.70000000 0.073231046262 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 6.71000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DW3 40000.00000000 PA USD 38744.41000000 0.005678077108 Long DBT CORP US N 2 2029-05-30 Fixed 4.60000000 N N N N N N AMSR Trust N/A 66981FAJ9 150000.00000000 PA USD 143369.87000000 0.021011164627 Long ABS-O CORP US N 2 2037-11-17 Fixed 4.87000000 N N N N N N JEFFERIES FIN GROUP INC 549300HOF34RGOJ5YL07 47233WBM0 30000.00000000 PA USD 29874.58000000 0.004378184332 Long DBT CORP US N 2 2028-07-21 Fixed 5.88000000 N N N N N N NATIONSTAR MTG HLD INC 549300DQF6YN0E43PM71 43734LAA4 5000.00000000 PA USD 4864.08000000 0.000712841447 Long DBT CORP US N 2 2026-02-01 Fixed 5.00000000 N N N N N N Exeter Automobile Receivables Trust N/A 30168DAE6 560000.00000000 PA USD 569411.92000000 0.083448548789 Long ABS-O CORP US N 2 2029-01-16 Fixed 6.85000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 652600000.00000000 OU Notional Amount -2700.39000000 -0.00039574799 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 8413.00000000 KRW 0.00000000 KRW 652600000.00000000 KRW -2706.44000000 N N N HELIX ENERGY SOLUTIONS 416AP2JOUTCWEGSOZW41 42330PAL1 64000.00000000 PA USD 68030.62000000 0.009970034544 Long DBT CORP US N 2 2029-03-01 Fixed 9.75000000 N N N N N N Affirm Inc N/A 00792FAB4 230000.00000000 PA USD 231829.44000000 0.033975105991 Long ABS-O CORP US N 2 2028-09-15 Fixed 7.44000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EA1 104000.00000000 PA USD 87121.98000000 0.012767914656 Long DBT CORP US N 2 2031-04-01 Fixed 2.63000000 N N N N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NBL4 40000.00000000 PA USD 37870.94000000 0.005550068190 Long DBT CORP US N 2 2053-03-15 Fixed 5.60000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBU8 699000.00000000 PA USD 485941.63000000 0.071215797203 Long DBT CORP US N 2 2050-09-25 Fixed 3.98000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 14088.36000000 0.002064679637 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 790000.00000000 GBP 1001484.58000000 USD 2024-06-20 14088.36000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1867.13000000 0.000273631941 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1330000000.00000000 IDR 83546.91000000 USD 2024-06-20 1867.13000000 N N N ELI LILLY & CO FRDRIPF3EKNDJ2CQJL29 532457CH9 70000.00000000 PA USD 63284.30000000 0.009274451079 Long DBT CORP US N 2 2063-02-27 Fixed 4.95000000 N N N N N N Alabama Power Co 0RL818ELFOHP5JHOFU19 010392FM5 83000.00000000 PA USD 62410.79000000 0.009146436299 Long DBT CORP US N 2 2045-03-01 Fixed 3.75000000 N N N N N N UMBS, TBA N/A 01F042459 241000.00000000 PA USD 233003.95000000 0.034147232972 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 191.62000000 0.000028082325 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 136844400.00000000 COP 35000.00000000 USD 2024-05-16 191.62000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -1523.65000000 -0.00022329420 N/A DFE SG N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 89630.55000000 USD 120000.00000000 SGD 2024-06-20 -1523.65000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 18000000.00000000 OU Notional Amount 2521.61000000 0.000369547400 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 46583.70000000 SEK 0.00000000 SEK 18000000.00000000 SEK -1735.84000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5000000.00000000 OU Notional Amount 2839.63000000 0.000416153919 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 55.79000000 THB 0.00000000 THB 5000000.00000000 THB 2838.07000000 N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBF0 25000.00000000 PA USD 18110.40000000 0.002654118301 Long DBT US N 2 2033-10-01 Fixed 2.45000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1026000.00000000 OU Notional Amount USD 22756.79000000 0.003335056808 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-06-20 0.00000000 USD -3090.73000000 USD 1026000.00000000 USD 25847.52000000 N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DX3 370000.00000000 PA USD 262671.91000000 0.038495136697 Long DBT CORP US N 2 2062-03-15 Fixed 3.90000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKM0 310000.00000000 PA USD 302946.99000000 0.044397536805 Long DBT CORP US N 2 2026-04-02 Fixed 3.38000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2575.71000000 0.000377475873 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 130000.00000000 EUR 141587.98000000 USD 2024-06-20 2575.71000000 N N N NASDAQ INC 549300L8X1Q78ERXFD06 63111XAG6 25000.00000000 PA USD 24970.19000000 0.003659435367 Long DBT CORP US N 2 2025-06-28 Fixed 5.65000000 N N N N N N BURFORD CAPITAL GLBL FIN 549300JVAOO67CSCH406 12116LAE9 5000.00000000 PA USD 5208.29000000 0.000763286167 Long DBT CORP US N 2 2031-07-01 Fixed 9.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount -68.58000000 -0.00001005054 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.15000000 SGD 0.00000000 SGD 1000000.00000000 SGD -76.77000000 N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BT5 450000.00000000 PA USD 355899.91000000 0.052157901794 Long DBT CORP US N 2 2062-06-15 Fixed 4.30000000 N N N N N N Norfolk Southern Corp 54930036C8MWP850MI84 655844BS6 25000.00000000 PA USD 23778.93000000 0.003484853636 Long DBT CORP US N 2 2026-06-15 Fixed 2.90000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1637.85000000 0.000240030460 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 167035.28000000 USD 260000.00000000 AUD 2024-06-20 1637.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMTG1 138676.24000000 PA USD 126328.83000000 0.018513763346 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEZ4 100000.00000000 PA USD 99006.14000000 0.014509564015 Long DBT CORP US N 2 2027-01-28 Fixed 5.05000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1147.42000000 0.000168156883 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 822232.95000000 USD 770000.00000000 EUR 2024-06-20 1147.42000000 N N N EMERSON ELECTRIC CO FGLT0EWZSUIRRITFOA30 291011BQ6 50000.00000000 PA USD 43705.43000000 0.006405125322 Long DBT CORP US N 2 2028-12-21 Fixed 2.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PF2 28000.00000000 PA USD 27383.00000000 0.004013037892 Long DBT CORP US N 2 2030-02-13 Fixed 5.17000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -94.71000000 -0.00001387995 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 220000000.00000000 COP 55574.78000000 USD 2024-06-20 -94.71000000 N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804GL2 100000.00000000 PA USD 93689.81000000 0.013730444351 Long DBT CORP US N 2 2053-04-01 Fixed 5.45000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2180000.00000000 OU Notional Amount -90.74000000 -0.00001329814 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 24.31000000 HKD 0.00000000 HKD 2180000.00000000 HKD -93.85000000 N N N Progress Residential Trust N/A 74331GAJ8 125000.00000000 PA USD 112872.99000000 0.016541780883 Long ABS-O CORP US N 2 2028-10-17 Fixed 4.75000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCT8 230000.00000000 PA USD 218255.16000000 0.031985765889 Long DBT CORP US N 2 2031-03-01 Fixed 7.38000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 15000000.00000000 OU Notional Amount 8216.02000000 0.001204075506 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 167.47000000 THB 0.00000000 THB 15000000.00000000 THB 8211.36000000 N N N SOFI PERS LN TR 2024 1 N/A 83407RAA3 170000.00000000 PA USD 170901.00000000 0.025045911291 Long ABS-O CORP US N 3 2031-02-12 Variable 0.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -569.72000000 -0.00008349369 N/A DFE KR N 2 Bank of America NA B4TYDEB6GKMZO031MB27 98201.82000000 USD 135000000.00000000 KRW 2024-06-20 -569.72000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAF3 50000.00000000 PA USD 45792.55000000 0.006710997273 Long DBT CORP US N 2 2045-05-22 Fixed 5.15000000 N N N N N N REGENERON PHARMACEUTICAL 549300RCBFWIRX3HYQ56 75886FAF4 50000.00000000 PA USD 29291.42000000 0.004292720972 Long DBT CORP US N 2 2050-09-15 Fixed 2.80000000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62928CAA0 417000.00000000 PA USD 347405.28000000 0.050912995389 Long DBT CORP US N 2 2031-07-15 Fixed 3.25000000 N N N N N N Affirm Inc N/A 00834KAA5 835810.97000000 PA USD 839029.43000000 0.122961578193 Long ABS-O CORP US N 2 2028-11-15 Fixed 7.11000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 1228125.00000000 PA 52401.39000000 0.007679537074 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.00000000 N N N N N N Bluemountain CLO Ltd N/A 09629EAL5 181916.87000000 PA USD 182036.12000000 0.026677787218 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.59000000 N N N N N N INTUIT INC VI90HBPH7XSFMB9E4M29 46124HAH9 100000.00000000 PA USD 97779.47000000 0.014329792872 Long DBT CORP US N 2 2053-09-15 Fixed 5.50000000 N N N N N N One New York Plaza Trust 2020-1NYP N/A 68249DAA7 112000.00000000 PA USD 108360.00000000 0.015880392435 Long ABS-MBS CORP US N 2 2036-01-15 Floating 6.39000000 N N N N N N PBF HOLDING CO LLC N/A 69318FAJ7 15000.00000000 PA USD 14629.36000000 0.002143964358 Long DBT CORP US N 2 2028-02-15 Fixed 6.00000000 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CZ9 20000.00000000 PA USD 17458.51000000 0.002558582411 Long DBT CORP US N 2 2053-12-01 Fixed 5.35000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59261A2P1 5000.00000000 PA USD 4371.50000000 0.000640652782 Long DBT MUN US N 2 2049-11-15 Fixed 5.18000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2030000.00000000 OU Notional Amount 24198.39000000 0.003546326407 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 1751.55000000 GBP 0.00000000 GBP 2030000.00000000 GBP 21966.93000000 N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109CF9 300000.00000000 PA USD 290278.39000000 0.042540926067 Long DBT US N 2 2029-02-15 Fixed 4.75000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDZ2 124000.00000000 PA USD 78298.66000000 0.011474838020 Long DBT CORP US N 2 2050-05-15 Fixed 2.90000000 N N N N N N SG Commercial Mortgage Securities Trust N/A 78430EAL9 26000.00000000 PA USD 19535.49000000 0.002862968324 Long ABS-MBS CORP US N 2 2039-09-15 Variable 3.59000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -170.34000000 -0.00002496369 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 87408.43000000 USD 120000.00000000 CAD 2024-06-20 -170.34000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1636.12000000 0.000239776925 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 437041.85000000 PEN 117724.88000000 USD 2024-05-06 1636.12000000 N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KT7 111000.00000000 PA USD 105672.56000000 0.015486542288 Long DBT CORP US N 2 2033-05-17 Fixed 4.95000000 N N N N N N Freddie Mac - STACR 5493000ISUYHCRLRBE46 35564KED7 78005.98000000 PA USD 77957.62000000 0.011424857871 Long ABS-MBS USGSE US N 2 2033-10-25 Floating 6.08000000 N N N N N N ADVANTAGE SALES & MARKET 549300T4O24KQDED1182 00775PAA5 39000.00000000 PA USD 36290.54000000 0.005318457151 Long DBT CORP US N 2 2028-11-15 Fixed 6.50000000 N N N N N N PROVINCE OF ALBERTA LQPXMHHNJKIPJYE53543 013051EM5 10000.00000000 PA USD 8032.64000000 0.001177200770 Long DBT NUSS CA N 2 2030-07-22 Fixed 1.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGP0 1950000.00000000 PA USD 1895156.25000000 0.277739248578 Long DBT UST US N 2 2028-02-29 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQ7D2 181282.65000000 PA USD 176756.41000000 0.025904034295 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.50000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738BH0 770000.00000000 PA USD 764251.22000000 0.112002669736 Long DBT CORP US N 2 2033-08-21 Fixed 5.63000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016EZD2 200000.00000000 PA USD 190258.39000000 0.027882778675 Long DBT CORP CA N 2 2027-05-04 Fixed 3.63000000 N N N N N N RIO TINTO FIN USA PLC 2138006TSNBEUA761G16 76720AAP1 340000.00000000 PA USD 312785.13000000 0.045839337507 Long DBT CORP GB N 2 2053-03-09 Fixed 5.13000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HN6 80000.00000000 PA USD 53333.32000000 0.007816113431 Long DBT CORP US N 2 2052-02-01 Fixed 3.45000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 79.00000000 0.000011577620 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 18168750.00000000 CLP 19000.00000000 USD 2024-05-16 79.00000000 N N N OCTAGON INVESTMENT PARTNERS 39, LTD. N/A 67592CAN6 250000.00000000 PA USD 250483.38000000 0.036708881255 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 7.12000000 N N N N N N Galaxy CLO Ltd N/A 36321LAA7 237620.23000000 PA USD 237623.46000000 0.034824232157 Long ABS-CBDO CORP KY N 2 2031-11-22 Floating 6.79000000 N N N N N N State of California N/A 13063BBU5 100000.00000000 PA USD 113912.27000000 0.016694089615 Long DBT MUN US N 2 2039-11-01 Fixed 7.35000000 N N N N N N BUILDERS FIRSTSOURCE INC 549300W0SKP6L3H7DP63 12008RAS6 85000.00000000 PA USD 83422.60000000 0.012225762513 Long DBT CORP US N 2 2034-03-01 Fixed 6.38000000 N N N N N N Board of Regents of the University of Texas System TEHUYFNKZR6XVWLGEU86 9151375R0 50000.00000000 PA USD 46581.67000000 0.006826644517 Long DBT MUN US N 2 2046-08-15 Fixed 4.79000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1064.26000000 0.000155969605 N/A DFE CO N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 31723.93000000 USD 132017250.00000000 COP 2024-10-23 1064.26000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMVG5 180533.54000000 PA USD 166944.73000000 0.024466111363 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N PLAINS ALL AMER PIPELINE 5521FA2ITF25TVH63740 72650RBH4 45000.00000000 PA USD 37363.03000000 0.005475632880 Long DBT CORP US N 2 2045-02-15 Fixed 4.90000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2N2 440000.00000000 PA USD 424220.96000000 0.062170499483 Long DBT CORP US N 2 2026-04-30 Fixed 2.19000000 N N N N N N MANULIFE FINANCIAL CORP 5493007GBX87QOZACS27 56501RAK2 20000.00000000 PA USD 18430.63000000 0.002701048700 Long DBT CORP CA N 2 2027-05-19 Fixed 2.48000000 N N N N N N Morgan Stanley ReRemic Trust N/A 61690HAE9 344568.86000000 PA USD 287243.25000000 0.042096119733 Long ABS-MBS CORP US N 2 2046-12-27 Floating 4.39000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 993.22000000 0.000145558539 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 20000.00000000 CHF 22868.07000000 USD 2024-06-20 993.22000000 N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BG6 100000.00000000 PA USD 96628.22000000 0.014161074694 Long DBT CORP US N 2 2029-03-15 Fixed 4.38000000 N N N N N N UMBS, TBA N/A 01F022451 2839000.00000000 PA USD 2513354.95000000 0.368337605527 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7170000.00000000 OU Notional Amount -2769.03000000 -0.00040580733 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 80.67000000 THB 0.00000000 THB 7170000.00000000 THB -2771.23000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 70.46000000 0.000010326065 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 35165.22000000 USD 33000.00000000 EUR 2024-05-16 70.46000000 N N N Generate CLO Ltd. 5493009C48K5WG4EX118 98625TAJ4 175976.70000000 PA USD 176022.26000000 0.025796443024 Long ABS-CBDO CORP KY N 2 2031-01-22 Floating 6.74000000 N N N N N N BAYLOR SCOTT & WHITE HOL 549300JQDKSBWYRGGV95 072863AC7 50000.00000000 PA USD 41335.71000000 0.006057837729 Long DBT CORP US N 2 2045-11-15 Fixed 4.19000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2786.88000000 0.000408423293 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1890000000.00000000 COP 481038.43000000 USD 2024-06-20 2786.88000000 N N N Countrywide Alternative Loan Trust N/A 12667GYX5 458721.58000000 PA USD 415687.81000000 0.060919947889 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.99000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 65.98000000 0.000009669511 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 36005.57000000 BRL 7000.00000000 USD 2024-05-03 65.98000000 N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BQ6 89000.00000000 PA USD 71405.47000000 0.010464626113 Long DBT CORP US N 2 2052-08-16 Fixed 4.10000000 N N N N N N CHENIERE ENERGY INC MIHC87W9WTYSYZWV1J40 16411RAL3 209000.00000000 PA USD 204543.43000000 0.029976282193 Long DBT CORP US N 2 2034-04-15 Fixed 5.65000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCP9 100000.00000000 PA USD 96225.96000000 0.014102122621 Long DBT CORP US N 2 2053-08-01 Fixed 5.45000000 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAL9 185000.00000000 PA USD 146607.00000000 0.021485573031 Long DBT CORP US N 2 2039-12-31 Fixed 2.74000000 N N N N N N EBAY INC OML71K8X303XQONU6T67 278642AW3 40000.00000000 PA USD 34626.80000000 0.005074632454 Long DBT CORP US N 2 2030-03-11 Fixed 2.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDK6 600042.44000000 PA USD 496269.25000000 0.072729332258 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N ECOLAB INC 82DYEISM090VG8LTLS26 278865BM1 90000.00000000 PA USD 72521.42000000 0.010628170999 Long DBT CORP US N 2 2032-02-01 Fixed 2.13000000 N N N N N N Asset Backed Securities Corp Home Equity Ln Trst N/A 04541GNA6 167637.32000000 PA USD 149844.21000000 0.021959993161 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.41000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EN3 40000.00000000 PA USD 38348.69000000 0.005620083486 Long DBT CORP US N 2 2062-09-15 Fixed 5.80000000 N N N N N N NOBLE FINANCE II LLC N/A 65505PAA5 20000.00000000 PA USD 20607.94000000 0.003020138191 Long DBT CORP US N 2 2030-04-15 Fixed 8.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TU2 4000000.00000000 PA USD 3735625.00000000 0.547463925717 Long DBT UST US N 2 2043-08-15 Fixed 4.38000000 N N N N N N Octagon Investment Partners XV Ltd 549300VYCI9AZ4NZBX86 67590EBG8 171956.21000000 PA USD 171899.84000000 0.025192293454 Long ABS-CBDO CORP KY N 2 2030-07-19 Floating 6.56000000 N N N N N N Entergy Louisiana LLC 0V5453U14HDZO63CGH17 29364WBB3 20000.00000000 PA USD 15521.70000000 0.002274738715 Long DBT CORP US N 2 2048-09-01 Fixed 4.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WRZ3 1614150.66000000 PA USD 1270996.35000000 0.186267264873 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DN5C3 878066.79000000 PA USD 790710.56000000 0.115880343258 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBF5 32000.00000000 PA USD 27495.97000000 0.004029593890 Long DBT CORP US N 2 2045-03-15 Fixed 5.15000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -884.67000000 -0.00012965030 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 124145.81000000 USD 190000.00000000 AUD 2024-06-20 -884.67000000 N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BX6 70000.00000000 PA USD 70754.24000000 0.010369186947 Long DBT CORP US N 2 2054-11-15 Fixed 5.70000000 N N N N N N State of Connecticut 5493007GRO6CU0IKP741 20772GF45 50000.00000000 PA USD 51978.40000000 0.007617546974 Long DBT MUN US N 2 2032-03-15 Fixed 5.85000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -53649.26000000 -0.00786241512 N/A DFE BR N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1351480.84000000 USD 6770000.00000000 BRL 2024-06-20 -53649.26000000 N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAK0 96000.00000000 PA USD 53928.85000000 0.007903389641 Long DBT CORP US N 2 2050-08-15 Fixed 2.50000000 N N N N N N Bank N/A 06540AAD3 250000.00000000 PA USD 216596.55000000 0.031742693005 Long ABS-MBS CORP US N 2 2062-09-15 Fixed 3.01000000 N N N N N N UMBS, TBA N/A 01F030652 -783800.00000000 PA USD -647096.08000000 -0.09483333050 Short ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0VP4 134435.42000000 PA USD 133724.28000000 0.019597582544 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.00000000 N N N N N N INDIANA MICHIGAN POWER JHR9V15J0ZRG02MIRD06 454889AV8 20000.00000000 PA USD 19136.72000000 0.002804527717 Long DBT CORP US N 2 2053-04-01 Fixed 5.63000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HX4 20000.00000000 PA USD 19474.54000000 0.002854035969 Long DBT CORP US N 2 2053-12-01 Fixed 5.88000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBU3 62000.00000000 PA USD 59265.27000000 0.008685453538 Long DBT CORP US N 2 2033-02-13 Fixed 4.81000000 N N N N N N Freddie Mac - STACR 5493000IRODEKU3J3Q16 35564KTA7 313767.68000000 PA USD 316318.61000000 0.046357176645 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 7.43000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 911312BW5 25000.00000000 PA USD 23874.11000000 0.003498802471 Long DBT CORP US N 2 2050-04-01 Fixed 5.30000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAE5 314000.00000000 PA USD 279873.66000000 0.041016090375 Long DBT US N 2 2030-08-15 Fixed 4.13000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2160000.00000000 OU Notional Amount USD 46501.41000000 0.006814882240 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-06-20 3623.52000000 USD 0.00000000 USD 2160000.00000000 USD 42877.89000000 N N N Sequoia Mortgage Trust N/A 81746JCH8 144163.76000000 PA USD 132900.67000000 0.019476880717 Long ABS-MBS CORP US N 2 2047-12-25 Variable 4.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -181.47000000 -0.00002659482 N/A DFE IN N 2 Bank of America NA B4TYDEB6GKMZO031MB27 123344.73000000 USD 10300000.00000000 INR 2024-06-20 -181.47000000 N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 26444HAL5 195000.00000000 PA USD 120028.20000000 0.017590392389 Long DBT CORP US N 2 2051-12-15 Fixed 3.00000000 N N N N N N ARTHUR J GALLAGHER & CO 54930049QLLMPART6V29 04316JAJ8 540000.00000000 PA USD 512948.84000000 0.075173762258 Long DBT CORP US N 2 2054-07-15 Fixed 5.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1300.59000000 0.000190604278 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 172489.83000000 USD 3000000.00000000 MXN 2024-06-20 1300.59000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -19431.47000000 -0.00284772396 N/A DFE SE N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 255871.06000000 USD 2600000.00000000 SEK 2024-06-20 -19431.47000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WY93 192605.80000000 PA USD 157967.71000000 0.023150509661 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTJ67 415632.30000000 PA USD 419989.78000000 0.061550410900 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -6659.45000000 -0.00097595680 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 166353.05000000 USD 25000000.00000000 JPY 2024-06-20 -6659.45000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 267.27000000 0.000039168996 N/A DFE CL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 19000.00000000 USD 18501250.00000000 CLP 2024-05-16 267.27000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 30337.67000000 0.004446051173 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1308400.00000000 EUR 1429442.70000000 USD 2024-06-20 30337.67000000 N N N NASDAQ INC 549300L8X1Q78ERXFD06 63111XAH4 20000.00000000 PA USD 19896.22000000 0.002915834086 Long DBT CORP US N 2 2028-06-28 Fixed 5.35000000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 939355AE3 94932.89000000 PA USD 77713.49000000 0.011389080091 Long ABS-MBS CORP US N 2 2047-04-25 Floating 6.34000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -109.62000000 -0.00001606504 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 181894.90000000 USD 170000.00000000 EUR 2024-06-20 -109.62000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -398.84000000 -0.00005845086 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 350000.00000000 PLN 85839.32000000 USD 2024-06-20 -398.84000000 N N N POTOMAC ELECTRIC POWER 549300BXF2DWUNN57U06 737679DH0 140000.00000000 PA USD 136822.07000000 0.020051570370 Long DBT CORP US N 2 2034-03-15 Fixed 5.20000000 N N N N N N SMB Private Education Loan Trust N/A 831943AB1 169220.84000000 PA USD 170452.34000000 0.024980159198 Long ABS-O CORP US N 2 2056-03-15 Floating 6.78000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKA9 366000.00000000 PA USD 252024.12000000 0.036934680036 Long DBT CORP US N 2 2051-06-01 Fixed 3.65000000 N N N N N N Carlyle Global Market Strategies N/A 14314FAQ1 250000.00000000 PA USD 250325.85000000 0.036685794893 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 7.02000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 769.67000000 0.000112796803 N/A DFE AU N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 200340.60000000 USD 310000.00000000 AUD 2024-06-20 769.67000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DM8 300000.00000000 PA USD 302885.06000000 0.044388460830 Long DBT CORP GB N 2 2037-09-15 Fixed 6.50000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EV6 375000.00000000 PA USD 283307.86000000 0.041519379815 Long DBT CORP US N 2 2060-03-19 Fixed 3.88000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BT5 199000.00000000 PA USD 196955.41000000 0.028864241445 Long DBT CORP US N 2 2026-06-15 Fixed 5.25000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TBE8 16000.00000000 PA USD 13568.00000000 0.001988419754 Long DBT NUSS SA N 2 2053-01-18 Fixed 5.00000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 8017000.00000000 OU Notional Amount USD 66076.11000000 0.009683596875 N/A DFE US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 66076.11000000 0.01000000 DFE US 62131750.00000000 CNY 8017000.00000000 USD 2026-03-06 1.00000000 7.75000000 USD 2026-03-06 XXXX 7552.01000000 N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JJ7 146000.00000000 PA USD 93638.80000000 0.013722968726 Long DBT CORP US N 2 2050-08-01 Fixed 3.50000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 715000000.00000000 OU Notional Amount 447.87000000 0.000065636317 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 7965.00000000 KRW 0.00000000 KRW 715000000.00000000 KRW 442.06000000 N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 748149AR2 10000.00000000 PA USD 8176.15000000 0.001198232471 Long DBT NUSS CA N 2 2031-04-21 Fixed 1.90000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 -71000.00000000 OU Notional Amount USD -565.52000000 -0.00008287817 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD -565.52000000 0.00000000 DFE ZA -71000.00000000 USD -1476800.00000000 ZAR 2024-08-15 1.00000000 20.80000000 USD 2024-08-15 XXXX 10.43000000 N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VBH6 200000.00000000 PA USD 185115.46000000 0.027129071157 Long DBT CORP US N 2 2027-03-01 Fixed 2.45000000 N N N N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAJ4 170000.00000000 PA USD 171265.48000000 0.025099326624 Long DBT CORP US N 2 2025-02-15 Fixed 7.63000000 N N N N N N PFS Financing Corp. N/A 69335PEQ4 241000.00000000 PA USD 237413.87000000 0.034793516289 Long ABS-O CORP US N 2 2027-08-15 Fixed 4.90000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCQ6 199000.00000000 PA USD 182890.66000000 0.026803021904 Long DBT CORP US N 2 2053-02-06 Fixed 5.55000000 N N N N N N FAIRFAX FINL HLDGS LTD GLS7OQD0WOEDI8YAP031 303901BL5 445000.00000000 PA USD 431945.06000000 0.063302483049 Long DBT CORP CA N 2 2032-08-16 Fixed 5.63000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KR6L3 184457.22000000 PA USD 186391.10000000 0.027316018959 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.50000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BB4 50000.00000000 PA USD 41183.44000000 0.006035522231 Long DBT CORP US N 2 2042-12-15 Fixed 4.07000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWCU5 912864.52000000 PA USD 724911.23000000 0.106237309090 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N MASTR Asset Backed Securities Trust N/A 576456AA5 185205.54000000 PA USD 158027.72000000 0.023159304256 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.73000000 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AP9 50000.00000000 PA USD 50231.01000000 0.007361463189 Long DBT CORP US N 2 2029-02-15 Fixed 5.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 14000000.00000000 OU Notional Amount 7438.60000000 0.001090142923 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 155.89000000 THB 0.00000000 THB 14000000.00000000 THB 7434.35000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -14371.00000000 -0.00210610114 N/A DFE CH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 320618.89000000 USD 280000.00000000 CHF 2024-06-20 -14371.00000000 N N N Keurig Dr Pepper Inc DYTQ8KRTKO7Y2BVU5K74 26138EAS8 35000.00000000 PA USD 33859.42000000 0.004962171255 Long DBT CORP US N 2 2025-11-15 Fixed 3.40000000 N N N N N N Westlake Automobile Receivables Trust N/A 96041AAL0 550000.00000000 PA USD 555960.52000000 0.081477217018 Long ABS-O CORP US N 2 2028-11-15 Fixed 6.64000000 N N N N N N Fannie Mae - CAS N/A 20754BAB7 1800000.00000000 PA USD 1846003.14000000 0.270535753966 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 8.33000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 160000.00000000 OU Notional Amount USD 851.12000000 0.000124733477 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 344.49000000 USD 0.00000000 USD 160000.00000000 USD 506.63000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 4978.91000000 0.000729670032 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 180000.00000000 CHF 201852.56000000 USD 2024-06-20 4978.91000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1935.56000000 0.000283660505 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 2600000.00000000 CZK 112272.27000000 USD 2024-06-20 1935.56000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EEB2 401892.93000000 PA USD 364640.90000000 0.053438912789 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 3.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DE6 200000.00000000 PA USD 197651.26000000 0.028966219768 Long DBT CORP GB N 2 2025-12-09 Fixed 4.18000000 N N N N N N AMERICAN HONDA FINANCE B6Q2VFHD1797Q7NZ3E43 02665WFE6 180000.00000000 PA USD 176515.57000000 0.025868738672 Long DBT CORP US N 2 2029-03-13 Fixed 4.90000000 N N N N N N ICE Futures Europe - Financial Products Division N/A 000000000 1.00000000 NC -3281.36000000 -0.00048089040 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long ICF Three Month SONIA Index Futures SFIZ4 INDEX 2025-03-18 240663.53000000 GBP -3281.36000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -406.94000000 -0.00005963793 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 111678000.00000000 COP 28000.00000000 USD 2024-05-16 -406.94000000 N N N NGL ENRGY OP/FIN CORP 5299005YSRP46BE8Z459 62922LAC2 177000.00000000 PA USD 179817.84000000 0.026352693485 Long DBT CORP US N 2 2029-02-15 Fixed 8.13000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 348.16000000 0.000051023601 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 100000.00000000 AUD 65222.44000000 USD 2024-06-20 348.16000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1216.56000000 0.000178289500 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 110000.00000000 CAD 81184.81000000 USD 2024-06-20 1216.56000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2031000000.00000000 OU Notional Amount 6271.22000000 0.000919060858 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 22560.00000000 KRW 0.00000000 KRW 2031000000.00000000 KRW 6254.79000000 N N N TICP CLO Ltd N/A 87249QAL4 250000.00000000 PA USD 250044.60000000 0.036644577097 Long ABS-CBDO CORP KY N 2 2037-04-25 Floating 6.82000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NL1 200000.00000000 PA USD 195399.39000000 0.028636203348 Long DBT CORP US N 2 2026-03-17 Fixed 3.29000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GQLA8 73274.34000000 PA USD 74152.72000000 0.010867241544 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.50000000 N N N N N N Elmwood CLO 22 Ltd N/A 29001YAC7 250000.00000000 PA USD 251091.53000000 0.036798006954 Long ABS-CBDO CORP KY N 2 2036-04-17 Floating 7.52000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 2570.89000000 0.000376769491 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 300000.00000000 CAD 220666.12000000 USD 2024-06-20 2570.89000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -110248.98000000 -0.01615722654 N/A DFE SE N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1528886.50000000 USD 15600000.00000000 SEK 2024-06-20 -110248.98000000 N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DY0 40000.00000000 PA USD 31914.57000000 0.004677149280 Long DBT CORP US N 2 2030-10-15 Fixed 1.70000000 N N N N N N NEW FORTRESS ENERGY INC 254900EICTYTCHA5X705 644393AC4 60000.00000000 PA USD 58514.98000000 0.008575496915 Long DBT CORP US N 2 2029-03-15 Fixed 8.75000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4070000.00000000 OU Notional Amount 35957.25000000 0.005269612780 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 26.66000000 EUR 0.00000000 EUR 4070000.00000000 EUR 35928.14000000 N N N Oak Hill Credit Partners N/A 67115LAA2 250000.00000000 PA USD 250370.00000000 0.036692265171 Long ABS-CBDO CORP KY N 2 2034-10-18 Floating 6.74000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92553PAU6 63000.00000000 PA USD 49871.98000000 0.007308846566 Long DBT CORP US N 2 2043-09-01 Fixed 5.85000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLA5 190000.00000000 PA USD 187567.59000000 0.027488436114 Long DBT CORP US N 2 2026-07-22 Fixed 4.83000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2106.96000000 0.000308779546 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 60000.00000000 GBP 77099.08000000 USD 2024-06-20 2106.96000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -10362.42000000 -0.00151863506 N/A DFE CA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 664648.11000000 USD 900000.00000000 CAD 2024-06-20 -10362.42000000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 369507000.00000000 OU Notional Amount -342.38000000 -0.00005017652 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2026-04-01 0.00000000 CLP 0.00000000 CLP 369507000.00000000 CLP -342.38000000 N N N BX Trust N/A 05612HAG6 100000.00000000 PA USD 99875.00000000 0.014636897328 Long ABS-MBS CORP US N 2 2029-04-15 Floating 8.01000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBG9 50000.00000000 PA USD 29169.82000000 0.004274900229 Long DBT CORP US N 2 2061-12-10 Fixed 2.90000000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LBE2 185000.00000000 PA USD 188298.56000000 0.027595561349 Long DBT CORP US N 2 2027-01-15 Fixed 7.00000000 N N N N N N BROOKFIELD CAPITAL FIN N/A 11259NAA2 15000.00000000 PA USD 15170.13000000 0.002223215371 Long DBT CORP US N 2 2033-06-14 Fixed 6.09000000 N N N N N N PUB SVC NEW HAMP 549300SHPFALUPKK2351 744482BP4 19000.00000000 PA USD 17483.80000000 0.002562288715 Long DBT CORP US N 2 2053-01-15 Fixed 5.15000000 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAJ1 50000.00000000 PA USD 33866.23000000 0.004963169275 Long DBT CORP US N 2 2041-10-01 Fixed 3.05000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 104.87000000 0.000015368925 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 72151.85000000 BRL 14000.00000000 USD 2024-05-03 104.87000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -59.00000000 NC USD 309587.22000000 0.045370676878 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT U.S. Long Bond Futures USM4 Comdty 2024-06-18 -7030055.97000000 USD 309587.22000000 N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BY4 245000.00000000 PA USD 253783.31000000 0.037192493136 Long DBT CORP US N 2 2063-11-15 Fixed 5.90000000 N N N N N N UMBS, TBA N/A 01F020455 4981600.00000000 PA USD 4290796.15000000 0.628825458854 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 2.00000000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 36.00000000 NC -62764.78000000 -0.00919831429 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange 10 Year Canadian Bond Futures CNM4 Comdty 2024-06-19 4298045.14000000 CAD -62764.78000000 N N N Exeter Automobile Receivables Trust N/A 30165XAF2 500000.00000000 PA USD 477962.20000000 0.070046394473 Long ABS-O CORP US N 2 2027-04-15 Fixed 1.40000000 N N N N N N DK Trust N/A 23346LAN8 204000.00000000 PA USD 203871.83000000 0.029877857760 Long ABS-MBS CORP US N 2 2034-03-15 Floating 9.32000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAG8 50000.00000000 PA USD 36761.41000000 0.005387464168 Long DBT CORP US N 2 2050-10-01 Fixed 3.91000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBQ7 71000.00000000 PA USD 52107.05000000 0.007636400910 Long DBT CORP US N 2 2047-11-15 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -143.76000000 -0.00002106833 N/A DFE ZA N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 53069.71000000 USD 1000000.00000000 ZAR 2024-06-20 -143.76000000 N N N Citigroup Commercial Mortgage Trust N/A 17323CAJ6 75000.00000000 PA USD 73510.52000000 0.010773125744 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.57000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAZ7 125000.00000000 PA USD 82308.54000000 0.012062494610 Long DBT CORP US N 2 2049-08-15 Fixed 3.20000000 N N N N N N IDAHO POWER CO TN0LL73P2C8X3W6KM391 45138LBJ1 25000.00000000 PA USD 24260.33000000 0.003555403848 Long DBT CORP US N 2 2054-04-01 Fixed 5.80000000 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAV5 65000.00000000 PA USD 65344.19000000 0.009576332415 Long DBT CORP US N 2 2032-11-16 Fixed 5.60000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -5436.41000000 -0.00079671764 N/A DFE NO N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 104580.74000000 USD 1100000.00000000 NOK 2024-06-20 -5436.41000000 N N N AGILENT TECHNOLOGIES INC QUIX8Y7A2WP0XRMW7G29 00846UAN1 88000.00000000 PA USD 72226.91000000 0.010585009922 Long DBT CORP US N 2 2031-03-12 Fixed 2.30000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LAS0 45000.00000000 PA USD 40716.93000000 0.005967154181 Long DBT CORP US N 2 2044-04-01 Fixed 4.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QH4 782200.00000000 PA USD 745534.38000000 0.109259676341 Long DBT UST US N 2 2040-05-15 Fixed 4.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2160000.00000000 OU Notional Amount 271.91000000 0.000039848998 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 24.08000000 PLN 0.00000000 PLN 2160000.00000000 PLN 266.00000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBJ4 200000.00000000 PA USD 189413.85000000 0.027759009511 Long DBT CORP US N 2 2031-03-24 Fixed 4.49000000 N N N N N N MFRA Trust N/A 59319NAA9 100000.00000000 PA USD 99215.35000000 0.014540224193 Long ABS-MBS CORP US N 2 2029-02-25 Variable 7.09000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5800000.00000000 OU Notional Amount 171746.90000000 0.025169879766 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-06-19 11328.59000000 EUR 0.00000000 EUR 5800000.00000000 EUR 159408.93000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1880.21000000 -0.00027554884 N/A DFE SG N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 97329.36000000 USD 130000.00000000 SGD 2024-06-20 -1880.21000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4118.58000000 0.000603586809 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 34000000.00000000 JPY 221301.87000000 USD 2024-06-20 4118.58000000 N N N American Home Mortgage Investment Trust N/A 026932AC7 359128.54000000 PA USD 204531.32000000 0.029974507446 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.62000000 N N N N N N Province of Quebec 549300WN65YFEQH74Y36 748149AJ0 10000.00000000 PA USD 9498.09000000 0.001391965638 Long DBT NUSS CA N 2 2026-04-20 Fixed 2.50000000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 59562VAM9 50000.00000000 PA USD 51163.98000000 0.007498191961 Long DBT CORP US N 2 2036-04-01 Fixed 6.13000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 358233.00000000 OU Notional Amount USD 16107.64000000 0.002360609490 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 358233.00000000 OU Notional Amount N/A 16107.64000000 0.00000000 DIR US N/A N/A 2037-04-14 0.00000000 N/A 0.00000000 N/A 358233.00000000 USD 1.00000000 4.00900000 USD 2027-04-12 XXXX -2215.98000000 N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XBB4 194000.00000000 PA USD 184546.97000000 0.027045757718 Long DBT CORP US N 2 2064-04-18 Fixed 5.90000000 N N N N N N EMORY UNIVERSITY 95MD72NUUVZ3P8PQ6919 29157TAD8 35000.00000000 PA USD 29298.81000000 0.004293803993 Long DBT CORP US N 2 2030-09-01 Fixed 2.14000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RDJ8 56000.00000000 PA USD 45028.73000000 0.006599057800 Long DBT CORP US N 2 2048-03-09 Fixed 4.50000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CJ2 20000.00000000 PA USD 20469.05000000 0.002999783561 Long DBT CORP US N 2 2029-11-17 Fixed 6.20000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 -14447000.00000000 OU Notional Amount USD -31706.11000000 -0.00464659901 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 14447000.00000000 OU Notional Amount N/A -31706.11000000 0.00000000 DIR US N/A N/A 2025-10-21 0.00000000 N/A 0.00000000 N/A 14447000.00000000 USD 1.00000000 5.10000000 USD 2024-10-17 XXXX -7979.70000000 N N N VICI PROPERTIES / NOTE N/A 92564RAA3 427000.00000000 PA USD 407431.53000000 0.059709972193 Long DBT US N 2 2026-12-01 Fixed 4.25000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -250.57000000 -0.00003672157 N/A DFE PH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 81540.60000000 USD 4700000.00000000 PHP 2024-06-20 -250.57000000 N N N Flex Ltd 549300EAQH74YHD07T53 33938XAA3 480000.00000000 PA USD 459638.40000000 0.067361001940 Long DBT CORP SG N 2 2029-06-15 Fixed 4.88000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -760.65000000 -0.00011147490 N/A DFE JP N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 35000.00000000 USD 5388762.00000000 JPY 2024-05-16 -760.65000000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAP8 200000.00000000 PA USD 183555.98000000 0.026900525989 Long DBT CORP GB N 2 2027-05-11 Fixed 1.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SR0 2576000.00000000 PA USD 1516720.62000000 0.222278688262 Long DBT UST US N 2 2040-05-15 Fixed 1.13000000 N N N N N N Freddie Mac - STACR 5493000ISHRHX47NOH65 35564KKK4 1610000.00000000 PA USD 1657301.80000000 0.242881164336 Long ABS-MBS USGSE US N 2 2041-09-25 Floating 8.68000000 N N N N N N BREAD FINANCIAL HLDGS 549300G8S4PO686J7H97 018581AP3 139000.00000000 PA USD 144551.94000000 0.021184399542 Long DBT CORP US N 2 2029-03-15 Fixed 9.75000000 N N N N N N Westlake Automobile Receivables Trust N/A 96043PAG6 30886.37000000 PA USD 30848.28000000 0.004520882173 Long ABS-O CORP US N 2 2026-07-15 Fixed 5.49000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -140.79000000 -0.00002063307 N/A DFE SG N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 58878.73000000 USD 80000.00000000 SGD 2024-06-20 -140.79000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXR0 132000.00000000 PA USD 104214.63000000 0.015272879493 Long DBT CORP US N 2 2032-01-27 Fixed 1.99000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 25745.44000000 0.003773049931 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 107589561.00000000 JPY 713000.00000000 USD 2024-06-20 25745.44000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 237.99000000 0.000034877949 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 19936560.00000000 CLP 21000.00000000 USD 2024-05-16 237.99000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397D42 200000.00000000 PA USD 207222.38000000 0.030368888111 Long DBT CORP US N 2 2030-06-10 Fixed 7.20000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1068.37000000 0.000156571934 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 270000.00000000 BRL 52828.27000000 USD 2024-06-20 1068.37000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 3144.49000000 0.000460831812 N/A DFE CO N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 95220.08000000 USD 396051750.00000000 COP 2024-10-23 3144.49000000 N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XBE7 50000.00000000 PA USD 48521.64000000 0.007110951317 Long DBT CORP US N 2 2034-03-01 Fixed 5.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HJJS1 13554.56000000 PA USD 12347.65000000 0.001809574821 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFQ3 644000.00000000 PA USD 644136.71000000 0.094399628430 Long DBT CORP US N 2 2030-04-18 Fixed 5.66000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550AT3 65000.00000000 PA USD 63858.83000000 0.009358649694 Long DBT CORP US N 2 2035-03-15 Fixed 5.80000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -2039.46000000 -0.00029888727 N/A DFE BR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 124729.59000000 USD 640000.00000000 BRL 2024-06-20 -2039.46000000 N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8K1 498000.00000000 PA USD 414265.32000000 0.060711478902 Long DBT CORP US N 2 2062-08-15 Fixed 4.65000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2406.00000000 -0.00035260450 N/A DFE SG N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 141908.60000000 USD 190000.00000000 SGD 2024-06-20 -2406.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D2L5 19666.06000000 PA USD 14924.50000000 0.002187217763 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.00000000 N N N N N N ATMOS ENERGY CORP QVLWEGTD2S8GJMO8D383 049560BA2 30000.00000000 PA USD 31844.24000000 0.004666842266 Long DBT CORP US N 2 2053-11-15 Fixed 6.20000000 N N N N N N NATIONAL RURAL UTIL COOP 4NYF266XZC35SCTGX023 63743HFJ6 70000.00000000 PA USD 69199.81000000 0.010141381868 Long DBT CORP US N 2 2028-09-15 Fixed 5.05000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NEC1 255000.00000000 PA USD 241198.38000000 0.035348144417 Long DBT CORP US N 2 2033-02-15 Fixed 4.65000000 N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEU1 1400000.00000000 PA USD 1364343.75000000 0.199947528299 Long DBT UST US N 2 2025-06-15 Fixed 2.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQQ58 44806.61000000 PA USD 44569.79000000 0.006531799150 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 6.00000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBF1 196000.00000000 PA USD 149504.33000000 0.021910183011 Long DBT CORP US N 2 2045-05-15 Fixed 4.13000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 7560.37000000 0.001107988580 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 235000000.00000000 KRW 177512.54000000 USD 2024-06-20 7560.37000000 N N N Countrywide Home Loans N/A 12544RBY3 276099.69000000 PA USD 115997.76000000 0.016999722687 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1133000.00000000 OU Notional Amount 941.47000000 0.000137974465 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC USD 941.47000000 0.00000000 DFE GB 1387585.10000000 USD 1133000.00000000 GBP 2024-05-15 1.00000000 1.22470000 GBP 2024-05-15 XXXX -2725.61000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -7917.50000000 -0.00116032675 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 540000.00000000 GBP 667011.56000000 USD 2024-06-20 -7917.50000000 N N N PATTERSON-UTI ENERGY INC 254900XGFBKIXD6G0697 703481AC5 35000.00000000 PA USD 33442.43000000 0.004901060468 Long DBT CORP US N 2 2029-11-15 Fixed 5.15000000 N N N N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451BD9 250000.00000000 PA USD 247978.91000000 0.036341845759 Long DBT CORP AU N 2 2030-09-08 Fixed 5.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179V4U1 1235886.69000000 PA USD 973902.94000000 0.142727582881 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGT1 75000.00000000 PA USD 59354.12000000 0.008698474697 Long DBT CORP US N 2 2046-06-14 Fixed 4.40000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAD4 66000.00000000 PA USD 56250.32000000 0.008243606092 Long DBT CORP US N 2 2030-05-15 Fixed 2.90000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3H4 701000.00000000 PA USD 729833.37000000 0.106958659356 Long DBT CORP US N 2 2034-10-23 Fixed 6.49000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAN3 100000.00000000 PA USD 97087.56000000 0.014228391965 Long DBT CORP US N 2 2026-01-25 Fixed 2.01000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 100000.00000000 PA 102151.10000000 0.014970464707 Long DBT CORP MX N 2 2025-11-24 Fixed 3.63000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 110000.00000000 OU Notional Amount 2030.62000000 0.000297591754 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI) 2034-03-15 96.86000000 GBP 0.00000000 GBP 110000.00000000 GBP 1907.34000000 N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAQ7 430000.00000000 PA USD 333021.14000000 0.048804968553 Long DBT CORP US N 2 2050-03-26 Fixed 3.85000000 N N N N N N AMEREN ILLINOIS CO RC71E2BZ6UOMFPDJSE79 02361DAZ3 20000.00000000 PA USD 20202.83000000 0.002960768445 Long DBT CORP US N 2 2052-12-01 Fixed 5.90000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3B7 260000.00000000 PA USD 244102.67000000 0.035773774400 Long DBT CORP US N 2 2033-07-25 Fixed 4.90000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833ER7 380000.00000000 PA USD 298467.84000000 0.043741107682 Long DBT CORP US N 2 2062-08-08 Fixed 4.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRXY4 37665.38000000 PA USD 37466.14000000 0.005490743874 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.00000000 N N N N N N PIEDMONT NATURAL GAS CO VXB4M3BDPKF3I2AZ3G89 720186AN5 52000.00000000 PA USD 42705.57000000 0.006258593676 Long DBT CORP US N 2 2031-03-15 Fixed 2.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFA8 45000.00000000 PA USD 44287.21000000 0.006490386440 Long DBT CORP US N 2 2029-02-01 Fixed 5.12000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBF5 670000.00000000 PA USD 596440.30000000 0.087409616354 Long DBT CORP US N 2 2029-02-15 Fixed 3.25000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBD6 220000.00000000 PA USD 191748.12000000 0.028101101830 Long DBT CORP US N 2 2028-12-10 Fixed 1.90000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKJ0 109000.00000000 PA USD 71859.89000000 0.010531222347 Long DBT CORP US N 2 2053-09-15 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 2291.21000000 0.000335781782 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 140000.00000000 GBP 177272.82000000 USD 2024-06-20 2291.21000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -17.48000000 -0.00000256173 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 6607.61000000 USD 25908189.00000000 COP 2024-05-16 -17.48000000 N N N Firstkey Homes Trust N/A 33768NAL6 590000.00000000 PA USD 548613.03000000 0.080400426462 Long ABS-O CORP US N 2 2039-05-19 Fixed 5.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DN2 75000.00000000 PA USD 75068.15000000 0.011001399791 Long DBT CORP US N 2 2064-05-01 Fixed 7.01000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 14000000.00000000 OU Notional Amount -6840.03000000 -0.00100242119 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 156.14000000 TWD 0.00000000 TWD 14000000.00000000 TWD -6844.99000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3071.66000000 0.000450158418 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 300000.00000000 SGD 223338.92000000 USD 2024-06-20 3071.66000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 890.50000000 0.000130504701 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 193214.00000000 PEN 52205.89000000 USD 2024-05-16 890.50000000 N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DU1 367000.00000000 PA USD 350548.19000000 0.051373595650 Long DBT CORP US N 2 2063-03-02 Fixed 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CMUM4 47427.75000000 PA USD 47866.92000000 0.007015000685 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount 11866.09000000 0.001739001161 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 CAD -4197.85000000 CAD 1000000.00000000 CAD 14978.95000000 N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBB4 32000.00000000 PA USD 27714.77000000 0.004061659503 Long DBT CORP US N 2 2035-03-01 Fixed 3.90000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 4550.86000000 0.000666938378 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 310000.00000000 AUD 205661.13000000 USD 2024-06-20 4550.86000000 N N N TRANSCONT GAS PIPE LINE N/A 893574AM5 65000.00000000 PA USD 53761.37000000 0.007878845085 Long DBT CORP US N 2 2048-03-15 Fixed 4.60000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAK3 60000.00000000 PA USD 51433.48000000 0.007537687769 Long DBT CORP US N 2 2030-02-15 Fixed 2.57000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 413875AW5 65000.00000000 PA USD 62277.97000000 0.009126971240 Long DBT CORP US N 2 2028-06-15 Fixed 4.40000000 N N N N N N BRAND INDUSTRIAL SERVICE 549300B658W2BPDQMW42 104931AA8 67000.00000000 PA USD 71897.63000000 0.010536753225 Long DBT CORP US N 2 2030-08-01 Fixed 10.38000000 N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2238.05000000 0.000327991069 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1400000000.00000000 IDR 88216.76000000 USD 2024-06-20 2238.05000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RX8 3715000.00000000 PA USD 2736329.69000000 0.401015036076 Long DBT UST US N 2 2047-05-15 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDP3 3605000.00000000 PA USD 3101285.75000000 0.454500136246 Long DBT UST US N 2 2028-12-31 Fixed 1.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D3Z3 895095.68000000 PA USD 742665.83000000 0.108839284132 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 3.00000000 N N N N N N Johnson & Johnson 549300G0CFPGEF6X2043 478160CJ1 65000.00000000 PA USD 63806.96000000 0.009351048033 Long DBT CORP US N 2 2025-01-15 Fixed 2.63000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAW0 304000.00000000 PA USD 278079.43000000 0.040753142087 Long DBT US N 2 2029-08-15 Fixed 3.80000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJD2 400000.00000000 PA USD 380118.42000000 0.055707176831 Long DBT CORP US N 2 2026-06-19 Fixed 1.32000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BQ4 35000.00000000 PA USD 31252.19000000 0.004580076058 Long DBT CORP US N 2 2027-02-03 Fixed 1.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042653 -2251000.00000000 PA USD -2096221.13000000 -0.30720574174 Short ABS-MBS USGA US N 2 2054-05-20 Fixed 4.50000000 N N N N N N FORTREA HOLDINGS INC 5493000FIVFABOVCDU97 34965KAA5 29000.00000000 PA USD 29252.98000000 0.004287087507 Long DBT CORP US N 2 2030-07-01 Fixed 7.50000000 N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -59.89000000 -0.00000877700 N/A DFE CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 22833.77000000 USD 90000000.00000000 COP 2024-06-20 -59.89000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -68.93000000 -0.00001010184 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 17000.00000000 AUD 10948.32000000 USD 2024-05-16 -68.93000000 N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CS9 35000.00000000 PA USD 34311.09000000 0.005028364471 Long DBT CORP US N 2 2024-10-18 Fixed 1.22000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07388HAB5 79080.20000000 PA USD 77595.21000000 0.011371745901 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.77000000 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98388MAD9 55000.00000000 PA USD 50464.98000000 0.007395751999 Long DBT CORP US N 2 2032-06-01 Fixed 4.60000000 N N N N N N ConocoPhillips WPTL2Z3FIYTHSP5V2253 20825CAP9 50000.00000000 PA USD 50922.71000000 0.007462833321 Long DBT CORP US N 2 2038-05-15 Fixed 5.90000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BJ0 490000.00000000 PA USD 431728.46000000 0.063270739850 Long DBT CORP US N 2 2049-03-15 Fixed 4.90000000 N N N N N N UMBS, TBA N/A 01F030454 1371000.00000000 PA USD 1243634.69000000 0.182257354404 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 3.00000000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92261CAA2 136663.72000000 PA USD 135723.42000000 0.019890560836 Long ABS-MBS CORP US N 2 2054-01-25 Variable 6.55000000 N N N N N N NEWMONT CORP 549300VSP3RIX7FGDZ51 651639AY2 131000.00000000 PA USD 108629.59000000 0.015919901432 Long DBT CORP US N 2 2030-10-01 Fixed 2.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1000000.00000000 OU Notional Amount USD 4180.71000000 0.000612692095 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 0.00000000 USD -27.69000000 USD 1000000.00000000 USD 4208.40000000 N N N NORFOLK SOUTHERN CORP 54930036C8MWP850MI84 655844CL0 137000.00000000 PA USD 83014.77000000 0.012165994144 Long DBT CORP US N 2 2051-08-25 Fixed 2.90000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -6239.18000000 -0.00091436532 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 268711.59000000 USD 210000.00000000 GBP 2024-06-20 -6239.18000000 N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2L4 250000.00000000 PA USD 253364.98000000 0.037131185970 Long DBT CORP CH N 2 2025-01-09 Fixed 7.95000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348BJ4 35000.00000000 PA USD 31018.48000000 0.004545825352 Long DBT CORP US N 2 2029-08-15 Fixed 2.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KN7C1 457736.95000000 PA USD 396087.77000000 0.058047519623 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AK3 220000.00000000 PA USD 189134.18000000 0.027718023267 Long DBT CORP US N 2 2028-10-12 Fixed 3.13000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200BB6 40000.00000000 PA USD 41304.83000000 0.006053312198 Long DBT CORP US N 2 2032-11-29 Fixed 5.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 102000000.00000000 OU Notional Amount -36708.50000000 -0.00537971009 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 1137.30000000 ZAR 0.00000000 ZAR 102000000.00000000 ZAR -36768.25000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAK4 25000.00000000 PA USD 23524.30000000 0.003447537059 Long DBT CORP US N 2 2028-07-22 Variable 3.59000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount 4189.89000000 0.000614037444 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.15000000 AUD 0.00000000 AUD 1000000.00000000 AUD 4182.71000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2604.11000000 -0.00038163795 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3600000.00000000 ZAR 187929.32000000 USD 2024-06-20 -2604.11000000 N N N HILTON GRAND VAC BOR ESC N/A 43283QAC4 35000.00000000 PA USD 34505.36000000 0.005056835159 Long DBT CORP US N 2 2032-01-15 Fixed 6.63000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -378.83000000 -0.00005551835 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 8107.90000000 USD 315600.00000000 TRY 2024-12-04 -378.83000000 N N N AMERICAN INTERNATIONAL ODVCVCQG2BP6VHV36M30 026874DS3 40000.00000000 PA USD 38366.76000000 0.005622731683 Long DBT CORP US N 2 2033-03-27 Fixed 5.13000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DL8 63000.00000000 PA USD 54749.43000000 0.008023647416 Long DBT CORP US N 2 2048-04-01 Fixed 4.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -462.58000000 -0.00006779209 N/A DFE BR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 42637.31000000 USD 220000.00000000 BRL 2024-06-20 -462.58000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 189.55000000 0.000027778962 N/A DFE GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 56044.06000000 USD 45000.00000000 GBP 2024-05-16 189.55000000 N N N City of New York NY 549300ABYZD2SFD5JB29 64966JAR7 75000.00000000 PA USD 78858.98000000 0.011556954129 Long DBT MUN US N 2 2037-12-01 Fixed 6.27000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJF9 7078000.00000000 PA USD 7110348.65000000 1.042036977787 Long DBT UST US N 2 2028-10-31 Fixed 4.88000000 N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807DV6 100000.00000000 PA USD 96724.54000000 0.014175190599 Long DBT US N 2 2053-03-08 Fixed 5.85000000 N N N N N N UMBS, TBA N/A 01F020455 -24000.00000000 PA USD -20671.89000000 -0.00302951020 Short ABS-MBS USGSE US N 2 2039-05-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XQR0 222578.05000000 PA USD 182539.72000000 0.026751590887 Long ABS-MBS USGA US N 2 2053-01-20 Fixed 2.50000000 N N N N N N Affirm Inc N/A 00834KAC1 235000.00000000 PA USD 239345.24000000 0.035076562741 Long ABS-O CORP US N 2 2028-11-15 Fixed 8.25000000 N N N N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XBT7 40000.00000000 PA USD 37511.50000000 0.005497391480 Long DBT US N 2 2033-01-15 Fixed 4.63000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -86.58000000 -0.00001268848 N/A DFE BR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 9000.00000000 USD 46283.85000000 BRL 2024-05-03 -86.58000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -158.52000000 -0.00002323144 N/A DFE ID N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 48000.00000000 USD 778108800.00000000 IDR 2024-05-16 -158.52000000 N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAE7 60000.00000000 PA USD 38191.50000000 0.005597046951 Long DBT CORP US N 2 2040-08-15 Fixed 1.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSA76 49830.32000000 PA USD 49566.68000000 0.007264104190 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CT7 40000.00000000 PA USD 36176.03000000 0.005301675462 Long DBT CORP US N 2 2052-09-15 Fixed 4.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B9MG6 311846.09000000 PA USD 270391.37000000 0.039626440261 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N Residential Asset Securitization Trust N/A 76114BAB4 345146.82000000 PA USD 236967.62000000 0.034728117386 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6.25000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -6964.90000000 -0.00102072116 N/A DFE NZ N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 207309.22000000 USD 340000.00000000 NZD 2024-06-20 -6964.90000000 N N N Bear Stearns Asset Backed Securities Trust N/A 07387UGB1 48380.49000000 PA USD 13433.84000000 0.001968758315 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.78000000 N N N N N N Motorola Solutions Inc 6S552MUG6KGJVEBSEC55 620076BE8 195000.00000000 PA USD 184392.21000000 0.027023077305 Long DBT CORP US N 2 2044-09-01 Fixed 5.50000000 N N N N N N CBRE SERVICES INC 549300CTE3HOMEUMM603 12505BAE0 50000.00000000 PA USD 40571.13000000 0.005945786876 Long DBT CORP US N 2 2031-04-01 Fixed 2.50000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CP1 200000.00000000 PA USD 183350.10000000 0.026870353830 Long DBT CORP US N 2 2029-07-26 Fixed 3.40000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4589.59000000 0.000672614344 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3168666193.00000000 IDR 199024.32000000 USD 2024-07-17 4589.59000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1369.99000000 -0.00020077499 N/A DFE KR N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 250874.24000000 USD 345000000.00000000 KRW 2024-06-20 -1369.99000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 606.59000000 0.000088897076 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 120000.00000000 GBP 150590.83000000 USD 2024-06-20 606.59000000 N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AU1 43000.00000000 PA USD 42350.30000000 0.006206528089 Long DBT CORP US N 2 2025-08-15 Fixed 4.70000000 N N N N N N Commonwealth of Massachusetts 5493001N1YCXNI1O7K10 57582RYY6 50000.00000000 PA USD 33703.44000000 0.004939312048 Long DBT MUN US N 2 2049-09-01 Fixed 2.90000000 N N N N N N ARCH CAPITAL GROUP LTD 549300AYR4P8AFKDCE43 03939AAA5 50000.00000000 PA USD 34632.13000000 0.005075413577 Long DBT CORP BM N 2 2050-06-30 Fixed 3.64000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 852000.00000000 OU Notional Amount USD 36005.57000000 0.005276694180 N/A DIR SG N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 852000.00000000 OU Notional Amount N/A 36005.57000000 0.01000000 DIR SG N/A N/A 2037-04-14 0.00000000 N/A 0.00000000 N/A 852000.00000000 USD 1.00000000 3.93300000 USD 2027-04-12 XXXX -7702.03000000 N N N JM SMUCKER CO 5493000WDH6A0LHDJD55 832696AR9 20000.00000000 PA USD 18707.83000000 0.002741672960 Long DBT CORP US N 2 2027-12-15 Fixed 3.38000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 49000.00000000 OU Notional Amount 1625.77000000 0.000238260110 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 N/A 1.00000000 NC USD 1625.77000000 0.00000000 DFE CN 563500.00000000 INR 49000.00000000 CNY 2025-01-23 1.00000000 11.50000000 CNY 2025-01-23 XXXX 408.92000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 864.88000000 0.000126750035 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 11000000.00000000 JPY 71130.06000000 USD 2024-06-20 864.88000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 140000.00000000 OU Notional Amount 1357.35000000 0.000198922579 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-03-15 81.81000000 EUR 0.00000000 EUR 140000.00000000 EUR 1268.43000000 N N N UMBS, TBA N/A 01F062655 -8444200.00000000 PA USD -8507877.54000000 -1.24684786014 Short ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.50000000 N N N N N N Freddie Mac - STACR 5493000ISBDRXIMCHZ70 35564KQC6 1480000.00000000 PA USD 1503807.87000000 0.220386296813 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 7.83000000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BU6 420000.00000000 PA USD 279612.30000000 0.040977787501 Long DBT CORP US N 2 2051-11-01 Fixed 3.48000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042RAF5 185000.00000000 PA USD 177935.61000000 0.026076848606 Long ABS-O CORP US N 2 2026-12-15 Fixed 1.23000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822DA9 440000.00000000 PA USD 438553.98000000 0.064271034573 Long DBT CORP JP N 2 2026-04-17 Fixed 5.54000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 3469.10000000 0.000508404110 N/A DFE CZ N 2 Bank of America NA B4TYDEB6GKMZO031MB27 442121.46000000 USD 10500000.00000000 CZK 2024-06-20 3469.10000000 N N N DIRECTV FINANCING LLC N/A 25461LAB8 137000.00000000 PA USD 133211.09000000 0.019522373439 Long DBT CORP US N 2 2030-02-01 Fixed 8.88000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5140000.00000000 OU Notional Amount USD 78416.11000000 0.011492050572 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-06-20 22.23000000 USD 0.00000000 USD 5140000.00000000 USD 78393.88000000 N N N Regency Centers LP 5493008PTR2GAOYBXW28 75884RAV5 20000.00000000 PA USD 19092.80000000 0.002798091146 Long DBT US N 2 2027-02-01 Fixed 3.60000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 13180000.00000000 OU Notional Amount USD -449727.01000000 -0.06590846629 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-06-20 0.00000000 USD -6446.23000000 USD 13180000.00000000 USD -443280.78000000 N N N Santander Drive Auto Receivables Trust N/A 80287HAE8 750000.00000000 PA USD 739348.88000000 0.108353177933 Long ABS-O CORP US N 2 2028-10-16 Fixed 4.74000000 N N N N N N PLAINS ALL AMER PIPELINE 5521FA2ITF25TVH63740 72650RBF8 35000.00000000 PA USD 34610.43000000 0.005072233395 Long DBT CORP US N 2 2024-11-01 Fixed 3.60000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 164.73000000 0.000024141537 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 5290.83000000 EUR 5814.00000000 USD 2024-05-16 164.73000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DX4 200000.00000000 PA USD 202407.24000000 0.029663218926 Long DBT CORP GB N 2 2034-06-20 Fixed 6.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMEK8 236979.46000000 PA USD 239820.23000000 0.035146173553 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6.50000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAJ7 260000.00000000 PA USD 210103.40000000 0.030791107825 Long DBT CORP XX N 2 2032-02-15 Fixed 2.65000000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EJ5 37000.00000000 PA USD 27079.90000000 0.003968617931 Long DBT CORP US N 2 2047-08-15 Fixed 3.75000000 N N N N N N Golub Capital Partners CLO, LTD N/A 38179MAA4 250000.00000000 PA USD 251918.25000000 0.036919164558 Long ABS-CBDO CORP JE N 2 2036-04-25 Floating 7.27000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 628000.00000000 OU Notional Amount 6256.68000000 0.000916929990 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-02-20 22.37000000 EUR 0.00000000 EUR 628000.00000000 EUR 6232.58000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WTY4 1073539.72000000 PA USD 880979.42000000 0.129109439986 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJA0 1212000.00000000 PA USD 1205135.16000000 0.176615164989 Long DBT UST US N 2 2028-09-30 Fixed 4.63000000 N N N N N N LCM INVESTMENTS HOLDINGS 549300P5V78NNQTG4428 50190EAC8 20000.00000000 PA USD 20775.80000000 0.003044738438 Long DBT CORP US N 2 2031-08-01 Fixed 8.25000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KCV0 65000.00000000 PA USD 60720.09000000 0.008898660556 Long DBT CORP US N 2 2054-03-15 Fixed 5.55000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -948.87000000 -0.00013905895 N/A DFE XX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 236200.40000000 USD 220000.00000000 EUR 2024-06-20 -948.87000000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCX5 600000.00000000 PA USD 590937.76000000 0.086603207212 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N Freddie Mac - STACR 5493000IT2BRJ2Q9YQ96 35565TBD0 750000.00000000 PA USD 845813.93000000 0.123955861346 Long ABS-MBS USGSE US N 2 2050-11-25 Floating 9.33000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAJ4 26000.00000000 PA USD 25781.72000000 0.003778366844 Long DBT US N 2 2027-02-01 Fixed 5.75000000 N N N N N N WAMU Asset-Backed Certificates N/A 92926SAE6 273575.06000000 PA USD 100893.99000000 0.014786232517 Long ABS-O CORP US N 2 2037-04-25 Floating 5.79000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13000000.00000000 OU Notional Amount -4029.17000000 -0.00059048358 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 37824.95000000 SEK 0.00000000 SEK 13000000.00000000 SEK -7555.43000000 N N N NEXSTAR MEDIA INC 5493006PK6I4I2OOT688 65336YAN3 148000.00000000 PA USD 131388.63000000 0.019255287983 Long DBT CORP US N 2 2028-11-01 Fixed 4.75000000 N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 466304AG7 370828.58000000 PA USD 371292.12000000 0.054413663470 Long ABS-MBS CORP US N 2 2036-12-15 Floating 8.69000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 9556.14000000 0.001400472991 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 430000.00000000 CHF 479865.41000000 USD 2024-06-20 9556.14000000 N N N UMBS, TBA N/A 01F070658 3455700.00000000 PA USD 3527243.77000000 0.516925205631 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 7.00000000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 44000.00000000 PA USD 43998.74000000 0.006448110537 Long DBT CORP US N 2 2027-06-15 Fixed 5.75000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDP1 50000.00000000 PA USD 45564.31000000 0.006677548208 Long DBT CORP US N 2 2032-08-15 Fixed 4.35000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XEV4 151000.00000000 PA USD 147695.09000000 0.021645034975 Long DBT CORP US N 2 2034-04-04 Fixed 5.95000000 N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1057.50000000 0.000154978912 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 88916.62000000 USD 1700000.00000000 ZAR 2024-06-20 1057.50000000 N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93934FFB3 168532.96000000 PA USD 124564.62000000 0.018255214554 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.50000000 N N N N N N ARIZONA PUBLIC SERVICE YG6VT0TPHRH4TFVAQV64 040555DG6 20000.00000000 PA USD 19605.06000000 0.002873163958 Long DBT CORP US N 2 2033-08-01 Fixed 5.55000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDE9 10000.00000000 PA USD 7902.50000000 0.001158128471 Long DBT CORP MX N 2 2031-01-28 Fixed 5.95000000 N N N N N N Dryden Senior Loan Fund 5493008NBEE3C4AF3K95 262431AD1 400000.00000000 PA USD 401112.96000000 0.058783972089 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 7.24000000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93934FHC9 176243.96000000 PA USD 145970.91000000 0.021392352666 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.95000000 N N N N N N VIPER ENERGY INC 5299009LINL232255G03 92763MAB1 255000.00000000 PA USD 262558.20000000 0.038478472250 Long DBT CORP US N 2 2031-11-01 Fixed 7.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KUCJ9 869602.20000000 PA USD 751564.18000000 0.110143356576 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 2.00000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XCG3 28000.00000000 PA USD 27486.62000000 0.004028223627 Long DBT US N 2 2029-02-15 Fixed 5.20000000 N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967ME8 91000.00000000 PA USD 84314.28000000 0.012356440146 Long DBT CORP US N 2 2030-03-20 Fixed 3.98000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GRS35 97000.00000000 PA USD 98604.04000000 0.014450635390 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.50000000 N N N N N N UMBS, TBA N/A 01F052656 9135488.00000000 PA USD 8866456.56000000 1.299398391310 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.50000000 N N N N N N Origen Manufactured Housing 5493005G5GFEQWMCSY59 68620KAA0 79580.02000000 PA USD 78013.89000000 0.011433104361 Long ABS-O CORP US N 2 2037-10-15 Floating 6.64000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TG3 1854000.00000000 PA USD 1304680.08000000 0.191203688379 Long DBT UST US N 2 2052-05-15 Fixed 2.88000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042VAF6 955000.00000000 PA USD 944414.02000000 0.138405917856 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.85000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1087.86000000 0.000159428236 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 160000.00000000 CHF 176086.66000000 USD 2024-06-20 1087.86000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGZH5 164555.51000000 PA USD 150014.65000000 0.021984971511 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 3.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308HP5 65000.00000000 PA USD 61687.13000000 0.009040382360 Long DBT CORP US N 2 2026-03-01 Fixed 2.95000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 2.00000000 NC USD 859.38000000 0.000125943998 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 2.00000000 NC N/A 859.38000000 0.00000000 DIR US Long CBOT 5 Year U.S. Treasury Notes FVM4 Comdty 2024-06-28 2.00000000 USD 1000.00000000 105.00000000 USD 2024-05-24 XXXX -144.76000000 N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400JD6 20000.00000000 PA USD 19196.39000000 0.002813272485 Long DBT CORP US N 2 2054-04-15 Fixed 5.75000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1568.60000000 -0.00022988172 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 577000.00000000 EUR 615432.01000000 USD 2024-06-20 -1568.60000000 N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBG9 60000.00000000 PA USD 45292.20000000 0.006637669898 Long DBT CORP US N 2 2055-05-15 Fixed 4.38000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 407200000.00000000 PA 98684.76000000 0.014462465080 Long DBT NUSS CO N 2 2026-08-26 Fixed 7.50000000 N N N N N N STONEX GROUP INC 549300JUF07L8VF02M60 861896AA6 75000.00000000 PA USD 75846.75000000 0.011115505305 Long DBT CORP US N 2 2031-03-01 Fixed 7.88000000 N N N N N N HEALTHPEAK OP LLC PZ9HF5U52KPF0MH0QN75 40414LAN9 20000.00000000 PA USD 19593.10000000 0.002871411194 Long DBT CORP US N 2 2025-06-01 Fixed 4.00000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BQ5 73000.00000000 PA USD 70013.73000000 0.010260663605 Long DBT CORP US N 2 2034-05-15 Fixed 5.30000000 N N N N N N MINERAL RESOURCES LTD 5299007V1ACKFFX2P066 603051AE3 160000.00000000 PA USD 167733.76000000 0.024581745417 Long DBT CORP AU N 2 2028-10-01 Fixed 9.25000000 N N N N N N BSST Mortgage Trust N/A 05601PAS5 28925.14000000 PA USD 27416.03000000 0.004017878510 Long ABS-MBS CORP US N 2 2036-04-15 Floating 9.24000000 N N N N N N BX Trust N/A 05610HAA1 119593.74000000 PA USD 119022.86000000 0.017443057637 Long ABS-MBS CORP US N 2 2039-02-15 Floating 6.33000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 24.53000000 0.000003594924 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 254310.00000000 BRL 49000.00000000 USD 2024-05-03 24.53000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLV9 250000.00000000 PA USD 251162.84000000 0.036808457588 Long DBT CORP US N 2 2027-09-15 Fixed 5.93000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3360000.00000000 OU Notional Amount -627.46000000 -0.00009195562 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 1878.32000000 SEK 0.00000000 SEK 3360000.00000000 SEK -799.29000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 729.20000000 0.000106865837 N/A DFE ZA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 35000.00000000 USD 673176.00000000 ZAR 2024-05-16 729.20000000 N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887CP2 36000.00000000 PA USD 33071.93000000 0.004846762892 Long DBT CORP US N 2 2032-08-22 Fixed 4.30000000 N N N N N N EIDP INC GLU7INWNWH88J9XBXD45 263534CQ0 35000.00000000 PA USD 34344.09000000 0.005033200692 Long DBT CORP US N 2 2026-05-15 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2000000.00000000 OU Notional Amount -5386.83000000 -0.00078945159 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 22.30000000 PLN 0.00000000 PLN 2000000.00000000 PLN -5392.48000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810TJ7 1072200.00000000 PA USD 774120.03000000 0.113448965193 Long DBT UST US N 2 2052-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WVV7 309667.98000000 PA USD 263702.62000000 0.038646189477 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3.00000000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 40000.00000000 PA USD 35045.35000000 0.005135971862 Long DBT CORP US N 2 2030-06-01 Fixed 4.63000000 N N N N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAL6 460000.00000000 PA USD 450207.69000000 0.065978910986 Long DBT CORP CA N 2 2054-03-04 Fixed 5.97000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGZ8 15000.00000000 PA USD 14054.30000000 0.002059688071 Long DBT UST US N 2 2030-04-30 Fixed 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -774.19000000 -0.00011345921 N/A DFE CA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 37123.40000000 USD 50000.00000000 CAD 2024-06-20 -774.19000000 N N N MOTOROLA SOLUTIONS INC 6S552MUG6KGJVEBSEC55 620076BW8 819000.00000000 PA USD 814575.06000000 0.119377737363 Long DBT CORP US N 2 2032-06-01 Fixed 5.60000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBS4 252000.00000000 PA USD 205485.50000000 0.030114344589 Long DBT US N 2 2031-05-15 Fixed 2.50000000 N N N N N N BlackRock Liquidity Funds 5493007YVNX55LTRQ706 09248U718 45067732.37000000 NS USD 45067732.37000000 6.604773682170 Long STIV RF US N 1 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDU0 597000.00000000 PA USD 582181.55000000 0.085319965693 Long DBT CORP US N 2 2034-03-15 Fixed 5.05000000 N N N N N N Freddie Mac - STACR 5493000IRODEKU3J3Q16 35564KTJ8 1550000.00000000 PA USD 1676914.00000000 0.245755374677 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 10.58000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DS4 136000.00000000 PA USD 78308.31000000 0.011476252249 Long DBT CORP US N 2 2050-11-13 Fixed 2.55000000 N N N N N N PECO ENERGY CO YH65D4JBECK76IFEJ279 693304BE6 191000.00000000 PA USD 155298.51000000 0.022759332626 Long DBT CORP US N 2 2052-08-15 Fixed 4.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5320000.00000000 OU Notional Amount -66607.16000000 -0.00976142340 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-06-19 0.00000000 EUR -9095.99000000 EUR 5320000.00000000 EUR -56702.08000000 N N N CARVANA CO 5493003WEAK2PJ5WS063 146869AN2 114000.00000000 PA USD 113105.51000000 0.016575857192 Long DBT CORP US N 2 2030-06-01 Fixed 13.00000000 N N Y N N N AZUL SECURED FINANCE LLP N/A 05501WAC6 200000.00000000 PA USD 199000.00000000 0.029163880533 Long DBT CORP US N 2 2028-08-28 Fixed 11.93000000 N N N N N N BX Trust N/A 05611VAG6 170000.00000000 PA USD 170000.00000000 0.024913867792 Long ABS-MBS CORP US N 2 2039-02-15 Floating 8.46000000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368LWT9 170000.00000000 PA USD 170810.19000000 0.025032602889 Long DBT CORP CA N 2 2025-09-25 Fixed 5.92000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8W43 244342.92000000 PA USD 212827.36000000 0.031190310056 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N LD HOLDINGS GROUP LLC N/A 521088AA2 180000.00000000 PA USD 170829.52000000 0.025035435743 Long DBT CORP US N 2 2025-11-01 Fixed 6.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 3937.75000000 0.000577085781 N/A DFE CO N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 904487.16000000 USD 3590000000.00000000 COP 2024-06-20 3937.75000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YED3 108000.00000000 PA USD 85882.11000000 0.012586209025 Long DBT CORP US N 2 2032-07-21 Fixed 2.24000000 N N N N N N Nelnet Student Loan Trust N/A 64034UAA7 89281.39000000 PA USD 89027.91000000 0.013047232821 Long ABS-O CORP US N 2 2053-11-25 Floating 7.58000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 38000.00000000 OU Notional Amount 113.84000000 0.000016683498 N/A DFE US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 113.84000000 0.00000000 DFE XX 163780.00000000 PLN 38000.00000000 EUR 2024-08-13 1.00000000 4.31000000 EUR 2024-08-13 XXXX 5.60000000 N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HRY8 30000.00000000 PA USD 28621.89000000 0.004194599902 Long DBT CORP US N 2 2028-02-01 Fixed 3.78000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBZ7 660000.00000000 PA USD 491810.67000000 0.072075917713 Long DBT CORP US N 2 2041-03-25 Fixed 3.65000000 N N N N N N UMBS, TBA N/A 01F032450 -4000.00000000 PA USD -3712.07000000 -0.00054401188 Short ABS-MBS USGSE US N 2 2039-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFPM7 256747.81000000 PA USD 221409.70000000 0.032448070551 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 2.00000000 N N N N N N BRIXMOR OPERATING PART 549300CJHBL7JBUA6503 11120VAJ2 20000.00000000 PA USD 18107.60000000 0.002653707955 Long DBT US N 2 2030-07-01 Fixed 4.05000000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61749EAE7 28417.51000000 PA USD 6677.17000000 0.000978553709 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.51000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1166.07000000 -0.00017089008 N/A DFE PH N 2 Citibank NA E57ODZWZ7FF32TWEFA76 54782.90000000 USD 3100000.00000000 PHP 2024-06-20 -1166.07000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTJ42 407245.36000000 PA USD 404509.36000000 0.059281721857 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEF5 47000.00000000 PA USD 31584.16000000 0.004628726979 Long DBT CORP US N 2 2051-05-15 Fixed 3.25000000 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 78355HKY4 344000.00000000 PA USD 361087.26000000 0.052918119159 Long DBT CORP US N 2 2033-12-01 Fixed 6.60000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BR7 128000.00000000 PA USD 128543.88000000 0.018838383716 Long DBT CORP US N 2 2028-08-15 Fixed 6.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C5Z3 270333.17000000 PA USD 245424.09000000 0.035967431360 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1128.88000000 -0.00016543980 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 80000.00000000 GBP 98860.61000000 USD 2024-06-20 -1128.88000000 N N N BX Trust N/A 12433YAA5 175399.91000000 PA USD 174961.41000000 0.025640973161 Long ABS-MBS CORP US N 2 2037-10-15 Floating 6.37000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -3725.15000000 -0.00054592879 N/A DFE AU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 198348.00000000 USD 300000.00000000 AUD 2024-06-20 -3725.15000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CJC6 22000000.00000000 PA USD 21831562.50000000 3.199462716625 Long DBT UST US N 2 2026-10-15 Fixed 4.63000000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BX6 115200.00000000 PA USD 120116.62000000 0.017603350531 Long DBT CORP KY N 2 2030-02-15 Fixed 8.75000000 N N N N N N GOL FINANCE SA 5299007RH8MA67ZC6J07 36254VAK4 12398.00000000 PA USD 13358.85000000 0.001957768369 Long DBT CORP LU N 2 2025-01-29 Floating 15.81000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBP4 35000.00000000 PA USD 30562.66000000 0.004479023944 Long DBT CORP US N 2 2047-12-01 Fixed 5.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 578340000.00000000 OU Notional Amount -6914.57000000 -0.00101334519 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 6572.00000000 KRW 0.00000000 KRW 578340000.00000000 KRW -6919.57000000 N N N Madison Park Funding Ltd N/A 55819PAQ2 390000.00000000 PA USD 391562.57000000 0.057384341773 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 7.23000000 N N N N N N ROPER TECHNOLOGIES INC 54930003T4SXCIWVXY35 776743AM8 50000.00000000 PA USD 46922.74000000 0.006876629063 Long DBT CORP US N 2 2025-09-15 Fixed 1.00000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBG4 74000.00000000 PA USD 58658.29000000 0.008596499305 Long DBT US N 2 2030-10-15 Fixed 1.88000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLJ9 174000.00000000 PA USD 113482.57000000 0.016631116151 Long DBT CORP US N 2 2055-09-15 Fixed 3.55000000 N N N N N N ANYWHERE REAL EST/CO-ISS N/A 75606DAS0 81787.00000000 PA USD 71763.61000000 0.010517112304 Long DBT CORP US N 2 2030-04-15 Fixed 7.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -4004.23000000 -0.00058682856 N/A DFE CA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 193020.10000000 USD 260000.00000000 CAD 2024-06-20 -4004.23000000 N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BQ4 75000.00000000 PA USD 59333.71000000 0.008695483568 Long DBT CORP NL N 2 2046-05-10 Fixed 4.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -506.30000000 -0.00007419936 N/A DFE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 275477.40000000 USD 220000.00000000 GBP 2024-06-20 -506.30000000 N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AW0 380000.00000000 PA USD 248967.64000000 0.036486746279 Long DBT CORP US N 2 2050-03-01 Fixed 3.05000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668PAD4 335870.72000000 PA USD 288355.19000000 0.042259076946 Long ABS-MBS CORP US N 2 2046-12-20 Floating 5.72000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3240.61000000 -0.00047491840 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3300000.00000000 MXN 187928.85000000 USD 2024-06-20 -3240.61000000 N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAL3 421000.00000000 PA USD 406262.35000000 0.059538626334 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AQ7 180000.00000000 PA USD 181068.10000000 0.026535921793 Long DBT CORP US N 2 2033-09-15 Fixed 5.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQGA8 49620.38000000 PA USD 48315.13000000 0.007080686830 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N MSWF Commercial Mortgage Trust N/A 55361AAV6 1113685.64000000 PA USD 71834.06000000 0.010527436904 Long ABS-MBS CORP US N 2 2056-12-15 Variable 1.14000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 250000.00000000 OU Notional Amount 1205.43000000 0.000176658374 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 EUR -103.85000000 EUR 250000.00000000 EUR 1315.96000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCH6 65000.00000000 PA USD 67033.87000000 0.009823958675 Long DBT CORP US N 2 2029-11-09 Fixed 6.15000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAC0 200000.00000000 PA USD 196874.49000000 0.028852382444 Long DBT CORP US N 2 2025-01-23 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F032658 -5118000.00000000 PA USD -4410890.77000000 -0.64642558523 Short ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBT1 500000.00000000 PA USD 485393.85000000 0.071135518859 Long DBT CORP US N 2 2025-04-01 Fixed 2.50000000 N N N N N N MHC Commercial Mortgage Trust N/A 55316VAA2 125831.50000000 PA USD 125045.05000000 0.018325622610 Long ABS-MBS CORP US N 2 2038-04-15 Floating 6.24000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZN7 190000.00000000 PA USD 139760.67000000 0.020482228558 Long DBT CORP US N 2 2043-02-24 Fixed 3.44000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JQ1 60000.00000000 PA USD 48687.39000000 0.007135242338 Long DBT CORP US N 2 2040-07-01 Fixed 4.50000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJM3 115000.00000000 PA USD 115227.50000000 0.016886839417 Long DBT CORP US N 2 2029-06-12 Fixed 5.78000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DW5 39000.00000000 PA USD 28058.77000000 0.004112073448 Long DBT CORP US N 2 2052-03-15 Fixed 3.70000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -2739.21000000 -0.00040143715 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 152444.73000000 USD 140000.00000000 EUR 2024-06-20 -2739.21000000 N N N AMPHENOL CORP 549300D3L3G0R4U4VT04 032095AL5 20000.00000000 PA USD 16150.10000000 0.002366832095 Long DBT CORP US N 2 2031-09-15 Fixed 2.20000000 N N N N N N Golub Capital Partners CLO, LTD N/A 38177DAA6 250000.00000000 PA USD 250242.43000000 0.036673569512 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 6.89000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VBE0 110000.00000000 PA USD 108958.87000000 0.015968158129 Long DBT US N 2 2034-03-01 Fixed 5.80000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -78.64000000 -0.00001152486 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 91000000.00000000 CLP 94663.48000000 USD 2024-06-21 -78.64000000 N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CE2 100000.00000000 PA USD 65910.96000000 0.009659393785 Long DBT CORP US N 2 2052-03-17 Fixed 2.92000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 331.84000000 0.000048631869 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 18000000.00000000 HUF 49289.69000000 USD 2024-06-20 331.84000000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 9038.00000000 OU Notional Amount -20.93000000 -0.00000306733 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 9038.00000000 BRL -20.93000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2000000.00000000 OU Notional Amount -2213.54000000 -0.00032439907 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 SEK -2171.70000000 SEK 2000000.00000000 SEK -2012.52000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 31147000.00000000 OU Notional Amount USD 40505.12000000 0.005936112968 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 31147000.00000000 OU Notional Amount N/A 40505.12000000 0.01000000 DIR US N/A N/A 2025-10-18 0.00000000 N/A 0.00000000 N/A 31147000.00000000 USD 1.00000000 4.54200000 USD 2024-10-16 XXXX -23073.16000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMXT8 257675.80000000 PA USD 255944.64000000 0.037509240724 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.00000000 N N N N N N MOUNT NITTANY MED CTR N/A 62213LAA4 50000.00000000 PA USD 37290.76000000 0.005465041555 Long DBT CORP US N 2 2052-11-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJLC5 483714.82000000 PA USD 434706.48000000 0.063707175124 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.00000000 N N N N N N AMERICAN AIRLINES INC IWUQB36BXD6OWD6X4T14 023771T40 80000.00000000 PA USD 83333.75000000 0.012212741353 Long DBT CORP US N 2 2029-05-15 Fixed 8.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDX4 85000.00000000 PA USD 81953.20000000 0.012010418764 Long DBT CORP US N 2 2064-03-15 Fixed 5.50000000 N N N N N N District of Columbia Water & Sewer Authority 549300OT2FIJQJ5PSH71 254845RM4 75000.00000000 PA USD 53786.25000000 0.007882491303 Long DBT MUN US N 2 2048-10-01 Fixed 3.21000000 N N N N N N KLA CORP 549300H0BF5JCG96TJ81 482480AJ9 138000.00000000 PA USD 94539.40000000 0.013854953604 Long DBT CORP US N 2 2050-03-01 Fixed 3.30000000 N N N N N N Fannie Mae - CAS N/A 20753ACJ1 235600.66000000 PA USD 239563.04000000 0.035108481802 Long ABS-MBS USGSE US N 2 2043-04-25 Floating 7.83000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 054989AC2 290000.00000000 PA USD 300438.90000000 0.044029970789 Long DBT CORP US N 2 2043-08-02 Fixed 7.08000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TC2 952000.00000000 PA USD 628915.00000000 0.092168853897 Long DBT UST US N 2 2041-11-15 Fixed 2.00000000 N N N N N N CREDIT ACCEPTANC N/A 225310AQ4 166000.00000000 PA USD 176001.50000000 0.025793400601 Long DBT CORP US N 2 2028-12-15 Fixed 9.25000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBW9 300000.00000000 PA USD 276740.30000000 0.040556889688 Long DBT CORP US N 2 2053-03-01 Fixed 5.65000000 N N N N N N SMB Private Education Loan Trust 5493000RGRVHYZAIY180 78448WAC9 121668.48000000 PA USD 121494.15000000 0.017805230533 Long ABS-O CORP US N 2 2034-09-15 Floating 6.34000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDX1 276000.00000000 PA USD 281632.76000000 0.041273890286 Long DBT CORP US N 2 2029-10-23 Fixed 6.09000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CKH3 291000.00000000 PA USD 288078.63000000 0.042218546480 Long DBT UST US N 2 2026-03-31 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 24000000.00000000 OU Notional Amount -1057.45000000 -0.00015497158 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 266.91000000 TWD 0.00000000 TWD 24000000.00000000 TWD -1065.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NGT26 27600.81000000 PA USD 27454.80000000 0.004023560338 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -125.84000000 -0.00001844212 N/A DFE PE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 8625.80000000 USD 32000.00000000 PEN 2024-05-06 -125.84000000 N N N SOLVENTUM CORP 254900I70403OSGY4M28 83444MAA9 56000.00000000 PA USD 55528.10000000 0.008137763189 Long DBT CORP US N 2 2027-02-25 Fixed 5.45000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477BM4 20000.00000000 PA USD 19457.43000000 0.002851528462 Long DBT CORP US N 2 2026-03-30 Fixed 2.90000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 32271.00000000 OU Notional Amount USD 2532.13000000 0.000371089129 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Turkiye Government International Bonds Turkiye Government International Bonds Y buy protection 2029-06-20 3345.66000000 USD 0.00000000 USD 32271.00000000 USD -813.53000000 N N N CIFC Funding Ltd 549300X1SKS4LNS5LQ62 17181PAC3 280000.00000000 PA USD 280583.88000000 0.041120174652 Long ABS-CBDO CORP KY N 2 2037-04-21 Floating 6.83000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SQ2 2576000.00000000 PA USD 1501325.00000000 0.220022426843 Long DBT UST US N 2 2040-08-15 Fixed 1.13000000 N N N N N N VONTIER CORP 549300VVSQLG4P5K4639 928881AF8 560000.00000000 PA USD 458425.46000000 0.067183242959 Long DBT CORP US N 2 2031-04-01 Fixed 2.95000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -2408.08000000 -0.00035290933 N/A DFE NZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 196859.92000000 USD 330000.00000000 NZD 2024-06-20 -2408.08000000 N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 28370TAD1 50000.00000000 PA USD 54862.75000000 0.008040254707 Long DBT CORP US N 2 2040-11-15 Fixed 7.50000000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659BD2 75000.00000000 PA USD 58265.15000000 0.008538883788 Long DBT CORP US N 2 2031-05-15 Fixed 1.65000000 N N N N N N Credit Suisse Mortgage Trust N/A 12655VAC8 65512.37000000 PA USD 63357.82000000 0.009285225594 Long ABS-MBS CORP US N 2 2059-10-25 Variable 4.06000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 251.77000000 0.000036897438 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 19923330.00000000 CLP 21000.00000000 USD 2024-05-16 251.77000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 496000.00000000 OU Notional Amount 65.57000000 0.000009609425 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-04-22 0.00000000 EUR -967.04000000 EUR 496000.00000000 EUR 1095.98000000 N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YDB2 400000.00000000 PA USD 398410.87000000 0.058387974954 Long DBT CORP JP N 2 2034-07-06 Fixed 5.75000000 N N N N N N Whirlpool Corp WHENKOULSSK7WUM60H03 963320AW6 55000.00000000 PA USD 52952.84000000 0.007760353264 Long DBT CORP US N 2 2029-02-26 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHHS9 2337351.48000000 PA USD 1770275.02000000 0.259437634143 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 140000.00000000 OU Notional Amount 1506.42000000 0.000220769110 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-03-15 0.00000000 EUR -196.19000000 EUR 140000.00000000 EUR 1719.08000000 N N N TALEN ENERGY SUPPLY LLC K5K33XN0PQAU1XF7NN66 87422VAK4 60000.00000000 PA USD 63482.04000000 0.009303430304 Long DBT CORP US N 2 2030-06-01 Fixed 8.63000000 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAF9 800000.00000000 PA USD 684168.10000000 0.100266315242 Long DBT CORP US N 2 2030-10-01 Fixed 2.90000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 444.83000000 0.000065190798 N/A DFE GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 87045.97000000 USD 70000.00000000 GBP 2024-06-20 444.83000000 N N N INTUIT INC VI90HBPH7XSFMB9E4M29 46124HAG1 500000.00000000 PA USD 493496.59000000 0.072322992936 Long DBT CORP US N 2 2033-09-15 Fixed 5.20000000 N N N N N N DTE Electric Co 9N0FWODEJVKHC2DYLO03 23338VAH9 65000.00000000 PA USD 50709.65000000 0.007431608917 Long DBT CORP US N 2 2048-05-15 Fixed 4.05000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 361000.00000000 PA 20585.06000000 0.003016785078 Long DBT CORP MX N 2 2024-09-12 Fixed 7.19000000 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAL7 100000.00000000 PA USD 98919.44000000 0.014496857942 Long DBT CORP US N 2 2053-08-15 Fixed 5.55000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KCP3 50000.00000000 PA USD 47934.97000000 0.007024973560 Long DBT CORP US N 2 2033-02-28 Fixed 5.05000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -282.07000000 -0.00004133796 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 350000000.00000000 COP 88283.03000000 USD 2024-06-20 -282.07000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NG2 530000.00000000 PA USD 494654.31000000 0.072492659307 Long DBT CORP US N 2 2028-02-24 Fixed 3.07000000 N N N N N N DIAGEO CAPITAL PLC 213800L23DJLALFC4O95 25243YBC2 300000.00000000 PA USD 283396.65000000 0.041532392181 Long DBT CORP GB N 2 2025-09-29 Fixed 1.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797KW6 800000.00000000 PA USD 788683.34000000 0.115583249781 Long DBT UST US N 2 2024-08-06 None 0.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFT6 70000.00000000 PA USD 46771.49000000 0.006854463048 Long DBT CORP US N 2 2040-11-20 Fixed 2.65000000 N N N N N N Affirm Inc N/A 00834BAA5 100000.00000000 PA USD 99023.22000000 0.014512067126 Long ABS-O CORP US N 2 2029-02-15 Fixed 5.61000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FX1 20000.00000000 PA USD 16868.24000000 0.002472077066 Long DBT CORP US N 2 2032-02-14 Fixed 2.80000000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 000000000 117757.00000000 OU Notional Amount USD 8444.59000000 0.001237572934 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD 8444.59000000 0.00000000 DFE US 17192522.00000000 JPY 117757.00000000 USD 2024-05-17 1.00000000 146.00000000 USD 2024-05-17 XXXX 7155.86000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 874.89000000 0.000128217022 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 1400000.00000000 TWD 43805.85000000 USD 2024-06-20 874.89000000 N N N FRONTIER COMMUNICATIONS N/A 35906ABG2 30000.00000000 PA USD 26382.54000000 0.003866418315 Long DBT CORP US N 2 2029-05-01 Fixed 6.75000000 N N N N N N UNION ELECTRIC CO QMPJLLDULY5C1M8PNY21 906548CW0 52000.00000000 PA USD 48761.35000000 0.007146081336 Long DBT CORP US N 2 2053-03-15 Fixed 5.45000000 N N N N N N ROMANIA 315700IASY927EDWBK92 77586RAN0 2000.00000000 PA USD 1939.00000000 0.000284164644 Long DBT NUSS RO N 2 2027-11-25 Fixed 5.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -2843.98000000 -0.00041679142 N/A DFE IN N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 383095.61000000 USD 31800000.00000000 INR 2024-06-20 -2843.98000000 N N N INGERSOLL RAND INC 5299004C02FMZCUOIR50 45687VAB2 50000.00000000 PA USD 49662.78000000 0.007278187853 Long DBT CORP US N 2 2033-08-14 Fixed 5.70000000 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAJ4 236000.00000000 PA USD 214380.31000000 0.031417898239 Long DBT CORP US N 2 2029-11-15 Fixed 3.70000000 N N N N N N CHOICE HOTELS INTL INC 5493003CYRY5RFGTIR97 169905AF3 13000.00000000 PA USD 11462.90000000 0.001679912794 Long DBT CORP US N 2 2029-12-01 Fixed 3.70000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1557.17000000 -0.00022820663 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 110604.79000000 USD 150000.00000000 CAD 2024-06-20 -1557.17000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 26.26000000 0.000003848459 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 21000.00000000 USD 360940.50000000 MXN 2024-05-16 26.26000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 6000000.00000000 OU Notional Amount USD 26389.71000000 0.003867469094 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 8358.83000000 USD 0.00000000 USD 6000000.00000000 USD 18030.88000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABY0 230000.00000000 PA USD 150647.16000000 0.022077667220 Long DBT CORP US N 2 2060-11-15 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJP56 32372.67000000 PA USD 29495.25000000 0.004322592700 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 1580.29000000 0.000231594918 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 5100000.00000000 THB 139714.54000000 USD 2024-06-20 1580.29000000 N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBM0 40000.00000000 PA USD 39861.89000000 0.005841846220 Long DBT CORP US N 2 2026-04-01 Fixed 6.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QN3Z3 592242.10000000 PA USD 512618.50000000 0.075125350217 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBP3 75000.00000000 PA USD 74466.77000000 0.010913266251 Long DBT CORP US N 2 2028-07-01 Fixed 5.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJS1 79000.00000000 PA USD 77892.15000000 0.011415263100 Long DBT UST US N 2 2025-12-31 Fixed 4.25000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 15005.49000000 0.002199087023 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 44000000.00000000 JPY 296066.22000000 USD 2024-06-20 15005.49000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1384.06000000 -0.00020283698 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 33322.78000000 USD 5000000.00000000 JPY 2024-06-20 -1384.06000000 N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBT1 80000.00000000 PA USD 57904.73000000 0.008486063457 Long DBT CORP US N 2 2040-09-25 Fixed 3.73000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHE4 4602000.00000000 PA USD 4405875.70000000 0.645690615879 Long DBT UST US N 2 2028-05-31 Fixed 3.63000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBF9 20000.00000000 PA USD 19291.46000000 0.002827205199 Long DBT CORP US N 2 2049-02-14 Fixed 5.95000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAQ6 184000.00000000 PA USD 147855.03000000 0.021668474528 Long DBT CORP US N 2 2043-05-02 Fixed 4.50000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 -43000.00000000 OU Notional Amount USD -2070.75000000 -0.00030347289 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD -2070.75000000 0.00000000 DFE TR -43000.00000000 USD -1741500.00000000 TRY 2024-12-06 1.00000000 40.50000000 USD 2024-12-06 XXXX -786.50000000 N N N RIO TINTO FIN USA LTD 213800RX94ZKEZXPKH58 767201AT3 20000.00000000 PA USD 12113.10000000 0.001775201011 Long DBT CORP AU N 2 2051-11-02 Fixed 2.75000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DU7 614000.00000000 PA USD 576422.21000000 0.084475921956 Long DBT CORP US N 2 2033-05-15 Fixed 4.63000000 N N N N N N BX Trust N/A 05611VAJ0 110000.00000000 PA USD 109384.20000000 0.016030491161 Long ABS-MBS CORP US N 2 2039-02-15 Floating 9.51000000 N N N N N N BX Trust N/A 05611VAA9 100000.00000000 PA USD 100000.00000000 0.014655216348 Long ABS-MBS CORP US N 2 2039-02-15 Floating 6.76000000 N N N N N N HILCORP ENERGY I/HILCORP N/A 431318BC7 55000.00000000 PA USD 58998.94000000 0.008646422300 Long DBT CORP US N 2 2033-11-01 Fixed 8.38000000 N N N N N N FMG RESOURCES AUG 2006 549300EFD6S2NFE9D745 30251GBA4 15000.00000000 PA USD 14146.38000000 0.002073182594 Long DBT CORP AU N 2 2027-09-15 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SF6 989800.00000000 PA USD 721780.72000000 0.105778526077 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N ALABAMA POWER CO 0RL818ELFOHP5JHOFU19 010392GB8 80000.00000000 PA USD 81588.63000000 0.011956990242 Long DBT CORP US N 2 2033-11-15 Fixed 5.85000000 N N N N N N Westlake Automobile Receivables Trust N/A 959926AE6 100000.00000000 PA USD 100246.53000000 0.014691345853 Long ABS-O CORP US N 2 2028-03-15 Fixed 6.14000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 743.97000000 0.000109030413 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 51000000.00000000 CLP 53841.20000000 USD 2024-06-21 743.97000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 19500000.00000000 OU Notional Amount 9548.79000000 0.001399395833 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 217.02000000 THB 0.00000000 THB 19500000.00000000 THB 9542.75000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 50000.00000000 PA USD 44408.95000000 0.006508227700 Long DBT CORP US N 2 2051-04-04 Fixed 5.01000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 15572.73000000 0.002282217272 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 11200000.00000000 TWD 359020.39000000 USD 2024-06-20 15572.73000000 N N N Exeter Automobile Receivables Trust N/A 30166QAD1 177490.02000000 PA USD 177094.80000000 0.025953626081 Long ABS-O CORP US N 2 2026-10-15 Fixed 3.65000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -111.55000000 -0.00001634789 N/A DFE PE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 18695.48000000 USD 69972.67000000 PEN 2024-05-16 -111.55000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAP5 40000.00000000 PA USD 32041.15000000 0.004695699853 Long DBT CORP US N 2 2058-04-15 Fixed 4.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGX3 590000.00000000 PA USD 582129.49000000 0.085312336187 Long DBT UST US N 2 2025-04-30 Fixed 3.88000000 N N N N N N REGENERON PHARMACEUTICAL 549300RCBFWIRX3HYQ56 75886FAE7 1170000.00000000 PA USD 934082.83000000 0.136891859610 Long DBT CORP US N 2 2030-09-15 Fixed 1.75000000 N N N N N N TOYOTA MOTOR CREDIT CORP Z2VZBHUMB7PWWJ63I008 89236TKN4 100000.00000000 PA USD 99568.95000000 0.014592045038 Long DBT CORP US N 2 2025-01-10 Fixed 4.80000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -25.03000000 -0.00000366820 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 208023.60000000 PLN 48000.00000000 EUR 2024-05-16 -25.03000000 N N N MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 000000000 26000.00000000 OU Notional Amount USD 1506.03000000 0.000220711954 N/A DCR US N 2 MORGAN STANLEY & CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Republic of South Africa Government International Bonds Republic of South Africa Government International Bonds Y buy protection 2029-06-20 1703.13000000 USD 0.00000000 USD 26000.00000000 USD -197.10000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 45869.91000000 0.006722334549 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 820000.00000000 CHF 942738.74000000 USD 2024-06-20 45869.91000000 N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804GH1 100000.00000000 PA USD 95334.87000000 0.013971531454 Long DBT CORP US N 2 2027-05-15 Fixed 3.75000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAY7 64000.00000000 PA USD 51641.61000000 0.007568189671 Long DBT US N 2 2031-07-15 Fixed 2.50000000 N N N N N N SAN DIEGO G & E KNIRVXKVNJJ4P8OTMS63 797440BZ6 100000.00000000 PA USD 79877.55000000 0.011706227766 Long DBT CORP US N 2 2030-10-01 Fixed 1.70000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -477.04000000 -0.00006991124 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 64636.55000000 USD 60000.00000000 EUR 2024-06-20 -477.04000000 N N N UNIV SOUTHERN CALIFORNIA 0GMCSQ6M60R4T46U5511 914886AH9 10000.00000000 PA USD 9456.93000000 0.001385933551 Long DBT CORP US N 2 2053-10-01 Fixed 4.98000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CC2 31000.00000000 PA USD 26546.28000000 0.003890414766 Long DBT CORP US N 2 2062-08-05 Fixed 5.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSAX9 69490.59000000 PA USD 67695.57000000 0.009920932241 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Consumers Energy Co 7NKTFWJ1G6MELP9TU740 210518CZ7 50000.00000000 PA USD 35128.86000000 0.005148210433 Long DBT CORP US N 2 2046-08-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8DP7 117936.90000000 PA USD 107680.66000000 0.015780833688 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N BX Trust N/A 05611GAA2 200000.00000000 PA USD 199936.76000000 0.029301164738 Long ABS-MBS CORP US N 2 2028-11-15 Floating 7.26000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCS0 293000.00000000 PA USD 268587.65000000 0.039362101192 Long DBT CORP US N 2 2029-09-01 Fixed 6.38000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GQLF7 45390.62000000 PA USD 45856.10000000 0.006720310663 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.50000000 N N N N N N MOTOROLA SOLUTIONS INC 6S552MUG6KGJVEBSEC55 620076BU2 200000.00000000 PA USD 166161.24000000 0.024351289209 Long DBT CORP US N 2 2031-05-24 Fixed 2.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGU9 2831000.00000000 PA USD 2796303.66000000 0.409804351133 Long DBT UST US N 2 2025-03-31 Fixed 3.88000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -184.52000000 -0.00002704180 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 4049.06000000 USD 157800.00000000 TRY 2024-12-04 -184.52000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBV1 190000.00000000 PA USD 178687.02000000 0.026186969367 Long DBT CORP US N 2 2033-03-01 Fixed 5.00000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BU0 179000.00000000 PA USD 177633.04000000 0.026032506318 Long DBT CORP US N 2 2029-03-01 Fixed 6.38000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFR1 383000.00000000 PA USD 382845.66000000 0.056106859753 Long DBT CORP US N 2 2035-04-19 Fixed 5.83000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEY7 105000.00000000 PA USD 108901.27000000 0.015959716724 Long DBT CORP US N 2 2033-10-18 Fixed 6.34000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400FP3 35000.00000000 PA USD 33269.35000000 0.004875695220 Long DBT CORP US N 2 2040-03-15 Fixed 5.50000000 N N N N N N PRKCM Trust N/A 693981AA0 113507.64000000 PA USD 112956.00000000 0.016553946178 Long ABS-MBS CORP US N 2 2058-02-25 Variable 6.60000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1000000.00000000 OU Notional Amount -2311.90000000 -0.00033881394 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 9.04000000 MXN 0.00000000 MXN 1000000.00000000 MXN -2312.45000000 N N N J.P. Morgan Alternative Loan Trust N/A 46627MCU9 794893.94000000 PA USD 598699.01000000 0.087740635191 Long ABS-MBS CORP US N 2 2036-03-25 Variable 4.96000000 N N N N N N Golub Capital Partners CLO, LTD 254900ZZ9HHZTOQ1XK24 38178LAA7 250000.00000000 PA USD 250283.93000000 0.036679651426 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 6.79000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -119.00000000 NC USD 195465.93000000 0.028645954929 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10-Year U.S. Treasury Notes Futures UXYM4 Comdty 2024-06-18 -13317075.31000000 USD 195465.93000000 N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XAM7 29000.00000000 PA USD 26771.58000000 0.003923432968 Long DBT CORP US N 2 2040-07-15 Fixed 5.38000000 N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 34.81000000 0.000005101480 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 27726.63000000 USD 26000.00000000 EUR 2024-05-16 34.81000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEE2 29000.00000000 PA USD 28977.14000000 0.004246662558 Long DBT CORP US N 2 2028-04-22 Fixed 5.57000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 525.77000000 0.000077052730 N/A DFE CO N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 70326.31000000 USD 280000000.00000000 COP 2024-06-20 525.77000000 N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KV2 550000.00000000 PA USD 482057.79000000 0.070646612049 Long DBT CORP US N 2 2052-07-27 Fixed 4.90000000 N N N N N N Countrywide Home Loans N/A 12544XAA3 18358.12000000 PA USD 8923.11000000 0.001307701075 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 19500000.00000000 OU Notional Amount 9376.53000000 0.001374150757 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 217.08000000 THB 0.00000000 THB 19500000.00000000 THB 9370.49000000 N N N AEP Texas Inc 5493001L78U618KXNZ75 00108WAJ9 36000.00000000 PA USD 26583.36000000 0.003895848920 Long DBT CORP US N 2 2049-05-01 Fixed 4.15000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 8163.77000000 0.001196418155 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3700000.00000000 SEK 344635.49000000 USD 2024-06-20 8163.77000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -1269.10000000 -0.00018598935 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 99184.80000000 USD 36000000.00000000 HUF 2024-06-20 -1269.10000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA87 705000.00000000 PA USD 706147.51000000 0.103487445329 Long DBT CORP US N 2 2030-04-25 Fixed 5.73000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7000000.00000000 OU Notional Amount 3993.15000000 0.000585204771 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 78.09000000 THB 0.00000000 THB 7000000.00000000 THB 3990.97000000 N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAK5 150000.00000000 PA USD 109241.69000000 0.016009606012 Long DBT CORP US N 2 2049-06-15 Fixed 3.80000000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368LWU6 40000.00000000 PA USD 40447.43000000 0.005927658373 Long DBT CORP CA N 2 2028-09-25 Fixed 5.72000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 193.98000000 0.000028428188 N/A DFE CZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 66138.26000000 USD 1563316.12000000 CZK 2024-06-04 193.98000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 16.40000000 0.000002403455 N/A DFE IN N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 19000.00000000 USD 1588297.40000000 INR 2024-05-16 16.40000000 N N N NEW FORTRESS ENERGY INC 254900EICTYTCHA5X705 644393AA8 23000.00000000 PA USD 22717.39000000 0.003329282653 Long DBT CORP US N 2 2025-09-15 Fixed 6.75000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -28792.38000000 -0.00421958558 N/A DFE JP N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 713000.00000000 USD 107112564.00000000 JPY 2024-06-20 -28792.38000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 712.42000000 0.000104406692 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 2000000000.00000000 IDR 123539.15000000 USD 2024-06-20 712.42000000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAV7 200000.00000000 PA USD 203275.36000000 0.029790443791 Long DBT CORP ES N 2 2033-08-08 Fixed 6.92000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 17149015.00000000 OU Notional Amount USD 74127.47000000 0.010863541102 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 17149015.00000000 OU Notional Amount N/A 74127.47000000 0.01000000 DIR US N/A N/A 2034-05-28 0.00000000 N/A 0.00000000 N/A 17149015.00000000 USD 1.00000000 4.45800000 USD 2024-05-24 XXXX 4683.34000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CGMC8 26093.86000000 PA USD 26631.28000000 0.003902871700 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.50000000 N N N N N N Deephaven Residential Mortgage Trust N/A 24380XAD9 100000.00000000 PA USD 80750.29000000 0.011834129701 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.34000000 N N N N N N Freddie Mac - STACR 5493000ISU5NYXNHD479 35564KJA8 465000.00000000 PA USD 491593.35000000 0.072044068997 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 8.38000000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CCC7 135000.00000000 PA USD 131169.78000000 0.019223215042 Long DBT CORP US N 2 2029-01-05 Fixed 4.85000000 N N N N N N Dallas Fort Worth International Airport N/A 2350368N3 50000.00000000 PA USD 35162.42000000 0.005153128724 Long DBT MUN US N 2 2046-11-01 Fixed 2.84000000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AC7 128000.00000000 PA USD 121377.29000000 0.017788104447 Long DBT US N 2 2030-02-15 Fixed 4.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKMC1 326767.97000000 PA USD 283366.13000000 0.041527919409 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 635.71000000 0.000093164675 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 70000.00000000 GBP 88126.51000000 USD 2024-06-20 635.71000000 N N N UMBS, TBA N/A 01F032450 636000.00000000 PA USD 590218.85000000 0.086497849396 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 3.50000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CY4 100000.00000000 PA USD 59943.22000000 0.008784808577 Long DBT CORP US N 2 2060-06-01 Fixed 2.75000000 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAV0 150000.00000000 PA USD 147247.38000000 0.021579422106 Long DBT CORP US N 2 2026-05-15 Fixed 4.75000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBM3 225000.00000000 PA USD 202392.88000000 0.029661114437 Long DBT CORP US N 2 2029-12-15 Fixed 3.55000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 694.15000000 0.000101729184 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 8000000.00000000 JPY 51796.10000000 USD 2024-06-20 694.15000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFB6 245000.00000000 PA USD 238124.70000000 0.034897689964 Long DBT CORP US N 2 2038-01-19 Fixed 5.95000000 N N N N N N PENNYMAC FIN SVCS INC 549300W1D516HBDEU871 70932MAD9 20000.00000000 PA USD 20413.10000000 0.002991583968 Long DBT CORP US N 2 2029-12-15 Fixed 7.88000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CS6 50000.00000000 PA USD 39852.48000000 0.005840467164 Long DBT CORP US N 2 2030-11-01 Fixed 1.75000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CX1 287000.00000000 PA USD 250862.26000000 0.036764406939 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400JC8 68000.00000000 PA USD 66913.99000000 0.009806390001 Long DBT CORP US N 2 2029-06-01 Fixed 5.15000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3011.31000000 -0.00044131399 N/A DFE PL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 89249.47000000 USD 350000.00000000 PLN 2024-06-20 -3011.31000000 N N N Louisiana Local Government Environmental Facilities & Community Development Auth 5493004WIZ1HV87IVF85 54627RAM2 230000.00000000 PA USD 217591.71000000 0.031888535856 Long DBT MUN US N 2 2033-02-01 Fixed 4.15000000 N N N N N N BX Trust N/A 05610DAA0 140000.00000000 PA USD 141400.00000000 0.020722475916 Long ABS-MBS CORP US N 2 2038-05-15 Floating 8.01000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 36.71000000 0.000005379929 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 1410000000.00000000 IDR 86629.56000000 USD 2024-06-20 36.71000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGL2 173000.00000000 PA USD 117959.56000000 0.017287228721 Long DBT CORP US N 2 2041-09-03 Fixed 2.85000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 783400.00000000 PA USD 603615.82000000 0.088461204334 Long DBT UST US N 2 2044-08-15 Fixed 3.13000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAJ8 103000.00000000 PA USD 95786.02000000 0.014037648462 Long DBT CORP CA N 2 2028-01-15 Fixed 4.38000000 N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -2495.80000000 -0.00036576488 N/A DFE CZ N 2 Bank of America NA B4TYDEB6GKMZO031MB27 282581.30000000 USD 6600000.00000000 CZK 2024-06-20 -2495.80000000 N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AU6 25000.00000000 PA USD 24125.35000000 0.003535622237 Long DBT CORP US N 2 2027-06-01 Fixed 6.63000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D3Y6 466087.97000000 PA USD 370564.98000000 0.054307099530 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Rad CLO Ltd N/A 74936GAC2 250000.00000000 PA USD 250474.43000000 0.036707569614 Long ABS-CBDO CORP KY N 2 2036-04-17 Floating 7.22000000 N N N N N N UMBS, TBA N/A 01F042459 -5000.00000000 PA USD -4834.11000000 -0.00070844927 Short ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Conseco Financial Corp N/A 393505F64 120765.52000000 PA USD 113094.36000000 0.016574223135 Long ABS-O CORP US N 2 2030-04-01 Variable 6.83000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 100000.00000000 PA USD 97910.76000000 0.014349033706 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount 264.95000000 0.000038828995 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 33.43000000 CNY 0.00000000 CNY 3000000.00000000 CNY 260.30000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount 1978.99000000 0.000290025266 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 CAD -116.85000000 CAD 1000000.00000000 CAD 2063.76000000 N N N FREEDOM MORTGAGE CORP 549300LYRWPSYPK6S325 35640YAK3 10000.00000000 PA USD 10702.49000000 0.001568473064 Long DBT CORP US N 2 2028-10-01 Fixed 12.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PG0 720000.00000000 PA USD 692969.75000000 0.101556216091 Long DBT CORP US N 2 2035-02-13 Fixed 5.83000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BH0 359000.00000000 PA USD 348115.98000000 0.051017150012 Long DBT CORP CH N 2 2035-02-08 Fixed 5.70000000 N N N N N N Morgan Stanley Mortgage Loan Trust 549300SRGEL7X4RBPX12 61752RAK8 309886.10000000 PA USD 106349.19000000 0.015585703879 Long ABS-MBS CORP US N 2 2047-01-25 Variable 6.46000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BS1 286000.00000000 PA USD 191397.27000000 0.028049684003 Long DBT CORP US N 2 2040-10-01 Fixed 2.60000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CBC7 90000.00000000 PA USD 61391.61000000 0.008997073265 Long DBT CORP US N 2 2051-04-15 Fixed 3.45000000 N N N N N N VEDANTA RESOURCES 8945002DGA3BBXO3N634 92243XAE1 3192.00000000 PA USD 2896.74000000 0.000424523514 Long DBT CORP GB N 2 2028-12-09 Fixed 13.88000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AQ5 200000.00000000 PA USD 200962.46000000 0.029451483292 Long DBT CORP US N 2 2027-01-30 Fixed 5.75000000 N N N N N N Atmos Energy Corp QVLWEGTD2S8GJMO8D383 049560AQ8 70000.00000000 PA USD 54976.38000000 0.008056907429 Long DBT CORP US N 2 2049-03-15 Fixed 4.13000000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 913017AT6 643000.00000000 PA USD 675058.39000000 0.098931267532 Long DBT CORP US N 2 2028-08-01 Fixed 6.70000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4070000.00000000 OU Notional Amount -7726.18000000 -0.00113228839 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 37.87000000 MXN 0.00000000 MXN 4070000.00000000 MXN -7728.46000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNJP8 244780.68000000 PA USD 213014.15000000 0.031217684535 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A6M52 57339.71000000 PA USD 56953.25000000 0.008346622004 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDY9 25000.00000000 PA USD 25889.40000000 0.003794147581 Long DBT CORP US N 2 2034-10-23 Fixed 6.25000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BG2 261000.00000000 PA USD 264946.97000000 0.038828551662 Long DBT CORP CH N 2 2034-09-22 Fixed 6.30000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1513.59000000 0.000221819889 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 220000.00000000 BRL 43688.32000000 USD 2024-06-20 1513.59000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCP8 70000.00000000 PA USD 66268.59000000 0.009711805235 Long DBT CORP US N 2 2033-02-06 Fixed 4.90000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount -772.16000000 -0.00011316171 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 EUR -1401.85000000 EUR 1000000.00000000 EUR 731.89000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 36.00000000 NC -71160.25000000 -0.01042868859 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 10 Year Euro BUND Futures RXM4 Comdty 2024-06-06 4749559.36000000 EUR -71160.25000000 N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2J9 300000.00000000 PA USD 299242.13000000 0.043854581557 Long DBT CORP CH N 2 2024-08-09 Fixed 4.75000000 N N N N N N VIATRIS INC 254900ZZTSW7NL773X71 92556VAC0 20000.00000000 PA USD 17983.11000000 0.002635463676 Long DBT CORP US N 2 2027-06-22 Fixed 2.30000000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAE7 120000.00000000 PA USD 105968.11000000 0.015529855780 Long DBT CORP US N 2 2029-02-01 Fixed 4.13000000 N N N N N N Mineral Resources Ltd 5299007V1ACKFFX2P066 603051AA1 40000.00000000 PA USD 40375.43000000 0.005917106618 Long DBT CORP AU N 2 2027-05-01 Fixed 8.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHM6 797000.00000000 PA USD 788625.28000000 0.115574740962 Long DBT UST US N 2 2026-07-15 Fixed 4.50000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CX5 345000.00000000 PA USD 347340.15000000 0.050903450447 Long DBT CORP US N 2 2032-11-17 Fixed 5.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -519.65000000 -0.00007615583 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 85201.17000000 USD 1600000.00000000 ZAR 2024-06-20 -519.65000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYM0 220000.00000000 PA USD 200876.65000000 0.029438907651 Long DBT CORP US N 2 2027-10-21 Fixed 1.95000000 N N N N N N Verus Securitization Trust N/A 92539FAD5 120000.00000000 PA USD 120105.95000000 0.017601786819 Long ABS-MBS CORP US N 2 2068-02-25 Variable 7.59000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -503.08000000 -0.00007372746 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 289220.87000000 USD 270000.00000000 EUR 2024-06-20 -503.08000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5370000.00000000 OU Notional Amount 14536.20000000 0.002130311558 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 59.88000000 HKD 0.00000000 HKD 5370000.00000000 HKD 14528.54000000 N N N Gracie Point International Funding N/A 383931AA0 145969.01000000 PA USD 146896.54000000 0.021528005745 Long ABS-O CORP US N 2 2026-09-01 Floating 7.31000000 N N N N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 015271AN9 40000.00000000 PA USD 37918.25000000 0.005557001573 Long DBT US N 2 2030-07-01 Fixed 4.70000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 28.21000000 0.000004134236 N/A DFE CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 7618.93000000 USD 30063685.20000000 COP 2024-05-16 28.21000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 94.80000000 0.000013893145 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 13352360.00000000 CLP 14000.00000000 USD 2024-05-16 94.80000000 N N N GENUINE PARTS CO 549300D46DQVEU651W04 372460AB1 150000.00000000 PA USD 145466.24000000 0.021318392185 Long DBT CORP US N 2 2025-02-01 Fixed 1.75000000 N N N N N N BX Trust N/A 05605VAA7 140000.00000000 PA USD 116100.54000000 0.017014785318 Long ABS-MBS CORP US N 2 2044-03-09 Variable 2.84000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 383333.00000000 OU Notional Amount USD 16509.03000000 0.002419434063 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 383333.00000000 OU Notional Amount N/A 16509.03000000 0.00000000 DIR US N/A N/A 2037-04-14 0.00000000 N/A 0.00000000 N/A 383333.00000000 USD 1.00000000 3.95600000 USD 2027-04-12 XXXX -2753.45000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKG6 260000.00000000 PA USD 227197.45000000 0.033296277835 Long DBT CORP US N 2 2028-02-01 Fixed 1.65000000 N N N N N N Westlake Automobile Receivables Trust N/A 96041CAL6 305000.00000000 PA USD 304796.81000000 0.044668631928 Long ABS-O CORP US N 2 2028-09-15 Fixed 6.02000000 N N N N N N Massachusetts Water Resources Authority 549300GBS2G3YGHOYO19 576051ZT6 90000.00000000 PA USD 67743.74000000 0.009927991659 Long DBT MUN US N 2 2041-08-01 Fixed 2.82000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797HR1 200000.00000000 PA USD 199354.67000000 0.029215858189 Long DBT UST US N 2 2024-05-23 None 0.00000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216DP2 60000.00000000 PA USD 49538.39000000 0.007259958230 Long DBT CORP US N 2 2032-01-05 Fixed 2.25000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YET8 295000.00000000 PA USD 291164.14000000 0.042670734646 Long DBT CORP US N 2 2026-07-17 Fixed 4.68000000 N N N N N N BX Trust N/A 05606GAQ4 21000.00000000 PA USD 18636.70000000 0.002731248705 Long ABS-MBS CORP US N 2 2036-06-15 Floating 9.37000000 N N N N N N TALOS PRODUCTION INC 549300GZ2DZZE2Y8TX15 87485LAD6 175000.00000000 PA USD 184635.51000000 0.027058733446 Long DBT CORP US N 2 2029-02-01 Fixed 9.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 22072.59000000 0.003234785818 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 920000.00000000 EUR 1005851.73000000 USD 2024-06-20 22072.59000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWFQ1 57552.09000000 PA USD 53053.82000000 0.007775152102 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.50000000 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 78355HKV0 15000.00000000 PA USD 15081.80000000 0.002210270419 Long DBT CORP US N 2 2028-03-01 Fixed 5.65000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAC5 28000.00000000 PA USD 28348.51000000 0.004154535472 Long DBT CORP US N 2 2033-03-15 Fixed 6.13000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RBK7 45000.00000000 PA USD 36422.94000000 0.005337860657 Long DBT CORP US N 2 2045-06-15 Fixed 4.35000000 N N N N N N GGAM FINANCE LTD 254900X2QXEN0FVXRF65 36170JAC0 50000.00000000 PA USD 51243.42000000 0.007509834065 Long DBT CORP KY N 2 2027-02-15 Fixed 8.00000000 N N N N N N ATHENE HOLDING LTD 549300H316CT32FQXI76 04686JAD3 5000.00000000 PA USD 3514.61000000 0.000515073699 Long DBT CORP US N 2 2051-05-25 Fixed 3.95000000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EQ9 150000.00000000 PA USD 141342.69000000 0.020714077012 Long DBT CORP US N 2 2053-06-01 Fixed 5.40000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EQ9 55000.00000000 PA USD 43327.97000000 0.006349807742 Long DBT CORP US N 2 2052-08-08 Fixed 3.95000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RBQ9 5000.00000000 PA USD 4948.28000000 0.000725181139 Long DBT CORP US N 2 2027-04-26 Fixed 4.95000000 N N N N N N CARVANA CO 5493003WEAK2PJ5WS063 146869AL6 220286.00000000 PA USD 215761.68000000 0.031620341001 Long DBT CORP US N 2 2028-12-01 Fixed 12.00000000 N N Y N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CW2 300000.00000000 PA USD 300658.33000000 0.044062128731 Long DBT CORP US N 2 2028-10-17 Fixed 5.50000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECF0 250000.00000000 PA USD 249127.52000000 0.036510177039 Long DBT CORP GB N 2 2027-05-09 Fixed 5.83000000 N N N N N N DTE ELECTRIC CO 9N0FWODEJVKHC2DYLO03 23338VAS5 80000.00000000 PA USD 78503.61000000 0.011504873886 Long DBT CORP US N 2 2033-04-01 Fixed 5.20000000 N N N N N N Atmos Energy Corp QVLWEGTD2S8GJMO8D383 049560AM7 30000.00000000 PA USD 24408.31000000 0.003577090637 Long DBT CORP US N 2 2044-10-15 Fixed 4.13000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 494553AD2 96000.00000000 PA USD 93662.72000000 0.013726474253 Long DBT CORP US N 2 2029-02-01 Fixed 5.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 12566.56000000 0.001841656555 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 390000.00000000 GBP 500015.33000000 USD 2024-06-20 12566.56000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1908.94000000 0.000279759286 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 86000000.00000000 HUF 235818.66000000 USD 2024-06-20 1908.94000000 N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BV0 220000.00000000 PA USD 219863.72000000 0.032221503837 Long DBT CORP US N 2 2027-11-15 Fixed 5.10000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XER3 75000.00000000 PA USD 74103.55000000 0.010860035574 Long DBT CORP US N 2 2031-02-08 Fixed 5.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHW4 5090000.00000000 PA USD 4925569.13000000 0.721852812394 Long DBT UST US N 2 2030-08-31 Fixed 4.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DSV74 59561.91000000 PA USD 60330.56000000 0.008841574092 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 21.46000000 0.000003145009 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1750371.00000000 INR 21000.00000000 USD 2024-05-03 21.46000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3778.06000000 -0.00055368286 N/A DFE ID N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 81158.90000000 USD 1260000000.00000000 IDR 2024-06-20 -3778.06000000 N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 748148SE4 15000.00000000 PA USD 14348.03000000 0.002102734838 Long DBT NUSS CA N 2 2033-09-08 Fixed 4.50000000 N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1211.82000000 0.000177594842 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 310000.00000000 BRL 60639.85000000 USD 2024-06-20 1211.82000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CHF1 818000.00000000 PA USD 776237.26000000 0.113759249830 Long DBT UST US N 2 2030-05-31 Fixed 3.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137HBC77 33000.00000000 PA USD 32315.99000000 0.004735978249 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 5.03000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 67.88000000 0.000009947960 N/A DFE ID N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 64360.48000000 USD 1049976945.00000000 IDR 2024-07-17 67.88000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXH2 115000.00000000 PA USD 105196.23000000 0.015416735096 Long DBT CORP US N 2 2030-03-15 Fixed 3.80000000 N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 438516CM6 370000.00000000 PA USD 347691.71000000 0.050954972326 Long DBT CORP US N 2 2034-01-15 Fixed 4.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGG3 210000.00000000 PA USD 195069.56000000 0.028587866047 Long DBT CORP US N 2 2026-03-20 Fixed 1.45000000 N N N N N N EVERGY KANSAS CENTRAL J75GNWGEO73W89ZV3S44 30036FAB7 40000.00000000 PA USD 38446.82000000 0.005634464650 Long DBT CORP US N 2 2053-03-15 Fixed 5.70000000 N N N N N N PROGRESSIVE CORP 529900TACNVLY9DCR586 743315BA0 80000.00000000 PA USD 58625.30000000 0.008591664549 Long DBT CORP US N 2 2052-03-15 Fixed 3.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DV6E0 30074.21000000 PA USD 26285.31000000 0.003852169048 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.50000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBK5 100000.00000000 PA USD 60366.00000000 0.008846767900 Long DBT US N 2 2051-01-15 Fixed 2.95000000 N N N N N N MARATHON OIL CORP 1FRVQX2CRLGC1XLP5727 565849AR7 310000.00000000 PA USD 299698.35000000 0.043921441585 Long DBT CORP US N 2 2034-04-01 Fixed 5.70000000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAM2 1190000.00000000 PA USD 965759.38000000 0.141534126544 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.66000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1649.75000000 0.000241774431 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3091964.91000000 MXN 181769.37000000 USD 2024-05-16 1649.75000000 N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AW7 360000.00000000 PA USD 378023.99000000 0.055400233583 Long DBT CORP US N 2 2029-11-15 Fixed 6.95000000 N N N N N N Westpac Banking Corp EN5TNI6CI43VEPAMHL14 961214DF7 40000.00000000 PA USD 38354.90000000 0.005620993575 Long DBT CORP AU N 2 2031-11-23 Fixed 4.32000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 93364BAA8 90802.61000000 PA USD 71994.82000000 0.010550996630 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.84000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -4759.83000000 -0.00069756338 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 136008.93000000 USD 120000.00000000 CHF 2024-06-20 -4759.83000000 N N N RAIN CARBON INC 25490038N6JQH7QXUK52 75079LAB7 120000.00000000 PA USD 124967.04000000 0.018314190076 Long DBT CORP US N 2 2029-09-01 Fixed 12.25000000 N N N N N INGERSOLL RAND INC 5299004C02FMZCUOIR50 45687VAA4 35000.00000000 PA USD 34908.69000000 0.005115944043 Long DBT CORP US N 2 2028-08-14 Fixed 5.40000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5000000.00000000 OU Notional Amount -8597.41000000 -0.00125996903 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 46.53000000 MXN 0.00000000 MXN 5000000.00000000 MXN -8600.22000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4449.34000000 0.000652060403 N/A DFE ZA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 207254.47000000 USD 4000000.00000000 ZAR 2024-06-20 4449.34000000 N N N PUBLIC SERVICE COLORADO 5BANEF6PGSEK0SNMQF44 744448CX7 60000.00000000 PA USD 47827.44000000 0.007009214805 Long DBT CORP US N 2 2052-06-01 Fixed 4.50000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBJ3 62000.00000000 PA USD 45933.09000000 0.006731593715 Long DBT CORP US N 2 2046-07-15 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1.00000000 NC USD 257.81000000 0.000037782613 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 1.00000000 NC N/A 257.81000000 0.00000000 DIR US Long CBOT 5 Year U.S. Treasury Notes FVM4 Comdty 2024-06-28 1.00000000 USD 1000.00000000 105.50000000 USD 2024-05-24 XXXX -360.93000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XDU7 150000.00000000 PA USD 147174.13000000 0.021568687160 Long DBT CORP US N 2 2025-04-07 Fixed 3.80000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2129.46000000 -0.00031207697 N/A DFE TW N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 97190.87000000 USD 3100000.00000000 TWD 2024-06-20 -2129.46000000 N N N Regional Management Issuance Trust N/A 75907VAA5 83182.50000000 PA USD 80676.70000000 0.011823344927 Long ABS-O CORP US N 2 2031-03-17 Fixed 1.68000000 N N N N N N BRIGHTHOUSE FINANCIAL IN 5493003T8SZSHOGGAW52 10922NAH6 30000.00000000 PA USD 18709.34000000 0.002741894254 Long DBT CORP US N 2 2051-12-22 Fixed 3.85000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 950000.00000000 OU Notional Amount -12262.94000000 -0.00179716038 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 10.59000000 SGD 0.00000000 SGD 950000.00000000 SGD -12270.90000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 290000.00000000 OU Notional Amount 3445.71000000 0.000504976255 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-03-15 0.00000000 EUR -313.01000000 EUR 290000.00000000 EUR 3785.83000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKD0 205000.00000000 PA USD 165376.19000000 0.024236238433 Long DBT CORP US N 2 2032-10-20 Fixed 2.57000000 N N N N N N BROADRIDGE FINANCIAL SOL 549300KZDJZQ2YIHRC28 11133TAD5 20000.00000000 PA USD 17408.66000000 0.002551276786 Long DBT CORP US N 2 2029-12-01 Fixed 2.90000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 820000.00000000 OU Notional Amount 5420.65000000 0.000794407984 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 298.85000000 CAD 0.00000000 CAD 820000.00000000 CAD 5200.03000000 N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AK9 15000.00000000 PA USD 10505.98000000 0.001539674098 Long DBT CORP US N 2 2044-08-15 Fixed 4.90000000 N N N N N N TARGET CORP 8WDDFXB5T1Z6J0XC1L66 87612EBR6 35000.00000000 PA USD 31250.54000000 0.004579834247 Long DBT CORP US N 2 2053-01-15 Fixed 4.80000000 N N N N N N AON NORTH AMERICA INC N/A 03740MAF7 317000.00000000 PA USD 306453.40000000 0.044911408777 Long DBT CORP US N 2 2054-03-01 Fixed 5.75000000 N N N N N N ANTERO RESOURCES CORP APVBKPOULHUX7YZLKU17 03674XAQ9 153000.00000000 PA USD 156708.41000000 0.022965956521 Long DBT CORP US N 2 2029-02-01 Fixed 7.63000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1150.07000000 -0.00016854524 N/A DFE MX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 76459.25000000 USD 1300000.00000000 MXN 2024-06-20 -1150.07000000 N N N Residential Asset Securitization Trust N/A 761143AB2 1088162.26000000 PA USD 96887.25000000 0.014199036101 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.02000000 N N N N N N FLEX LTD 549300EAQH74YHD07T53 33938XAC9 150000.00000000 PA USD 144379.50000000 0.021159128087 Long DBT CORP SG N 2 2026-02-01 Fixed 3.75000000 N N N N N N ANTERO RESOURCES CORP APVBKPOULHUX7YZLKU17 03674XAS5 152000.00000000 PA USD 144515.90000000 0.021179117802 Long DBT CORP US N 2 2030-03-01 Fixed 5.38000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 3119.29000000 0.000457138698 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 770000.00000000 BRL 150730.86000000 USD 2024-06-20 3119.29000000 N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAQ2 50000.00000000 PA USD 49816.84000000 0.007300765679 Long DBT CORP US N 2 2028-04-01 Fixed 5.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 23000000.00000000 OU Notional Amount 610.03000000 0.000089401216 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 255.51000000 THB 0.00000000 THB 23000000.00000000 THB 603.13000000 N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CT6 47000.00000000 PA USD 36480.32000000 0.005346269820 Long DBT CORP US N 2 2031-01-15 Fixed 1.63000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PA3 366000.00000000 PA USD 375556.82000000 0.055038664482 Long DBT CORP US N 2 2033-11-17 Fixed 6.27000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9MM2 454247.89000000 PA USD 427587.23000000 0.062663833634 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N WELLTOWER OP LLC T6IZ0MBEG5ACZDTR7D06 95040QAR5 20000.00000000 PA USD 17614.37000000 0.002581424031 Long DBT US N 2 2032-06-15 Fixed 3.85000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCM5 35000.00000000 PA USD 33905.60000000 0.004968939034 Long DBT CORP US N 2 2028-05-06 Fixed 4.50000000 N N N N N N BMO Mortgage Trust N/A 055988AF6 348594.08000000 PA USD 17411.96000000 0.002551760408 Long ABS-MBS CORP US N 2 2056-06-15 Variable 0.95000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AM8 378000.00000000 PA USD 376848.99000000 0.055228034791 Long DBT CORP US N 2 2025-03-01 Fixed 5.63000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 235.35000000 0.000034491051 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 52000000.00000000 HUF 141669.13000000 USD 2024-06-20 235.35000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRWK5 288297.26000000 PA USD 266152.18000000 0.039005177795 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0BQ4 462016.64000000 PA USD 391773.57000000 0.057415264279 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 3.00000000 N N N N N N Verus Securitization Trust N/A 92538UAE1 100000.00000000 PA USD 73482.50000000 0.010769019353 Long ABS-MBS CORP US N 2 2067-02-25 Variable 4.08000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAL0 20000.00000000 PA USD 15377.77000000 0.002253645463 Long DBT CORP US N 2 2048-11-15 Fixed 3.96000000 N N N N N N DC Commercial Mortgage Trust N/A 24022FAA8 10000.00000000 PA USD 9825.35000000 0.001439926299 Long ABS-MBS CORP US N 2 2028-04-13 Variable 5.73000000 N N N N N N FREEDOM MORTGAGE HOLD N/A 35641AAA6 10000.00000000 PA USD 10052.93000000 0.001473278640 Long DBT CORP US N 2 2029-02-01 Fixed 9.25000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738BE7 185000.00000000 PA USD 183290.03000000 0.026861550441 Long DBT CORP US N 2 2033-03-02 Fixed 5.60000000 N N N N N N Carlyle Global Market Strategies N/A 14312EAJ2 229367.98000000 PA USD 229512.39000000 0.033635537301 Long ABS-CBDO CORP KY N 2 2032-01-14 Floating 6.77000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBJ9 50000.00000000 PA USD 41672.23000000 0.006107155463 Long DBT CORP US N 2 2053-01-15 Fixed 4.45000000 N N N N N N PRIME SECSRVC BRW/FINANC N/A 74166MAE6 167000.00000000 PA USD 163145.07000000 0.023909262970 Long DBT CORP US N 2 2028-01-15 Fixed 6.25000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKZL7 1434400.71000000 PA USD 1255412.47000000 0.183983413544 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1609.41000000 -0.00023586251 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 129055.72000000 USD 2200000.00000000 MXN 2024-06-20 -1609.41000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 325.94000000 0.000047767212 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1100000.00000000 MXN 64049.09000000 USD 2024-06-20 325.94000000 N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBY0 100000.00000000 PA USD 99961.11000000 0.014649516934 Long DBT CORP US N 2 2031-02-20 Fixed 5.83000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAC3 158000.00000000 PA USD 126049.77000000 0.018472866500 Long DBT CORP US N 2 2049-04-01 Fixed 4.55000000 N N N N N N GCAT N/A 36171FAA1 154423.20000000 PA USD 140234.49000000 0.020551667904 Long ABS-MBS CORP US N 2 2067-05-25 Variable 4.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -1144.33000000 -0.00016770403 N/A DFE PH N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 51302.01000000 USD 2900000.00000000 PHP 2024-06-20 -1144.33000000 N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAL7 47000.00000000 PA USD 43467.12000000 0.006370200476 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -211.67000000 -0.00003102069 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 228043.20000000 PLN 56000.00000000 USD 2024-05-16 -211.67000000 N N N TARGA RESOURCES PARTNERS N/A 87612BBU5 41000.00000000 PA USD 36024.75000000 0.005279505051 Long DBT CORP US N 2 2032-01-15 Fixed 4.00000000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93935EAF1 85124.09000000 PA USD 28173.32000000 0.004128860998 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.15000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2621.78000000 -0.00038422753 N/A DFE SG N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 244915.77000000 USD 330000.00000000 SGD 2024-06-20 -2621.78000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SP4 907000.00000000 PA USD 442552.23000000 0.064856986761 Long DBT UST US N 2 2050-08-15 Fixed 1.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGB1 6139000.00000000 PA USD 5880730.36000000 0.861833757127 Long DBT UST US N 2 2029-12-31 Fixed 3.88000000 N N N N N N INVITATION HOMES OP 549300147YMUQB3GW319 46188BAF9 254000.00000000 PA USD 245531.20000000 0.035983128562 Long DBT US N 2 2033-08-15 Fixed 5.50000000 N N N N N N Gracie Point International Funding N/A 38410JAA0 200856.10000000 PA USD 203351.76000000 0.029801640376 Long ABS-O CORP US N 2 2027-03-01 Floating 7.61000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAW9 63000.00000000 PA USD 64398.79000000 0.009437782000 Long DBT CORP US N 2 2053-03-15 Fixed 6.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2680000.00000000 OU Notional Amount -17216.02000000 -0.00252304497 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-06-19 0.00000000 GBP -4913.48000000 GBP 2680000.00000000 GBP -11043.95000000 N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAR5 249000.00000000 PA USD 231074.26000000 0.033864432728 Long DBT CORP US N 2 2053-03-15 Fixed 5.35000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HU0 60000.00000000 PA USD 59661.76000000 0.008743560005 Long DBT CORP US N 2 2028-03-01 Fixed 5.30000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AV0 60000.00000000 PA USD 47937.19000000 0.007025298905 Long DBT CORP US N 2 2049-07-01 Fixed 4.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHK0 3180300.00000000 PA USD 3087375.61000000 0.452461575135 Long DBT UST US N 2 2028-06-30 Fixed 4.00000000 N N N N N N EASTMAN CHEMICAL CO FDPVHDGJ1IQZFK9KH630 277432AX8 27000.00000000 PA USD 26683.08000000 0.003910463102 Long DBT CORP US N 2 2033-03-08 Fixed 5.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -107.22000000 -0.00001571332 N/A DFE PE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 21000.00000000 USD 78666.00000000 PEN 2024-05-16 -107.22000000 N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93936PAF5 165016.48000000 PA USD 140255.06000000 0.020554682482 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.00000000 N N N N N N Host Hotels & Resorts LP FXB7X4WXVA8QPMNOGS12 44107TAW6 20000.00000000 PA USD 19485.32000000 0.002855615802 Long DBT US N 2 2026-02-01 Fixed 4.50000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BA0 81000.00000000 PA USD 67994.57000000 0.009964751338 Long DBT CORP US N 2 2045-02-01 Fixed 4.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12665EAD2 139421.99000000 PA USD 133781.21000000 0.019605925759 Long ABS-MBS CORP US N 2 2067-06-25 Variable 4.82000000 N N N N N N NATIONWIDE CHILDREN HOSP 549300P18KU1WR8JWZ05 63861UAA7 35000.00000000 PA USD 30712.17000000 0.004500934958 Long DBT CORP US N 2 2052-11-01 Fixed 4.56000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BJ1 300000.00000000 PA USD 300953.07000000 0.044105323515 Long DBT CORP US N 2 2028-11-01 Fixed 5.65000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DT4 90000.00000000 PA USD 86371.32000000 0.012657903809 Long DBT CORP US N 2 2053-03-02 Fixed 5.65000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAR0 685000.00000000 PA USD 593326.17000000 0.086953233865 Long DBT CORP US N 2 2031-03-24 Fixed 3.13000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 466330AN7 10000.00000000 PA USD 9925.00000000 0.001454530222 Long ABS-MBS CORP US N 2 2038-04-15 Floating 8.14000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 21000000.00000000 OU Notional Amount 11899.96000000 0.001743964883 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 234.56000000 THB 0.00000000 THB 21000000.00000000 THB 11893.43000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 291.20000000 0.000042675990 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 25893.32000000 CHF 28500.00000000 USD 2024-05-16 291.20000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWB69 2651219.39000000 PA USD 2108033.53000000 0.308936874519 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BD3 150000.00000000 PA USD 118942.68000000 0.017431307084 Long DBT CORP US N 2 2048-03-01 Fixed 4.20000000 N N N N N N PECO ENERGY CO YH65D4JBECK76IFEJ279 693304BD8 54000.00000000 PA USD 45853.71000000 0.006719960404 Long DBT CORP US N 2 2052-05-15 Fixed 4.60000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92556HAD9 90000.00000000 PA USD 73497.98000000 0.010771287980 Long DBT CORP US N 2 2032-05-19 Fixed 4.20000000 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LBU2 30000.00000000 PA USD 28557.03000000 0.004185094529 Long DBT CORP US N 2 2033-02-15 Fixed 4.63000000 N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BY0 5000.00000000 PA USD 4605.61000000 0.000674962109 Long DBT CORP US N 2 2027-03-03 Fixed 2.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D7F3 469788.57000000 PA USD 373129.68000000 0.054682961864 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -479.37000000 -0.00007025271 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 147882.00000000 BRL 28000.00000000 USD 2024-05-03 -479.37000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -13.91000000 -0.00000203854 N/A DFE MY N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 52000.00000000 USD 248768.00000000 MYR 2024-05-16 -13.91000000 N N N Chase Mortgage Finance Corporation N/A 161630AL2 128286.23000000 PA USD 122621.38000000 0.017970428528 Long ABS-MBS CORP US N 2 2037-02-25 Variable 5.24000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 11000000.00000000 OU Notional Amount -24816.10000000 -0.00363685314 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 99.39000000 MXN 0.00000000 MXN 11000000.00000000 MXN -24822.00000000 N N N WRKCO INC 549300JEB576INN13W07 92940PAG9 80000.00000000 PA USD 65114.93000000 0.009542733866 Long DBT CORP US N 2 2033-06-15 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEP2 998000.00000000 PA USD 876914.54000000 0.128513723028 Long DBT UST US N 2 2032-05-15 Fixed 2.88000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -982.91000000 -0.00014404758 N/A DFE ZA N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 101542.22000000 USD 1900000.00000000 ZAR 2024-06-20 -982.91000000 N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0NE5 109050.73000000 PA USD 113958.01000000 0.016700792911 Long ABS-MBS USGSE US N 2 2029-08-25 Floating 8.99000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HDB8 25000.00000000 PA USD 25727.10000000 0.003770362165 Long DBT CORP US N 2 2027-10-29 Fixed 7.15000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJN0 50000.00000000 PA USD 34777.21000000 0.005096675365 Long DBT CORP US N 2 2052-03-13 Fixed 3.48000000 N N N N N N City of New York NY 549300ABYZD2SFD5JB29 64966Q7G9 15000.00000000 PA USD 15970.37000000 0.002340492275 Long DBT MUN US N 2 2053-10-01 Fixed 5.83000000 N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAX8 400000.00000000 PA USD 373000.00000000 0.054663956979 Long DBT NUSS MX N 2 2053-05-04 Fixed 6.34000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H052652 -2507000.00000000 PA USD -2457670.64000000 -0.36017694942 Short ABS-MBS USGA US N 2 2054-05-20 Fixed 5.50000000 N N N N N N Banc of America Funding Corporation N/A 059515AK2 226524.13000000 PA USD 183974.00000000 0.026961787724 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.61000000 N N N N N N CORECIVIC INC 529900JFA3K6PTLT8B15 21871NAC5 110000.00000000 PA USD 113662.45000000 0.016657477954 Long DBT CORP US N 2 2029-04-15 Fixed 8.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042653 1325000.00000000 PA USD 1233892.93000000 0.180829678399 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1308.75000000 0.000191800143 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3100000.00000000 PHP 54925.58000000 USD 2024-06-20 1308.75000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 -17149015.00000000 OU Notional Amount USD -17478.62000000 -0.00256152957 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 17149015.00000000 OU Notional Amount N/A -17478.62000000 0.00000000 DIR US N/A N/A 2034-05-28 0.00000000 N/A 0.00000000 N/A 17149015.00000000 USD 1.00000000 4.69800000 USD 2024-05-24 XXXX -338.98000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -9912.61000000 -0.00145271444 N/A DFE SE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 155413.89000000 USD 1600000.00000000 SEK 2024-06-20 -9912.61000000 N N N MICROSTRATEGY INC 549300WQTWEJUEHXQX21 594972AF8 69000.00000000 PA USD 63947.29000000 0.009371613698 Long DBT CORP US N 2 2028-06-15 Fixed 6.13000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BL0 99000.00000000 PA USD 96209.65000000 0.014099732355 Long DBT CORP US N 2 2027-11-15 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 39000000.00000000 OU Notional Amount 4873.28000000 0.000714189727 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 434.85000000 CZK 0.00000000 CZK 39000000.00000000 CZK 4854.95000000 N N N Residential Accredit Loans, Inc. N/A 74922WAA7 151144.81000000 PA USD 132414.48000000 0.019405628520 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.75000000 N N N N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824BH2 180000.00000000 PA USD 165134.38000000 0.024200800654 Long DBT CORP US N 2 2046-11-30 Fixed 4.90000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -3847.67000000 -0.00056388436 N/A DFE AU N 2 Bank of America NA B4TYDEB6GKMZO031MB27 315244.22000000 USD 480000.00000000 AUD 2024-06-20 -3847.67000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2805.88000000 -0.00041120778 N/A DFE TH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 176150.83000000 USD 6400000.00000000 THB 2024-06-20 -2805.88000000 N N N Elmwood CLO III Ltd N/A 29002JAG0 250000.00000000 PA USD 251875.48000000 0.036912896522 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 12.09000000 N N N N N N PRP Advisors, LLC N/A 69379TAA2 130916.74000000 PA USD 130855.05000000 0.019177090680 Long ABS-O CORP US N 2 2028-02-25 Variable 6.88000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 3000.00000000 PA 2579.30000000 0.000378001995 Long DBT NUSS RO N 2 2031-07-16 Fixed 2.12000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 624053900.00000000 OU Notional Amount 1255.20000000 0.000183952275 N/A DIR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 N/A N/A Y 2025-11-05 0.00000000 COP 0.00000000 COP 624053900.00000000 COP 1255.20000000 N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833AL4 50000.00000000 PA USD 40971.91000000 0.006004522052 Long DBT CORP US N 2 2043-05-04 Fixed 3.85000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3726.76000000 0.000546164740 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1800000.00000000 SEK 167415.70000000 USD 2024-06-20 3726.76000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MQ1 610000.00000000 PA USD 594395.62000000 0.087109964076 Long DBT CORP US N 2 2026-04-08 Fixed 3.11000000 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAH5 220000.00000000 PA USD 173579.98000000 0.025438521606 Long DBT CORP US N 2 2032-01-15 Fixed 2.35000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAS1 75000.00000000 PA USD 72901.94000000 0.010683937029 Long DBT CORP US N 2 2034-04-15 Fixed 6.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2024.85000000 0.000296746148 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1600000.00000000 SEK 147526.13000000 USD 2024-06-20 2024.85000000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 38495.00000000 OU Notional Amount USD 2229.78000000 0.000326779083 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Republic of South Africa Government International Bonds Republic of South Africa Government International Bonds Y buy protection 2029-06-20 2336.24000000 USD 0.00000000 USD 38495.00000000 USD -106.46000000 N N N UMBS, TBA N/A 01F040453 578000.00000000 PA USD 548464.70000000 0.080378688379 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.00000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8Q8 170000.00000000 PA USD 168595.48000000 0.024708032347 Long DBT CORP US N 2 2053-05-15 Fixed 5.60000000 N N N N N N GEO GROUP INC/THE 54930024XOXET7NQVZ63 36162JAE6 208000.00000000 PA USD 210570.77000000 0.030859601910 Long DBT CORP US N 2 2029-04-15 Fixed 8.63000000 N N N N N N Enbridge Inc 98TPTUM4IVMFCZBCUR27 29250NAM7 20000.00000000 PA USD 18566.54000000 0.002720966605 Long DBT CORP CA N 2 2046-12-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CKG5 292000.00000000 PA USD 284380.63000000 0.041676596579 Long DBT UST US N 2 2029-03-31 Fixed 4.13000000 N N N N N N CIFC Funding Ltd 635400OB7ZCBUWDQNV87 12551YAC7 400000.00000000 PA USD 401120.96000000 0.058785144507 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 7.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NGTP5 22552.53000000 PA USD 21969.97000000 0.003219746635 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DG1 29000.00000000 PA USD 28309.46000000 0.004148812610 Long DBT CORP US N 2 2029-02-13 Fixed 4.88000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAG6 451000.00000000 PA USD 421974.50000000 0.061841275910 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -25766.51000000 -0.00377613778 N/A DFE XX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1036278.78000000 USD 945000.00000000 EUR 2024-06-20 -25766.51000000 N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804GC2 41000.00000000 PA USD 27271.64000000 0.003996717843 Long DBT CORP US N 2 2049-12-01 Fixed 3.30000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05554FAD7 530000.00000000 PA USD 575859.05000000 0.084393389639 Long ABS-MBS CORP US N 2 2056-11-15 Variable 6.80000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AQ4 5000.00000000 PA USD 4033.41000000 0.000591104961 Long DBT CORP US N 2 2044-06-01 Fixed 4.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHH7 7000.00000000 PA USD 6875.04000000 0.001007551986 Long DBT UST US N 2 2026-06-15 Fixed 4.13000000 N N N N N N ARTHUR J GALLAGHER & CO 54930049QLLMPART6V29 04316JAB5 45000.00000000 PA USD 26966.40000000 0.003951984261 Long DBT CORP US N 2 2052-03-09 Fixed 3.05000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 108.35000000 0.000015878926 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 769872.00000000 JPY 5000.00000000 USD 2024-05-16 108.35000000 N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411AW5 199000.00000000 PA USD 165632.32000000 0.024273774838 Long DBT CORP US N 2 2040-09-01 Fixed 5.10000000 N N N N N N OneMain Financial Issuance Trust N/A 68269NAA0 184000.00000000 PA USD 184057.50000000 0.026974024830 Long ABS-O CORP US N 2 2041-05-14 Fixed 5.79000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -19331.00000000 -0.00283299987 N/A DFE NO N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 334790.24000000 USD 3500000.00000000 NOK 2024-06-20 -19331.00000000 N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818ES3 25000.00000000 PA USD 24482.91000000 0.003588023428 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAL9 200000.00000000 PA USD 185589.25000000 0.027198506106 Long DBT CORP ES N 2 2026-03-25 Fixed 1.85000000 N N N N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 26444HAK7 34000.00000000 PA USD 27746.83000000 0.004066357966 Long DBT CORP US N 2 2031-12-15 Fixed 2.40000000 N N N N N N Washington Mutual Asset-Backed CTFS N/A 92925CET5 34561.53000000 PA USD 34388.29000000 0.005039678298 Long ABS-O CORP US N 2 2036-04-25 Floating 5.99000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 98.39000000 0.000014419267 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 8200000.00000000 INR 98150.70000000 USD 2024-06-20 98.39000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CFZ9 1023000.00000000 PA USD 991031.25000000 0.145237773768 Long DBT UST US N 2 2027-11-30 Fixed 3.88000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAP0 38000.00000000 PA USD 36974.79000000 0.005418735468 Long DBT CORP US N 2 2033-06-30 Fixed 5.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ELX6 272147.06000000 PA USD 258392.35000000 0.037867957920 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N MAIN STREET CAPITAL CORP 5493001FS9QJLJNF3E20 56035LAE4 100000.00000000 PA USD 93124.71000000 0.013647627724 Long DBT CORP US N 2 2026-07-14 Fixed 3.00000000 N N N N N N Florida Development Finance Corp 549300HC854CNBLMWC48 340618DK0 260000.00000000 PA USD 268326.20000000 0.039323785129 Long DBT MUN US N 2 2032-07-15 Floating 12.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1455.69000000 0.000213334518 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1000000.00000000 SEK 92393.99000000 USD 2024-06-20 1455.69000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -262.77000000 -0.00003850951 N/A DFE XX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 21649.27000000 USD 20000.00000000 EUR 2024-06-20 -262.77000000 N N N tvc mortgage trust N/A 873059AA7 175000.00000000 PA USD 174503.11000000 0.025573808305 Long ABS-MBS CORP US N 2 2027-11-25 Variable 8.25000000 N N N N N N Bank5 N/A 066043AB6 110000.00000000 PA USD 112029.68000000 0.016418191978 Long ABS-MBS CORP US N 2 2057-05-15 Fixed 6.23000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 225000000.00000000 OU Notional Amount -69997.84000000 -0.01025833489 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 2093.63000000 MXN 0.00000000 MXN 225000000.00000000 MXN -70120.64000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CKA8 669000.00000000 PA USD 655620.00000000 0.096082529423 Long DBT UST US N 2 2027-02-15 Fixed 4.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CFT3 3133000.00000000 PA USD 3023589.75000000 0.443113619352 Long DBT UST US N 2 2029-10-31 Fixed 4.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -409.84000000 -0.00006006293 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 48043.20000000 USD 900000.00000000 ZAR 2024-06-20 -409.84000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 55000.00000000 PA USD 48670.79000000 0.007132809573 Long DBT CORP US N 2 2050-05-01 Fixed 5.81000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AW0 400000.00000000 PA USD 399244.00000000 0.058510071958 Long DBT CORP GB N 2 2030-04-01 Fixed 5.63000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBE5 61000.00000000 PA USD 52894.55000000 0.007751810739 Long DBT CORP US N 2 2030-10-15 Fixed 2.74000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -2358.66000000 -0.00034566672 N/A DFE PL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 76277.08000000 USD 300000.00000000 PLN 2024-06-20 -2358.66000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCU8 110000.00000000 PA USD 91397.81000000 0.013394546793 Long DBT CORP US N 2 2033-01-25 Fixed 2.96000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -223.04000000 -0.00003268699 N/A DFE PL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 29986.15000000 USD 120744.95000000 PLN 2024-05-16 -223.04000000 N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAR7 140000.00000000 PA USD 99883.77000000 0.014638182590 Long DBT CORP US N 2 2051-06-15 Fixed 4.13000000 N N N N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 136385AJ0 10000.00000000 PA USD 10243.83000000 0.001501255448 Long DBT CORP CA N 2 2037-02-15 Fixed 6.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1233.41000000 0.000180758903 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 6800000.00000000 THB 185412.41000000 USD 2024-06-20 1233.41000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4817.10000000 0.000705956426 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 235000000.00000000 KRW 174769.27000000 USD 2024-06-20 4817.10000000 N N N PRINCIPAL FINANCIAL GRP CUMYEZJOAF02RYZ1JJ85 74251VAT9 39000.00000000 PA USD 38242.82000000 0.005604568008 Long DBT CORP US N 2 2033-03-15 Fixed 5.38000000 N N N N N N Countrywide Home Equity Loan Trust N/A 12668FAA2 1141.71000000 PA USD 1041.06000000 0.000152569595 Long ABS-O CORP US N 2 2037-01-15 Floating 5.58000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2425.86000000 -0.00035551503 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 5200000.00000000 ZAR 272789.09000000 USD 2024-06-20 -2425.86000000 N N N APX GROUP INC 549300OMQVKPRU98OE64 00213MAW4 100000.00000000 PA USD 92983.41000000 0.013626919903 Long DBT CORP US N 2 2029-07-15 Fixed 5.75000000 N N N N N N BOISE CASCADE COMPANY 549300Z8B8LSRHC7XA55 09739DAD2 7000.00000000 PA USD 6420.32000000 0.000940911786 Long DBT CORP US N 2 2030-07-01 Fixed 4.88000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKF8 50000.00000000 PA USD 32010.92000000 0.004691269581 Long DBT CORP US N 2 2061-02-01 Fixed 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3325.84000000 0.000487409047 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 160000.00000000 CHF 178324.64000000 USD 2024-06-20 3325.84000000 N N N DEUTSCHE TELEKOM INT FIN 529900ERDFHS6C1M4U58 25156PAD5 20000.00000000 PA USD 24546.67000000 0.003597367594 Long DBT CORP NL N 2 2032-06-01 Fixed 9.25000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AK9 100000.00000000 PA USD 88326.32000000 0.012944413288 Long DBT CORP US N 2 2030-03-27 Fixed 2.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DV74 848144.83000000 PA USD 645769.50000000 0.094638917337 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N PROG HOLDINGS INC 549300DHYTLBOVRXIG52 74319RAA9 105000.00000000 PA USD 96747.33000000 0.014178530522 Long DBT CORP US N 2 2029-11-15 Fixed 6.00000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAT6 86000.00000000 PA USD 66035.51000000 0.009677646857 Long DBT CORP US N 2 2052-03-15 Fixed 4.25000000 N N N N N N GN BONDCO LLC N/A 36267QAA2 159000.00000000 PA USD 152691.09000000 0.022377209584 Long DBT CORP US N 2 2031-10-15 Fixed 9.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CA5 641000.00000000 PA USD 565145.22000000 0.082823254674 Long DBT CORP US N 2 2030-09-01 Fixed 3.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -219.01000000 -0.00003209638 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 110181.83000000 BRL 21000.00000000 USD 2024-05-03 -219.01000000 N N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332BE1 125000.00000000 PA USD 124087.83000000 0.018185339948 Long DBT CORP US N 2 2026-07-15 Fixed 5.05000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DE2 100000.00000000 PA USD 111008.94000000 0.016268600323 Long DBT CORP US N 2 2031-09-15 Fixed 7.88000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1968.98000000 0.000288558278 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 240000.00000000 CHF 264467.18000000 USD 2024-06-20 1968.98000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 520000.00000000 OU Notional Amount USD 2429.51000000 0.000356049946 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2034-04-04 0.00000000 USD -53.50000000 USD 520000.00000000 USD 2483.01000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3078.26000000 0.000451125662 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 230000.00000000 GBP 290548.05000000 USD 2024-06-20 3078.26000000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1870512.69000000 OU Notional Amount -1831.61000000 -0.00026842640 N/A DIR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 N/A N/A Y 2026-01-02 0.00000000 BRL 0.00000000 BRL 1870512.69000000 BRL -1831.61000000 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 22000.00000000 PA USD 11495.00000000 0.001684617119 Long DBT NUSS UA N 2 2041-08-01 Floating 7.75000000 Y N N N N N Aflac Inc 549300N0B7DOGLXWPP39 001055AY8 10000.00000000 PA USD 8652.18000000 0.001267995697 Long DBT CORP US N 2 2049-01-15 Fixed 4.75000000 N N N N N N Invesco Euro CLO N/A 000000000 250000.00000000 PA 249572.96000000 0.036575457235 Long ABS-CBDO CORP IE N 2 2034-07-15 Floating 6.96000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount 855.77000000 0.000125414944 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 33.46000000 CNY 0.00000000 CNY 3000000.00000000 CNY 851.12000000 N N N PPL ELECTRIC UTILITIES 549300GCZLSGYEYPIR35 69351UBC6 105000.00000000 PA USD 100004.63000000 0.014655894884 Long DBT CORP US N 2 2034-02-15 Fixed 4.85000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 529.55000000 0.000077606698 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 23000.00000000 EUR 25124.03000000 USD 2024-06-20 529.55000000 N N N Freddie Mac - STACR 5493000IRHY5YZIPQD14 35564KX79 1214381.13000000 PA USD 1228042.92000000 0.179972346777 Long ABS-MBS USGSE US N 2 2043-05-25 Floating 7.33000000 N N N N N N Ondeck Asset Securitization Trust LLC N/A 67108SAA6 160000.00000000 PA USD 158601.28000000 0.023243360715 Long ABS-O CORP US N 2 2030-08-19 Fixed 7.00000000 N N N N N N RELIANCE INC 549300E287ZOFT3C5Z56 759509AG7 790000.00000000 PA USD 645778.42000000 0.094640224582 Long DBT CORP US N 2 2030-08-15 Fixed 2.15000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBD7 37000.00000000 PA USD 33943.11000000 0.004974436205 Long DBT CORP US N 2 2030-05-06 Fixed 3.70000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CKE0 155000.00000000 PA USD 152384.38000000 0.022332260570 Long DBT UST US N 2 2027-03-15 Fixed 4.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 77000000.00000000 OU Notional Amount 157.92000000 0.000023143517 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 845.00000000 KRW 0.00000000 KRW 77000000.00000000 KRW 157.30000000 N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160CT9 45000.00000000 PA USD 24726.03000000 0.003623653190 Long DBT CORP US N 2 2060-09-01 Fixed 2.45000000 N N N N N N ENERGY TRANSFER LP 5493006LL0CKP8WQW329 86765BAV1 290000.00000000 PA USD 254473.90000000 0.037293700595 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N Bear Stearns Structured Products Inc. N/A 07402LAC6 111394.62000000 PA USD 108833.51000000 0.015949786350 Long ABS-MBS CORP US N 2 2037-03-25 Floating 7.43000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RB6 515000.00000000 PA USD 385425.20000000 0.056484896921 Long DBT UST US N 2 2043-05-15 Fixed 2.88000000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BZ1 30000.00000000 PA USD 29864.37000000 0.004376688034 Long DBT CORP KY N 2 2031-05-15 Fixed 8.50000000 N N N N N N Hasbro Inc 549300NUB6D2R1ITYR45 418056AV9 20000.00000000 PA USD 18609.03000000 0.002727193606 Long DBT CORP US N 2 2027-09-15 Fixed 3.50000000 N N N N N N NORTHWELL HEALTHCARE INC 54930073NUTKK4QD3P47 667274AD6 85000.00000000 PA USD 60438.64000000 0.008857413450 Long DBT CORP US N 2 2049-11-01 Fixed 3.81000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122AU2 80000.00000000 PA USD 57679.46000000 0.008453049651 Long DBT CORP US N 2 2042-08-01 Fixed 3.25000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CV0 300000.00000000 PA USD 290919.42000000 0.042634870400 Long DBT CORP US N 2 2025-02-21 Fixed 1.90000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 1262200.00000000 PA 1227027.94000000 0.179823599263 Long DBT NUSS FR N 2 2054-05-25 Fixed 3.00000000 N N N N N N Fannie Mae - CAS N/A 20754DAB3 1500000.00000000 PA USD 1546875.00000000 0.226697877890 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 8.33000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 639000000.00000000 OU Notional Amount 4443.41000000 0.000651191348 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 7130.00000000 KRW 0.00000000 KRW 639000000.00000000 KRW 4438.14000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EVT23 109427.85000000 PA USD 102631.95000000 0.015040934315 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 3.00000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AP1 65000.00000000 PA USD 64475.09000000 0.009448963930 Long DBT CORP US N 2 2024-11-15 Fixed 3.90000000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DQ7 95000.00000000 PA USD 92600.77000000 0.013570843183 Long DBT CORP US N 2 2028-06-15 Fixed 4.85000000 N N N N N N Dignity Health TFVG45LTYVO3XKPZWP18 254010AB7 50000.00000000 PA USD 41110.86000000 0.006024885475 Long DBT CORP US N 2 2042-11-01 Fixed 4.50000000 N N N N N N NCR ATLEOS LLC N/A 638962AA8 95000.00000000 PA USD 100984.38000000 0.014799479367 Long DBT CORP US N 2 2029-04-01 Fixed 9.50000000 N N N N N N UNITED AIR 2019-1 AA PTT N/A 90931CAA6 27449.50000000 PA USD 25415.72000000 0.003724728752 Long DBT CORP US N 2 2031-08-25 Fixed 4.15000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -141.68000000 -0.00002076351 N/A DFE PE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 8641.64000000 USD 32000.00000000 PEN 2024-05-06 -141.68000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9280000.00000000 OU Notional Amount 40197.64000000 0.005891051108 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 358.19000000 EUR 0.00000000 EUR 9280000.00000000 EUR 39815.38000000 N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LBA0 200000.00000000 PA USD 183650.35000000 0.026914356117 Long DBT CORP US N 2 2026-07-15 Fixed 2.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XBP0 479720.68000000 PA USD 377976.60000000 0.055393288476 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 2.00000000 N N N N N N Cold Storage Trust N/A 193051AA7 149414.55000000 PA USD 149087.71000000 0.021849126449 Long ABS-MBS CORP US N 2 2037-11-15 Floating 6.33000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DM4 120000.00000000 PA USD 120325.14000000 0.017633909588 Long DBT CORP US N 2 2054-05-01 Fixed 6.86000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612KAA0 195000.00000000 PA USD 192824.52000000 0.028258850578 Long DBT CORP US N 2 2027-07-01 Fixed 5.20000000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAA1 122000.00000000 PA USD 127268.45000000 0.018651466690 Long DBT CORP US N 2 2028-07-01 Fixed 8.38000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBE5 268000.00000000 PA USD 236292.12000000 0.034629121400 Long DBT US N 2 2029-11-18 Fixed 3.20000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 271000.00000000 PA USD 250410.37000000 0.036698181482 Long DBT CORP US N 2 2027-03-09 Fixed 1.43000000 N N N N N N STARBUCKS CORP OQSJ1DU9TAOC51A47K68 855244BF5 50000.00000000 PA USD 48009.45000000 0.007035888765 Long DBT CORP US N 2 2033-02-15 Fixed 4.80000000 N N N N N N SOUTHWESTERN ELEC POWER R64UBJHEC74EB3HGQ410 845437BU5 10000.00000000 PA USD 9528.45000000 0.001396414962 Long DBT CORP US N 2 2033-04-01 Fixed 5.30000000 N N N N N N Commonwealth Financing Authority N/A 20281PKT8 50000.00000000 PA USD 44204.25000000 0.006478228472 Long DBT MUN US N 2 2038-06-01 Fixed 3.86000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AZ8 89000.00000000 PA USD 82734.18000000 0.012124873073 Long DBT CORP US N 2 2055-02-01 Fixed 5.30000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4326.73000000 0.000634091642 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 150000.00000000 EUR 164725.50000000 USD 2024-06-20 4326.73000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 51399.80000000 0.007532751892 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 215193382.00000000 JPY 1426000.00000000 USD 2024-06-20 51399.80000000 N N N BX Trust N/A 05608RAG0 410000.00000000 PA USD 402825.00000000 0.059034875255 Long ABS-MBS CORP US N 2 2036-10-15 Floating 7.08000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCR5 29000.00000000 PA USD 27929.43000000 0.004093118391 Long DBT CORP US N 2 2054-03-01 Fixed 5.45000000 N N N N N N MED Trust N/A 58403YAD8 480693.04000000 PA USD 478590.01000000 0.070138401387 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.39000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6000000.00000000 OU Notional Amount 20147.35000000 0.002952637730 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 66.90000000 AUD 0.00000000 AUD 6000000.00000000 AUD 20104.48000000 N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BS6 221000.00000000 PA USD 217037.88000000 0.031807370872 Long DBT CORP US N 2 2029-04-04 Fixed 5.37000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLV2 876000.00000000 PA USD 568296.98000000 0.083285151920 Long DBT CORP US N 2 2059-09-15 Fixed 3.65000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 6000000.00000000 PA 328603.83000000 0.048157602215 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CV9 125000.00000000 PA USD 119128.73000000 0.017458573114 Long DBT CORP US N 2 2054-04-01 Fixed 6.00000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCQ4 25000.00000000 PA USD 19660.87000000 0.002881343034 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 65000.00000000 PA USD 50314.83000000 0.007373747191 Long DBT CORP US N 2 2051-03-20 Fixed 4.08000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 7000.00000000 OU Notional Amount 592.69000000 0.000086860001 N/A DFE LU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD 592.69000000 0.00000000 DFE XX 7700.00000000 USD 7000.00000000 EUR 2024-06-14 1.00000000 1.10000000 EUR 2024-06-14 XXXX -374.23000000 N N N Bay Area Toll Authority 5493001FUZGUQMIP5D78 072024NV0 40000.00000000 PA USD 45955.47000000 0.006734873552 Long DBT MUN US N 2 2050-04-01 Fixed 7.04000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 253.47000000 0.000037146576 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 108024.00000000 BRL 21000.00000000 USD 2024-06-04 253.47000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 429.12000000 0.000062888464 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 4300000.00000000 CZK 182909.06000000 USD 2024-06-20 429.12000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131YBEH7 252150.84000000 PA USD 212926.08000000 0.031204777686 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 3.00000000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CQ0 45000.00000000 PA USD 32242.84000000 0.004725257958 Long DBT CORP US N 2 2047-09-15 Fixed 3.60000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 -62130000.00000000 OU Notional Amount USD -27701.90000000 -0.00405977337 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 62130000.00000000 OU Notional Amount N/A -27701.90000000 0.00000000 DIR US N/A N/A 2025-10-18 0.00000000 N/A 0.00000000 N/A 62130000.00000000 USD 1.00000000 3.84200000 USD 2024-10-16 XXXX 23807.08000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 675.72000000 0.000099028227 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 490000.00000000 NZD 289407.23000000 USD 2024-06-20 675.72000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 175.70000000 0.000025749215 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 40622.51000000 USD 15000000.00000000 HUF 2024-06-20 175.70000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 187.44000000 0.000027469737 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 40000000.00000000 KRW 29115.47000000 USD 2024-06-20 187.44000000 N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 85172FAN9 96000.00000000 PA USD 96873.59000000 0.014197034199 Long DBT CORP US N 2 2026-03-15 Fixed 7.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5000000.00000000 OU Notional Amount 1092.67000000 0.000160133152 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 SEK -7055.25000000 SEK 5000000.00000000 SEK 1740.67000000 N N N SG Capital Partners N/A 78434KAE7 50000.00000000 PA USD 43968.92000000 0.006443740352 Long ABS-MBS CORP US N 2 2062-08-25 Variable 5.29000000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 000000000 206000.00000000 PA 55861.40000000 0.008186609025 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35000000 N N N N N N ACHV ABS TRUST N/A 00092BAB0 680000.00000000 PA USD 677452.45000000 0.099282122205 Long ABS-O CORP US N 2 2031-04-25 Fixed 6.34000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBE3 45000.00000000 PA USD 40199.05000000 0.005891257747 Long DBT CORP US N 2 2041-11-01 Fixed 4.75000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAR1 200000.00000000 PA USD 189568.01000000 0.027781601992 Long DBT CORP US N 2 2028-03-15 Fixed 4.00000000 N N N N N N Freddie Mac - STACR 5493000IS4CDPWRMWB65 35564KWS4 312124.24000000 PA USD 316806.10000000 0.046428619360 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 7.53000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -3095.36000000 -0.00045363170 N/A DFE CL N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 201949.71000000 USD 191000000.00000000 CLP 2024-06-21 -3095.36000000 N N N Bluemountain CLO Ltd N/A 09630AAS5 250000.00000000 PA USD 249840.50000000 0.036614665801 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 7.17000000 N N N N N N Pennsylvania State University/The 549300QDK4O4XCJ47X56 709235T70 50000.00000000 PA USD 35274.98000000 0.005169624635 Long DBT MUN US N 2 2043-09-01 Fixed 2.79000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNHX4 234216.05000000 PA USD 213068.37000000 0.031225630593 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 4.00000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FG8 258000.00000000 PA USD 184355.09000000 0.027017637288 Long DBT CORP US N 2 2060-03-20 Fixed 3.84000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LS8 139000.00000000 PA USD 129685.14000000 0.019005637838 Long DBT CORP US N 2 2028-10-27 Fixed 3.52000000 N N N N N N TOYOTA MOTOR CREDIT CORP Z2VZBHUMB7PWWJ63I008 89236TKF1 95000.00000000 PA USD 92872.24000000 0.013610627699 Long DBT CORP US N 2 2025-08-18 Fixed 3.65000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 933.30000000 0.000136777134 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 1390000000.00000000 IDR 86297.88000000 USD 2024-06-20 933.30000000 N N N Long Beach Mortgage Loan Trust N/A 542514TQ7 123884.61000000 PA USD 95626.68000000 0.014014296840 Long ABS-O CORP US N 2 2046-03-25 Floating 5.79000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 223510.00000000 OU Notional Amount 1635.12000000 0.000239630373 N/A DFE US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 1635.12000000 0.00000000 DFE XX 239155.70000000 USD 223510.00000000 EUR 2024-05-24 1.00000000 1.07000000 EUR 2024-05-24 XXXX -869.47000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 409.08000000 0.000059951559 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 20000.00000000 GBP 25406.45000000 USD 2024-06-20 409.08000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CJE2 3795000.00000000 PA USD 3786105.47000000 0.554861947809 Long DBT UST US N 2 2025-10-31 Fixed 5.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 203.23000000 0.000029783796 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 78304.53000000 PEN 21000.00000000 USD 2024-05-16 203.23000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBL9 335000.00000000 PA USD 282735.52000000 0.041435502149 Long DBT CORP US N 2 2031-04-22 Fixed 2.52000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -127005.26000000 -0.01861289562 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 2282143.38000000 USD 2980000000.00000000 KRW 2024-06-20 -127005.26000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 250.00000000 NC USD -148239.42000000 -0.02172480771 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUM4 Comdty 2024-06-28 50822067.42000000 USD -148239.42000000 N N N INTERFACE INC 549300VXZWQOIDFPU355 458665AS5 74000.00000000 PA USD 69400.16000000 0.010170743594 Long DBT CORP US N 2 2028-12-01 Fixed 5.50000000 N N N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 341081FB8 25000.00000000 PA USD 25859.24000000 0.003789727568 Long DBT CORP US N 2 2039-04-01 Fixed 5.96000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0BN1 515513.83000000 PA USD 455950.21000000 0.066820489716 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 3.50000000 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAG0 432000.00000000 PA USD 425872.03000000 0.062412467364 Long DBT CORP US N 2 2027-06-30 Fixed 5.13000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BDZA9 150000.00000000 PA USD 118283.96000000 0.017334770243 Long ABS-MBS USGSE US N 2 2031-02-25 Variable 1.51000000 N N N N N N Southern Copper Corp 2549007U6NAP46Q9TU15 84265VAG0 350000.00000000 PA USD 318500.00000000 0.046676864069 Long DBT CORP US N 2 2042-11-08 Fixed 5.25000000 N N N N N N TUCSON ELECTRIC POWER CO YLF139GXSRKPBBTNZL03 898813AV2 10000.00000000 PA USD 9410.70000000 0.001379158444 Long DBT CORP US N 2 2053-04-15 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7950000.00000000 OU Notional Amount 10976.77000000 0.001608669391 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 0.00000000 NOK -69051.93000000 NOK 7950000.00000000 NOK 17595.09000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3K7 395000.00000000 PA USD 383697.84000000 0.056231748576 Long DBT CORP US N 2 2035-01-23 Fixed 5.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1934.18000000 0.000283458263 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1300000.00000000 SEK 120153.97000000 USD 2024-06-20 1934.18000000 N N N BSST Mortgage Trust N/A 05601PAA4 253577.06000000 PA USD 250803.56000000 0.036755804327 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.19000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 297.00000000 0.000043525992 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 160786.42000000 PEN 43000.00000000 USD 2024-05-16 297.00000000 N N N BOOST NEWCO BORROWER LLC 254900S8RE1OL7TTCU64 36268NAA8 100000.00000000 PA USD 103209.20000000 0.015125531551 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DP97 648056.97000000 PA USD 494136.86000000 0.072416825890 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.00000000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBX2 70000.00000000 PA USD 71152.62000000 0.010427570398 Long DBT CORP CA N 2 2028-11-15 Fixed 6.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -174.11000000 -0.00002551619 N/A DFE MX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 40725.21000000 USD 700000.00000000 MXN 2024-06-20 -174.11000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJL4 76000.00000000 PA USD 60430.52000000 0.008856223446 Long DBT CORP US N 2 2031-10-24 Fixed 1.92000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 65000.00000000 PA USD 43265.33000000 0.006340627715 Long DBT CORP US N 2 2060-04-01 Fixed 3.85000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBJ7 370000.00000000 PA USD 314932.46000000 0.046154033364 Long DBT CORP US N 2 2031-12-01 Fixed 3.57000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1849.00000000 0.000270974950 N/A DFE AU N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 205748.70000000 USD 320000.00000000 AUD 2024-06-20 1849.00000000 N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBC1 50000.00000000 PA USD 46411.90000000 0.006801764356 Long DBT CORP US N 2 2029-07-01 Fixed 5.50000000 N N N N N N New York State Urban Development Corp 54930039Y2EMGXN6LM88 650035TD0 45000.00000000 PA USD 44951.98000000 0.006587809921 Long DBT MUN US N 2 2039-03-15 Fixed 5.77000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGB4 280000.00000000 PA USD 195177.14000000 0.028603632129 Long DBT CORP US N 2 2051-03-22 Fixed 3.55000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3675.68000000 0.000538678856 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 170000.00000000 CHF 189611.90000000 USD 2024-06-20 3675.68000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 93217.22000000 0.013661185265 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 3848000.00000000 EUR 4207980.40000000 USD 2024-06-20 93217.22000000 N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EW6 40000.00000000 PA USD 37103.17000000 0.005437549835 Long DBT CORP US N 2 2053-05-10 Fixed 4.85000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYB4 200000.00000000 PA USD 163747.97000000 0.023997619269 Long DBT CORP US N 2 2032-04-22 Fixed 2.62000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QC5 2100000.00000000 PA USD 2040691.40000000 0.299067739674 Long DBT UST US N 2 2039-08-15 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount -2573.78000000 -0.00037719302 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.15000000 SGD 0.00000000 SGD 1000000.00000000 SGD -2581.98000000 N N N HACKENSACK MERIDIAN HLTH 5493001CB3OCWTEJY668 404530AC1 50000.00000000 PA USD 33683.29000000 0.004936359022 Long DBT CORP US N 2 2041-09-01 Fixed 2.68000000 N N N N N N Whitebox CLO III Ltd 549300JXCQSPB1A61C68 96467HAG1 250000.00000000 PA USD 250780.35000000 0.036752402851 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 7.79000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BN2 250000.00000000 PA USD 250620.61000000 0.036728992609 Long DBT CORP US N 2 2028-10-15 Fixed 5.55000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XVK7 95674.16000000 PA USD 95673.25000000 0.014021121775 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 6.44000000 N N N N N N CENTERPOINT ENERGY RES 2JADVB0458J06WCD4N56 15189YAG1 55000.00000000 PA USD 54562.62000000 0.007996270006 Long DBT CORP US N 2 2028-03-01 Fixed 5.25000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CV9 150000.00000000 PA USD 148597.40000000 0.021777270458 Long DBT CORP DE N 2 2028-02-08 Fixed 5.71000000 N N N N N N College Ave Student Loans N/A 19425MAA6 93665.85000000 PA USD 95119.27000000 0.013939934807 Long ABS-O CORP US N 2 2054-06-25 Fixed 6.50000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAM7 300000.00000000 PA USD 292649.72000000 0.042888449609 Long DBT CORP US N 2 2025-04-07 Fixed 3.05000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDU7 784000.00000000 PA USD 775632.21000000 0.113670578443 Long DBT CORP US N 2 2029-07-24 Fixed 5.30000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEH4 229000.00000000 PA USD 184274.99000000 0.027005898460 Long DBT CORP US N 2 2032-10-20 Fixed 2.51000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CS9 80000.00000000 PA USD 76610.48000000 0.011227431589 Long DBT CORP US N 2 2032-09-15 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCJ8 1421000.00000000 PA USD 1302046.75000000 0.190817768170 Long DBT UST US N 2 2026-06-30 Fixed 0.88000000 N N N N N N BX Trust N/A 05612GAA1 96659.65000000 PA USD 96417.90000000 0.014130251843 Long ABS-MBS CORP US N 2 2041-03-15 Floating 6.71000000 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DC9 60000.00000000 PA USD 58624.82000000 0.008591594204 Long DBT CORP US N 2 2031-02-15 Fixed 5.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797KE6 400000.00000000 PA USD 397601.51000000 0.058269361495 Long DBT UST US N 2 2024-06-11 None 0.00000000 N N N N N N FORTRESS TRANS & INFRAST 529900E7PUVK6BC8PE80 34960PAE1 55000.00000000 PA USD 57131.74000000 0.008372780100 Long DBT CORP US N 2 2030-12-01 Fixed 7.88000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GE1 247000.00000000 PA USD 152016.78000000 0.022278387994 Long DBT CORP US N 2 2051-12-04 Fixed 2.88000000 N N N N N N COINBASE GLOBAL INC 5493004G3J2SC154DU06 19260QAC1 100000.00000000 PA USD 83836.35000000 0.012286398471 Long DBT CORP US N 2 2028-10-01 Fixed 3.38000000 N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JP3 55000.00000000 PA USD 52581.24000000 0.007705894480 Long DBT CORP US N 2 2026-01-01 Fixed 3.15000000 N N N N N N OLEODUCTO CENTRAL SA 254900W4CPYCQFVH5E92 680617AC1 12000.00000000 PA USD 11103.75000000 0.001627278585 Long DBT CORP CO N 2 2027-07-14 Fixed 4.00000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBN4 270000.00000000 PA USD 249721.48000000 0.036597223162 Long DBT CORP US N 2 2063-05-17 Fixed 5.15000000 N N N N N N DOLLAR GENERAL CORP OPX52SQVOZI8IVSWYU66 256677AN5 20000.00000000 PA USD 19742.30000000 0.002893276777 Long DBT CORP US N 2 2028-07-05 Fixed 5.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 24000000.00000000 OU Notional Amount -272.09000000 -0.00003987537 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 267.95000000 THB 0.00000000 THB 24000000.00000000 THB -279.33000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -4824.11000000 -0.00070698375 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 119803.50000000 USD 18000000.00000000 JPY 2024-06-20 -4824.11000000 N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBB6 75000.00000000 PA USD 72257.91000000 0.010589553039 Long DBT CORP US N 2 2025-11-15 Fixed 3.15000000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAK6 41000.00000000 PA USD 26858.54000000 0.003936177145 Long DBT CORP US N 2 2050-01-15 Fixed 3.45000000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AM9 10000.00000000 PA USD 10291.99000000 0.001508313401 Long DBT CORP US N 2 2029-01-15 Fixed 7.88000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 62130000.00000000 OU Notional Amount USD 80796.96000000 0.011840969290 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 62130000.00000000 OU Notional Amount N/A 80796.96000000 0.01000000 DIR US N/A N/A 2025-10-18 0.00000000 N/A 0.00000000 N/A 62130000.00000000 USD 1.00000000 4.54200000 USD 2024-10-16 XXXX -46154.87000000 N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAP5 105000.00000000 PA USD 97349.90000000 0.014266838460 Long DBT CORP US N 2 2032-05-15 Fixed 4.70000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC N/A -160.07000000 -0.00002345860 N/A DFE CO N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 20000.00000000 GBP 97626200.00000000 COP 2024-05-16 -160.07000000 N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BF9 130000.00000000 PA USD 139366.90000000 0.020424520713 Long DBT CORP US N 2 2051-01-15 Fixed 7.15000000 N N N N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AW5 88000.00000000 PA USD 69931.86000000 0.010248665379 Long DBT CORP US N 2 2031-08-19 Fixed 2.00000000 N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1447.35000000 0.000212112273 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 170000.00000000 CHF 187383.57000000 USD 2024-06-20 1447.35000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468X0 153000.00000000 PA USD 119849.53000000 0.017564207914 Long DBT CORP US N 2 2032-04-28 Fixed 1.93000000 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CT9 200000.00000000 PA USD 191573.23000000 0.028075471322 Long DBT CORP US N 2 2033-03-29 Fixed 4.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3970000.00000000 OU Notional Amount 26790.71000000 0.003926236511 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-19 26.01000000 AUD 0.00000000 AUD 3970000.00000000 AUD 26773.65000000 N N N Dupont De Nemours Inc 5493004JF0SDFLM8GD76 26078JAF7 20000.00000000 PA USD 18659.06000000 0.002734525611 Long DBT CORP US N 2 2048-11-15 Fixed 5.42000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BMN27 15027.35000000 PA USD 14361.05000000 0.002104642947 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.00000000 N N N N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAQ1 100000.00000000 PA USD 95552.48000000 0.014003422670 Long DBT CORP US N 2 2026-12-06 Fixed 3.70000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 682695AA9 92000.00000000 PA USD 96450.05000000 0.014134963495 Long DBT CORP US N 2 2029-01-15 Fixed 9.00000000 N N N N N N EVERGY KANSAS CENTRAL J75GNWGEO73W89ZV3S44 30036FAC5 20000.00000000 PA USD 20261.98000000 0.002969437005 Long DBT CORP US N 2 2033-11-15 Fixed 5.90000000 N N N N N N 280 Park Avenue Mortgage Trust N/A 90205FAG5 283000.00000000 PA USD 269557.44000000 0.039504226015 Long ABS-MBS CORP US N 2 2034-09-15 Floating 6.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount -3178.36000000 -0.00046579553 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 11.15000000 SGD 0.00000000 SGD 1000000.00000000 SGD -3186.53000000 N N N MEMORIAL SLOAN-KETTERING 549300IZ71UAMEHWL382 586054AD0 50000.00000000 PA USD 32680.59000000 0.004789411168 Long DBT CORP US N 2 2050-01-01 Fixed 2.96000000 N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 5393.98000000 0.000790499438 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 280000.00000000 CHF 311641.87000000 USD 2024-06-20 5393.98000000 N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAB7 20000.00000000 PA USD 20524.25000000 0.003007873241 Long DBT CORP US N 2 2031-06-01 Fixed 8.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FMA1 47875.57000000 PA USD 44645.30000000 0.006542865304 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 4.00000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AA5 170000.00000000 PA USD 144186.11000000 0.021130786364 Long DBT CORP US N 2 2050-02-01 Fixed 5.25000000 N N N N N N Cedar Funding Ltd 549300PTCF9P2JDL1E69 15032EAQ2 250000.00000000 PA USD 250058.48000000 0.036646611241 Long ABS-CBDO CORP KY N 2 2034-10-17 Floating 7.23000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TT5 6300000.00000000 PA USD 5641453.13000000 0.826767161398 Long DBT UST US N 2 2053-08-15 Fixed 4.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 54000000.00000000 OU Notional Amount 31042.85000000 0.004549396828 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 602.37000000 THB 0.00000000 THB 54000000.00000000 THB 31025.92000000 N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 20754KAF8 500000.00000000 PA USD 514783.80000000 0.075442679616 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 8.63000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 505000.00000000 PA USD 462077.57000000 0.067718467581 Long DBT CORP US N 2 2030-04-15 Fixed 3.88000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBT2 330000.00000000 PA USD 307097.93000000 0.045005866043 Long DBT CORP US N 2 2026-11-19 Fixed 1.05000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057CD4 10000.00000000 PA USD 9820.06000000 0.001439151038 Long DBT CORP US N 2 2027-11-29 Fixed 4.75000000 N N N N N N UMBS, TBA N/A 01F012650 2174000.00000000 PA USD 1557487.08000000 0.228253101173 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8FV4 47811.77000000 PA USD 41768.36000000 0.006121243523 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 383.24000000 0.000056164651 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 273688800.00000000 COP 70000.00000000 USD 2024-05-16 383.24000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1004.19000000 0.000147166217 N/A DFE TR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 22116.96000000 USD 946000.00000000 TRY 2024-12-06 1004.19000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCK8 45000.00000000 PA USD 39738.87000000 0.005823817372 Long DBT CORP US N 2 2046-08-21 Fixed 4.86000000 N N N N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XAU2 96000.00000000 PA USD 60260.00000000 0.008831233371 Long DBT CORP US N 2 2050-07-01 Fixed 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QF6K0 79131.91000000 PA USD 64734.50000000 0.009486981027 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 2.00000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397D67 200000.00000000 PA USD 208105.41000000 0.030498298068 Long DBT CORP US N 2 2033-11-07 Fixed 7.12000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3C5 300000.00000000 PA USD 295207.01000000 0.043263225991 Long DBT CORP US N 2 2026-08-15 Fixed 4.54000000 N N N N N N Firstkey Homes Trust N/A 33768EAL6 633000.00000000 PA USD 578346.08000000 0.084757869266 Long ABS-O CORP US N 2 2038-07-17 Fixed 3.50000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCQ7 65000.00000000 PA USD 63522.69000000 0.009309387649 Long DBT CORP US N 2 2034-03-01 Fixed 5.20000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AR6 68000.00000000 PA USD 51879.03000000 0.007602984085 Long DBT CORP US N 2 2047-08-01 Fixed 3.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCB5 1558000.00000000 PA USD 1275003.91000000 0.186854581461 Long DBT UST US N 2 2031-05-15 Fixed 1.63000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAP3 20000.00000000 PA USD 18767.95000000 0.002750483676 Long DBT CORP US N 2 2029-01-24 Fixed 3.77000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5656.77000000 -0.00082901188 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 133411.65000000 USD 20000000.00000000 JPY 2024-06-20 -5656.77000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 1834.36000000 0.000268829426 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 410000.00000000 EUR 440257.67000000 USD 2024-06-20 1834.36000000 N N N FEDEX CORP 549300E707U7WNPZN687 31428XCD6 80000.00000000 PA USD 66128.87000000 0.009691328967 Long DBT CORP US N 2 2031-05-15 Fixed 2.40000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CL4 140000.00000000 PA USD 88834.56000000 0.013018896960 Long DBT CORP NL N 2 2051-11-26 Fixed 3.00000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756CH1 680000.00000000 PA USD 649400.00000000 0.095170974966 Long DBT NUSS BR N 2 2034-03-15 Fixed 6.13000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RDS8 59000.00000000 PA USD 55411.21000000 0.008120632706 Long DBT CORP US N 2 2047-03-01 Fixed 5.45000000 N N N N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664DB4 190000.00000000 PA USD 143770.01000000 0.021069806009 Long DBT CORP US N 2 2052-03-15 Fixed 3.85000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1047000000.00000000 OU Notional Amount 7835.37000000 0.001148290425 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-19 0.00000000 KRW -11678.00000000 KRW 1047000000.00000000 KRW 7844.09000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -4486.01000000 -0.00065743447 N/A DFE NZ N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 187152.89000000 USD 310000.00000000 NZD 2024-06-20 -4486.01000000 N N N Mill City Mortgage Trust N/A 59980DAA9 133918.66000000 PA USD 132622.58000000 0.019436126025 Long ABS-MBS CORP US N 2 2067-10-25 Variable 6.05000000 N N N N N N GAP INC/THE T2ZG1WRWZ4BUCMQL9224 364760AP3 125000.00000000 PA USD 105769.99000000 0.015500820866 Long DBT CORP US N 2 2029-10-01 Fixed 3.63000000 N N N N N N ARIZONA PUBLIC SERVICE YG6VT0TPHRH4TFVAQV64 040555DD3 45000.00000000 PA USD 35621.93000000 0.005220470908 Long DBT CORP US N 2 2031-12-15 Fixed 2.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8580000.00000000 OU Notional Amount -270476.22000000 -0.03963887521 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-06-19 16667.93000000 GBP 0.00000000 GBP 8580000.00000000 GBP -291412.92000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6AZ3 101253.72000000 PA USD 89836.82000000 0.013165780331 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 2.50000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 860000.00000000 OU Notional Amount USD 0.01000000 0.000000001465 N/A DIR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK NA E57ODZWZ7FF32TWEFA76 CITIBANK NA E57ODZWZ7FF32TWEFA76 N/A 860000.00000000 OU Notional Amount N/A 0.01000000 0.00000000 DIR US N/A N/A 2034-05-07 0.00000000 N/A 0.00000000 N/A 860000.00000000 USD 1.00000000 3.58000000 USD 2024-05-03 XXXX -530.59000000 N N N Homeward Opportunities Fund I Trust N/A 43789XAE4 570000.00000000 PA USD 537740.34000000 0.078807010219 Long ABS-MBS CORP US N 2 2065-05-25 Variable 5.45000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAP4 20000.00000000 PA USD 19236.63000000 0.002819169744 Long DBT CORP US N 2 2041-06-01 Fixed 6.05000000 N N N N N N New York City Municipal Water Finance Authority 549300Q2EHQ6RJPQKP05 64972FY34 60000.00000000 PA USD 60057.19000000 0.008801511127 Long DBT MUN US N 2 2044-06-15 Fixed 5.88000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 809.23000000 0.000118594407 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 103465.02000000 USD 1800000.00000000 MXN 2024-06-20 809.23000000 N N N Los Angeles Department of Water & Power 549300S8NXV6YU61GG95 544495WA8 100000.00000000 PA USD 110940.76000000 0.016258608396 Long DBT MUN US N 2 2050-07-01 Fixed 6.60000000 N N N N N N Fannie Mae - CAS N/A 000000000 1560000.00000000 PA USD 1572025.42000000 0.230383726353 Long ABS-MBS USGSE US N 2 2044-02-25 Floating 7.83000000 N N N N N N Cascade Funding Mortgage Trust N/A 12530KAC3 100000.00000000 PA USD 86616.55000000 0.012693842796 Long ABS-O CORP US N 2 2037-02-25 Variable 4.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBS3 25000.00000000 PA USD 20649.88000000 0.003026284589 Long DBT CORP US N 2 2031-03-25 Fixed 2.73000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -114.06000000 -0.00001671573 N/A DFE CL N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 63622.52000000 USD 61000000.00000000 CLP 2024-06-21 -114.06000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 2829062.00000000 OU Notional Amount 98.41000000 0.000014422198 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 2829062.00000000 BRL 98.41000000 N N N UMBS, TBA N/A 01F012452 -17000.00000000 PA USD -14291.97000000 -0.00209451912 Short ABS-MBS USGSE US N 2 2039-05-01 Fixed 1.50000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCB7 15000.00000000 PA USD 13211.98000000 0.001936244252 Long DBT CORP US N 2 2029-06-01 Fixed 5.38000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BP6 58000.00000000 PA USD 44934.73000000 0.006585281897 Long DBT CORP US N 2 2047-10-15 Fixed 4.03000000 N N N N N N CONSOLIDATED COMMUNICATI 549300WW675Y48HDVX34 20903XAF0 12000.00000000 PA USD 10398.37000000 0.001523903620 Long DBT CORP US N 2 2028-10-01 Fixed 6.50000000 N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCF0 85000.00000000 PA USD 85201.77000000 0.012486503726 Long DBT CORP US N 2 2025-11-10 Fixed 5.80000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 3917.28000000 0.000574085858 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 160000.00000000 GBP 203896.26000000 USD 2024-06-20 3917.28000000 N N N CLOUD SOFTWARE GRP INC 04EEB871XLHVNY4RZJ65 88632QAE3 40000.00000000 PA USD 37938.13000000 0.005559915030 Long DBT CORP US N 2 2029-03-31 Fixed 6.50000000 N N N N N N Prudential Financial Inc 5PRBRS5FEH7NREC8OR45 744320AV4 20000.00000000 PA USD 19786.10000000 0.002899695761 Long DBT CORP US N 2 2045-05-15 Fixed 5.38000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3996267.00000000 OU Notional Amount USD 91192.68000000 0.013364484547 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-06-20 3023.11000000 USD 0.00000000 USD 3996267.00000000 USD 88169.57000000 N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAM5 35000.00000000 PA USD 38359.17000000 0.005621619352 Long DBT CORP US N 2 2052-11-01 Fixed 6.46000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 254.07000000 0.000037234508 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 220000.00000000 EUR 235505.60000000 USD 2024-06-20 254.07000000 N N N TICP CLO Ltd N/A 87249CAA9 134014.25000000 PA USD 134177.68000000 0.019664029295 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.59000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AP0 65000.00000000 PA USD 52094.00000000 0.007634488404 Long DBT CORP US N 2 2046-05-01 Fixed 4.25000000 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAH5 55000.00000000 PA USD 40737.56000000 0.005970177553 Long DBT CORP NO N 2 2050-04-06 Fixed 3.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BNTK9 24426.59000000 PA USD 24312.46000000 0.003563043612 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 6.00000000 N N N N N N FACTSET RESEARCH SYSTEMS 549300ZSJE7NBK6K9P30 303075AB1 407000.00000000 PA USD 345249.08000000 0.050596999615 Long DBT CORP US N 2 2032-03-01 Fixed 3.45000000 N N N N N N TASEKO MINES LTD 549300XKUO1JSLU7KX54 876511AG1 35000.00000000 PA USD 35559.23000000 0.005211282088 Long DBT CORP CA N 2 2030-05-01 Fixed 8.25000000 N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAK9 50000.00000000 PA USD 40576.05000000 0.005946507913 Long DBT CORP GB N 2 2030-09-02 Fixed 2.20000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 1051.11000000 0.000154042444 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 7600000.00000000 PHP 132498.82000000 USD 2024-06-20 1051.11000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1173.48000000 -0.00017197603 N/A DFE TW N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 41037.94000000 USD 1300000.00000000 TWD 2024-06-20 -1173.48000000 N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CH6 110000.00000000 PA USD 111537.61000000 0.016346078055 Long DBT CORP US N 2 2034-08-24 Fixed 6.14000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3019.98000000 0.000442584602 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 220000.00000000 AUD 145743.40000000 USD 2024-06-20 3019.98000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZK3 102000.00000000 PA USD 94085.67000000 0.013788458491 Long DBT CORP US N 2 2028-02-24 Fixed 2.64000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -313.02000000 -0.00004587375 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 110670.00000000 BRL 21000.00000000 USD 2024-05-03 -313.02000000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBU9 134000.00000000 PA USD 118512.48000000 0.017368260343 Long DBT US N 2 2032-04-15 Fixed 3.90000000 N N N N N N Alabama Power Co 0RL818ELFOHP5JHOFU19 010392FL7 127000.00000000 PA USD 101322.12000000 0.014848975894 Long DBT CORP US N 2 2044-08-15 Fixed 4.15000000 N N N N N N Philippines Government International Bonds 529900RAHBALMYIJ3T08 718286CC9 910000.00000000 PA USD 836631.25000000 0.122610119726 Long DBT NUSS PH N 2 2028-02-01 Fixed 3.00000000 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 748148SC8 25000.00000000 PA USD 23605.44000000 0.003459428302 Long DBT NUSS CA N 2 2025-07-23 Fixed 0.60000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 743000.00000000 OU Notional Amount -92.33000000 -0.00001353116 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 743000.00000000 BRL -92.33000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CJZ5 551000.00000000 PA USD 521728.13000000 0.076460386202 Long DBT UST US N 2 2034-02-15 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGL9 213000.00000000 PA USD 209047.85000000 0.030636414689 Long DBT UST US N 2 2026-02-15 Fixed 4.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 408000.00000000 PA USD 354496.68000000 0.051952255402 Long DBT CORP US N 2 2033-03-17 Fixed 3.79000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMVU7 286692.54000000 PA USD 260471.12000000 0.038172606161 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QQ4 438000.00000000 PA USD 414371.95000000 0.060727105759 Long DBT UST US N 2 2041-05-15 Fixed 4.38000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KH9 100000.00000000 PA USD 103095.71000000 0.015108899346 Long DBT CORP US N 2 2053-01-15 Fixed 6.75000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBN9 25000.00000000 PA USD 23949.57000000 0.003509861298 Long DBT CORP US N 2 2027-12-01 Fixed 4.25000000 N N N N N N Countrywide Home Loans N/A 12669GWN7 31631.75000000 PA USD 29906.79000000 0.004382904777 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.79000000 N N N N N N STEEL DYNAMICS INC 549300HGGKEL4FYTTQ83 858119BP4 140000.00000000 PA USD 89059.24000000 0.013051824300 Long DBT CORP US N 2 2050-10-15 Fixed 3.25000000 N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGS4 7000.00000000 PA USD 6607.07000000 0.000968280402 Long DBT UST US N 2 2030-03-31 Fixed 3.63000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBK6 260000.00000000 PA USD 243312.29000000 0.035657942501 Long DBT CORP US N 2 2054-04-15 Fixed 5.20000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZV5 125000.00000000 PA USD 122670.37000000 0.017977608118 Long DBT CORP CA N 2 2029-02-01 Fixed 4.95000000 N N N N N N KAISER FOUNDATION HOSPIT DW4Z57L3G4IRMHYZYK62 48305QAB9 50000.00000000 PA USD 45762.67000000 0.006706618295 Long DBT CORP US N 2 2042-04-01 Fixed 4.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DSBD3 235672.92000000 PA USD 234504.58000000 0.034367153546 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 228.14000000 0.000033434410 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 100000.00000000 SGD 73650.56000000 USD 2024-06-20 228.14000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -2602.70000000 -0.00038143131 N/A DFE ID N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 115603.30000000 USD 1840000000.00000000 IDR 2024-06-20 -2602.70000000 N N N WALMART INC Y87794H0US1R65VBXU25 931142EZ2 110000.00000000 PA USD 95703.89000000 0.014025612133 Long DBT CORP US N 2 2052-09-09 Fixed 4.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NA5 280000.00000000 PA USD 256370.14000000 0.037571598669 Long DBT CORP US N 2 2027-06-09 Fixed 1.46000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EG8 300000.00000000 PA USD 283738.16000000 0.041582441211 Long DBT CORP US N 2 2027-04-01 Fixed 3.35000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1149.17000000 -0.00016841334 N/A DFE AU N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 167551.70000000 USD 256500.00000000 AUD 2024-06-20 -1149.17000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810TW8 1930000.00000000 PA USD 1893209.38000000 0.277453930568 Long DBT UST US N 2 2043-11-15 Fixed 4.75000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CH7 120000.00000000 PA USD 108207.07000000 0.015857980212 Long DBT CORP US N 2 2032-04-13 Fixed 3.60000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 -21000.00000000 OU Notional Amount USD -151.85000000 -0.00002225394 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD -151.85000000 0.00000000 DFE TR -21000.00000000 USD -819000.00000000 TRY 2024-07-23 1.00000000 39.00000000 USD 2024-07-23 XXXX 50.42000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810TF5 515000.00000000 PA USD 361083.40000000 0.052917553468 Long DBT UST US N 2 2042-02-15 Fixed 2.38000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 673.48000000 0.000098699951 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 500000.00000000 SEK 46142.63000000 USD 2024-06-20 673.48000000 N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738BL1 150000.00000000 PA USD 146611.08000000 0.021486170964 Long DBT CORP US N 2 2034-03-15 Fixed 5.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPVE5 74233.80000000 PA USD 67744.28000000 0.009928070797 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 4.00000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CD4 260000.00000000 PA USD 152551.23000000 0.022356712798 Long DBT CORP US N 2 2060-06-01 Fixed 2.68000000 N N N N N N Voya CLO Ltd N/A 92916PAF1 250000.00000000 PA USD 245361.55000000 0.035958265988 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 12.54000000 N N N N N N BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 000000000 606000.00000000 OU Notional Amount -3744.16000000 -0.00054871474 N/A DIR US N 2 BNP PARIBAS SA QHSFEYI7HUOXXZ413E03 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 606000.00000000 BRL -3744.16000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBM3 125000.00000000 PA USD 88366.43000000 0.012950291495 Long DBT CORP US N 2 2051-04-15 Fixed 3.45000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFR0 236000.00000000 PA USD 186342.69000000 0.027308924369 Long DBT CORP US N 2 2031-01-20 Fixed 1.75000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -660.95000000 -0.00009686365 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2022357.16000000 ZAR 106270.52000000 USD 2024-07-02 -660.95000000 N N N ONE GAS INC 549300HXDWI0LATTX840 68235PAN8 32000.00000000 PA USD 31664.69000000 0.004640528825 Long DBT CORP US N 2 2029-04-01 Fixed 5.10000000 N N N N N N Octagon Investment Partners 35 LTD 549300EBYXJ9QVMC7X31 67591TAA8 198650.45000000 PA USD 198937.56000000 0.029154729816 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 6.65000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 140000.00000000 OU Notional Amount 1939.74000000 0.000284273093 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2034-02-15 160.52000000 EUR 0.00000000 EUR 140000.00000000 EUR 1765.66000000 N N N Lendmark Funding Trust N/A 52604EAD2 131000.00000000 PA USD 133898.81000000 0.019623160293 Long ABS-O CORP US N 2 2033-05-20 Fixed 8.69000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -6218.08000000 -0.00091127307 N/A DFE CA N 2 Bank of America NA B4TYDEB6GKMZO031MB27 420599.02000000 USD 570000.00000000 CAD 2024-06-20 -6218.08000000 N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VBP8 55000.00000000 PA USD 54505.25000000 0.007987862308 Long DBT CORP US N 2 2033-09-15 Fixed 5.25000000 N N N N N N FedEx Corp 549300E707U7WNPZN687 31428XBP0 20000.00000000 PA USD 18682.29000000 0.002737930018 Long DBT CORP US N 2 2028-02-15 Fixed 3.40000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 2000000.00000000 OU Notional Amount -16345.62000000 -0.00239548597 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 2000000.00000000 BRL -16345.62000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DL1 95000.00000000 PA USD 72025.54000000 0.010555498713 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N Banc of America Alternative Loan Trust N/A 05948XTV3 63316.07000000 PA USD 60034.21000000 0.008798143358 Long ABS-MBS CORP US N 2 2033-10-25 Fixed 5.50000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBQ4 250000.00000000 PA USD 243887.33000000 0.035742215857 Long DBT CORP US N 2 2030-03-01 Fixed 5.50000000 N N N N N N Wachovia Mortgage Loan Trust, LLC N/A 92978EAB0 1034928.41000000 PA USD 345980.29000000 0.050704160022 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.79000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69703FAG6 250000.00000000 PA USD 249998.08000000 0.036637759491 Long ABS-CBDO CORP KY N 2 2032-01-25 Floating 9.70000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJS9 110000.00000000 PA USD 100918.15000000 0.014789773217 Long DBT CORP US N 2 2027-07-22 Fixed 1.73000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -28339.49000000 -0.00415321357 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 379665.40000000 USD 55000000.00000000 JPY 2024-06-20 -28339.49000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XPSB6 382000.00000000 PA USD 380120.96000000 0.055707549073 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.00000000 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CS8 362000.00000000 PA USD 308347.35000000 0.045188971247 Long DBT CORP US N 2 2030-04-01 Fixed 2.60000000 N N N N N N Countrywide Asset-Backed Certificates N/A 23242EAD1 104396.87000000 PA USD 100468.64000000 0.014723896554 Long ABS-O CORP US N 2 2037-01-25 Variable 3.98000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 62624.33000000 0.009177731048 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2280000.00000000 NZD 1406109.74000000 USD 2024-06-20 62624.33000000 N N N UMBS, TBA N/A 01F040453 -2000.00000000 PA USD -1897.80000000 -0.00027812669 Short ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1441.46000000 -0.00021124908 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 111727.74000000 USD 170000.00000000 AUD 2024-06-20 -1441.46000000 N N N Fannie Mae - CAS N/A 20754LAB5 350000.00000000 PA USD 353415.62000000 0.051793823720 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 7.23000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5269.30000000 -0.00077222731 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 202231.77000000 USD 3400000.00000000 MXN 2024-06-20 -5269.30000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 2388.32000000 0.000350013463 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 90000000.00000000 KRW 67476.38000000 USD 2024-06-20 2388.32000000 N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CW7 215000.00000000 PA USD 216816.36000000 0.031774906636 Long DBT CORP US N 2 2029-11-17 Fixed 5.63000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -36.34000000 -0.00000532570 N/A DFE CL N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 14000.00000000 USD 13408500.00000000 CLP 2024-05-16 -36.34000000 N N N HONDA MOTOR CO LTD 549300P7ZYCQJ36CCS16 438127AB8 50000.00000000 PA USD 46401.04000000 0.006800172799 Long DBT CORP JP N 2 2027-03-10 Fixed 2.53000000 N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KBH8 55000.00000000 PA USD 58821.68000000 0.008620444463 Long DBT CORP US N 2 2031-11-09 Fixed 7.66000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 36020.27000000 0.005278848497 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 2750000.00000000 AUD 1820063.03000000 USD 2024-06-20 36020.27000000 N N N Textron Inc 3PPKBHUG1HD6BO7RNR87 883203CA7 53000.00000000 PA USD 48802.62000000 0.007152129544 Long DBT CORP US N 2 2029-09-17 Fixed 3.90000000 N N N N N N EXPEDIA GROUP INC N/A 30212PBK0 60000.00000000 PA USD 58214.66000000 0.008531484369 Long DBT CORP US N 2 2027-08-01 Fixed 4.63000000 N N N N N N Santander Drive Auto Receivables Trust N/A 802918AD4 135000.00000000 PA USD 133871.63000000 0.019619177005 Long ABS-O CORP US N 2 2027-06-15 Fixed 4.72000000 N N N N N N TAPESTRY INC 549300LJNVY5SW3VTN33 876030AA5 485000.00000000 PA USD 385220.35000000 0.056454875710 Long DBT CORP US N 2 2032-03-15 Fixed 3.05000000 N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 340.65000000 0.000049922994 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 80000.00000000 CAD 58499.38000000 USD 2024-06-20 340.65000000 N N N KSL Commercial Mortgage Trust N/A 48268TAA0 100000.00000000 PA USD 100468.75000000 0.014723912675 Long ABS-MBS CORP US N 2 2036-12-15 Floating 7.61000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1588.12000000 -0.00023274242 N/A DFE CA N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 74286.53000000 USD 100000.00000000 CAD 2024-06-20 -1588.12000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9VC2 106384.21000000 PA USD 100113.88000000 0.014671905708 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -1230.55000000 -0.00018033976 N/A DFE TW N 2 Bank of America NA B4TYDEB6GKMZO031MB27 105491.45000000 USD 3400000.00000000 TWD 2024-06-20 -1230.55000000 N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DH7 60000.00000000 PA USD 58295.65000000 0.008543353629 Long DBT CORP US N 2 2025-09-15 Fixed 3.38000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 9670000.00000000 OU Notional Amount -13817.12000000 -0.00202492882 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-12 89.98000000 MXN 0.00000000 MXN 9670000.00000000 MXN -13822.63000000 N N N CIFC Funding Ltd N/A 12547DAA4 250000.00000000 PA USD 250239.23000000 0.036673100545 Long ABS-CBDO CORP KY N 2 2033-07-15 Floating 6.64000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDZ1 1400000.00000000 PA USD 1358369.14000000 0.199071936277 Long DBT UST US N 2 2025-02-15 Fixed 1.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 654.29000000 0.000095887615 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 500000.00000000 NOK 45719.90000000 USD 2024-06-20 654.29000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CJL6 2760200.00000000 PA USD 2748555.41000000 0.402806741792 Long DBT UST US N 2 2025-11-30 Fixed 4.88000000 N N N N N N Symphony CLO Ltd 254900T60KIPND298026 87169NAC7 250000.00000000 PA USD 251349.13000000 0.036835758791 Long ABS-CBDO CORP BM N 2 2036-04-24 Floating 7.57000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 2528.97000000 0.000370626024 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3000000.00000000 CZK 129840.56000000 USD 2024-06-20 2528.97000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -148.78000000 -0.00002180403 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 616319.99000000 CZK 26000.00000000 USD 2024-05-16 -148.78000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 175100000.00000000 PA 38854.64000000 0.005694231553 Long DBT NUSS CO N 2 2028-04-28 Fixed 6.00000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KBF2 30000.00000000 PA USD 30232.75000000 0.004430674920 Long DBT CORP US N 2 2029-03-09 Fixed 6.50000000 N N N N N N NEWMARK GROUP INC N/A 65158NAC6 46000.00000000 PA USD 46443.31000000 0.006806367559 Long DBT CORP US N 2 2029-01-12 Fixed 7.50000000 N N N N N N UMBS, TBA N/A 01F022659 8522000.00000000 PA USD 6741378.89000000 0.987963661199 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 2.50000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 2858000.00000000 OU Notional Amount 160.48000000 0.000023518691 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 2858000.00000000 BRL 160.48000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UPB2 326154.98000000 PA USD 307892.84000000 0.045122361823 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AX8 36000.00000000 PA USD 36288.90000000 0.005318216805 Long DBT CORP AR N 2 2031-01-17 Fixed 9.50000000 N N N N N N Panama Government International Bonds 549300SHS4T08CL0LP14 698299BF0 580000.00000000 PA USD 521637.50000000 0.076447104179 Long DBT NUSS PA N 2 2028-03-17 Fixed 3.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEYX4 579380.35000000 PA USD 470593.97000000 0.068966564426 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N Freddie Mac - STACR 529900ZTXRUUVE8G8W08 35564K3G2 687585.95000000 PA USD 693120.67000000 0.101578333744 Long ABS-MBS USGSE US N 2 2043-11-25 Floating 7.18000000 N N N N N N CVR ENERGY INC 529900SOYZIXZBTXB558 12662PAF5 165000.00000000 PA USD 165407.12000000 0.024240771291 Long DBT CORP US N 2 2029-01-15 Fixed 8.50000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAL8 20000.00000000 PA USD 16860.19000000 0.002470897321 Long DBT CORP US N 2 2031-02-15 Fixed 2.70000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJE0 135000.00000000 PA USD 91316.43000000 0.013382620378 Long DBT CORP US N 2 2041-06-19 Fixed 2.68000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12000000.00000000 OU Notional Amount -6983.05000000 -0.00102338108 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 133.71000000 TWD 0.00000000 TWD 12000000.00000000 TWD -6987.28000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -330.92000000 -0.00004849704 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 366170.28000000 MXN 21000.00000000 USD 2024-05-16 -330.92000000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 3551675.28000000 OU Notional Amount -33654.16000000 -0.00493208995 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 3551675.28000000 BRL -33654.16000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050656 2579000.00000000 PA USD 2468580.84000000 0.361775862838 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 5.00000000 N N N N N N Neuberger Berman CLO Ltd 549300Y2YE54ON4DJE28 64134JAA1 250000.00000000 PA USD 250326.95000000 0.036685956101 Long ABS-CBDO CORP KY N 2 2033-04-16 Floating 6.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECU2 874206.90000000 PA USD 753604.83000000 0.110442418248 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308HS9 150000.00000000 PA USD 140692.32000000 0.020618763881 Long DBT CORP US N 2 2027-03-15 Fixed 3.30000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1000000.00000000 OU Notional Amount USD 5790.78000000 0.000848651337 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-18 0.00000000 USD -196.69000000 USD 1000000.00000000 USD 5987.47000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SS8 779000.00000000 PA USD 407088.36000000 0.059659679887 Long DBT UST US N 2 2050-11-15 Fixed 1.63000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 000000000 -43000.00000000 OU Notional Amount USD 0.00000000 0.000000 N/A DFE LU N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Call Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 0.00000000 0.00000000 DFE ZA -43000.00000000 USD -849250.00000000 ZAR 2024-04-30 1.00000000 19.75000000 USD 2024-04-30 XXXX 163.79000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -13773.04000000 -0.00201846880 N/A DFE CH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 265333.81000000 USD 230000.00000000 CHF 2024-06-20 -13773.04000000 N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BX9 116000.00000000 PA USD 110717.74000000 0.016225924333 Long DBT CORP US N 2 2054-03-15 Fixed 5.45000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CX8 125000.00000000 PA USD 122217.31000000 0.017911211195 Long DBT CORP US N 2 2033-08-10 Fixed 5.09000000 N N N N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451BA5 75000.00000000 PA USD 71982.44000000 0.010549182314 Long DBT CORP AU N 2 2033-02-28 Fixed 4.90000000 N N N N N N AMERIPRISE FINANCIAL INC 6ZLKQF7QB6JAEKQS5388 03076CAN6 350000.00000000 PA USD 353884.21000000 0.051862496598 Long DBT CORP US N 2 2028-12-15 Fixed 5.70000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 3143.95000000 0.000460752674 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 110000.00000000 GBP 140629.50000000 USD 2024-06-20 3143.95000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount -9725.05000000 -0.00142522711 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-18 4278.45000000 EUR 0.00000000 EUR 3000000.00000000 EUR -14282.45000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBU9 69000.00000000 PA USD 54579.17000000 0.007998695444 Long DBT CORP US N 2 2031-11-19 Fixed 1.76000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 145000.00000000 PA USD 123917.31000000 0.018160349873 Long DBT CORP US N 2 2038-04-15 Fixed 4.50000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BF1 20000.00000000 PA USD 18398.54000000 0.002696345841 Long DBT CORP US N 2 2026-03-11 Fixed 0.90000000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334JS1 50000.00000000 PA USD 43853.83000000 0.006426873663 Long DBT CORP US N 2 2040-09-01 Fixed 4.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2237.03000000 0.000327841586 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 61000000.00000000 HUF 168149.74000000 USD 2024-06-20 2237.03000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2X0 200000.00000000 PA USD 196159.44000000 0.028747590319 Long DBT CORP US N 2 2026-04-25 Fixed 3.91000000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAL5 40000.00000000 PA USD 39544.06000000 0.005795267545 Long DBT CORP US N 2 2028-04-15 Fixed 5.50000000 N N N N N N Canyon Capital CLO Ltd 254900FXDN97BW4YMK55 13887AAE8 250000.00000000 PA USD 250000.00000000 0.036638040871 Long ABS-CBDO CORP JE N 2 2037-05-15 Floating 1.00000000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAB9 63000.00000000 PA USD 66826.75000000 0.009793604791 Long DBT CORP US N 2 2031-07-01 Fixed 8.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2566.41000000 -0.00037611293 N/A DFE NZ N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 126308.49000000 USD 210000.00000000 NZD 2024-06-20 -2566.41000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7970000.00000000 OU Notional Amount USD 75593.60000000 0.011078405625 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-06-20 48182.16000000 USD 0.00000000 USD 7970000.00000000 USD 27411.44000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XFG6 382634.51000000 PA USD 346834.19000000 0.050829300914 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5688.43000000 -0.00083365172 N/A DFE PL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 165845.01000000 USD 650000.00000000 PLN 2024-06-20 -5688.43000000 N N N CIT Mortgage Loan Trust N/A 12559QAH5 150000.00000000 PA USD 136797.99000000 0.020048041394 Long ABS-O CORP US N 2 2037-10-25 Floating 7.18000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 80.28000000 0.000011765207 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 600000.00000000 CZK 25542.60000000 USD 2024-06-20 80.28000000 N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807DH7 40000.00000000 PA USD 26202.29000000 0.003840002287 Long DBT US N 2 2049-09-13 Fixed 3.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -245.57000000 -0.00003598881 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4071.46000000 USD 156222.00000000 TRY 2024-12-04 -245.57000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1530.89000000 0.000224355241 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 400000.00000000 NOK 37583.37000000 USD 2024-06-20 1530.89000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2442.34000000 0.000357930210 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3000000.00000000 MXN 176232.76000000 USD 2024-06-20 2442.34000000 N N N Colgate-Palmolive Co YMEGZFW4SBUSS5BQXF88 19416QEK2 60000.00000000 PA USD 46652.68000000 0.006837051186 Long DBT CORP US N 2 2047-08-01 Fixed 3.70000000 N N N N N N 2024-05-30 BlackRock Funds III Chuck Pulsfort Chuck Pulsfort Assistant Treasurer