0001752724-21-200631.txt : 20210920 0001752724-21-200631.hdr.sgml : 20210920 20210920121242 ACCESSION NUMBER: 0001752724-21-200631 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210731 FILED AS OF DATE: 20210920 PERIOD START: 20210731 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PACE SELECT ADVISORS TRUST CENTRAL INDEX KEY: 0000930007 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-08764 FILM NUMBER: 211262536 BUSINESS ADDRESS: STREET 1: C/O UBS ASSET MANAGEMENT (AMERICAS) INC. STREET 2: 787 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 212-821-3000 MAIL ADDRESS: STREET 1: C/O UBS ASSET MANAGEMENT (AMERICAS) INC. STREET 2: 787 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: UBS PACE SELECT ADVISORS TRUST DATE OF NAME CHANGE: 20020716 FORMER COMPANY: FORMER CONFORMED NAME: PAINEWEBBER PACE SELECT ADVISORS TRUST DATE OF NAME CHANGE: 19980212 FORMER COMPANY: FORMER CONFORMED NAME: MANAGED ACCOUNTS SERVICES PORTFOLIO TRUST DATE OF NAME CHANGE: 19941212 0000930007 S000002697 PACE Intermediate Fixed Income Investments C000007354 Class P PCIFX C000007355 Class A PIFAX C000007358 Class Y PIFYX NPORT-P 1 primary_doc.xml NPORT-P false 0000930007 XXXXXXXX S000002697 C000007355 C000007358 C000007354 PACE SELECT ADVISORS TRUST 811-08764 0000930007 549300TPB2UX3QR3SC50 C/O UBS ASSET MANAGEMENT (AMERICAS) INC. 12TH FLOOR 1285 AVENUE OF THE AMERICAS NEW YORK 10019 212-821-3000 PACE Intermediate Fixed Income Investments S000002697 5493004WT2PUPHDKF193 2021-07-31 2021-07-31 N 412068332.68 90561366.85 321506965.83 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 45109194.42000000 0.00000000 0.00000000 1146911.09000000 EUR GBP USD UST CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 Crown Castle International Corp 22822VAC5 20000.00000000 PA USD 22176.14000000 0.006897561283 Long DBT US N 2 2026-06-15 Fixed 3.70000000 N N N N N N Social Professional Loan Program LLC 549300MIP15HTYPHSM46 Sofi Professional Loan Program 2016-A LLC 78469PAA2 31249.59000000 PA USD 31468.67000000 0.009787865690 Long ABS-O CORP US N 2 2036-08-25 Floating 1.83900000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38141GXD1 244000.00000000 PA USD 250388.91000000 0.077879777613 Long DBT CORP US N 2 2026-05-15 Floating 1.32600000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWQ33FA0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWQ33FA0 IRS USD P F 1.32600 2 CCPVANILLA 000000000 190000.00000000 OU Notional Amount USD -649.52000000 -0.00020202361 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-26 3.03000000 USD 0.00000000 USD 190000.00000000 USD -652.55000000 N N N REPSOL EUROPE FINANCE 222100TAWUOMRM7NNG09 Repsol Europe Finance Sarl 000000000 100000.00000000 PA 122157.91000000 0.037995416268 Long DBT CORP LU N 2 2033-07-06 Fixed 0.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418DJP8 38727.12000000 PA USD 41123.53000000 0.012790867499 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 3.50000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp 68389XBU8 495000.00000000 PA USD 529323.49000000 0.164638264876 Long DBT CORP US N 2 2027-04-01 Fixed 2.80000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWHLSBV3 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWHLSBV3 IRS USD P F 1.62100 2 CCPVANILLA 000000000 280000.00000000 OU Notional Amount USD -6048.32000000 -0.00188124073 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-02-22 4.34000000 USD 0.00000000 USD 280000.00000000 USD -6052.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140HMP40 14310.75000000 PA USD 15442.70000000 0.004803224079 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.00000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 American Tower Corp 03027XBJ8 238000.00000000 PA USD 234551.37000000 0.072953744375 Long DBT US N 2 2028-01-31 Fixed 1.50000000 N N N N N N New York State Thruway Authority N/A NEW YORK ST THRUWAY AUTH 650009S53 75000.00000000 PA USD 81751.31000000 0.025427539272 Long DBT MUN US N 2 2035-01-01 Fixed 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417AYD5 383421.17000000 PA USD 420352.32000000 0.130744389601 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 Raytheon Technologies Corp 75513ECC3 75000.00000000 PA USD 86212.74000000 0.026815201274 Long DBT CORP US N 2 2044-12-15 Fixed 4.20000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PCB0 433000.00000000 PA USD 438087.10000000 0.136260531360 Long DBT CORP US N 2 2027-04-22 Fixed 1.57800000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NCT6 118000.00000000 PA USD 137207.95000000 0.042676509246 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N SCHNEIDER ELECTRIC SE 969500A1YF1XUYYXS284 Schneider Electric SE 000000000 100000.00000000 PA 119587.00000000 0.037195772630 Long DBT CORP FR N 2 2023-06-12 None 0.00000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 American Tower Corp 03027XBC3 28000.00000000 PA USD 28017.61000000 0.008714464374 Long DBT US N 2 2030-06-15 Fixed 2.10000000 N N N N N N AMC Networks Inc 549300VGG9K75226LR46 AMC Networks Inc 00164VAD5 362000.00000000 PA USD 367430.00000000 0.114283682486 Long DBT CORP US N 2 2024-04-01 Fixed 5.00000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 Barclays PLC 06738EBR5 216000.00000000 PA USD 219867.12000000 0.068386424982 Long DBT CORP GB N 2 2032-03-10 Fixed 2.66700000 N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 Oncor Electric Delivery Co LLC 68233JBH6 225000.00000000 PA USD 258965.26000000 0.080547324793 Long DBT CORP US N 2 2028-11-15 Fixed 3.70000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 Raytheon Technologies Corp 913017CJ6 28000.00000000 PA USD 32418.31000000 0.010083237206 Long DBT CORP US N 2 2046-11-01 Fixed 3.75000000 N N N N N N Ares Capital Corp WEQ82666OJYSI5GUAB47 Ares Capital Corp 04010LAV5 330000.00000000 PA USD 357652.56000000 0.111242553975 Long DBT CORP US N 2 2025-03-01 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X83C9 10387.47000000 PA USD 11250.21000000 0.003499211897 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SN9 730000.00000000 PA USD 621383.99000000 0.193272325654 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 85208NAA8 179687.50000000 PA USD 180316.41000000 0.056084759947 Long DBT CORP US N 2 2021-09-20 Fixed 3.36000000 N N N N N N ENTERGY LOUISIANA LLC 0V5453U14HDZO63CGH17 Entergy Louisiana LLC 29364WBE7 129000.00000000 PA USD 126347.80000000 0.039298619758 Long DBT CORP US N 2 2030-12-15 Fixed 1.60000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 Mitsubishi UFJ Financial Group Inc 606822BU7 261000.00000000 PA USD 263984.91000000 0.082108612893 Long DBT CORP JP N 2 2030-07-17 Fixed 2.04800000 N N N N N N New Jersey Transportation Trust Fund Authority 549300YUVD5TEXR6L889 NEW JERSEY ST TRANSPRTN TRUST FUND AUTH 646136XR7 105000.00000000 PA USD 158836.92000000 0.049403881371 Long DBT MUN US N 2 2040-12-15 Fixed 6.56100000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTY08H58 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTY08H58 IRS USD P F 1.98150 2 CCPVANILLA 000000000 175000.00000000 OU Notional Amount USD -3241.04000000 -0.00100807769 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-10-23 3.19000000 USD 0.00000000 USD 175000.00000000 USD -3244.23000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416YDT2 1644479.99000000 PA USD 1840547.77000000 0.572475238677 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBJF8 1073635.45000000 PA USD 1146304.22000000 0.356541021449 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 4.00000000 N N N N N N BAYER AG 549300J4U55H3WP1XT59 Bayer AG 000000000 100000.00000000 PA 124633.54000000 0.038765424468 Long DBT CORP DE N 2 2032-07-06 Fixed 1.37500000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 Lloyds Banking Group PLC 539439AR0 214000.00000000 PA USD 247707.45000000 0.077045749027 Long DBT CORP GB N 2 2028-03-22 Fixed 4.37500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWQ487P4 IRS USD R F 1.05131 2 CCPVANILLA / Short: SRWQ487P4 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 990000.00000000 OU Notional Amount USD 307.57000000 0.000095665112 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-05-15 12.58000000 USD 0.00000000 USD 990000.00000000 USD 294.99000000 N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 Carrier Global Corp 14448CAN4 71000.00000000 PA USD 74305.44000000 0.023111611223 Long DBT CORP US N 2 2025-02-15 Fixed 2.24200000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 Cameron LNG LLC 133434AC4 145000.00000000 PA USD 156050.47000000 0.048537197194 Long DBT CORP US N 2 2038-01-15 Fixed 3.40200000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRW6QLRQ1 IRS USD R F .65400 2 CCPVANILLA / Short: SRW6QLRQ1 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 1070000.00000000 OU Notional Amount USD -36452.71000000 -0.01133807782 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-07-12 17.08000000 USD 0.00000000 USD 1070000.00000000 USD -36469.79000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GGL7 162000.00000000 PA USD 180272.52000000 0.056071108610 Long DBT CORP US N 2 2028-04-24 Fixed 3.70500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WJF94 3805.23000000 PA USD 3954.43000000 0.001229967129 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWQ79UG3 IRS USD R F .43750 2 CCPVANILLA / Short: SRWQ79UG3 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 810000.00000000 OU Notional Amount USD 328.01000000 0.000102022672 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-01-25 3.53000000 USD 0.00000000 USD 810000.00000000 USD 324.48000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRW5F7325 IRS USD R F .35800 2 CCPVANILLA / Short: SRW5F7325 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 1060000.00000000 OU Notional Amount USD -10832.96000000 -0.00336943243 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-02 14.82000000 USD 0.00000000 USD 1060000.00000000 USD -10847.78000000 N N N Shellpoint Co-Originator Trust N/A Shellpoint Co-Originator Trust 2016-1 82281EBR7 115491.72000000 PA USD 117206.25000000 0.036455275454 Long ABS-MBS CORP US N 2 2031-10-25 Variable 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Long: BRTDD1BE2 CDS USD R F 1.00000 2 CORPORATE / Short: BRTDD1BE2 CDS USD P V 03MEVENT 1 CORPORATE 000000000 65000.00000000 OU Notional Amount USD 831.47000000 0.000258616480 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Procter & Gamble Co/The Procter & Gamble Co/The Y sell protection 2022-12-20 733.77000000 USD 0.00000000 USD 65000.00000000 USD 97.70000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RD71 188544.07000000 PA USD 201260.62000000 0.062599147573 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 3.50000000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 Texas Eastern Transmission LP 882384AE0 171000.00000000 PA USD 196215.24000000 0.061029856536 Long DBT CORP US N 2 2048-01-15 Fixed 4.15000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 United Parcel Service Inc 911312BR6 124000.00000000 PA USD 140172.26000000 0.043598514152 Long DBT CORP US N 2 2029-03-15 Fixed 3.40000000 N N N N N N Republic of Chile 549300FLZTJM5YJF8D34 Chile Government International Bond 168863CF3 130000.00000000 PA USD 141643.13000000 0.044056006573 Long DBT NUSS CL N 2 2028-02-06 Fixed 3.24000000 N N N N N N ABBOTT IRELAND FINANCING 54930021QV18ZVZQDE71 Abbott Ireland Financing DAC 000000000 100000.00000000 PA 120196.96000000 0.037385491692 Long DBT CORP IE N 2 2024-11-19 Fixed 0.10000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPG03K5 IRS USD R F 1.32479 2 CCPVANILLA / Short: SRWPG03K5 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 80000.00000000 OU Notional Amount USD 287.36000000 0.000089379089 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-09 1.27000000 USD 0.00000000 USD 80000.00000000 USD 286.09000000 N N N BPCE SA 9695005MSX1OYEMGDF46 BPCE SA 000000000 100000.00000000 PA 120611.86000000 0.037514540218 Long DBT CORP FR N 2 2026-01-15 Fixed 0.25000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 Santander UK Group Holdings PLC 80281LAN5 326000.00000000 PA USD 327629.64000000 0.101904367500 Long DBT CORP GB N 2 2025-03-15 Fixed 1.08900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H020683 4214000.00000000 PA USD 4315473.12000000 1.342264267543 Long ABS-MBS USGA US N 2 2051-08-19 Fixed 2.00000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 Glencore Funding LLC 378272BD9 194000.00000000 PA USD 195486.04000000 0.060803049630 Long DBT CORP US N 2 2026-04-27 Fixed 1.62500000 N N N N N N CC HOLDINGS GS V LLC/CRO N/A CC Holdings GS V LLC / Crown Castle GS III Corp 14987BAE3 460000.00000000 PA USD 486172.84000000 0.151216891598 Long DBT US N 2 2023-04-15 Fixed 3.84900000 N N N N N N Tampa Electric Co WS423EPRKJIIJUITXD73 Tampa Electric Co 875127BF8 59000.00000000 PA USD 76844.82000000 0.023901447920 Long DBT CORP US N 2 2049-06-15 Fixed 4.45000000 N N N N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 Florida Power & Light Co 341081FQ5 97000.00000000 PA USD 120515.34000000 0.037484519095 Long DBT CORP US N 2 2048-03-01 Fixed 3.95000000 N N N N N N AIR PRODUCTS & CHEMICALS 7QEON6Y1RL5XR3R1W237 Air Products and Chemicals Inc 009158BA3 60000.00000000 PA USD 62133.36000000 0.019325665258 Long DBT CORP US N 2 2050-05-15 Fixed 2.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128M9GP1 11432.09000000 PA USD 12549.57000000 0.003903358662 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPU73R9 IRS USD R F 1.19000 2 CCPVANILLA / Short: SRWPU73R9 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 1820000.00000000 OU Notional Amount USD 9716.83000000 0.003022276663 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-07-19 16.49000000 USD 0.00000000 USD 1820000.00000000 USD 9700.34000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWKZWRF0 SWAPTION 000000000 -570000.00000000 NC USD -1058.95000000 -0.00032937077 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 570000.00000000 OU Notional Amount N/A -1058.95000000 0.00000000 DIR US N/A N/A 2031-10-18 0.00000000 N/A 0.00000000 N/A 570000.00000000 USD 1.00000000 1.77500000 USD 2021-10-14 XXXX 11153.30000000 N N N TOTALENERGIES CAPITAL 549300U37G2I8G4RUG09 TotalEnergies Capital International SA 000000000 100000.00000000 PA 119528.63000000 0.037177617502 Long DBT CORP FR N 2 2021-11-19 Fixed 2.12500000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 Diamondback Energy Inc 25278XAP4 15000.00000000 PA USD 16841.04000000 0.005238157113 Long DBT CORP US N 2 2025-05-31 Fixed 4.75000000 N N N N N N ENTERGY ARKANSAS LLC 549300A0I5ONUIFMLP35 Entergy Arkansas LLC 29366MAC2 42000.00000000 PA USD 46811.96000000 0.014560169755 Long DBT CORP US N 2 2052-06-15 Fixed 3.35000000 N N N N N N Credit Suisse Seasoned Loan Trust N/A Credit Suisse Seasoned Loan Trust 2006-1 22545UAA7 32285.59000000 PA USD 32267.29000000 0.010036264662 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.32900000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Wells Fargo & Co 95000U2A0 317000.00000000 PA USD 351696.04000000 0.109389866279 Long DBT CORP US N 2 2028-05-22 Fixed 3.58400000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BRWQWT1V0 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWQWT1V0 IRS USD P F 3.15000 2 CCPINFLATIONZERO 000000000 2907000.00000000 OU Notional Amount USD -4149.80000000 -0.00129073408 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2023-08-02 17.03000000 USD 0.00000000 USD 2907000.00000000 USD -4166.83000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRW3XUN35 IRS USD R F .81950 2 CCPVANILLA / Short: SRW3XUN35 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 550000.00000000 OU Notional Amount USD -17682.75000000 -0.00549995859 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2030-04-14 9.93000000 USD 0.00000000 USD 550000.00000000 USD -17692.68000000 N N N BX Trust N/A BX Commercial Mortgage Trust 2020-VIV4 05608MAA4 255000.00000000 PA USD 271597.62000000 0.084476434063 Long ABS-MBS CORP US N 2 2044-03-09 Fixed 2.84300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WC7G2 28222.19000000 PA USD 29871.67000000 0.009291142393 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.00000000 N N N N N N SMB Private Education Loan Trust N/A SMB Private Education Loan Trust 2021-C 83208AAA1 268746.85000000 PA USD 269431.24000000 0.083802613515 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.39000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418CET7 17898.42000000 PA USD 18600.18000000 0.005785311665 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 2.00000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 Colombia Government International Bond 195325DS1 85000.00000000 PA USD 83156.56000000 0.025864621559 Long DBT NUSS CO N 2 2031-04-15 Fixed 3.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418DB68 10179.74000000 PA USD 10809.32000000 0.003362079565 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 3.50000000 N N N N N N BURLINGTN NORTH SANTA FE N/A Burlington Northern Santa Fe LLC 12189LBD2 173000.00000000 PA USD 218289.38000000 0.067895692224 Long DBT CORP US N 2 2048-12-15 Fixed 4.15000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38141GXJ8 805000.00000000 PA USD 873991.12000000 0.271842047883 Long DBT CORP US N 2 2025-04-01 Fixed 3.50000000 N N N N N N ELI LILLY & CO FRDRIPF3EKNDJ2CQJL29 Eli Lilly & Co 000000000 100000.00000000 PA 141914.58000000 0.044140437092 Long DBT CORP US N 2 2049-11-01 Fixed 1.70000000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC 2020-NET 126438AA8 383000.00000000 PA USD 397272.92000000 0.123565882616 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 2.25700000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWCG7568 SWAPTION 000000000 -480000.00000000 NC USD -9386.83000000 -0.00291963503 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 480000.00000000 OU Notional Amount N/A -9386.83000000 0.00000000 DIR US N/A N/A 2032-12-20 0.00000000 N/A 0.00000000 N/A 480000.00000000 USD 1.00000000 1.23250000 USD 2022-12-16 XXXX 6309.17000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRTUHZJA5 SWAPTION 000000000 -1150000.00000000 NC USD -7464.77000000 -0.00232180661 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 1150000.00000000 OU Notional Amount N/A -7464.77000000 0.00000000 DIR US N/A N/A 2034-06-24 0.00000000 N/A 0.00000000 N/A 1150000.00000000 USD 1.00000000 3.50000000 USD 2024-06-20 XXXX 9814.49000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWGPWUX7 SWAPTION 000000000 -660000.00000000 NC USD -9913.53000000 -0.00308345729 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 660000.00000000 OU Notional Amount N/A -9913.53000000 0.00000000 DIR US N/A N/A 2032-01-31 0.00000000 N/A 0.00000000 N/A 660000.00000000 USD 1.00000000 1.24750000 USD 2022-01-27 XXXX 5612.97000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPU8K64 IRS USD R F 1.45200 2 CCPVANILLA / Short: SRWPU8K64 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 271000.00000000 OU Notional Amount USD 1930.20000000 0.000600360242 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-01-18 4.32000000 USD 0.00000000 USD 271000.00000000 USD 1925.88000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW7KMLR7 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW7KMLR7 IRS USD P F .50200 2 CCPVANILLA 000000000 2490000.00000000 OU Notional Amount USD 64719.93000000 0.020130179709 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-08-17 41.88000000 USD 0.00000000 USD 2490000.00000000 USD 64678.05000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617BTGM8 57396.42000000 PA USD 62747.13000000 0.019516569365 Long ABS-MBS USGA US N 2 2048-01-15 Fixed 4.00000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A NXP BV / NXP Funding LLC / NXP USA Inc 62954HAG3 32000.00000000 PA USD 33175.15000000 0.010318641126 Long DBT CORP XX N 2 2031-05-11 Fixed 2.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWHLT522 SWAPTION 000000000 -620000.00000000 NC USD -22446.73000000 -0.00698172431 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 620000.00000000 OU Notional Amount N/A -22446.73000000 -0.01000000 DIR US N/A N/A 2032-02-22 0.00000000 N/A 0.00000000 N/A 620000.00000000 USD 1.00000000 1.62000000 USD 2022-02-18 XXXX -6016.73000000 N N N DELTA AIR LINES 2020-AA N/A Delta Air Lines 2020-1 Class AA Pass Through Trust 247361ZV3 61113.39000000 PA USD 61484.10000000 0.019123722511 Long DBT CORP US N 2 2028-06-10 Fixed 2.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWKR7Z65 SWAPTION 000000000 -7200000.00000000 NC USD -23157.36000000 -0.00720275529 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 7200000.00000000 OU Notional Amount N/A -23157.36000000 -0.01000000 DIR US N/A N/A 2024-01-12 0.00000000 N/A 0.00000000 N/A 7200000.00000000 USD 1.00000000 0.50800000 USD 2022-01-10 XXXX -1749.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERM49 28047.69000000 PA USD 29742.06000000 0.009250829114 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWNDU251 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWNDU251 IRS USD P F 1.88989 2 CCPVANILLA 000000000 470000.00000000 OU Notional Amount USD -21352.28000000 -0.00664131178 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2047-02-15 13.16000000 USD 0.00000000 USD 470000.00000000 USD -21365.44000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QL66 393355.27000000 PA USD 429601.44000000 0.133621191967 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 4.00000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 Mexico Government International Bond 91087BAC4 226000.00000000 PA USD 256962.00000000 0.079924240315 Long DBT NUSS MX N 2 2027-03-28 Fixed 4.15000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J6D20 48468.66000000 PA USD 54533.18000000 0.016961741360 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.50000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 L3Harris Technologies Inc 502431AM1 96000.00000000 PA USD 112183.14000000 0.034892911172 Long DBT CORP US N 2 2028-06-15 Fixed 4.40000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWJ37GZ1 SWAPTION 000000000 -970000.00000000 NC USD -59645.69000000 -0.01855191219 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 970000.00000000 OU Notional Amount N/A -59645.69000000 -0.02000000 DIR US N/A N/A 2033-03-03 0.00000000 N/A 0.00000000 N/A 970000.00000000 USD 1.00000000 2.01000000 USD 2023-03-01 XXXX -22688.69000000 N N N PARKER-HANNIFIN CORP 5493002CONDB4N2HKI23 Parker-Hannifin Corp 701094AN4 92000.00000000 PA USD 101550.96000000 0.031585928391 Long DBT CORP US N 2 2029-06-14 Fixed 3.25000000 N N N N N N EDvestinU Private Education Loan Issue No. 1, LLC N/A EDvestinU Private Education Loan Issue No 3 LLC 28166LAA2 93137.18000000 PA USD 94027.59000000 0.029245895110 Long ABS-O CORP US N 2 2045-11-25 Fixed 1.80000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 HCA Inc 404119BQ1 252000.00000000 PA USD 289169.14000000 0.089941796207 Long DBT CORP US N 2 2025-04-15 Fixed 5.25000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F030488 -307000.00000000 PA USD -323019.26000000 -0.10047037679 Short ABS-MBS USGSE US N 2 2036-08-15 Fixed 3.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GHZ5 107000.00000000 PA USD 110258.85000000 0.034294389148 Long DBT CORP US N 2 2031-02-13 Fixed 2.49600000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2019-7 46651GAL3 62240.26000000 PA USD 62302.19000000 0.019378177340 Long ABS-MBS CORP US N 2 2050-02-25 Floating 0.98900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X83D7 9915.69000000 PA USD 10947.35000000 0.003405011761 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 AT&T Inc 00206RCP5 180000.00000000 PA USD 215431.44000000 0.067006772137 Long DBT CORP US N 2 2035-05-15 Fixed 4.50000000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 Baltimore Gas and Electric Co 059165EN6 30000.00000000 PA USD 30872.14000000 0.009602323831 Long DBT CORP US N 2 2031-06-15 Fixed 2.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPKU969 IRS USD R F 1.35950 2 CCPVANILLA / Short: SRWPKU969 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 330000.00000000 OU Notional Amount USD 2254.63000000 0.000701269409 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-13 5.25000000 USD 0.00000000 USD 330000.00000000 USD 2249.38000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179VMF4 235392.55000000 PA USD 249179.70000000 0.077503670676 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418DLR1 31127.01000000 PA USD 33053.34000000 0.010280753922 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3.50000000 N N N N N N AMER AIRLINE 17-1 AA PTT N/A American Airlines 2017-1 Class AA Pass Through Trust 023761AA7 33005.00000000 PA USD 34459.21000000 0.010718029051 Long DBT CORP US N 2 2029-02-15 Fixed 3.65000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWP6D1Q7 IRS USD R F 1.79635 2 CCPVANILLA / Short: SRWP6D1Q7 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 320000.00000000 OU Notional Amount USD 8056.10000000 0.002505731090 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2047-02-15 8.98000000 USD 0.00000000 USD 320000.00000000 USD 8047.12000000 N N N ADT SEC CORP 5493009JEEDYLVRA0J13 ADT Security Corp/The 00101JAF3 442000.00000000 PA USD 453242.27000000 0.140974323473 Long DBT CORP US N 2 2022-07-15 Fixed 3.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 BRWQ0LHR4 BLACKROCK SWAPTION 0.0167500 CALL USD 20 000000000 380000.00000000 NC USD 16077.57000000 0.005000691029 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 IRS Swap N/A 380000.00000000 OU Notional Amount N/A 16077.57000000 0.01000000 DIR US N/A N/A 2034-07-24 0.00000000 N/A 0.00000000 N/A 380000.00000000 USD 1.00000000 0.01675000 USD 2024-07-22 XXXX -794.43000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SGL5 84513.52000000 PA USD 89870.77000000 0.027952977556 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 Altria Group Inc 02209SBG7 13000.00000000 PA USD 17232.85000000 0.005360023835 Long DBT CORP US N 2 2059-02-14 Fixed 6.20000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 Virginia Electric and Power Co 927804FT6 62000.00000000 PA USD 76138.21000000 0.023681667301 Long DBT CORP US N 2 2045-05-15 Fixed 4.20000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 Citigroup Inc 172967MV0 136000.00000000 PA USD 139196.00000000 0.043294862878 Long DBT CORP US N 2 2026-02-18 Fixed 3.87500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PBH8 502000.00000000 PA USD 520232.39000000 0.161810612301 Long DBT CORP US N 2 2026-03-13 Fixed 2.00500000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 Sirius XM Radio Inc 82967NBE7 346000.00000000 PA USD 354217.50000000 0.110174129224 Long DBT CORP US N 2 2024-07-15 Fixed 4.62500000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 AEP Texas Inc 00108WAN0 107000.00000000 PA USD 114972.07000000 0.035760366716 Long DBT CORP US N 2 2051-05-15 Fixed 3.45000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWKG34L7 SWAPTION 000000000 -4690000.00000000 NC USD -3298.95000000 -0.00102608974 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 4690000.00000000 OU Notional Amount N/A -3298.95000000 0.00000000 DIR US N/A N/A 2024-03-01 0.00000000 N/A 0.00000000 N/A 4690000.00000000 USD 1.00000000 0.75000000 USD 2022-02-25 XXXX 8191.55000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 BRWQ0LHS2 BLACKROCK SWAPTION 0.0167500 PUT USD 202 000000000 380000.00000000 NC USD 17503.41000000 0.005444177532 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 IRS Swap N/A 380000.00000000 OU Notional Amount N/A 17503.41000000 0.01000000 DIR US N/A N/A 2034-07-24 0.00000000 N/A 0.00000000 N/A 380000.00000000 USD 1.00000000 0.01675000 USD 2024-07-22 XXXX 631.41000000 N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 Raytheon Technologies Corp 75513EBZ3 24000.00000000 PA USD 31755.27000000 0.009877008393 Long DBT CORP US N 2 2028-11-01 Fixed 7.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BRWNASR78 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWNASR78 IRS USD P F 2.48300 2 CCPINFLATIONZERO 000000000 725000.00000000 OU Notional Amount USD 14203.47000000 0.004417779864 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-06-11 14.87000000 USD 0.00000000 USD 725000.00000000 USD 14188.60000000 N N N BANCO DE SABADELL SA SI5RG2M0WQQLZCXKRM20 Banco de Sabadell SA 000000000 200000.00000000 PA 245583.49000000 0.076385122594 Long DBT CORP ES N 2 2027-03-11 Fixed 1.12500000 N N N N N N LYB INT FINANCE III N/A LYB International Finance III LLC 50249AAD5 49000.00000000 PA USD 58059.13000000 0.018058436105 Long DBT CORP US N 2 2050-05-01 Fixed 4.20000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VDV3 22000.00000000 PA USD 31314.15000000 0.009739804523 Long DBT CORP US N 2 2047-03-16 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617BYFD8 74361.37000000 PA USD 81293.62000000 0.025285181548 Long ABS-MBS USGA US N 2 2047-12-15 Fixed 4.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTRECD46 SWAPTION 000000000 1086500.00000000 NC USD 142230.67000000 0.044238752225 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1086500.00000000 OU Notional Amount N/A 142230.67000000 0.04000000 DIR US N/A N/A 2034-03-11 0.00000000 N/A 0.00000000 N/A 1086500.00000000 USD 1.00000000 2.98000000 USD 2024-03-07 XXXX 91652.63000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SRWM2TCVS IRS EUR R V 06MEURIB LCH CCPVANILLA / Short: SRWM2TCVS IRS EUR P F .15000 LCH CCPVANILLA 000000000 1140000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-11-16 0.00000000 EUR 0.00000000 EUR 1140000.00000000 EUR -10.25000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GJB6 169000.00000000 PA USD 175159.19000000 0.054480682727 Long DBT CORP US N 2 2031-04-29 Fixed 2.59200000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 Teachers Insurance & Annuity Association of America 878091BD8 43000.00000000 PA USD 56364.88000000 0.017531464630 Long DBT CORP US N 2 2044-09-15 Fixed 4.90000000 N N N N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 Florida Power & Light Co 341081EV5 7000.00000000 PA USD 9793.62000000 0.003046161060 Long DBT CORP US N 2 2037-02-01 Fixed 5.65000000 N N N N N N NORFOLK SOUTHERN CORP 54930036C8MWP850MI84 Norfolk Southern Corp 655844CF3 60000.00000000 PA USD 61766.93000000 0.019211692611 Long DBT CORP US N 2 2050-05-15 Fixed 3.05000000 N N N N N N Westlake Automobile Receivables Trust 2020-1 N/A Westlake Automobile Receivables Trust 2020-1 96042KAB9 419321.86000000 PA USD 420650.94000000 0.130837270948 Long ABS-O CORP US N 2 2023-09-15 Fixed 1.44000000 N N N N N N SMB Private Education Loan Trust N/A SMB Private Education Loan Trust 2021-A 78448YAD3 100000.00000000 PA USD 102366.47000000 0.031839580749 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.31000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRTZ4SUL7 IRS USD R F 3.08300 2 CCPVANILLA / Short: SRTZ4SUL7 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 4530000.00000000 OU Notional Amount USD 382942.92000000 0.119108747461 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-11-29 54.72000000 USD 0.00000000 USD 4530000.00000000 USD 382888.20000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 T-Mobile USA Inc 87264ABR5 225000.00000000 PA USD 227531.25000000 0.070770239584 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 T-Mobile USA Inc 87264ABD6 1216000.00000000 PA USD 1355694.08000000 0.421668649231 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N ACTIVISION BLIZZARD 549300TPQQDBP9GNOF40 Activision Blizzard Inc 00507VAK5 43000.00000000 PA USD 47619.43000000 0.014811321389 Long DBT CORP US N 2 2026-09-15 Fixed 3.40000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SRWNSW9H8 IRS USD R F 2.54500 2 CCPINFLATIONZERO / Short: SRWNSW9H8 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO 000000000 1395000.00000000 OU Notional Amount USD -26337.74000000 -0.00819196558 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-06-24 16.14000000 USD 0.00000000 USD 1395000.00000000 USD -26353.88000000 N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F042681 -81000.00000000 PA USD -87326.91000000 -0.02716174742 Short ABS-MBS USGSE US N 2 2051-08-15 Fixed 4.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWCGL1W4 SWAPTION 000000000 -480000.00000000 NC USD -21452.16000000 -0.00667237798 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 480000.00000000 OU Notional Amount N/A -21452.16000000 -0.01000000 DIR US N/A N/A 2032-12-20 0.00000000 N/A 0.00000000 N/A 480000.00000000 USD 1.00000000 1.24500000 USD 2022-12-16 XXXX -5756.16000000 N N N Eni SpA BUCRF72VH5RBN7X3VL35 Eni SpA 000000000 200000.00000000 PA 296513.97000000 0.092226297254 Long DBT CORP IT N 2 2029-01-29 Fixed 3.62500000 N N N N N N Flagstar Mortgage Trust N/A Flagstar Mortgage Trust 2019-1 33852AAL1 186170.40000000 PA USD 186140.46000000 0.057896244804 Long ABS-MBS CORP US N 2 2049-10-25 Floating 1.03900000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NDG3 282000.00000000 PA USD 314677.08000000 0.097875664742 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38143U8H7 348000.00000000 PA USD 385387.13000000 0.119868982933 Long DBT CORP US N 2 2026-02-25 Fixed 3.75000000 N N N N N N SMB Private Education Loan Trust 549300NWENTZ8X7JUC78 SMB Private Education Loan Trust 2017-B 83189DAC4 128325.46000000 PA USD 128802.24000000 0.040062037121 Long ABS-O CORP US N 2 2035-10-15 Floating 0.84300000 N N N N N N UNITED AIR 2020-1 B PTT N/A United Airlines 2020-1 Class B Pass Through Trust 90932VAA3 37370.00000000 PA USD 39201.32000000 0.012192992428 Long DBT CORP US N 2 2026-01-15 Fixed 4.87500000 N N N N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 Banque Federative du Credit Mutuel SA 000000000 100000.00000000 PA 121251.30000000 0.037713428599 Long DBT CORP FR N 2 2023-06-15 Fixed 0.75000000 N N N N N N UPJOHN FINANCE BV 254900OG32E8F3XO5O83 Upjohn Finance BV 000000000 140000.00000000 PA 171256.46000000 0.053266796119 Long DBT CORP NL N 2 2024-06-23 Fixed 1.02300000 N N N N N N VISTRA CORP 549300ZH5GKBTJZ7NM23 Vistra Operations Co LLC 92840VAE2 262000.00000000 PA USD 286676.79000000 0.089166587498 Long DBT CORP US N 2 2029-07-15 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J7S63 53580.56000000 PA USD 56856.43000000 0.017684354008 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SW9 585000.00000000 PA USD 591581.25000000 0.184002622920 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTTA18H7 SWAPTION 000000000 1430000.00000000 NC USD 6855.99000000 0.002132454574 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1430000.00000000 OU Notional Amount N/A 6855.99000000 0.00000000 DIR US N/A N/A 2052-05-11 0.00000000 N/A 0.00000000 N/A 1430000.00000000 USD 1.00000000 2.85000000 USD 2022-05-09 XXXX -77402.69000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRW9C7N69 SWAPTION 000000000 -535000.00000000 NC USD -7072.81000000 -0.00219989323 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 535000.00000000 OU Notional Amount N/A -7072.81000000 0.00000000 DIR US N/A N/A 2032-10-13 0.00000000 N/A 0.00000000 N/A 535000.00000000 USD 1.00000000 1.06300000 USD 2022-10-11 XXXX 10929.94000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERRX0 9094.58000000 PA USD 10232.52000000 0.003182674432 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 Sherwin-Williams Co/The 824348BB1 330000.00000000 PA USD 332528.13000000 0.103427970570 Long DBT CORP US N 2 2022-01-15 Fixed 4.20000000 N N N N N N Credit Suisse Mortgage Trust N/A Credit Suisse Mortgage Capital Certificates 12659RAE9 130000.00000000 PA USD 133899.48000000 0.041647458447 Long ABS-MBS CORP US N 3 2026-07-15 Fixed 2.79500000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 CVS Health Corp 126650DH0 69000.00000000 PA USD 76925.79000000 0.023926632445 Long DBT CORP US N 2 2027-04-01 Fixed 3.62500000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GFP9 127000.00000000 PA USD 139421.32000000 0.043364945341 Long DBT CORP US N 2 2025-04-21 Fixed 3.95000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 Crown Castle International Corp 22822VAR2 117000.00000000 PA USD 127414.19000000 0.039630304640 Long DBT US N 2 2030-07-01 Fixed 3.30000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 Union Pacific Corp 907818FK9 182000.00000000 PA USD 195695.65000000 0.060868245729 Long DBT CORP US N 2 2050-02-05 Fixed 3.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMRF4 44162.02000000 PA USD 47380.41000000 0.014736977744 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N FIDELITY NATL INFO SERV 6WQI0GK1PRFVBA061U48 Fidelity National Information Services Inc 000000000 200000.00000000 PA 241373.30000000 0.075075605088 Long DBT CORP US N 2 2023-05-21 Fixed 0.75000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 General Motors Financial Co Inc 37045XAS5 113000.00000000 PA USD 123536.43000000 0.038424184583 Long DBT CORP US N 2 2025-01-15 Fixed 4.00000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F020489 2930000.00000000 PA USD 3040754.00000000 0.945781685367 Long ABS-MBS USGSE US N 2 2036-08-15 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FHQ22 590000.00000000 PA USD 629089.33000000 0.195668958019 Long ABS-MBS USGSE US N 2 2025-07-25 Fixed 3.37000000 N N N N N N VONOVIA SE 5299005A2ZEP6AP7KM81 Vonovia SE 000000000 100000.00000000 PA 121412.63000000 0.037763607916 Long DBT CORP DE N 2 2029-12-14 Fixed 0.62500000 N N N N N N Vonovia Finance BV 5299009XLZLD9TALOZ03 Vonovia Finance BV 000000000 100000.00000000 PA 119259.12000000 0.037093790391 Long DBT CORP NL N 2 2022-01-25 Fixed 0.75000000 N N N N N N TRANSCONT GAS PIPE LINE N/A Transcontinental Gas Pipe Line Co LLC 893574AK9 271000.00000000 PA USD 309228.99000000 0.096181116698 Long DBT CORP US N 2 2028-03-15 Fixed 4.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPHU1D6 IRS USD R F 1.26900 2 CCPVANILLA / Short: SRWPHU1D6 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 165000.00000000 OU Notional Amount USD -297.99000000 -0.00009268539 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-12 2.62000000 USD 0.00000000 USD 165000.00000000 USD -300.61000000 N N N SOUTHWESTERN PUBLIC SERV OL6FE7QD5EQ3DOYEO258 Southwestern Public Service Co 845743BU6 130000.00000000 PA USD 140685.03000000 0.043758003698 Long DBT CORP US N 2 2050-05-01 Fixed 3.15000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VCV4 33000.00000000 PA USD 39663.04000000 0.012336603624 Long DBT CORP US N 2 2036-01-15 Fixed 4.27200000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Morgan Stanley 61772BAB9 621000.00000000 PA USD 630320.81000000 0.196051991711 Long DBT CORP US N 2 2027-05-04 Fixed 1.59300000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWHXJRC5 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWHXJRC5 IRS USD P F 1.27082 2 CCPVANILLA 000000000 1470000.00000000 OU Notional Amount USD -25868.59000000 -0.00804604339 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-02-15 17.78000000 USD 0.00000000 USD 1470000.00000000 USD -25886.37000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWJ8HHA8 SWAPTION 000000000 -3240000.00000000 NC USD -6094.12000000 -0.00189548614 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 3240000.00000000 OU Notional Amount N/A -6094.12000000 0.00000000 DIR US N/A N/A 2024-03-07 0.00000000 N/A 0.00000000 N/A 3240000.00000000 USD 1.00000000 0.51750000 USD 2022-03-03 XXXX 3342.38000000 N N N Social Professional Loan Program LLC 5493002WMPR84WZ75V46 Sofi Professional Loan Program 2018-A LLC 83406EAC9 156131.00000000 PA USD 159080.78000000 0.049479730428 Long ABS-O CORP US N 2 2042-02-25 Fixed 2.95000000 N N N N N N MAGNA INTERNATIONAL INC 95RWVLFZX6VGDZNNTN43 Magna International Inc 559222AV6 191000.00000000 PA USD 198146.55000000 0.061630562027 Long DBT CORP CA N 2 2030-06-15 Fixed 2.45000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GHF9 123000.00000000 PA USD 128841.23000000 0.040074164386 Long DBT CORP US N 2 2024-03-05 Fixed 3.55000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 McDonald's Corp 58013MFM1 49000.00000000 PA USD 50327.90000000 0.015653751037 Long DBT CORP US N 2 2030-03-01 Fixed 2.12500000 N N N N N N BAE Systems Holdings Inc MF62XBVMNYTYMC18DL76 BAE Systems Holdings Inc 05523UAK6 345000.00000000 PA USD 375813.64000000 0.116891290062 Long DBT CORP US N 2 2024-10-07 Fixed 3.80000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 Energy Transfer LP 29273RBG3 19000.00000000 PA USD 21425.16000000 0.006663980030 Long DBT CORP US N 2 2026-01-15 Fixed 4.75000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 Broadcom Inc 11135FBA8 306000.00000000 PA USD 359329.47000000 0.111764132099 Long DBT CORP US N 2 2029-04-15 Fixed 4.75000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 Glencore Funding LLC 378272AX6 159000.00000000 PA USD 161483.74000000 0.050227135696 Long DBT CORP US N 2 2025-09-01 Fixed 1.62500000 N N N N N N NXP BV/NXP FDG/NXP USA N/A NXP BV / NXP Funding LLC / NXP USA Inc 62954HAB4 412000.00000000 PA USD 478506.98000000 0.148832538904 Long DBT CORP XX N 2 2029-06-18 Fixed 4.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H032688 1168200.00000000 PA USD 1226726.82000000 0.381555285072 Long ABS-MBS USGA US N 2 2051-08-19 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AG5K4 41418.48000000 PA USD 46124.00000000 0.014346189943 Long ABS-MBS USGSE US N 2 2043-11-25 Fixed 4.00000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -2187.00000000 -0.00068023409 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 335678.00000000 EUR 396346.60000000 USD 2021-09-15 -2187.00000000 N N N BENCHMARK Mortgage Trust N/A Benchmark 2019-B15 Mortgage Trust 08160KAK0 111000.00000000 PA USD 118929.02000000 0.036991117655 Long ABS-MBS CORP US N 2 2072-12-15 Variable 3.72300000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 Chile Government International Bond 168863DP0 145000.00000000 PA USD 148169.70000000 0.046085999915 Long DBT NUSS CL N 2 2031-01-31 Fixed 2.45000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A NXP BV / NXP Funding LLC / NXP USA Inc 62954HAD0 118000.00000000 PA USD 130541.82000000 0.040603107824 Long DBT CORP XX N 2 2030-05-01 Fixed 3.40000000 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust 2018-SUN 61691MAA5 290000.00000000 PA USD 290174.41000000 0.090254470614 Long ABS-MBS CORP US N 2 2035-07-15 Floating 0.99300000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38141GYC2 358000.00000000 PA USD 378715.86000000 0.117793982790 Long DBT CORP US N 2 2042-04-22 Fixed 3.21000000 N N N N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 Duke Energy Progress LLC 144141DB1 131000.00000000 PA USD 159397.56000000 0.049578260175 Long DBT CORP US N 2 2042-05-15 Fixed 4.10000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 013092AF8 140000.00000000 PA USD 143381.00000000 0.044596545406 Long DBT CORP US N 2 2026-03-15 Fixed 3.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPGN978 IRS USD R F 1.32050 2 CCPVANILLA / Short: SRWPGN978 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 165000.00000000 OU Notional Amount USD 525.04000000 0.000163305948 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-09 2.62000000 USD 0.00000000 USD 165000.00000000 USD 522.42000000 N N N UNITED AIR 2018-1 AA PTT N/A United Airlines 2018-1 Class AA Pass Through Trust 909318AA5 17669.23000000 PA USD 18494.22000000 0.005752354370 Long DBT CORP US N 2 2030-03-01 Fixed 3.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC Holdings PLC 404280CM9 238000.00000000 PA USD 239414.49000000 0.074466346127 Long DBT CORP GB N 2 2027-05-24 Fixed 1.58900000 N N N N N N SMB Private Education Loan Trust 549300QHI21JZK7YIR34 SMB Private Education Loan Trust 2018-A 78449PAC3 446591.89000000 PA USD 448279.52000000 0.139430733279 Long ABS-O CORP US N 2 2036-02-15 Floating 0.89300000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 Broadcom Inc 11135FAQ4 323000.00000000 PA USD 366116.37000000 0.113875097248 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 Lockheed Martin Corp 539830AR0 65000.00000000 PA USD 94289.73000000 0.029327429891 Long DBT CORP US N 2 2036-09-01 Fixed 6.15000000 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 Ohio Power Co 677415CQ2 69000.00000000 PA USD 84993.97000000 0.026436120841 Long DBT CORP US N 2 2048-04-01 Fixed 4.15000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWHLSBU5 IRS USD R F 1.90500 2 CCPVANILLA / Short: SRWHLSBU5 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 110000.00000000 OU Notional Amount USD 6061.76000000 0.001885421046 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2051-02-22 3.39000000 USD 0.00000000 USD 110000.00000000 USD 6058.37000000 N N N AbbVie Inc FR5LCKFTG8054YNNRU85 AbbVie Inc 00287YAV1 54000.00000000 PA USD 65154.72000000 0.020265414726 Long DBT CORP US N 2 2036-05-14 Fixed 4.30000000 N N N N N N UNITED AIR 2018-1 B PTT N/A United Airlines 2018-1 Class B Pass Through Trust 90932NAA1 54305.85000000 PA USD 56238.89000000 0.017492277299 Long DBT CORP US N 2 2026-03-01 Fixed 4.60000000 N N N N N N BORGWARNER INC 549300DSFX2IE88NSX47 BorgWarner Inc 000000000 100000.00000000 PA 122148.82000000 0.037992588958 Long DBT CORP US N 2 2031-05-19 Fixed 1.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WHMC3 852396.62000000 PA USD 929903.35000000 0.289232722407 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWH6JRF8 SWAPTION 000000000 3310000.00000000 NC USD 17772.38000000 0.005527836684 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 3310000.00000000 OU Notional Amount N/A 17772.38000000 0.01000000 DIR US N/A N/A 2026-02-06 0.00000000 N/A 0.00000000 N/A 3310000.00000000 USD 1.00000000 1.22750000 USD 2025-02-04 XXXX 2711.88000000 N N N AMER AIRLN 15-2 AA PTT N/A American Airlines 2015-2 Class AA Pass Through Trust 02377BAB2 42737.45000000 PA USD 44425.86000000 0.013818008541 Long DBT CORP US N 2 2027-09-22 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J7MC6 74901.53000000 PA USD 77838.28000000 0.024210449001 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 EUR 1Y MIDCV OP OCT21P 99.25 EXP 10/15/2021 000000000 45.00000000 NC USD 1125.00000000 0.000349914658 N/A DIR US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Eurodollar Time Deposit Future N/A 45.00000000 NC N/A 1125.00000000 0.00000000 DCO US Long Eurodollar Time Deposit EDZ2 Comdty 2022-12-19 45.00000000 USD 2500.00000000 99.25000000 USD 2021-10-15 XXXX -2885.85000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SL3 955000.00000000 PA USD 974323.83000000 0.303049057579 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N N DISH DBS Corp N/A DISH DBS Corp 25470XAJ4 1194000.00000000 PA USD 1235790.00000000 0.384374253543 Long DBT CORP US N 2 2022-07-15 Fixed 5.87500000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 FedEx Corp 31428XBZ8 366000.00000000 PA USD 432425.73000000 0.134499645717 Long DBT CORP US N 2 2030-05-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J55S4 40398.78000000 PA USD 45219.63000000 0.014064898993 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 Energy Transfer LP 29278NAG8 37000.00000000 PA USD 44091.29000000 0.013713945477 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 Capital One Financial Corp 14040HCC7 200000.00000000 PA 255329.57000000 0.079416497039 Long DBT CORP US N 2 2029-06-12 Fixed 1.65000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 Apple Inc 037833EG1 2000.00000000 PA USD 1982.80000000 0.000616720696 Long DBT CORP US N 2 2061-02-08 Fixed 2.80000000 N N N N N N Cantor Commercial Real Estate Lending N/A Cantor Commercial Real Estate Lending 2019-CF3 12529TBB8 101000.00000000 PA USD 110406.34000000 0.034340263737 Long ABS-MBS CORP US N 2 2053-01-15 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J74X0 772343.73000000 PA USD 816454.43000000 0.253946109034 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 3.00000000 N N N N N N Tencent Holdings Ltd 254900N4SLUMW4XUYY11 Tencent Holdings Ltd 88032WAE6 200000.00000000 PA USD 206350.00000000 0.064182124162 Long DBT CORP KY N 2 2023-01-19 Fixed 2.98500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTPRWT37 SWAPTION 000000000 320000.00000000 NC USD 39554.91000000 0.012302971382 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 320000.00000000 OU Notional Amount N/A 39554.91000000 0.01000000 DIR US N/A N/A 2039-01-12 0.00000000 N/A 0.00000000 N/A 320000.00000000 USD 1.00000000 3.05250000 USD 2029-01-10 XXXX 21402.91000000 N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 Discovery Communications LLC 000000000 225000.00000000 PA 287223.39000000 0.089336599366 Long DBT CORP US N 2 2027-03-19 Fixed 1.90000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 Lowe's Cos Inc 548661DX2 80000.00000000 PA USD 78952.28000000 0.024556942272 Long DBT CORP US N 2 2028-04-15 Fixed 1.30000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 AT&T Inc 00206RMG4 258000.00000000 PA USD 274866.70000000 0.085493233184 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 Peruvian Government International Bond 715638BM3 120000.00000000 PA USD 162210.00000000 0.050453028157 Long DBT NUSS PE N 2 2050-11-18 Fixed 5.62500000 N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BBBE9 2377734.01000000 PA USD 57598.70000000 0.017915226144 Long ABS-MBS USGSE US N 2 2024-03-25 Variable 1.10600000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 Barclays PLC 000000000 100000.00000000 PA 129372.37000000 0.040239367649 Long DBT CORP GB N 2 2025-04-02 Fixed 3.37500000 N N N N N N State Street Global Advisors 5493008BJIBKQ5KTIF74 State Street Navigator Securities Lending Government Money Market Portfolio 857492706 1003012.50000000 NS USD 1003012.50000000 0.311972245270 Long STIV RF US N 2 N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRTZ4WKU9 IRS USD R F 1.92850 2 CCPVANILLA / Short: SRTZ4WKU9 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 30000.00000000 OU Notional Amount USD 573.80000000 0.000178472027 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2056-12-01 0.78000000 USD 0.00000000 USD 30000.00000000 USD 573.02000000 N N N TWITTER INC 549300I8RX485XMK6836 Twitter Inc 90184LAG7 200000.00000000 PA USD 213920.00000000 0.066536661016 Long DBT CORP US N 2 2027-12-15 Fixed 3.87500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWDC17A2 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWDC17A2 IRS USD P F 1.05450 2 CCPVANILLA 000000000 380000.00000000 OU Notional Amount USD 6956.84000000 0.002163822479 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-01-11 5.80000000 USD 0.00000000 USD 380000.00000000 USD 6951.04000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NDA6 336000.00000000 PA USD 357031.83000000 0.111049485064 Long DBT CORP US N 2 2030-02-01 Fixed 2.65000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRW602478 IRS USD R F .67950 2 CCPVANILLA / Short: SRW602478 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 1065000.00000000 OU Notional Amount USD -19811.48000000 -0.00616206866 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-06-20 16.32000000 USD 0.00000000 USD 1065000.00000000 USD -19827.80000000 N N N BPCE SA 9695005MSX1OYEMGDF46 BPCE SA 05578AAN8 313000.00000000 PA USD 332437.79000000 0.103399871645 Long DBT CORP FR N 2 2029-10-01 Fixed 2.70000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 Union Pacific Corp 907818FP8 116000.00000000 PA USD 123562.39000000 0.038432259058 Long DBT CORP US N 2 2036-04-06 Fixed 2.89100000 N N N N N N Credit Acceptance Auto Loan Trust N/A Credit Acceptance Auto Loan Trust 2019-3 22535KAA1 630000.00000000 PA USD 641371.75000000 0.199489223614 Long ABS-O CORP US N 2 2028-11-15 Fixed 2.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140F5BJ1 21656.05000000 PA USD 22505.14000000 0.006999891881 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC Trust 2017-CALI 12652FAA0 260000.00000000 PA USD 277276.92000000 0.086242896568 Long ABS-MBS CORP US N 2 2032-11-10 Fixed 3.43100000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Wells Fargo & Co 95000U2Q5 248000.00000000 PA USD 259793.26000000 0.080804861981 Long DBT CORP US N 2 2041-04-30 Fixed 3.06800000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWNJXBS9 IRS USD R F .35250 2 CCPVANILLA / Short: SRWNJXBS9 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 4070000.00000000 OU Notional Amount USD -62.88000000 -0.00001955789 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2023-11-18 17.29000000 USD 0.00000000 USD 4070000.00000000 USD -80.17000000 N N N IMPERIAL BRANDS FIN NETH 724500GIEFJOBWGD0272 Imperial Brands Finance Netherlands BV 000000000 100000.00000000 PA 122240.16000000 0.038020998918 Long DBT CORP NL N 2 2033-03-18 Fixed 1.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MAY6 50590.46000000 PA USD 55661.72000000 0.017312757083 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 4.00000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 Altria Group Inc 02209SBE2 387000.00000000 PA USD 485882.12000000 0.151126467429 Long DBT CORP US N 2 2039-02-14 Fixed 5.80000000 N N N N N N Republic Services Inc NKNQHM6BLECKVOQP7O46 Republic Services Inc 760759AS9 88000.00000000 PA USD 97443.49000000 0.030308360426 Long DBT CORP US N 2 2027-11-15 Fixed 3.37500000 N N N N N N UNITED AIR 2016-1 AA PTT N/A United Airlines 2016-1 Class AA Pass Through Trust 90931LAA6 4733.61000000 PA USD 5009.49000000 0.001558127982 Long DBT CORP US N 2 2028-07-07 Fixed 3.10000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWK4SRQ9 SWAPTION 000000000 -6290000.00000000 NC USD -23160.41000000 -0.00720370395 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 6290000.00000000 OU Notional Amount N/A -23160.41000000 -0.01000000 DIR US N/A N/A 2024-03-25 0.00000000 N/A 0.00000000 N/A 6290000.00000000 USD 1.00000000 0.56500000 USD 2022-03-23 XXXX -2717.91000000 N N N IBM CORP VGRQXHF3J8VDLUA7XE92 International Business Machines Corp 459200HF1 133000.00000000 PA USD 157619.15000000 0.049025111973 Long DBT CORP US N 2 2042-06-20 Fixed 4.00000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 Cigna Corp 125523CB4 155000.00000000 PA USD 171608.26000000 0.053376218321 Long DBT CORP US N 2 2027-03-01 Fixed 3.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617AXW42 18106.92000000 PA USD 19794.91000000 0.006156914811 Long ABS-MBS USGA US N 2 2047-06-15 Fixed 4.00000000 N N N N N N NATIONAL RETAIL PROP INC 5493008JKH5SOTI0JS97 National Retail Properties Inc 637417AQ9 109000.00000000 PA USD 117597.80000000 0.036577061307 Long DBT US N 2 2051-04-15 Fixed 3.50000000 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 Lumen Technologies Inc 156700AS5 617000.00000000 PA USD 633094.45000000 0.196914691526 Long DBT CORP US N 2 2022-03-15 Fixed 5.80000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 McDonald's Corp 58013MFA7 108000.00000000 PA USD 142650.34000000 0.044369284389 Long DBT CORP US N 2 2045-12-09 Fixed 4.87500000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 Sherwin-Williams Co/The 824348AX4 37000.00000000 PA USD 46927.81000000 0.014596203189 Long DBT CORP US N 2 2047-06-01 Fixed 4.50000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 Exelon Corp 30161NAY7 70000.00000000 PA USD 90896.44000000 0.028271997082 Long DBT CORP US N 2 2050-04-15 Fixed 4.70000000 N N N N N N ELARA HGV TIMESHARE ISSUER N/A Elara HGV Timeshare Issuer 2016-A LLC 28415PAA2 45733.74000000 PA USD 46556.21000000 0.014480622489 Long ABS-O CORP US N 2 2028-04-25 Fixed 2.73000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 EURO-BOBL FUTURE SEP21 000000000 -22.00000000 NC -34207.80000000 -0.01063983167 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bobl (FGBM) OEU1 Comdty 2021-09-08 -2949083.06000000 EUR -34207.80000000 N N N AbbVie Inc FR5LCKFTG8054YNNRU85 AbbVie Inc 00287YAR0 506000.00000000 PA USD 621747.79000000 0.193385480278 Long DBT CORP US N 2 2035-05-14 Fixed 4.50000000 N N N N N N SES SA 5493008JPA4HYMH1HX51 SES SA 000000000 100000.00000000 PA 130130.86000000 0.040475284777 Long DBT CORP LU N 2 2028-07-02 Fixed 2.00000000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 Northern States Power Co/MN 665772CS6 121000.00000000 PA USD 120582.33000000 0.037505355347 Long DBT CORP US N 2 2051-06-01 Fixed 2.60000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWQCWUX9 IRS USD R F 1.27300 2 CCPVANILLA / Short: SRWQCWUX9 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 50000.00000000 OU Notional Amount USD -84.27000000 -0.00002621094 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-28 0.80000000 USD 0.00000000 USD 50000.00000000 USD -85.07000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW5F72Z3 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW5F72Z3 IRS USD P F .64800 2 CCPVANILLA 000000000 440000.00000000 OU Notional Amount USD 21193.54000000 0.006591938045 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2030-06-02 8.07000000 USD 0.00000000 USD 440000.00000000 USD 21185.47000000 N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 Bank of New York Mellon Corp/The 06406RAB3 61000.00000000 PA USD 67803.33000000 0.021089225804 Long DBT CORP US N 2 2028-02-07 Fixed 3.44200000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWCWHKH7 SWAPTION 000000000 -530000.00000000 NC USD -23819.84000000 -0.00740880992 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 530000.00000000 OU Notional Amount N/A -23819.84000000 -0.01000000 DIR US N/A N/A 2033-01-04 0.00000000 N/A 0.00000000 N/A 530000.00000000 USD 1.00000000 1.25400000 USD 2022-12-30 XXXX -6382.84000000 N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NCE9 32000.00000000 PA USD 38430.38000000 0.011953202911 Long DBT CORP US N 2 2049-11-01 Fixed 3.99900000 N N N N N N FRESENIUS FIN IRELAND PL 549300GFSOR556BX2290 Fresenius Finance Ireland PLC 000000000 60000.00000000 PA 72790.07000000 0.022640277734 Long DBT CORP IE N 2 2031-10-01 Fixed 0.87500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWM3VVX9 BLACKROCK 000000000 -1140000.00000000 NC -11875.57000000 -0.00369372090 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1140000.00000000 OU Notional Amount N/A -11875.57000000 0.00000000 DIR US N/A N/A 2033-05-17 0.00000000 N/A 0.00000000 N/A 1140000.00000000 EUR 1.00000000 0.00700000 EUR 2023-05-15 XXXX 18625.76000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTXYXSZ0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTXYXSZ0 IRS USD P F 1.93300 2 CCPVANILLA 000000000 380000.00000000 OU Notional Amount USD -5350.02000000 -0.00166404481 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-10-22 6.91000000 USD 0.00000000 USD 380000.00000000 USD -5356.93000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SRWHCY0J9 IRS USD R F 2.35000 2 CCPINFLATIONZERO / Short: SRWHCY0J9 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO 000000000 740000.00000000 OU Notional Amount USD -31510.38000000 -0.00980083897 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-02-16 14.68000000 USD 0.00000000 USD 740000.00000000 USD -31525.06000000 N N N UNITED AIR 2019-2 B PTT N/A United Airlines 2019-2 Class B Pass Through Trust 90932KAA7 73454.49000000 PA USD 72957.83000000 0.022692457008 Long DBT CORP US N 2 2028-05-01 Fixed 3.50000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp 68389XAH8 173000.00000000 PA USD 241181.67000000 0.075016001403 Long DBT CORP US N 2 2039-07-08 Fixed 6.12500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWJ8HHB6 SWAPTION 000000000 -3240000.00000000 NC USD -10107.18000000 -0.00314368927 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 3240000.00000000 OU Notional Amount N/A -10107.18000000 0.00000000 DIR US N/A N/A 2024-03-07 0.00000000 N/A 0.00000000 N/A 3240000.00000000 USD 1.00000000 0.51750000 USD 2022-03-03 XXXX -670.68000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SU3 1044000.00000000 PA USD 1036659.38000000 0.322437611055 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 NRG Energy Inc 629377CP5 231000.00000000 PA USD 236115.75000000 0.073440321702 Long DBT CORP US N 2 2027-12-02 Fixed 2.45000000 N N N N N N J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 BRWNCPGF6 BLACKROCK 000000000 -2669000.00000000 NC USD -2662.59000000 -0.00082815935 N/A DIR US N 2 J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 Put Written J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 IRS Swap N/A 2669000.00000000 OU Notional Amount N/A -2662.59000000 0.00000000 DIR US N/A N/A 2023-12-14 0.00000000 N/A 0.00000000 N/A 2669000.00000000 USD 1.00000000 0.00450000 USD 2021-12-10 XXXX -420.63000000 N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 Nissan Motor Co Ltd 654744AD3 261000.00000000 PA USD 297972.22000000 0.092679864410 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 Broadcom Inc 11135FAN1 46000.00000000 PA USD 50238.89000000 0.015626065789 Long DBT CORP US N 2 2026-09-15 Fixed 3.45900000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW3XUN01 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW3XUN01 IRS USD P F .62550 2 CCPVANILLA 000000000 1060000.00000000 OU Notional Amount USD -872.95000000 -0.00027151822 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-04-14 14.28000000 USD 0.00000000 USD 1060000.00000000 USD -887.23000000 N N N MSCI INC 549300HTIN2PD78UB763 MSCI Inc 55354GAK6 256000.00000000 PA USD 269120.00000000 0.083705806903 Long DBT CORP US N 2 2030-09-01 Fixed 3.62500000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 Indonesia Government International Bond 455780CQ7 240000.00000000 PA USD 250020.00000000 0.077765033598 Long DBT NUSS ID N 2 2030-02-14 Fixed 2.85000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 Devon Energy Corp 25179MAV5 122000.00000000 PA USD 143212.27000000 0.044544064428 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617BTEQ1 74317.50000000 PA USD 81245.66000000 0.025270264297 Long ABS-MBS USGA US N 2 2048-01-15 Fixed 4.00000000 N N N N N N PFS Financing Corp. N/A PFS Financing Corp 69335PDT9 470000.00000000 PA USD 474838.84000000 0.147691618056 Long ABS-O CORP US N 2 2025-10-15 Fixed 1.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWH6JRG6 SWAPTION 000000000 3310000.00000000 NC USD 15511.98000000 0.004824772601 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 3310000.00000000 OU Notional Amount N/A 15511.98000000 0.00000000 DIR US N/A N/A 2026-02-06 0.00000000 N/A 0.00000000 N/A 3310000.00000000 USD 1.00000000 1.22750000 USD 2025-02-04 XXXX 451.48000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BRW0XSR7S IRS EUR R F .18500 2 CCPVANILLA / Short: BRW0XSR7S IRS EUR P V 06MEURIB 1 CCPVANILLA 000000000 340000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-01-16 0.00000000 EUR 0.00000000 EUR 340000.00000000 EUR 8.24000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWPU4T49 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWPU4T49 IRS USD P F 1.69624 2 CCPVANILLA 000000000 480000.00000000 OU Notional Amount USD -1678.85000000 -0.00052218153 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2047-02-15 13.20000000 USD 0.00000000 USD 480000.00000000 USD -1692.05000000 N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust 2015-MS1 61765DAU2 520000.00000000 PA USD 567453.28000000 0.176497973701 Long ABS-MBS CORP US N 2 2048-05-15 Variable 3.77900000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRTUHZJ80 SWAPTION 000000000 1150000.00000000 NC USD 21556.87000000 0.006704946483 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 1150000.00000000 OU Notional Amount N/A 21556.87000000 0.01000000 DIR US N/A N/A 2034-06-24 0.00000000 N/A 0.00000000 N/A 1150000.00000000 USD 1.00000000 2.50000000 USD 2024-06-20 XXXX -25795.46000000 N N N MID-ATLANTIC INTERSTATE N/A Mid-Atlantic Interstate Transmission LLC 59524QAA3 21000.00000000 PA USD 23855.21000000 0.007419811243 Long DBT CORP US N 2 2028-05-15 Fixed 4.10000000 N N N N N N BIOGEN INC W8J5WZB5IY3K0NDQT671 Biogen Inc 09062XAG8 91000.00000000 PA USD 90726.09000000 0.028219012227 Long DBT CORP US N 2 2050-05-01 Fixed 3.15000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 CVS Health Corp 126650CN8 195000.00000000 PA USD 257725.47000000 0.080161706398 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWPR75L4 BLACKROCK SWAPTION 0.0035000 CALL USD 20 000000000 -1260000.00000000 NC USD -1687.01000000 -0.00052471957 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1260000.00000000 OU Notional Amount N/A -1687.01000000 0.00000000 DIR US N/A N/A 2023-12-06 0.00000000 N/A 0.00000000 N/A 1260000.00000000 USD 1.00000000 0.00350000 USD 2021-12-06 XXXX -868.01000000 N N N LAM RESEARCH CORP 549300I4GMO6D34U1T02 Lam Research Corp 512807AW8 89000.00000000 PA USD 92307.23000000 0.028710802505 Long DBT CORP US N 2 2050-06-15 Fixed 2.87500000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 Charles Schwab Corp/The 808513AP0 190000.00000000 PA USD 192375.00000000 0.059835406521 Long DBT CORP US N 2 2022-03-01 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140GNE82 13647.68000000 PA USD 14818.16000000 0.004608970123 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.50000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 GE Capital International Funding Co Unlimited Co 36164QNA2 200000.00000000 PA USD 245394.35000000 0.076326293387 Long DBT CORP IE N 2 2035-11-15 Fixed 4.41800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMRZ0 99037.07000000 PA USD 107260.62000000 0.033361833925 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RC4 980000.00000000 PA USD 1299189.06000000 0.404093596120 Long DBT UST US N 2 2043-08-15 Fixed 3.62500000 N N N N N N FCA BANK SPA IRELAND 549300V1VN70Q7PQ7234 FCA Bank SpA/Ireland 000000000 100000.00000000 PA 120098.98000000 0.037355016458 Long DBT CORP IT N 2 2023-09-18 Fixed 0.50000000 N N N N N N Motorola Solutions Inc 6S552MUG6KGJVEBSEC55 Motorola Solutions Inc 620076BN8 141000.00000000 PA USD 166504.32000000 0.051788713059 Long DBT CORP US N 2 2029-05-23 Fixed 4.60000000 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 VMware Inc 928563AL9 59000.00000000 PA USD 58903.18000000 0.018320965409 Long DBT CORP US N 2 2031-08-15 Fixed 2.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138XLV66 149050.16000000 PA USD 166931.44000000 0.051921562436 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 5.00000000 N N N N N N Nelnet Student Loan Trust N/A Nelnet Student Loan Trust 2021-A 64035DAD8 716374.93000000 PA USD 719749.92000000 0.223867597438 Long ABS-O CORP US N 2 2062-04-20 Fixed 1.36000000 N N N N N N GLP CAPITAL LP / FIN II N/A GLP Capital LP / GLP Financing II Inc 361841AP4 233000.00000000 PA USD 253760.30000000 0.078928398750 Long DBT US N 2 2030-01-15 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Long: BRTDD9YT7 CDS USD R F 1.00000 2 CORPORATE / Short: BRTDD9YT7 CDS USD P V 03MEVENT 1 CORPORATE 000000000 130000.00000000 OU Notional Amount USD 1618.27000000 0.000503339016 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Pfizer Inc Pfizer Inc Y sell protection 2022-12-20 833.17000000 USD 0.00000000 USD 130000.00000000 USD 785.10000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FLP9 8867.19000000 PA USD 9976.35000000 0.003102996532 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.50000000 N N N N N N AMER AIRLINE 16-2 AA PTT N/A American Airlines 2016-2 Class AA Pass Through Trust 023765AA8 43285.00000000 PA USD 44160.24000000 0.013735391358 Long DBT CORP US N 2 2028-06-15 Fixed 3.20000000 N N N N N N FRESB Multifamily Mortgage Pass-Through Certifica N/A FRESB 2019-SB60 Mortgage Trust 30308GAH3 232819.40000000 PA USD 250839.44000000 0.078019908325 Long ABS-MBS USGSE US N 2 2039-01-25 Variable 3.50000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 Sumitomo Mitsui Financial Group Inc 86562MAQ3 105000.00000000 PA USD 107488.55000000 0.033432728190 Long DBT CORP JP N 2 2022-07-12 Fixed 2.78400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WJEZ7 64805.63000000 PA USD 67346.54000000 0.020947148011 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 2YR NOTE (CBT) SEP21 000000000 192.00000000 NC USD 11624.05000000 0.003615489316 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUU1 Comdty 2021-09-30 42354375.95000000 USD 11624.05000000 N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -508.54000000 -0.00015817386 N/A DFE US N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 120000.00000000 EUR 141961.42000000 USD 2021-09-15 -508.54000000 N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 Uruguay Government International Bond 760942BB7 375000.00000000 PA USD 430382.81000000 0.133864225581 Long DBT NUSS UY N 2 2027-10-27 Fixed 4.37500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW5PE725 SWAPTION 000000000 310000.00000000 NC USD 10448.55000000 0.003249867377 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 310000.00000000 OU Notional Amount N/A 10448.55000000 0.00000000 DIR US N/A N/A 2035-06-06 0.00000000 N/A 0.00000000 N/A 310000.00000000 USD 1.00000000 1.42000000 USD 2025-06-04 XXXX -6213.95000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWADLYK1 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWADLYK1 IRS USD P F 1.20900 2 CCPVANILLA 000000000 165000.00000000 OU Notional Amount USD 11416.31000000 0.003550874852 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2040-11-04 3.96000000 USD 0.00000000 USD 165000.00000000 USD 11412.35000000 N N N ACTIVISION BLIZZARD 549300TPQQDBP9GNOF40 Activision Blizzard Inc 00507VAQ2 108000.00000000 PA USD 98601.63000000 0.030668582792 Long DBT CORP US N 2 2050-09-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J5X87 491535.79000000 PA USD 531204.11000000 0.165223203991 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.50000000 N N N N N N City of Cleveland OH Airport System Revenue N/A CLEVELAND OH ARPT SYS REVENUE 186352SP6 90000.00000000 PA USD 96182.63000000 0.029916188519 Long DBT MUN US N 2 2031-01-01 Fixed 2.88200000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWGPWUW9 SWAPTION 000000000 -660000.00000000 NC USD -16043.35000000 -0.00499004740 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 660000.00000000 OU Notional Amount N/A -16043.35000000 0.00000000 DIR US N/A N/A 2032-01-31 0.00000000 N/A 0.00000000 N/A 660000.00000000 USD 1.00000000 1.24750000 USD 2022-01-27 XXXX -516.85000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBQ3 2711000.00000000 PA USD 2693632.66000000 0.837814712053 Long DBT UST US N 2 2026-02-28 Fixed 0.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H042687 498000.00000000 PA USD 530374.98000000 0.164965315333 Long ABS-MBS USGA US N 2 2051-08-19 Fixed 4.50000000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 Texas Eastern Transmission LP 882384AD2 69000.00000000 PA USD 75949.85000000 0.023623080701 Long DBT CORP US N 2 2028-01-15 Fixed 3.50000000 N N N N N N J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 BRWN6RP44 BLACKROCK 000000000 -835000.00000000 NC USD -2766.77000000 -0.00086056300 N/A DIR US N 2 J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 Put Written J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 IRS Swap N/A 835000.00000000 OU Notional Amount N/A -2766.77000000 0.00000000 DIR US N/A N/A 2032-06-09 0.00000000 N/A 0.00000000 N/A 835000.00000000 USD 1.00000000 0.02400000 USD 2022-06-07 XXXX 6585.23000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 Energy Transfer LP 86765BAK5 15000.00000000 PA USD 18840.55000000 0.005860075209 Long DBT CORP US N 2 2042-02-15 Fixed 6.10000000 N N N N N N KBC GROUP NV 213800X3Q9LSAKRUWY91 KBC Group NV 000000000 100000.00000000 PA 122832.57000000 0.038205259311 Long DBT CORP BE N 2 2024-01-25 Fixed 1.12500000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 Devon Energy Corp 25179MBA0 11000.00000000 PA USD 11996.42000000 0.003731309512 Long DBT CORP US N 2 2030-01-15 Fixed 4.50000000 N N N N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 Florida Power & Light Co 341081FD4 5000.00000000 PA USD 6991.67000000 0.002174655837 Long DBT CORP US N 2 2041-02-01 Fixed 5.25000000 N N N N N N REDEXIS GAS FINANCE BV 724500XI19XTPCL36320 Redexis Gas Finance BV 000000000 100000.00000000 PA 126361.19000000 0.039302784520 Long DBT CORP NL N 2 2025-05-28 Fixed 1.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379E2W1 31542.27000000 PA USD 32773.40000000 0.010193682713 Long ABS-MBS USGA US N 2 2041-05-20 Floating 2.63600000 N N N N N N Fiserv Inc GI7UBEJLXYLGR2C7GV83 Fiserv Inc 337738AR9 152000.00000000 PA USD 176182.75000000 0.054799045969 Long DBT CORP US N 2 2028-10-01 Fixed 4.20000000 N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 MidAmerican Energy Co 595620AS4 34000.00000000 PA USD 39778.12000000 0.012372397561 Long DBT CORP US N 2 2048-08-01 Fixed 3.65000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 BRWP0BVF8 BLACKROCK 000000000 635000.00000000 NC USD 20591.72000000 0.006404750810 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 IRS Swap N/A 635000.00000000 OU Notional Amount N/A 20591.72000000 0.01000000 DIR US N/A N/A 2034-07-02 0.00000000 N/A 0.00000000 N/A 635000.00000000 USD 1.00000000 0.02000000 USD 2024-06-28 XXXX -7380.03000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPJ2NY6 IRS USD R F 1.29050 2 CCPVANILLA / Short: SRWPJ2NY6 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 165000.00000000 OU Notional Amount USD 41.40000000 0.000012876859 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-12 2.62000000 USD 0.00000000 USD 165000.00000000 USD 38.78000000 N N N New Jersey Turnpike Authority 5493005YN67D71KSMI84 NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE 646140EA7 25000.00000000 PA USD 25465.42000000 0.007920643316 Long DBT MUN US N 2 2040-01-01 Fixed 2.78200000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 Mizuho Financial Group Inc 60687YAZ2 200000.00000000 PA USD 210079.35000000 0.065342083477 Long DBT CORP JP N 2 2025-09-13 Fixed 2.55500000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Long: BRTDD1B51 CDS USD R F 1.00000 2 CORPORATE / Short: BRTDD1B51 CDS USD P V 03MEVENT 1 CORPORATE 000000000 90000.00000000 OU Notional Amount USD 1142.78000000 0.000355444864 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 GENERAL ELECTRIC CO GENERAL ELECTRIC CO Y sell protection 2022-12-20 954.18000000 USD 0.00000000 USD 90000.00000000 USD 188.60000000 N N N BX Trust N/A BX Commercial Mortgage Trust 2020-VIV3 05608EAA2 185000.00000000 PA USD 203111.54000000 0.063174848941 Long ABS-MBS CORP US N 2 2044-03-09 Variable 3.54400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SH2 605000.00000000 PA USD 733964.26000000 0.228288758256 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140Q9YZ0 41756.56000000 PA USD 45272.21000000 0.014081253226 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 Raytheon Technologies Corp 75513ECD1 80000.00000000 PA USD 80077.60000000 0.024906956461 Long DBT CORP US N 2 2021-11-15 Fixed 3.10000000 N N N N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 Huntington Ingalls Industries Inc 446413AL0 182000.00000000 PA USD 199050.74000000 0.061911796992 Long DBT CORP US N 2 2027-12-01 Fixed 3.48300000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 Shell International Finance BV 822582AY8 41000.00000000 PA USD 51937.71000000 0.016154458696 Long DBT CORP NL N 2 2043-08-12 Fixed 4.55000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 BRWNTN4P4 BLACKROCK 000000000 635000.00000000 NC USD 36578.92000000 0.011377333584 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 IRS Swap N/A 635000.00000000 OU Notional Amount N/A 36578.92000000 0.01000000 DIR US N/A N/A 2034-06-26 0.00000000 N/A 0.00000000 N/A 635000.00000000 USD 1.00000000 0.01970000 USD 2024-06-24 XXXX 7559.42000000 N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 PORT AUTH OF NEW YORK & NEW JERSEY NY 73358WJA3 200000.00000000 PA USD 274803.90000000 0.085473700170 Long DBT MUN US N 2 2062-10-01 Fixed 4.45800000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 Daimler Finance North America LLC 233851DZ4 296000.00000000 PA USD 308111.82000000 0.095833637446 Long DBT CORP US N 2 2025-03-10 Fixed 2.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J5GJ2 3960.16000000 PA USD 4319.81000000 0.001343613190 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N HOLCIM FINANCE LUX SA 529900XU3Z9D2HLBR716 Holcim Finance Luxembourg SA 000000000 100000.00000000 PA 118465.75000000 0.036847024354 Long DBT CORP LU N 2 2031-04-23 Fixed 0.50000000 N N N N N N College Ave Student Loans N/A College Ave Student Loans 2021-A LLC 19424KAA1 90106.69000000 PA USD 90871.81000000 0.028264336284 Long ABS-O CORP US N 2 2051-07-25 Floating 1.18900000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 2902.68000000 0.000902835804 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1908000.00000000 EUR 2268175.07000000 USD 2021-09-15 2902.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ESAW8 202639.56000000 PA USD 220507.72000000 0.068585674164 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132JPFB3 156358.93000000 PA USD 176146.81000000 0.054787867362 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 5.00000000 N N N N N N Commonwealth Edison Co D8YOXB8L2ZDC8P7Q0771 Commonwealth Edison Co 202795JM3 70000.00000000 PA USD 85733.68000000 0.026666196727 Long DBT CORP US N 2 2048-03-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAD3 3753000.00000000 PA USD 3647886.69000000 1.134621354340 Long DBT UST US N 2 2027-07-31 Fixed 0.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J7MB8 56081.07000000 PA USD 63510.90000000 0.019754128759 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.50000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -476.45000000 -0.00014819274 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 272000.00000000 EUR 322455.46000000 USD 2021-09-15 -476.45000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31393VFU0 70553.73000000 PA USD 76398.25000000 0.023762548908 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 4.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -2248.20000000 -0.00069926945 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 253000.00000000 EUR 298125.97000000 USD 2021-09-15 -2248.20000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617BUEB1 25373.02000000 PA USD 27738.39000000 0.008627617111 Long ABS-MBS USGA US N 2 2047-11-15 Fixed 4.00000000 N N N N N N KLA CORP 549300H0BF5JCG96TJ81 KLA Corp 482480AG5 105000.00000000 PA USD 122245.78000000 0.038022746936 Long DBT CORP US N 2 2029-03-15 Fixed 4.10000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 Becton Dickinson and Co 075887CH0 100000.00000000 PA 121947.87000000 0.037930086424 Long DBT CORP US N 2 2023-05-24 Fixed 1.40100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132AACD4 20657.03000000 PA USD 22871.40000000 0.007113811652 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137BGWZ8 56203.37000000 PA USD 60224.31000000 0.018731883411 Long ABS-MBS USGSE US N 2 2044-12-15 Fixed 3.00000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 Public Service Electric and Gas Co 74456QCE4 55000.00000000 PA USD 48906.63000000 0.015211685965 Long DBT CORP US N 2 2050-08-01 Fixed 2.05000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GGZ6 366000.00000000 PA USD 393911.32000000 0.122520306514 Long DBT CORP US N 2 2026-01-23 Fixed 3.36600000 N N N N N N TRANSCONT GAS PIPE LINE N/A Transcontinental Gas Pipe Line Co LLC 893574AH6 284000.00000000 PA USD 360657.50000000 0.112177196244 Long DBT CORP US N 2 2026-02-01 Fixed 7.85000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR NOTE (CBT)SEP21 000000000 -109.00000000 NC USD -137692.08000000 -0.04282709074 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 10 Year US Treasury Note TYU1 Comdty 2021-09-21 -14517698.55000000 USD -137692.08000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 EURO-BUXL 30Y BND SEP21 000000000 -8.00000000 NC -143685.84000000 -0.04469136139 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Buxl (FGBX) UBU1 Comdty 2021-09-08 -1599193.84000000 EUR -143685.84000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 Sabine Pass Liquefaction LLC 785592AU0 209000.00000000 PA USD 237046.97000000 0.073729963949 Long DBT CORP US N 2 2028-03-15 Fixed 4.20000000 N N N N N N Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 BRTVW1DF6 SWAPTION 000000000 -3450000.00000000 NC -0.82000000 -0.00000025504 N/A DIR DE N 2 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Put Written Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 IRS Swap N/A 3450000.00000000 OU Notional Amount N/A -0.82000000 0.00000000 DIR DE N/A N/A 2023-08-11 0.00000000 N/A 0.00000000 N/A 3450000.00000000 EUR 1.00000000 0.15000000 EUR 2021-08-09 XXXX 5101.48000000 N N N Motorola Solutions Inc 6S552MUG6KGJVEBSEC55 Motorola Solutions Inc 620076BL2 125000.00000000 PA USD 146505.81000000 0.045568471470 Long DBT CORP US N 2 2028-02-23 Fixed 4.60000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 Hyundai Capital America 44891ABE6 365000.00000000 PA USD 374276.73000000 0.116413256874 Long DBT CORP US N 2 2023-02-10 Fixed 2.37500000 N N N N N N VIPER ENERGY PARTNERS LP 5299009LINL232255G03 Viper Energy Partners LP 92763MAA3 705000.00000000 PA USD 738628.50000000 0.229739501317 Long DBT CORP US N 2 2027-11-01 Fixed 5.37500000 N N N N N N HARTFORD FINL SVCS GRP IU7C3FTM7Y3BQM112U94 Hartford Financial Services Group Inc/The 416515BB9 30000.00000000 PA USD 36380.49000000 0.011315614859 Long DBT CORP US N 2 2043-04-15 Fixed 4.30000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTPRWT29 SWAPTION 000000000 320000.00000000 NC USD 9318.98000000 0.002898531288 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 320000.00000000 OU Notional Amount N/A 9318.98000000 0.00000000 DIR US N/A N/A 2039-01-12 0.00000000 N/A 0.00000000 N/A 320000.00000000 USD 1.00000000 3.05250000 USD 2029-01-10 XXXX -8833.02000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 Energy Transfer LP 86765BAU3 264000.00000000 PA USD 294546.47000000 0.091614335396 Long DBT CORP US N 2 2027-10-01 Fixed 4.00000000 N N N N N N Qwest Corp 549300R2L4N683OO1509 Qwest Corp 74913GAX3 472000.00000000 PA USD 480850.00000000 0.149561300719 Long DBT CORP US N 2 2021-12-01 Fixed 6.75000000 N N N N N N TransDigm Inc 88Q84GB3X55CF5OC7582 TransDigm Inc 893647BE6 170000.00000000 PA USD 178287.50000000 0.055453697415 Long DBT CORP US N 2 2026-03-15 Fixed 6.25000000 N N N N N N SEVEN & I HOLDINGS 52990037G8JRM3TWGY86 Seven & i Holdings Co Ltd 81783HAA3 230000.00000000 PA USD 230841.80000000 0.071799937336 Long DBT CORP JP N 2 2021-09-17 Fixed 3.35000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTE79C09 SWAPTION 000000000 1050000.00000000 NC USD 34316.52000000 0.010673647431 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1050000.00000000 OU Notional Amount N/A 34316.52000000 0.01000000 DIR US N/A N/A 2037-12-09 0.00000000 N/A 0.00000000 N/A 1050000.00000000 USD 1.00000000 2.73000000 USD 2027-12-07 XXXX -30757.10000000 N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 Air Lease Corp 00914AAM4 28000.00000000 PA USD 28261.14000000 0.008790210789 Long DBT CORP US N 2 2026-08-15 Fixed 1.87500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTYF92U1 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTYF92U1 IRS USD P F 1.99800 2 CCPVANILLA 000000000 410000.00000000 OU Notional Amount USD -8070.96000000 -0.00251035307 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-11-07 7.47000000 USD 0.00000000 USD 410000.00000000 USD -8078.43000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38141GXM1 43000.00000000 PA USD 42717.15000000 0.013286539496 Long DBT CORP US N 2 2026-12-09 Fixed 1.09300000 N N N N N N Extended Stay America Trust N/A Extended Stay America Trust 2021-ESH 30227FAA8 410000.00000000 PA USD 411792.60000000 0.128082014937 Long ABS-MBS CORP US N 2 2038-07-15 Floating 1.17400000 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 VMware Inc 928563AK1 38000.00000000 PA USD 38119.32000000 0.011856452286 Long DBT CORP US N 2 2028-08-15 Fixed 1.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAZ4 2980000.00000000 PA USD 2951480.48000000 0.918014473615 Long DBT UST US N 2 2025-11-30 Fixed 0.37500000 N N N N N N COMM Mortgage Trust N/A COMM 2013-GAM 12624UAC8 703068.24000000 PA USD 700744.74000000 0.217956316495 Long ABS-MBS CORP US N 2 2028-02-10 Fixed 3.36700000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 Northern States Power Co/MN 665772CR8 30000.00000000 PA USD 31489.55000000 0.009794360106 Long DBT CORP US N 2 2050-03-01 Fixed 2.90000000 N N N N N N Regional Management Issuance Trust N/A Regional Management Issuance Trust 2021-2 75907UAA7 245000.00000000 PA USD 246324.49000000 0.076615599716 Long ABS-O CORP US N 2 2033-08-15 Fixed 1.90000000 N N N N N N VEOLIA ENVIRONNEMENT SA 969500LENY69X51OOT31 Veolia Environnement SA 000000000 300000.00000000 PA 357441.40000000 0.111176875772 Long DBT CORP FR N 2 2022-03-30 Fixed 0.67200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ANUR6 786239.85000000 PA USD 152399.46000000 0.047401604380 Long ABS-MBS USGSE US N 2 2045-05-25 Fixed 5.50000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 Deutsche Bank AG/New York NY 25160PAF4 210000.00000000 PA USD 213185.44000000 0.066308186962 Long DBT CORP DE N 2 2026-03-19 Fixed 1.68600000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 000000000 230000.00000000 PA 273385.31000000 0.085032468672 Long DBT CORP US N 2 2023-04-21 Floating 0.00200000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc 03522AAH3 1045000.00000000 PA USD 1300099.55000000 0.404376790606 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWNYBQ05 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWNYBQ05 IRS USD P F .76650 2 CCPVANILLA 000000000 810000.00000000 OU Notional Amount USD -2888.76000000 -0.00089850619 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-06-28 3.52000000 USD 0.00000000 USD 810000.00000000 USD -2892.28000000 N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 Daimler Finance North America LLC 233851CB8 150000.00000000 PA USD 163935.13000000 0.050989604401 Long DBT CORP US N 2 2025-08-03 Fixed 3.50000000 N N N N N N Flagstar Mortgage Trust N/A Flagstar Mortgage Trust 2020-1NV 33851YAL0 275931.64000000 PA USD 275557.73000000 0.085708167873 Long ABS-MBS CORP US N 2 2050-03-25 Floating 0.93900000 N N N N N N COX COMMUNICATIONS INC 5493001NEDZNIFRP2R92 Cox Communications Inc 224044CM7 44000.00000000 PA USD 41873.32000000 0.013024078620 Long DBT CORP US N 2 2050-10-01 Fixed 2.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RP5 660000.00000000 PA USD 806334.38000000 0.250798416736 Long DBT UST US N 2 2045-11-15 Fixed 3.00000000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 ING Groep NV 000000000 100000.00000000 PA 119387.94000000 0.037133857952 Long DBT CORP NL N 2 2025-09-03 Fixed 0.10000000 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 VMware Inc 928563AE5 78000.00000000 PA USD 90543.51000000 0.028162223411 Long DBT CORP US N 2 2027-05-15 Fixed 4.65000000 N N N N N N TOYOTA MOTOR CREDIT CORP Z2VZBHUMB7PWWJ63I008 Toyota Motor Credit Corp 89236TGX7 319000.00000000 PA USD 344143.65000000 0.107040806755 Long DBT CORP US N 2 2025-04-01 Fixed 3.00000000 N N N N N N Credit Acceptance Auto Loan Trust N/A Credit Acceptance Auto Loan Trust 2020-2 22535MAA7 180000.00000000 PA USD 182217.82000000 0.056676165485 Long ABS-O CORP US N 2 2029-07-16 Fixed 1.37000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 Sabine Pass Liquefaction LLC 785592AS5 50000.00000000 PA USD 58283.56000000 0.018128241747 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N Arbor Multifamily Mortgage Securities Trust N/A Arbor Multifamily Mortgage Securities Trust 2020-MF1 03881BAE3 465000.00000000 PA USD 499326.44000000 0.155308124883 Long ABS-MBS CORP US N 2 2053-05-15 Fixed 2.75600000 N N N N N N MERCK KGAA 529900OAREIS0MOPTW25 Merck KGaA 000000000 100000.00000000 PA 122954.76000000 0.038243264708 Long DBT CORP DE N 2 2079-06-25 Fixed 1.62500000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 Charles Schwab Corp/The 808513BA2 9000.00000000 PA USD 10012.12000000 0.003114122262 Long DBT CORP US N 2 2029-05-22 Fixed 3.25000000 N N N N N N Barclays Global Investors N/A EUR 1Y MIDCV OP SEP21P 99.625 000000000 21.00000000 NC USD 787.50000000 0.000244940260 N/A DIR US N 1 Barclays Global Investors N/A Put Purchased Barclays Global Investors N/A Barclays Global Investors N/A Eurodollar Time Deposit Future N/A 21.00000000 NC N/A 787.50000000 0.00000000 DCO US Long Eurodollar Time Deposit EDU2 Comdty 2022-09-19 21.00000000 USD 2500.00000000 99.62500000 USD 2021-09-10 XXXX -427.97000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B9RL1 160556.51000000 PA USD 163067.68000000 0.050719796872 Long ABS-MBS USGSE US N 2 2036-01-15 Fixed 4.00000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 FirstEnergy Corp 337932AM9 111000.00000000 PA USD 111451.13000000 0.034665230257 Long DBT CORP US N 2 2050-03-01 Fixed 3.40000000 N N N N N N ASTRAZENECA PLC PY6ZZQWO2IZFZC3IOL08 AstraZeneca PLC 046353AW8 122000.00000000 PA USD 117925.02000000 0.036678838262 Long DBT CORP GB N 2 2030-08-06 Fixed 1.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B4UR5 138324.45000000 PA USD 139995.87000000 0.043543650644 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 0.54300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140Q83N3 377909.96000000 PA USD 418319.89000000 0.130112232224 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRW5MTQ40 SWAPTION 000000000 310000.00000000 NC USD 8997.35000000 0.002798493020 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 310000.00000000 OU Notional Amount N/A 8997.35000000 0.00000000 DIR US N/A N/A 2035-06-06 0.00000000 N/A 0.00000000 N/A 310000.00000000 USD 1.00000000 1.28250000 USD 2025-06-04 XXXX -7773.65000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SX7 1575000.00000000 PA USD 1747265.63000000 0.543461204795 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N Applied Materials Inc 41BNNE1AFPNAZELZ6K07 Applied Materials Inc 038222AM7 43000.00000000 PA USD 55268.03000000 0.017190305615 Long DBT CORP US N 2 2047-04-01 Fixed 4.35000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A NXP BV / NXP Funding LLC / NXP USA Inc 62954HAC2 129000.00000000 PA USD 139389.89000000 0.043355169503 Long DBT CORP XX N 2 2027-05-01 Fixed 3.15000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPZM920 IRS USD R F 1.24500 2 CCPVANILLA / Short: SRWPZM920 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 230000.00000000 OU Notional Amount USD -2980.02000000 -0.00092689127 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-01-24 3.67000000 USD 0.00000000 USD 230000.00000000 USD -2983.69000000 N N N PIEDMONT NATURAL GAS CO VXB4M3BDPKF3I2AZ3G89 Piedmont Natural Gas Co Inc 720186AL9 87000.00000000 PA USD 96636.54000000 0.030057370530 Long DBT CORP US N 2 2029-06-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F022485 199000.00000000 PA USD 208496.28000000 0.064849692902 Long ABS-MBS USGSE US N 2 2036-08-15 Fixed 2.50000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 United Parcel Service Inc 911312BU9 44000.00000000 PA USD 46965.14000000 0.014607814135 Long DBT CORP US N 2 2029-09-01 Fixed 2.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GHX0 106000.00000000 PA USD 112582.54000000 0.035017138651 Long DBT CORP US N 2 2030-10-22 Fixed 2.88400000 N N N N N N Duke Energy Florida LLC 7MOHLM3DKE63RX2ZCN83 Duke Energy Florida LLC 26444HAF8 38000.00000000 PA USD 47974.64000000 0.014921804221 Long DBT CORP US N 2 2048-07-15 Fixed 4.20000000 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 BMW US Capital LLC 05565EBS3 103000.00000000 PA USD 109230.68000000 0.033974592033 Long DBT CORP US N 2 2031-04-01 Fixed 2.55000000 N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 Diamondback Energy Inc 25278XAN9 140000.00000000 PA USD 151775.62000000 0.047207568149 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 000000000 100000.00000000 PA 119622.46000000 0.037206801940 Long DBT CORP US N 2 2031-10-26 Fixed 0.65400000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 BRWNSZVT0 BLACKROCK 000000000 -1060000.00000000 NC USD -28067.10000000 -0.00872985750 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 IRS Swap N/A 1060000.00000000 OU Notional Amount N/A -28067.10000000 -0.01000000 DIR US N/A N/A 2031-09-24 0.00000000 N/A 0.00000000 N/A 1060000.00000000 USD 1.00000000 0.01520000 USD 2021-09-22 XXXX -13306.60000000 N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 Florida Power & Light Co 341081FX0 225000.00000000 PA USD 248565.65000000 0.077312679480 Long DBT CORP US N 2 2049-10-01 Fixed 3.15000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NBU4 172000.00000000 PA USD 188047.78000000 0.058489488560 Long DBT CORP US N 2 2046-07-15 Fixed 3.40000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 Public Service Electric and Gas Co 74456QBX3 42000.00000000 PA USD 47851.77000000 0.014883587320 Long DBT CORP US N 2 2028-09-01 Fixed 3.65000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWKKPYU0 SWAPTION 000000000 670000.00000000 NC USD 64586.26000000 0.020088603627 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 670000.00000000 OU Notional Amount N/A 64586.26000000 0.02000000 DIR US N/A N/A 2036-04-09 0.00000000 N/A 0.00000000 N/A 670000.00000000 USD 1.00000000 2.60500000 USD 2026-04-07 XXXX 27133.26000000 N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 L3Harris Technologies Inc 502431AL3 213000.00000000 PA USD 240416.04000000 0.074777863484 Long DBT CORP US N 2 2026-12-15 Fixed 3.85000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38141GXA7 35000.00000000 PA USD 43194.27000000 0.013434940636 Long DBT CORP US N 2 2039-04-23 Fixed 4.41100000 N N N N N N AMCOR FLEXIBLES NORTH AM PTVU09TE3QPJPL7K4E13 Amcor Flexibles North America Inc 02344AAA6 113000.00000000 PA USD 118011.93000000 0.036705870336 Long DBT CORP US N 2 2031-05-25 Fixed 2.69000000 N N N N N N Nissan Master Owner Trust Receivables N/A Nissan Master Owner Trust Receivables 65474VAS0 410000.00000000 PA USD 410468.02000000 0.127670023864 Long ABS-O CORP US N 2 2023-11-15 Floating 0.52300000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW7KP0S1 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW7KP0S1 IRS USD P F .97250 2 CCPVANILLA 000000000 180000.00000000 OU Notional Amount USD 19503.73000000 0.006066347567 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2040-08-17 4.18000000 USD 0.00000000 USD 180000.00000000 USD 19499.55000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTRHZW17 SWAPTION 000000000 1090000.00000000 NC USD 139901.72000000 0.043514366675 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1090000.00000000 OU Notional Amount N/A 139901.72000000 0.04000000 DIR US N/A N/A 2034-03-14 0.00000000 N/A 0.00000000 N/A 1090000.00000000 USD 1.00000000 2.95000000 USD 2024-03-12 XXXX 90797.22000000 N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 Raytheon Technologies Corp 913017CY3 169000.00000000 PA USD 196058.90000000 0.060981229284 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GJK6 264000.00000000 PA USD 263602.13000000 0.081989554820 Long DBT CORP US N 2 2026-10-24 Fixed 1.19700000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 Toronto-Dominion Bank/The 000000000 200000.00000000 PA 241499.99000000 0.075115010144 Long DBT CORP CA N 2 2024-04-25 Fixed 0.37500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRTFEC160 IRS USD R F 3.08000 2 CCPVANILLA / Short: SRTFEC160 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 430000.00000000 OU Notional Amount USD 136355.80000000 0.042411460556 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2053-02-20 10.63000000 USD 0.00000000 USD 430000.00000000 USD 136345.17000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X83B1 190193.09000000 PA USD 207024.75000000 0.064391995198 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N PSA BANQUE FRANCE 969500JK1O192KI3E882 PSA Banque France SA 000000000 100000.00000000 PA 118947.43000000 0.036996843814 Long DBT CORP FR N 2 2025-01-22 None 0.00000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 FirstEnergy Corp 337932AL1 153000.00000000 PA USD 155876.40000000 0.048483055288 Long DBT CORP US N 2 2030-03-01 Fixed 2.65000000 N N N N N N STARBUCKS CORP OQSJ1DU9TAOC51A47K68 Starbucks Corp 855244AW9 189000.00000000 PA USD 194444.26000000 0.060479019326 Long DBT CORP US N 2 2030-03-12 Fixed 2.25000000 N N N N N N FIDELITY NATL INFO SERV 6WQI0GK1PRFVBA061U48 Fidelity National Information Services Inc 000000000 170000.00000000 PA 211066.73000000 0.065649193464 Long DBT CORP US N 2 2028-12-03 Fixed 1.00000000 N N N N N N CSX Corp 549300JVQR4N1MMP3Q88 CSX Corp 126408GY3 84000.00000000 PA USD 100492.84000000 0.031256815770 Long DBT CORP US N 2 2044-03-15 Fixed 4.10000000 N N N N N N MERLIN PROPERTIES SOCIMI 959800L8KD863DP30X04 Merlin Properties Socimi SA 000000000 200000.00000000 PA 243637.46000000 0.075779838664 Long DBT ES N 2 2034-12-04 Fixed 1.87500000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 NGPL PipeCo LLC 62912XAC8 20000.00000000 PA USD 29210.86000000 0.009085607188 Long DBT CORP US N 2 2037-12-15 Fixed 7.76800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418CCL6 13233.05000000 PA USD 13751.89000000 0.004277322565 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B33G1 125236.32000000 PA USD 126028.33000000 0.039199253327 Long ABS-MBS USGSE US N 2 2026-06-15 Fixed 3.50000000 N N N N N N BAE Systems Holdings Inc MF62XBVMNYTYMC18DL76 BAE Systems Holdings Inc 05523UAP5 82000.00000000 PA USD 90767.44000000 0.028231873535 Long DBT CORP US N 2 2025-12-15 Fixed 3.85000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810QT8 3015000.00000000 PA USD 3702679.11000000 1.151663728479 Long DBT UST US N 2 2041-11-15 Fixed 3.12500000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 Federal Home Loan Banks 3130A07B0 680000.00000000 PA USD 813126.29000000 0.252910940172 Long DBT USGSE US N 2 2028-09-01 Fixed 4.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VFW9 99000.00000000 PA USD 96272.32000000 0.029944085270 Long DBT CORP US N 2 2056-10-30 Fixed 2.98700000 N N N N N N New Residential Mortgage Loan Trust N/A New Residential Mortgage Loan Trust 2016-4 64829LAA6 75141.15000000 PA USD 79896.26000000 0.024850553328 Long ABS-MBS CORP US N 2 2056-11-25 Variable 3.75000000 N N N N N N BENCHMARK Mortgage Trust N/A Benchmark 2019-B15 Mortgage Trust 08160KAJ3 210000.00000000 PA USD 231487.35000000 0.072000726143 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 3.56400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J7MK8 115856.07000000 PA USD 120398.57000000 0.037448199509 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.00000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 Equinix Inc 29444UBG0 50000.00000000 PA USD 51001.57000000 0.015863286155 Long DBT US N 2 2027-07-15 Fixed 1.80000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 Altria Group Inc 02209SBD4 49000.00000000 PA USD 57337.70000000 0.017834045944 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Tharaldson Hotel Portfolio Trust N/A Tharaldson Hotel Portfolio Trust 2018-THPT 88327HAA1 81008.03000000 PA USD 81031.85000000 0.025203761850 Long ABS-MBS CORP US N 2 2034-11-11 Floating 1.00400000 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 Willis North America Inc 970648AJ0 79000.00000000 PA USD 83717.27000000 0.026039022135 Long DBT CORP US N 2 2029-09-15 Fixed 2.95000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWHKRR15 IRS USD R F 1.87000 2 CCPVANILLA / Short: SRWHKRR15 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 220000.00000000 OU Notional Amount USD 10237.07000000 0.003184089642 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2051-02-19 6.78000000 USD 0.00000000 USD 220000.00000000 USD 10230.29000000 N N N KION GROUP AG 5299005KY91C4C6U9H17 KION Group AG 000000000 100000.00000000 PA 124022.38000000 0.038575332164 Long DBT CORP DE N 2 2025-09-24 Fixed 1.62500000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F012486 1980000.00000000 PA USD 2018035.80000000 0.627680272740 Long ABS-MBS USGSE US N 2 2036-08-15 Fixed 1.50000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 Global Payments Inc 37940XAB8 192000.00000000 PA USD 207928.47000000 0.064673083976 Long DBT CORP US N 2 2029-08-15 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AM6W4 168927.52000000 PA USD 177595.75000000 0.055238538779 Long ABS-MBS USGSE US N 2 2026-07-25 Fixed 3.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 General Motors Financial Co Inc 37045XCX2 491000.00000000 PA USD 519053.99000000 0.161444088360 Long DBT CORP US N 2 2025-06-20 Fixed 2.75000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 Crown Castle International Corp 22822VAQ4 70000.00000000 PA USD 81957.24000000 0.025491590761 Long DBT US N 2 2050-07-01 Fixed 4.15000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRW9C7N77 SWAPTION 000000000 -535000.00000000 NC USD -27901.91000000 -0.00867847759 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 535000.00000000 OU Notional Amount N/A -27901.91000000 -0.01000000 DIR US N/A N/A 2032-10-13 0.00000000 N/A 0.00000000 N/A 535000.00000000 USD 1.00000000 1.06300000 USD 2022-10-11 XXXX -9899.16000000 N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 Vodafone Group PLC 92857WBM1 46000.00000000 PA USD 61249.78000000 0.019050840731 Long DBT CORP GB N 2 2048-05-30 Fixed 5.25000000 N N N N N N AUTODESK INC FRKKVKAIQEF3FCSTPG55 Autodesk Inc 052769AG1 121000.00000000 PA USD 129098.99000000 0.040154336832 Long DBT CORP US N 2 2030-01-15 Fixed 2.85000000 N N N N N N COMM Mortgage Trust N/A COMM 2014-CCRE16 Mortgage Trust 12591VAE1 145000.00000000 PA USD 157127.58000000 0.048872216374 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 4.05100000 N N N N N N SESAC Finance, LLC N/A Sesac Finance LLC 78396YAA1 117600.00000000 PA USD 126282.41000000 0.039278281163 Long ABS-O CORP US N 2 2049-07-25 Fixed 5.21600000 N N N N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 Huntington Ingalls Industries Inc 446413AS5 56000.00000000 PA USD 61277.54000000 0.019059475069 Long DBT CORP US N 2 2025-05-01 Fixed 3.84400000 N N N N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 Duke Energy Progress LLC 26442UAG9 15000.00000000 PA USD 17051.26000000 0.005303542943 Long DBT CORP US N 2 2028-09-01 Fixed 3.70000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US LONG BOND(CBT) SEP21 000000000 -9.00000000 NC USD -68708.10000000 -0.02137064116 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USU1 Comdty 2021-09-21 -1413760.65000000 USD -68708.10000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132GSSE0 12511.46000000 PA USD 13733.83000000 0.004271705269 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N AEP Transmission Co LLC 549300X123Z1I0LA3Y84 AEP Transmission Co LLC 00115AAH2 64000.00000000 PA USD 74893.40000000 0.023294487510 Long DBT CORP US N 2 2047-12-01 Fixed 3.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPZJF04 IRS USD R F 1.18800 2 CCPVANILLA / Short: SRWPZJF04 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 370000.00000000 OU Notional Amount USD -3607.75000000 -0.00112213742 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-22 5.90000000 USD 0.00000000 USD 370000.00000000 USD -3613.65000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GHC6 264000.00000000 PA USD 273278.02000000 0.084999097700 Long DBT CORP US N 2 2023-12-20 Fixed 3.00400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp 3134A4KX1 302000.00000000 PA USD 451716.50000000 0.140499755218 Long DBT USGSE US N 2 2032-07-15 Fixed 6.25000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 Argentine Republic Government International Bond 040114HX1 29232.00000000 PA USD 11181.24000000 0.003477759796 Long DBT NUSS AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PBM7 52000.00000000 PA USD 55216.43000000 0.017174256196 Long DBT CORP US N 2 2041-04-22 Fixed 3.10900000 N N N N N N ELECTRONIC ARTS INC 549300O7A67PUEYKDL45 Electronic Arts Inc 285512AE9 190000.00000000 PA USD 188648.91000000 0.058676461181 Long DBT CORP US N 2 2031-02-15 Fixed 1.85000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PBA3 524000.00000000 PA USD 586213.66000000 0.182333113214 Long DBT CORP US N 2 2027-01-29 Fixed 3.96000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NDK4 197000.00000000 PA USD 218102.48000000 0.067837559735 Long DBT CORP US N 2 2027-04-01 Fixed 3.30000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWLQPRU0 IRS USD R F 2.07700 2 CCPVANILLA / Short: SRWLQPRU0 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 150000.00000000 OU Notional Amount USD 6650.09000000 0.002068412416 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-05-05 2.40000000 USD 0.00000000 USD 150000.00000000 USD 6647.69000000 N N N AON CORP LTS3U8DGK38SETRUWX71 Aon Corp 037389BE2 270000.00000000 PA USD 288742.42000000 0.089809071245 Long DBT CORP US N 2 2030-05-15 Fixed 2.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Long: BRTDD1B85 CDS USD R F 1.00000 2 CORPORATE / Short: BRTDD1B85 CDS USD P V 03MEVENT 1 CORPORATE 000000000 25000.00000000 OU Notional Amount USD 323.23000000 0.000100535924 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HONEYWELL INTERNATIONAL HONEYWELL INTERNATIONAL Y sell protection 2022-12-20 261.64000000 USD 0.00000000 USD 25000.00000000 USD 61.59000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWNBTYH5 BLACKROCK 000000000 -1800000.00000000 NC USD -14722.20000000 -0.00457912318 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1800000.00000000 OU Notional Amount N/A -14722.20000000 0.00000000 DIR US N/A N/A 2027-04-26 0.00000000 N/A 0.00000000 N/A 1800000.00000000 USD 1.00000000 0.00900000 USD 2022-04-22 XXXX -5362.20000000 N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 Ryder System Inc 78355HKN8 186000.00000000 PA USD 195335.60000000 0.060756257487 Long DBT CORP US N 2 2024-09-01 Fixed 2.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPY70C1 IRS USD R F 1.20450 2 CCPVANILLA / Short: SRWPY70C1 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 165000.00000000 OU Notional Amount USD -1343.37000000 -0.00041783542 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-21 2.63000000 USD 0.00000000 USD 165000.00000000 USD -1346.00000000 N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 Southern California Edison Co 842400GN7 366000.00000000 PA USD 400468.30000000 0.124559758438 Long DBT CORP US N 2 2025-08-01 Fixed 3.70000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW23UVV9 SWAPTION 000000000 680000.00000000 NC USD 24358.01000000 0.007576199768 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 680000.00000000 OU Notional Amount N/A 24358.01000000 0.01000000 DIR US N/A N/A 2035-02-27 0.00000000 N/A 0.00000000 N/A 680000.00000000 USD 1.00000000 1.49500000 USD 2025-02-25 XXXX -11358.99000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VES9 527000.00000000 PA USD 604479.67000000 0.188014486230 Long DBT CORP US N 2 2029-02-08 Fixed 3.87500000 N N N N N CIM Trust N/A CIM Trust 2019-INV3 12557LBK0 233954.14000000 PA USD 233928.62000000 0.072760047172 Long ABS-MBS CORP US N 2 2049-08-25 Floating 1.04200000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 General Electric Co 36962GXZ2 144000.00000000 PA USD 200591.43000000 0.062391005893 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWBXGVU9 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWBXGVU9 IRS USD P F .92000 2 CCPVANILLA 000000000 518000.00000000 OU Notional Amount USD 15382.58000000 0.004784524640 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2030-12-10 10.33000000 USD 0.00000000 USD 518000.00000000 USD 15372.25000000 N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 Mexico Government International Bond 000000000 145000.00000000 PA 145990.24000000 0.045408111025 Long DBT NUSS MX N 2 2051-10-25 Fixed 2.12500000 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 Keurig Dr Pepper Inc 49271VAJ9 61000.00000000 PA USD 67178.07000000 0.020894747902 Long DBT CORP US N 2 2030-05-01 Fixed 3.20000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWGPX0E0 SWAPTION 000000000 -720000.00000000 NC USD -5134.61000000 -0.00159704471 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 720000.00000000 OU Notional Amount N/A -5134.61000000 0.00000000 DIR US N/A N/A 2032-01-31 0.00000000 N/A 0.00000000 N/A 720000.00000000 USD 1.00000000 1.00000000 USD 2022-01-27 XXXX 4729.39000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Long: BRTDD1BB8 CDS USD R F 1.00000 2 CORPORATE / Short: BRTDD1BB8 CDS USD P V 03MEVENT 1 CORPORATE 000000000 40000.00000000 OU Notional Amount USD 470.76000000 0.000146422955 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JOHNSON & JOHNSON JOHNSON & JOHNSON Y sell protection 2022-12-20 219.10000000 USD 0.00000000 USD 40000.00000000 USD 251.66000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 Energy Transfer LP 29278NAN3 176000.00000000 PA USD 208947.46000000 0.064990025787 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 Anthem Inc 94973VBL0 27000.00000000 PA USD 35442.20000000 0.011023773593 Long DBT CORP US N 2 2054-08-15 Fixed 4.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FVMZ6 32249.03000000 PA USD 35014.83000000 0.010890846457 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 Intercontinental Exchange Inc 45866FAK0 122000.00000000 PA USD 123165.10000000 0.038308687863 Long DBT CORP US N 2 2030-06-15 Fixed 2.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140GVZ99 59542.35000000 PA USD 65686.92000000 0.020430947687 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F020695 9600000.00000000 PA USD 9768864.00000000 3.038461071840 Long ABS-MBS USGSE US N 2 2051-09-15 Fixed 2.00000000 N N N N N N ALABAMA POWER CO 0RL818ELFOHP5JHOFU19 Alabama Power Co 010392FT0 42000.00000000 PA USD 47170.87000000 0.014671803417 Long DBT CORP US N 2 2049-10-01 Fixed 3.45000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BRWHVHLS2 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWHVHLS2 IRS USD P F 2.31500 2 CCPINFLATIONZERO 000000000 2910000.00000000 OU Notional Amount USD 134431.70000000 0.041812997629 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-03-01 57.95000000 USD 0.00000000 USD 2910000.00000000 USD 134373.75000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTVYJMM0 SWAPTION 000000000 -1940000.00000000 NC -0.46000000 -0.00000014307 N/A DIR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1940000.00000000 OU Notional Amount N/A -0.46000000 0.00000000 DIR US N/A N/A 2023-08-11 0.00000000 N/A 0.00000000 N/A 1940000.00000000 EUR 1.00000000 -0.15000000 EUR 2021-08-09 XXXX 2879.40000000 N N N Lendmark Funding Trust N/A Lendmark Funding Trust 2021-1 52607MAA7 210000.00000000 PA USD 213871.06000000 0.066521438951 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.90000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW4JWRC1 SWAPTION 000000000 -690000.00000000 NC USD -45931.30000000 -0.01428625345 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 690000.00000000 OU Notional Amount N/A -45931.30000000 -0.01000000 DIR US N/A N/A 2032-05-04 0.00000000 N/A 0.00000000 N/A 690000.00000000 USD 1.00000000 0.74000000 USD 2022-04-29 XXXX -22057.30000000 N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 Cheniere Energy Partners LP 16411QAH4 410000.00000000 PA USD 433698.00000000 0.134895366537 Long DBT CORP US N 2 2031-03-01 Fixed 4.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWKR7Z40 SWAPTION 000000000 2560000.00000000 NC USD 62001.92000000 0.019284782785 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 2560000.00000000 OU Notional Amount N/A 62001.92000000 0.02000000 DIR US N/A N/A 2027-04-12 0.00000000 N/A 0.00000000 N/A 2560000.00000000 USD 1.00000000 1.38500000 USD 2022-04-08 XXXX 23593.55000000 N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2021-D 63942CAA0 504090.71000000 PA USD 504090.71000000 0.156789980801 Long ABS-O CORP US N 3 2060-04-15 Variable 1.26000000 N N N N N N State Street Corp 549300ZFEEJ2IP5VME73 State Street Corp 857477BA0 125000.00000000 PA USD 133401.29000000 0.041492503795 Long DBT CORP US N 2 2023-12-15 Fixed 5.62500000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 25152R2Y8 45000.00000000 PA USD 49571.66000000 0.015418533739 Long DBT CORP DE N 2 2026-01-13 Fixed 4.10000000 N N N N N N Corning Inc 549300X2937PB0CJ7I56 Corning Inc 219350BF1 27000.00000000 PA USD 32887.08000000 0.010229041201 Long DBT CORP US N 2 2057-11-15 Fixed 4.37500000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GGF0 840000.00000000 PA USD 938949.35000000 0.292046347293 Long DBT CORP US N 2 2028-01-20 Fixed 3.82400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137BGGD5 35615.89000000 PA USD 36307.56000000 0.011292931058 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132M9MM3 6285.72000000 PA USD 6885.62000000 0.002141670548 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31335ATV0 355759.62000000 PA USD 407003.44000000 0.126592417352 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 5.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTV1PKA0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTV1PKA0 IRS USD P F 1.77050 2 CCPVANILLA 000000000 10180000.00000000 OU Notional Amount USD -143699.45000000 -0.04469559458 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2023-07-12 77.51000000 USD 0.00000000 USD 10180000.00000000 USD -143776.96000000 N N N SLM Student Loan Trust 549300JEA36NHBYED811 SLM Private Education Loan Trust 2010-C 78445QAE1 475000.00000000 PA USD 531460.21000000 0.165302860119 Long ABS-O CORP US N 2 2041-10-15 Floating 4.84300000 N N N N N N SIEMENS FINANCIERINGSMAT TAFO772JB70PDRN5VS48 Siemens Financieringsmaatschappij NV 000000000 370000.00000000 PA 439092.26000000 0.136573171553 Long DBT CORP NL N 2 2021-09-05 None 0.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTPSUE44 SWAPTION 000000000 320000.00000000 NC USD 9409.44000000 0.002926667537 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 320000.00000000 OU Notional Amount N/A 9409.44000000 0.00000000 DIR US N/A N/A 2039-01-16 0.00000000 N/A 0.00000000 N/A 320000.00000000 USD 1.00000000 3.04000000 USD 2029-01-11 XXXX -8830.56000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GHD4 203000.00000000 PA USD 223055.49000000 0.069378120447 Long DBT CORP US N 2 2028-12-20 Fixed 3.41900000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW0SED00 10Y RTP 000000000 -1090000.00000000 NC USD -2107.41000000 -0.00065547879 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1090000.00000000 OU Notional Amount N/A -2107.41000000 0.00000000 DIR US N/A N/A 2032-01-12 0.00000000 N/A 0.00000000 N/A 1090000.00000000 USD 1.00000000 2.15000000 USD 2022-01-10 XXXX 23316.84000000 N N N Wells Fargo Commercial Mortgage Trust 549300AGZIS1CJS4RM30 Wells Fargo Commercial Mortgage Trust 2018-C44 95001JAX5 445000.00000000 PA USD 516185.09000000 0.160551759327 Long ABS-MBS CORP US N 2 2051-05-15 Fixed 4.21200000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 Sealed Air Corp 81211KAY6 155000.00000000 PA USD 165462.50000000 0.051464670313 Long DBT CORP US N 2 2027-12-01 Fixed 4.00000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 UnitedHealth Group Inc 91324PDL3 187000.00000000 PA USD 237872.40000000 0.073986701776 Long DBT CORP US N 2 2048-06-15 Fixed 4.25000000 N N N N N N AMER AIRLN 15-2 B PTT N/A American Airlines 2015-2 Class B Pass Through Trust 02377BAC0 144376.15000000 PA USD 141168.07000000 0.043908246166 Long DBT CORP US N 2 2023-09-22 Fixed 4.40000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GHU6 420000.00000000 PA USD 494077.84000000 0.153675625261 Long DBT CORP US N 2 2040-04-23 Fixed 4.07800000 N N N N N N SKY LTD 2138003TS48MQKF4BZ29 Sky Ltd 000000000 100000.00000000 PA 118891.85000000 0.036979556474 Long DBT CORP GB N 2 2021-09-15 Fixed 1.50000000 N N N N N N DH EUROPE FINANCE 222100KDGL314CKTZ511 DH Europe Finance II Sarl 000000000 100000.00000000 PA 133380.70000000 0.041486099579 Long DBT CORP LU N 2 2049-09-18 Fixed 1.80000000 N N N N N N CENTERPOINT ENERGY RES 2JADVB0458J06WCD4N56 CenterPoint Energy Resources Corp 15189YAF3 185000.00000000 PA USD 181483.13000000 0.056447650996 Long DBT CORP US N 2 2030-10-01 Fixed 1.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SD1 695000.00000000 PA USD 858922.27000000 0.267155104332 Long DBT UST US N 2 2048-08-15 Fixed 3.00000000 N N N N N N Lam Research Corp 549300I4GMO6D34U1T02 Lam Research Corp 512807AS7 48000.00000000 PA USD 53789.88000000 0.016730548857 Long DBT CORP US N 2 2026-03-15 Fixed 3.75000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 AbbVie Inc 00287YCZ0 4000.00000000 PA USD 5027.08000000 0.001563599092 Long DBT CORP US N 2 2042-10-01 Fixed 4.62500000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VFE9 619000.00000000 PA USD 674430.84000000 0.209771765989 Long DBT CORP US N 2 2030-03-22 Fixed 3.15000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 Coca-Cola Co/The 000000000 100000.00000000 PA 121764.95000000 0.037873191856 Long DBT CORP US N 2 2041-03-09 Fixed 1.00000000 N N N N N N VOLVO TREASURY AB 549300PD69T87IGZG395 Volvo Treasury AB 000000000 200000.00000000 PA 237371.37000000 0.073830863784 Long DBT CORP SE N 2 2021-09-13 Floating 0.10500000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 FirstEnergy Transmission LLC 33767BAB5 202000.00000000 PA USD 224591.99000000 0.069856026111 Long DBT CORP US N 2 2025-01-15 Fixed 4.35000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWKKSK05 SWAPTION 000000000 1300000.00000000 NC USD 4040.79000000 0.001256828134 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 1300000.00000000 OU Notional Amount N/A 4040.79000000 0.00000000 DIR US N/A N/A 2027-04-07 0.00000000 N/A 0.00000000 N/A 1300000.00000000 USD 1.00000000 1.52500000 USD 2022-04-05 XXXX -14906.71000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 BRWNTN4U3 BLACKROCK 000000000 635000.00000000 NC USD 21147.15000000 0.006577509120 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 IRS Swap N/A 635000.00000000 OU Notional Amount N/A 21147.15000000 0.01000000 DIR US N/A N/A 2034-06-26 0.00000000 N/A 0.00000000 N/A 635000.00000000 USD 1.00000000 0.01970000 USD 2024-06-24 XXXX -7872.35000000 N N N AMERICAN HONDA FINANCE B6Q2VFHD1797Q7NZ3E43 American Honda Finance Corp 000000000 120000.00000000 PA 145626.26000000 0.045294900415 Long DBT CORP US N 2 2022-11-10 Fixed 1.37500000 N N N N N N VONOVIA FINANCE BV 5299009XLZLD9TALOZ03 Vonovia Finance BV 000000000 200000.00000000 PA 238773.04000000 0.074266832565 Long DBT CORP NL N 2 2023-04-06 Fixed 0.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ATMA9 351812.90000000 PA USD 354262.36000000 0.110188082266 Long ABS-MBS USGSE US N 2 2046-08-25 Floating 0.48900000 N N N N N N KLA Corp 549300H0BF5JCG96TJ81 KLA Corp 482480AH3 90000.00000000 PA USD 124070.92000000 0.038590429815 Long DBT CORP US N 2 2049-03-15 Fixed 5.00000000 N N N N N N DTE Electric Co 9N0FWODEJVKHC2DYLO03 DTE Electric Co 23338VAJ5 160000.00000000 PA USD 197063.33000000 0.061293642422 Long DBT CORP US N 2 2049-03-01 Fixed 3.95000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 246.95000000 0.000076810155 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 9000.00000000 EUR 10932.20000000 USD 2021-09-15 246.95000000 N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 Duke Energy Florida LLC 26444HAH4 438000.00000000 PA USD 467367.84000000 0.145367873692 Long DBT CORP US N 2 2029-12-01 Fixed 2.50000000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 NGPL PipeCo LLC 62912XAF1 100000.00000000 PA USD 115401.94000000 0.035894071440 Long DBT CORP US N 2 2027-08-15 Fixed 4.87500000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 ViacomCBS Inc 925524AX8 74000.00000000 PA USD 107665.74000000 0.033487840526 Long DBT CORP US N 2 2036-04-30 Fixed 6.87500000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 5YR NOTE (CBT) SEP21 000000000 93.00000000 NC USD 67441.83000000 0.020976786560 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVU1 Comdty 2021-09-30 11505972.28000000 USD 67441.83000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SJ8 45000.00000000 PA USD 48385.55000000 0.015049611716 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N DAIMLER INTL FINANCE BV 529900RUGCXMPEENHQ31 Daimler International Finance BV 000000000 60000.00000000 PA 71938.68000000 0.022375465431 Long DBT CORP NL N 2 2023-11-06 Fixed 0.25000000 N N N N N N KFW 549300GDPG70E3MBBU98 Kreditanstalt fuer Wiederaufbau 000000000 965000.00000000 PA 1171334.28000000 0.364326252458 Long DBT CORP DE N 2 2031-01-10 None 0.00000000 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 Ryder System Inc 78355HKP3 102000.00000000 PA USD 110019.36000000 0.034219899315 Long DBT CORP US N 2 2026-12-01 Fixed 2.90000000 N N N N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 Digital Dutch Finco BV 000000000 100000.00000000 PA 127753.14000000 0.039735730039 Long DBT NL N 2 2030-03-15 Fixed 1.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTVUJ089 SWAPTION 000000000 -1190000.00000000 NC USD -909.16000000 -0.00028278080 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 1190000.00000000 OU Notional Amount N/A -909.16000000 0.00000000 DIR US N/A N/A 2032-08-10 0.00000000 N/A 0.00000000 N/A 1190000.00000000 USD 1.00000000 3.25000000 USD 2022-08-08 XXXX 6171.34000000 N N N BPCE SA 9695005MSX1OYEMGDF46 BPCE SA 000000000 100000.00000000 PA 122201.25000000 0.038008896536 Long DBT CORP FR N 2 2025-04-28 Fixed 0.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138XTVX0 270641.05000000 PA USD 286458.98000000 0.089098840910 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.00000000 N N N N N N EUROPEAN UNION 529900FZRK8FGMPEOM08 European Union 000000000 990000.00000000 PA 1201087.84000000 0.373580658477 Long DBT NUSS XX N 2 2030-10-04 None 0.00000000 N N N N N N Starwood Mortgage Residential Trust N/A Starwood Mortgage Residential Trust 2020-2 85573DAA7 146191.32000000 PA USD 147554.00000000 0.045894495510 Long ABS-MBS CORP US N 2 2060-04-25 Variable 2.71800000 N N N N N N LAND NORDRHEIN-WESTFALEN 529900VWPV1LPOHGJ702 State of North Rhine-Westphalia Germany 000000000 1141000.00000000 PA 1399042.74000000 0.435151610599 Long DBT NUSS DE N 2 2030-04-09 Fixed 0.20000000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 Northern States Power Co/MN 665772CU1 44000.00000000 PA USD 48894.06000000 0.015207776252 Long DBT CORP US N 2 2052-04-01 Fixed 3.20000000 N N N N N N State Street Global Advisors 549300BZ5TGIFZUZDZ37 State Street Institutional US Government Money Market Fund 857492706 50730983.70000000 NS USD 50730983.70000000 15.77912427776 Long STIV RF US N 2 N N N TOTALENERGIES SE 529900S21EQ1BO4ESM68 TotalEnergies SE 000000000 220000.00000000 PA 265541.94000000 0.082592904111 Long DBT CORP FR N 2 2027-10-25 Fixed 1.62500000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 BRWNSZVS2 BLACKROCK 000000000 -1060000.00000000 NC USD -3771.48000000 -0.00117306323 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 IRS Swap N/A 1060000.00000000 OU Notional Amount N/A -3771.48000000 0.00000000 DIR US N/A N/A 2031-09-24 0.00000000 N/A 0.00000000 N/A 1060000.00000000 USD 1.00000000 0.01520000 USD 2021-09-22 XXXX 10989.02000000 N N N AT&T INC 549300Z40J86GGSTL398 AT&T Inc 00206RJZ6 8000.00000000 PA USD 8498.90000000 0.002643457499 Long DBT CORP US N 2 2041-06-01 Fixed 3.50000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 Duke Energy Carolinas LLC 26442CAR5 162000.00000000 PA USD 192525.94000000 0.059882354182 Long DBT CORP US N 2 2046-03-15 Fixed 3.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCG4 7919000.00000000 PA USD 7901677.19000000 2.457700152654 Long DBT UST US N 2 2024-06-15 Fixed 0.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMRK3 1736461.57000000 PA USD 1904646.78000000 0.592412290378 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N EUROPEAN INVESTMENT BANK 5493006YXS1U5GIHE750 European Investment Bank 000000000 1829000.00000000 PA 2213637.78000000 0.688519383797 Long DBT NUSS XX N 2 2030-09-09 None 0.00000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 Panama Government International Bond 698299BK9 125000.00000000 PA USD 131078.13000000 0.040769919140 Long DBT NUSS PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 Energy Transfer LP 29278NAF0 41000.00000000 PA USD 47843.44000000 0.014880996396 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N AMPHENOL TECH HLDS GMBH 549300110BRSS7DV8V39 Amphenol Technologies Holding GmbH 000000000 135000.00000000 PA 166553.91000000 0.051804137297 Long DBT CORP DE N 2 2026-05-04 Fixed 0.75000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp 68389XBW4 48000.00000000 PA USD 51359.54000000 0.015974627444 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N DELL INT LLC / EMC CORP N/A Dell International LLC / EMC Corp 24703TAK2 42000.00000000 PA USD 68751.79000000 0.021384230298 Long DBT CORP US N 2 2046-07-15 Fixed 8.35000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 AT&T Inc 000000000 100000.00000000 PA 140871.40000000 0.043815971338 Long DBT CORP US N 2 2038-05-19 Fixed 2.60000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 Gilead Sciences Inc 375558AX1 163000.00000000 PA USD 212192.36000000 0.065999304074 Long DBT CORP US N 2 2044-04-01 Fixed 4.80000000 N N N N N N Dupont De Nemours Inc 5493004JF0SDFLM8GD76 DuPont de Nemours Inc 26078JAC4 353000.00000000 PA USD 401643.40000000 0.124925255962 Long DBT CORP US N 2 2025-11-15 Fixed 4.49300000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Wells Fargo & Co 000000000 155000.00000000 PA 184576.56000000 0.057409816774 Long DBT CORP US N 2 2021-10-29 Fixed 1.12500000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWGPX0D2 SWAPTION 000000000 -720000.00000000 NC USD -9549.50000000 -0.00297023113 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 720000.00000000 OU Notional Amount N/A -9549.50000000 0.00000000 DIR US N/A N/A 2032-01-31 0.00000000 N/A 0.00000000 N/A 720000.00000000 USD 1.00000000 1.50000000 USD 2022-01-27 XXXX 314.50000000 N N N AT&T Inc 549300Z40J86GGSTL398 AT&T Inc 00206RBH4 66000.00000000 PA USD 76350.05000000 0.023747557009 Long DBT CORP US N 2 2042-12-15 Fixed 4.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZL7 2070800.00000000 PA USD 2061093.13000000 0.641072620208 Long DBT UST US N 2 2025-04-30 Fixed 0.37500000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 General Motors Financial Co Inc 37045XCK0 121000.00000000 PA USD 134070.84000000 0.041700757448 Long DBT CORP US N 2 2025-04-09 Fixed 4.35000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBV2 340000.00000000 PA USD 340690.63000000 0.105966795811 Long DBT UST US N 2 2024-04-15 Fixed 0.37500000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 Lockheed Martin Corp 539830BD0 139000.00000000 PA USD 164921.62000000 0.051296437566 Long DBT CORP US N 2 2045-03-01 Fixed 3.80000000 N N N N N N Duke Energy Ohio Inc L6KC0HABGHNFU1Z6QY21 Duke Energy Ohio Inc 26442EAF7 110000.00000000 PA USD 123995.79000000 0.038567061736 Long DBT CORP US N 2 2029-02-01 Fixed 3.65000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTRECD20 SWAPTION 000000000 1086500.00000000 NC USD 10396.61000000 0.003233712206 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1086500.00000000 OU Notional Amount N/A 10396.61000000 0.00000000 DIR US N/A N/A 2034-03-11 0.00000000 N/A 0.00000000 N/A 1086500.00000000 USD 1.00000000 2.98000000 USD 2024-03-07 XXXX -39959.51000000 N N N FISERV INC GI7UBEJLXYLGR2C7GV83 Fiserv Inc 337738AU2 451000.00000000 PA USD 503731.10000000 0.156678129414 Long DBT CORP US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X7KS7 282431.68000000 PA USD 301388.22000000 0.093742360829 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWKKPYW6 SWAPTION 000000000 670000.00000000 NC USD 18821.64000000 0.005854193532 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 670000.00000000 OU Notional Amount N/A 18821.64000000 0.01000000 DIR US N/A N/A 2036-04-09 0.00000000 N/A 0.00000000 N/A 670000.00000000 USD 1.00000000 2.60500000 USD 2026-04-07 XXXX -18631.36000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 Argentine Republic Government International Bond 040114HT0 767563.00000000 PA USD 248306.63000000 0.077232115129 Long DBT NUSS AR N 2 2035-07-09 Variable 1.12500000 N N N N N N ESB Finance DAC 635400VCPRSU89DLMZ57 ESB Finance DAC 000000000 100000.00000000 PA 129307.12000000 0.040219072599 Long DBT CORP IE N 2 2024-01-12 Fixed 3.49400000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW5GTQ05 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW5GTQ05 IRS USD P F .76100 2 CCPVANILLA 000000000 338000.00000000 OU Notional Amount USD 16634.03000000 0.005173769705 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-06-03 6.28000000 USD 0.00000000 USD 338000.00000000 USD 16627.75000000 N N N Hyundai Capital America 549300RIPPWJB5Z0FK07 Hyundai Capital America 44891AAY3 290000.00000000 PA USD 294920.26000000 0.091730597263 Long DBT CORP US N 2 2022-02-01 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31389DS57 241342.07000000 PA USD 270543.13000000 0.084148450501 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 5.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW6DHMB2 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW6DHMB2 IRS USD P F .65200 2 CCPVANILLA 000000000 770000.00000000 OU Notional Amount USD 40626.66000000 0.012636323413 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2030-11-04 14.31000000 USD 0.00000000 USD 770000.00000000 USD 40612.35000000 N N N Banc of America Merrill Lynch Large Loan Inc N/A BAMLL Commercial Mortgage Securities Trust 2017-SCH 054966AL0 1150000.00000000 PA USD 1131983.64000000 0.352086816246 Long ABS-MBS CORP US N 2 2032-11-15 Floating 0.99400000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Morgan Stanley 6174468U6 858000.00000000 PA USD 834150.41000000 0.259450182625 Long DBT CORP US N 2 2032-02-13 Fixed 1.79400000 N N N N N N MEDTRONIC GLOBAL HLDINGS 549300JXMTTP8GKYIX14 Medtronic Global Holdings SCA 000000000 100000.00000000 PA 134390.20000000 0.041800089666 Long DBT CORP LU N 2 2049-07-02 Fixed 1.75000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PAK2 314000.00000000 PA USD 374945.24000000 0.116621187050 Long DBT CORP US N 2 2048-07-24 Fixed 4.03200000 N N N N N N BX Commercial Mortgage Trust 2019-XL N/A BX Commercial Mortgage Trust 2019-XL 056054AA7 378022.36000000 PA USD 378852.61000000 0.117836516861 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.01300000 N N N N N N AMER AIRLINE 17-1B PTT N/A American Airlines 2017-1 Class B Pass Through Trust 02378WAA7 420707.50000000 PA USD 415618.08000000 0.129271874071 Long DBT CORP US N 2 2025-02-15 Fixed 4.95000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F83S0 1198687.86000000 PA USD 97776.01000000 0.030411785868 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 1.02800000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 International Business Machines Corp 459200JZ5 171000.00000000 PA USD 188881.97000000 0.058748951056 Long DBT CORP US N 2 2026-05-15 Fixed 3.30000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38148YAB4 65000.00000000 PA USD 65103.86000000 0.020249595473 Long DBT CORP US N 2 2022-10-31 Floating 0.90900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ATWG5 184002.63000000 PA USD 185769.99000000 0.057781015574 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 0.58900000 N N N N N N TRANSCONT GAS PIPE LINE N/A Transcontinental Gas Pipe Line Co LLC 893574AR4 34000.00000000 PA USD 38926.92000000 0.012107644355 Long DBT CORP US N 2 2050-05-15 Fixed 3.95000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 AT&T Inc 00206RJX1 224000.00000000 PA USD 234527.62000000 0.072946357287 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 BRWN6RP51 BLACKROCK 000000000 -835000.00000000 NC USD -20304.28000000 -0.00631534683 N/A DIR US N 2 J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 Call Written J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 J.P. Morgan International Bank Limited PGBWEZU4QUV2UVGWJC76 IRS Swap N/A 835000.00000000 OU Notional Amount N/A -20304.28000000 -0.01000000 DIR US N/A N/A 2032-06-09 0.00000000 N/A 0.00000000 N/A 835000.00000000 USD 1.00000000 0.01400000 USD 2022-06-07 XXXX -12371.78000000 N N N OP CORPORATE BANK PLC 549300NQ588N7RWKBP98 OP Corporate Bank plc 000000000 300000.00000000 PA 370131.19000000 0.115123847797 Long DBT CORP FI N 2 2030-06-09 Fixed 1.62500000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GFH7 97000.00000000 PA USD 106314.69000000 0.033067616350 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 Waste Management Inc 94106LBR9 19000.00000000 PA USD 19979.79000000 0.006214419009 Long DBT CORP US N 2 2041-06-01 Fixed 2.95000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F020687 -1978000.00000000 PA USD -2017124.84000000 -0.62739693206 Short ABS-MBS USGSE US N 2 2051-08-15 Fixed 2.00000000 N N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 Hanesbrands Inc 410345AL6 250000.00000000 PA USD 269525.00000000 0.083831776180 Long DBT CORP US N 2 2026-05-15 Fixed 4.87500000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VFL3 322000.00000000 PA USD 312428.20000000 0.097176183786 Long DBT CORP US N 2 2030-09-18 Fixed 1.50000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 Teachers Insurance & Annuity Association of America 878091BF3 47000.00000000 PA USD 57784.65000000 0.017973063149 Long DBT CORP US N 2 2047-05-15 Fixed 4.27000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 Apple Inc 037833EK2 15000.00000000 PA USD 15035.57000000 0.004676592297 Long DBT CORP US N 2 2051-08-05 Fixed 2.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BRWNSW9A3 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWNSW9A3 IRS USD P F 2.43000 2 CCPINFLATIONZERO 000000000 1395000.00000000 OU Notional Amount USD 32043.61000000 0.009966692297 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-06-24 28.71000000 USD 0.00000000 USD 1395000.00000000 USD 32014.90000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132D9DQ4 254128.52000000 PA USD 269606.37000000 0.083857085119 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 Energy Transfer LP 29278NAM5 146000.00000000 PA USD 161330.73000000 0.050179544192 Long DBT CORP US N 2 2024-01-15 Fixed 5.87500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 Energy Transfer LP 29278NAP8 19000.00000000 PA USD 20041.59000000 0.006233640987 Long DBT CORP US N 2 2025-05-15 Fixed 2.90000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTY0MEQ4 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTY0MEQ4 IRS USD P F 2.09750 2 CCPVANILLA 000000000 220000.00000000 OU Notional Amount USD -1867.01000000 -0.00058070592 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2039-10-23 4.13000000 USD 0.00000000 USD 220000.00000000 USD -1871.14000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWDDQ3H5 SWAPTION 000000000 -950000.00000000 NC USD -33711.70000000 -0.01048552709 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 950000.00000000 OU Notional Amount N/A -33711.70000000 -0.01000000 DIR US N/A N/A 2033-01-11 0.00000000 N/A 0.00000000 N/A 950000.00000000 USD 1.00000000 1.43800000 USD 2023-01-09 XXXX -5403.45000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E4F3 2467.52000000 PA USD 2725.23000000 0.000847642598 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 4.00000000 N N N N N N Marathon Oil Corp 1FRVQX2CRLGC1XLP5727 Marathon Oil Corp 565849AL0 458000.00000000 PA USD 499795.61000000 0.155454053292 Long DBT CORP US N 2 2025-06-01 Fixed 3.85000000 N N N N N N Northwest Pipeline LLC 549300FFKMN9OW536A14 Northwest Pipeline LLC 66775VAB1 173000.00000000 PA USD 195025.42000000 0.060659780573 Long DBT CORP US N 2 2027-04-01 Fixed 4.00000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 AEP Transmission Co LLC 00115AAL3 95000.00000000 PA USD 102590.88000000 0.031909380170 Long DBT CORP US N 2 2049-09-15 Fixed 3.15000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRTQA6UK0 SWAPTION 000000000 320000.00000000 NC USD 9166.43000000 0.002851082861 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 320000.00000000 OU Notional Amount N/A 9166.43000000 0.00000000 DIR US N/A N/A 2039-01-31 0.00000000 N/A 0.00000000 N/A 320000.00000000 USD 1.00000000 3.08250000 USD 2029-01-29 XXXX -8961.57000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31397QJJ8 828850.87000000 PA USD 892833.68000000 0.277702748273 Long ABS-MBS USGSE US N 2 2041-02-25 Fixed 4.00000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 Southern California Edison Co 842400GF4 7857.14000000 PA USD 7865.26000000 0.002446373122 Long DBT CORP US N 2 2022-02-01 Fixed 1.84500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWQLSP89 BLACKROCK SWAPTION 0.0155000 CALL USD 20 000000000 790000.00000000 NC USD 29088.99000000 0.009047701322 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 790000.00000000 OU Notional Amount N/A 29088.99000000 0.01000000 DIR US N/A N/A 2034-07-31 0.00000000 N/A 0.00000000 N/A 790000.00000000 USD 1.00000000 0.01550000 USD 2024-07-29 XXXX 411.99000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AJHT6 96610.73000000 PA USD 98493.02000000 0.030634801254 Long ABS-MBS USGSE US N 2 2027-03-25 Fixed 3.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTE79CE9 SWAPTION 000000000 1050000.00000000 NC USD 108533.15000000 0.033757635614 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1050000.00000000 OU Notional Amount N/A 108533.15000000 0.03000000 DIR US N/A N/A 2037-12-09 0.00000000 N/A 0.00000000 N/A 1050000.00000000 USD 1.00000000 2.73000000 USD 2027-12-07 XXXX 44157.29000000 N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp 68389XBP9 276000.00000000 PA USD 306358.19000000 0.095288196698 Long DBT CORP US N 2 2037-11-15 Fixed 3.80000000 N N N N N N CSX Corp 549300JVQR4N1MMP3Q88 CSX Corp 126408HJ5 43000.00000000 PA USD 48928.08000000 0.015218357671 Long DBT CORP US N 2 2028-03-01 Fixed 3.80000000 N N N N N N FIDELITY NATL INFO SERV 6WQI0GK1PRFVBA061U48 Fidelity National Information Services Inc 000000000 100000.00000000 PA 150866.26000000 0.046924725133 Long DBT CORP US N 2 2039-05-21 Fixed 2.95000000 N N N N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 Duke Energy Florida LLC 26444HAJ0 144000.00000000 PA USD 143058.76000000 0.044496317406 Long DBT CORP US N 2 2030-06-15 Fixed 1.75000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 Argentine Republic Government International Bond 040114HS2 266126.00000000 PA USD 96337.61000000 0.029964392762 Long DBT NUSS AR N 2 2030-07-09 Variable 0.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136APW81 70657.07000000 PA USD 73858.87000000 0.022972712211 Long ABS-MBS USGSE US N 2 2037-03-25 Fixed 2.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWPU8KY3 BLACKROCK SWAPTION 0.0125000 PUT USD 202 000000000 4140000.00000000 NC USD 36588.91000000 0.011380440826 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 4140000.00000000 OU Notional Amount N/A 36588.91000000 0.01000000 DIR US N/A N/A 2027-07-19 0.00000000 N/A 0.00000000 N/A 4140000.00000000 USD 1.00000000 0.01250000 USD 2022-07-15 XXXX -14064.84000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPXREK5 IRS USD R F 1.23450 2 CCPVANILLA / Short: SRWPXREK5 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 200000.00000000 OU Notional Amount USD -1053.26000000 -0.00032760098 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-21 3.19000000 USD 0.00000000 USD 200000.00000000 USD -1056.45000000 N N N INFORMA PLC 5493006VM2LKUPSEDU20 Informa PLC 000000000 130000.00000000 PA 164651.69000000 0.051212479821 Long DBT CORP GB N 2 2025-10-06 Fixed 2.12500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW602HJ8 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW602HJ8 IRS USD P F 1.08950 2 CCPVANILLA 000000000 195000.00000000 OU Notional Amount USD 30755.03000000 0.009565898493 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2052-06-20 5.20000000 USD 0.00000000 USD 195000.00000000 USD 30749.83000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GHV4 836000.00000000 PA USD 906771.48000000 0.282037895402 Long DBT CORP US N 2 2030-07-23 Fixed 3.19400000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 Southern California Edison Co 842400GQ0 91000.00000000 PA USD 103724.23000000 0.032261891972 Long DBT CORP US N 2 2029-03-01 Fixed 4.20000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2019-INV2 46651DAL0 177140.79000000 PA USD 178530.96000000 0.055529422057 Long ABS-MBS CORP US N 2 2050-02-25 Floating 0.98900000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRW602HM1 IRS USD R F .65200 2 CCPVANILLA / Short: SRW602HM1 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 1065000.00000000 OU Notional Amount USD -21251.59000000 -0.00660999364 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-06-20 16.32000000 USD 0.00000000 USD 1065000.00000000 USD -21267.91000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAW1 210000.00000000 PA USD 210114.84000000 0.065353122119 Long DBT UST US N 2 2023-11-15 Fixed 0.25000000 N N N N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 NRG Energy Inc 629377CL4 74000.00000000 PA USD 83424.15000000 0.025947851482 Long DBT CORP US N 2 2029-06-15 Fixed 4.45000000 N N N N N N ADT SEC CORP 5493009JEEDYLVRA0J13 ADT Security Corp/The 00101JAH9 355000.00000000 PA USD 374901.30000000 0.116607520161 Long DBT CORP US N 2 2023-06-15 Fixed 4.12500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWHSVSN9 SWAPTION 000000000 -4690000.00000000 NC USD -8796.56000000 -0.00273604025 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 4690000.00000000 OU Notional Amount N/A -8796.56000000 0.00000000 DIR US N/A N/A 2024-02-25 0.00000000 N/A 0.00000000 N/A 4690000.00000000 USD 1.00000000 0.40500000 USD 2022-02-23 XXXX 2670.49000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTRHZW41 SWAPTION 000000000 -870000.00000000 NC USD -107207.58000000 -0.03334533661 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 870000.00000000 OU Notional Amount N/A -107207.58000000 -0.03000000 DIR US N/A N/A 2039-03-14 0.00000000 N/A 0.00000000 N/A 870000.00000000 USD 1.00000000 3.05000000 USD 2029-03-12 XXXX -61054.08000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTYKCFA8 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTYKCFA8 IRS USD P F 2.11050 2 CCPVANILLA 000000000 410000.00000000 OU Notional Amount USD -12267.92000000 -0.00381575558 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-11-12 7.48000000 USD 0.00000000 USD 410000.00000000 USD -12275.40000000 N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust 2018-C46 95001QAU5 170000.00000000 PA USD 196821.61000000 0.061218458981 Long ABS-MBS CORP US N 2 2051-08-15 Fixed 4.15200000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 Morgan Stanley 6174468G7 1084000.00000000 PA USD 1273815.08000000 0.396201393867 Long DBT CORP US N 2 2030-01-23 Fixed 4.43100000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAT8 1330000.00000000 PA USD 1310777.35000000 0.407697962815 Long DBT UST US N 2 2025-10-31 Fixed 0.25000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A Charter Communications Operating LLC / Charter Communications Operating Capital 161175BA1 570000.00000000 PA USD 801851.26000000 0.249404008379 Long DBT CORP US N 2 2045-10-23 Fixed 6.48400000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 Deutsche Bank AG/New York NY 251526CE7 155000.00000000 PA USD 158381.64000000 0.049262273242 Long DBT CORP DE N 2 2026-11-24 Fixed 2.12900000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 Oncor Electric Delivery Co LLC 68233JBR4 50000.00000000 PA USD 53745.88000000 0.016716863306 Long DBT CORP US N 2 2049-09-15 Fixed 3.10000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 Broadcom Inc 11135FBC4 83000.00000000 PA USD 93254.36000000 0.029005393323 Long DBT CORP US N 2 2025-04-15 Fixed 4.70000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PAN6 31000.00000000 PA USD 36490.58000000 0.011349856730 Long DBT CORP US N 2 2049-01-23 Fixed 3.89700000 N N N N N N Telstra Corp Ltd PCTXNQGRJVR3OG33JG65 Telstra Corp Ltd 000000000 265000.00000000 PA 328067.45000000 0.102040541844 Long DBT CORP AU N 2 2022-09-21 Fixed 3.50000000 N N N N N N STELLANTIS NV 549300LKT9PW7ZIBDF31 Stellantis NV 000000000 140000.00000000 PA 168815.16000000 0.052507465760 Long DBT CORP NL N 2 2033-06-20 Fixed 1.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTXXXAL1 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTXXXAL1 IRS USD P F 1.90700 2 CCPVANILLA 000000000 380000.00000000 OU Notional Amount USD -4448.26000000 -0.00138356566 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-10-21 6.90000000 USD 0.00000000 USD 380000.00000000 USD -4455.16000000 N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 Crown Castle International Corp 22822VAN1 47000.00000000 PA USD 50580.36000000 0.015732274997 Long DBT US N 2 2029-11-15 Fixed 3.10000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 Mizuho Financial Group Inc 60687YBL2 201000.00000000 PA USD 199235.38000000 0.061969226540 Long DBT CORP JP N 2 2031-09-08 Fixed 1.97900000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 Anthem Inc 036752AH6 54000.00000000 PA USD 69184.56000000 0.021518837024 Long DBT CORP US N 2 2048-03-01 Fixed 4.55000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 Colombia Government International Bond 195325DZ5 200000.00000000 PA USD 195900.00000000 0.060931805783 Long DBT NUSS CO N 2 2032-04-22 Fixed 3.25000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW5PE733 SWAPTION 000000000 310000.00000000 NC USD 20926.24000000 0.006508798322 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 310000.00000000 OU Notional Amount N/A 20926.24000000 0.01000000 DIR US N/A N/A 2035-06-06 0.00000000 N/A 0.00000000 N/A 310000.00000000 USD 1.00000000 1.42000000 USD 2025-06-04 XXXX 4263.74000000 N N N DUKE REALTY LP 2549009GZDBNY1KE9O81 Duke Realty LP 26441YBC0 200000.00000000 PA USD 214013.50000000 0.066565742812 Long DBT US N 2 2029-11-15 Fixed 2.87500000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 General Motors Financial Co Inc 37045XAZ9 33000.00000000 PA USD 36621.36000000 0.011390533920 Long DBT CORP US N 2 2025-07-13 Fixed 4.30000000 N N N N N N Barclays Global Investors N/A EUR 2Y MIDCV OP SEP21P 99.375 000000000 -21.00000000 NC USD -10631.25000000 -0.00330669351 N/A DIR US N 1 Barclays Global Investors N/A Put Written Barclays Global Investors N/A Barclays Global Investors N/A Eurodollar Time Deposit Future N/A 21.00000000 NC N/A -10631.25000000 0.00000000 DCO US Short Eurodollar Time Deposit EDU3 Comdty 2023-09-18 21.00000000 USD 2500.00000000 99.37500000 USD 2021-09-10 XXXX -6465.48000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RV2 6494000.00000000 PA USD 7979756.16000000 2.481985464731 Long DBT UST US N 2 2047-02-15 Fixed 3.00000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 Mizuho Financial Group Inc 000000000 100000.00000000 PA 121163.52000000 0.037686125924 Long DBT CORP JP N 2 2024-06-10 Fixed 0.52300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132XWA84 7184.10000000 PA USD 7932.46000000 0.002467274691 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTUULJH6 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTUULJH6 IRS USD P F 2.37800 2 CCPVANILLA 000000000 180000.00000000 OU Notional Amount USD -6386.45000000 -0.00198641108 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2049-07-05 3.43000000 USD 0.00000000 USD 180000.00000000 USD -6389.88000000 N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 Georgia-Pacific LLC 37331NAN1 228000.00000000 PA USD 226878.66000000 0.070567261090 Long DBT CORP US N 2 2026-05-15 Fixed 0.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137BAD66 18237.02000000 PA USD 18354.49000000 0.005708893414 Long ABS-MBS USGSE US N 2 2040-03-15 Fixed 4.00000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 Humana Inc 444859BM3 116000.00000000 PA USD 130159.65000000 0.040484239482 Long DBT CORP US N 2 2025-04-01 Fixed 4.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW6QLSN7 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW6QLSN7 IRS USD P F .88100 2 CCPVANILLA 000000000 200000.00000000 OU Notional Amount USD 43804.96000000 0.013624886753 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2053-07-12 5.45000000 USD 0.00000000 USD 200000.00000000 USD 43799.51000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 Exxon Mobil Corp 000000000 170000.00000000 PA 204903.12000000 0.063732093477 Long DBT CORP US N 2 2039-06-26 Fixed 1.40800000 N N N N N N Mariner Finance Issuance Trust N/A Mariner Finance Issuance Trust 2021-A 56848DAA7 180000.00000000 PA USD 182382.68000000 0.056727442756 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X83A3 121095.81000000 PA USD 129100.23000000 0.040154722516 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132D9B86 80493.67000000 PA USD 88642.45000000 0.027570926735 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWNP7P88 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWNP7P88 IRS USD P F .72900 2 CCPVANILLA 000000000 1620000.00000000 OU Notional Amount USD -4836.80000000 -0.00150441530 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-06-21 6.98000000 USD 0.00000000 USD 1620000.00000000 USD -4843.78000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 31329KW83 13348.35000000 PA USD 14122.50000000 0.004392595340 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMRJ6 45116.51000000 PA USD 50634.61000000 0.015749148659 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRTUBDZT1 SWAPTION 000000000 1150000.00000000 NC USD 21415.88000000 0.006661093623 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 1150000.00000000 OU Notional Amount N/A 21415.88000000 0.01000000 DIR US N/A N/A 2034-06-17 0.00000000 N/A 0.00000000 N/A 1150000.00000000 USD 1.00000000 2.50000000 USD 2024-06-13 XXXX -29727.36000000 N N N CSX Corp 549300JVQR4N1MMP3Q88 CSX Corp 126408HH9 104000.00000000 PA USD 114458.35000000 0.035600581687 Long DBT CORP US N 2 2027-06-01 Fixed 3.25000000 N N N N N N AIRBUS SE MINO79WLOO247M1IL051 Airbus SE 000000000 200000.00000000 PA 265530.08000000 0.082589215233 Long DBT CORP NL N 2 2028-04-07 Fixed 2.00000000 N N N N N N Cloud Pass-Through Trust N/A Cloud Pass-Through Trust 2019-1 18913AAA3 254314.60000000 PA USD 255631.80000000 0.079510501223 Long ABS-O CORP US N 2 2022-12-05 Variable 3.55400000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 NGPL PipeCo LLC 62928CAA0 64000.00000000 PA USD 66729.15000000 0.020755117957 Long DBT CORP US N 2 2031-07-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FMKR6 53710.20000000 PA USD 58446.21000000 0.018178831630 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N One New York Plaza Trust 2020-1NYP N/A One New York Plaza Trust 2020-1NYP 68249DAA7 240000.00000000 PA USD 241493.78000000 0.075113078616 Long ABS-MBS CORP US N 2 2026-01-15 Floating 1.04300000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWK6BU80 IRS USD R F 1.36600 2 CCPVANILLA / Short: SRWK6BU80 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 537000.00000000 OU Notional Amount USD 10113.37000000 0.003145614582 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-03-22 4.65000000 USD 0.00000000 USD 537000.00000000 USD 10108.72000000 N N N DAIMLER INTL FINANCE BV 529900RUGCXMPEENHQ31 Daimler International Finance BV 000000000 165000.00000000 PA 195752.69000000 0.060885987180 Long DBT CORP NL N 2 2021-08-09 Fixed 0.25000000 N N N N N N CONTI-GUMMI FINANCE B.V. 7245005XLGUQL4UWDV24 Conti-Gummi Finance BV 000000000 110000.00000000 PA 135259.63000000 0.042070513044 Long DBT CORP NL N 2 2024-09-25 Fixed 1.12500000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F030694 4453148.00000000 PA USD 4657814.68000000 1.448744560782 Long ABS-MBS USGSE US N 2 2051-09-15 Fixed 3.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRW5MTQ32 SWAPTION 000000000 310000.00000000 NC USD 23370.68000000 0.007269105333 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 310000.00000000 OU Notional Amount N/A 23370.68000000 0.01000000 DIR US N/A N/A 2035-06-06 0.00000000 N/A 0.00000000 N/A 310000.00000000 USD 1.00000000 1.28250000 USD 2025-06-04 XXXX 6599.68000000 N N N NEXTERA ENERGY OPERATING 549300KJEC5IUVJWR786 NextEra Energy Operating Partners LP 65342QAK8 495000.00000000 PA USD 520467.75000000 0.161883817557 Long DBT CORP US N 2 2024-07-15 Fixed 4.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWM2Q0T4 IRS USD R F 2.15000 2 CCPVANILLA / Short: SRWM2Q0T4 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 520000.00000000 OU Notional Amount USD 26384.46000000 0.008206497153 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-05-16 8.34000000 USD 0.00000000 USD 520000.00000000 USD 26376.12000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QGE5 249580.65000000 PA USD 277875.55000000 0.086429091600 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140GNTZ6 32608.65000000 PA USD 35133.82000000 0.010927856542 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 3.50000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 Colombia Government International Bond 195325DP7 75000.00000000 PA USD 81342.19000000 0.025300288530 Long DBT NUSS CO N 2 2029-03-15 Fixed 4.50000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 Barclays PLC 06738EBS3 200000.00000000 PA USD 215894.11000000 0.067150678817 Long DBT CORP GB N 2 2042-03-10 Fixed 3.81100000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 Mexico Government International Bond 91087BAH3 265000.00000000 PA USD 275980.94000000 0.085839801102 Long DBT NUSS MX N 2 2030-04-16 Fixed 3.25000000 N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTRHZW33 SWAPTION 000000000 -870000.00000000 NC USD -25721.64000000 -0.00800033676 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 870000.00000000 OU Notional Amount N/A -25721.64000000 -0.01000000 DIR US N/A N/A 2039-03-14 0.00000000 N/A 0.00000000 N/A 870000.00000000 USD 1.00000000 3.05000000 USD 2029-03-12 XXXX 20431.86000000 N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 Marsh & McLennan Cos Inc 571748BG6 70000.00000000 PA USD 82983.46000000 0.025810781357 Long DBT CORP US N 2 2029-03-15 Fixed 4.37500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWMDQ3E2 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWMDQ3E2 IRS USD P F 2.10000 2 CCPVANILLA 000000000 1460000.00000000 OU Notional Amount USD -132753.99000000 -0.04129117067 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2047-02-15 0.00000000 USD -205.69000000 USD 1460000.00000000 USD -132548.30000000 N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 Raytheon Technologies Corp 75513EBY6 54000.00000000 PA USD 71254.81000000 0.022162757754 Long DBT CORP US N 2 2027-08-15 Fixed 7.20000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 Cheniere Energy Partners LP 16411QAD3 545000.00000000 PA USD 562772.45000000 0.175042070565 Long DBT CORP US N 2 2026-10-01 Fixed 5.62500000 N N N N N N ENTERGY LOUISIANA LLC 0V5453U14HDZO63CGH17 Entergy Louisiana LLC 29364WBD9 35000.00000000 PA USD 35585.29000000 0.011068279627 Long DBT CORP US N 2 2051-03-15 Fixed 2.90000000 N N N N N N TOYOTA MOTOR FINANCE BV 724500OPA8GZSQUNSR96 Toyota Motor Finance Netherlands BV 000000000 105000.00000000 PA 124949.29000000 0.038863633849 Long DBT CORP NL N 2 2022-01-10 Fixed 0.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179VKP4 117087.25000000 PA USD 125238.64000000 0.038953631899 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPXXJD3 IRS USD R F 1.19650 2 CCPVANILLA / Short: SRWPXXJD3 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 165000.00000000 OU Notional Amount USD -1469.89000000 -0.00045718760 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-21 2.63000000 USD 0.00000000 USD 165000.00000000 USD -1472.52000000 N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 TransDigm Inc 893647BK2 1152000.00000000 PA USD 1236960.00000000 0.384738164788 Long DBT CORP US N 2 2025-12-15 Fixed 8.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PAX4 211000.00000000 PA USD 248043.03000000 0.077150126237 Long DBT CORP US N 2 2029-12-05 Fixed 4.45200000 N N N N N N American Homes 4 Rent N/A American Homes 4 Rent 2014-SFR3 Trust 02665XAA7 443905.37000000 PA USD 470943.78000000 0.146480117089 Long ABS-O CORP US N 2 2036-12-17 Fixed 3.67800000 N N N N N N NORFOLK SOUTHERN CORP 54930036C8MWP850MI84 Norfolk Southern Corp 655844CE6 134000.00000000 PA USD 142349.47000000 0.044275703212 Long DBT CORP US N 2 2029-11-01 Fixed 2.55000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 Philip Morris International Inc 000000000 110000.00000000 PA 131047.23000000 0.040760308151 Long DBT CORP US N 2 2039-08-01 Fixed 1.45000000 N N N N N N MET LIFE GLOB FUNDING I 635400MMSOCXNNNZDZ82 Metropolitan Life Global Funding I 000000000 100000.00000000 PA 119221.63000000 0.037082129680 Long DBT CORP US N 2 2022-09-23 None 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMRE7 6649837.03000000 PA USD 7203744.38000000 2.240618445514 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38148YAA6 76000.00000000 PA USD 90202.30000000 0.028056095073 Long DBT CORP US N 2 2038-10-31 Fixed 4.01700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TAL9 349223.33000000 PA USD 372994.76000000 0.116014519012 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N AMER AIRLINE 19-1AA PTT N/A American Airlines 2019-1 Class AA Pass Through Trust 02377LAA2 113503.19000000 PA USD 116748.26000000 0.036312824420 Long DBT CORP US N 2 2032-02-15 Fixed 3.15000000 N N N N N N Sealed Air Corp Q0M0CZB4YN6JZ65WXI09 Sealed Air Corp 81211KAV2 548000.00000000 PA USD 568267.78000000 0.176751311914 Long DBT CORP US N 2 2022-12-01 Fixed 4.87500000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 HCA Inc 404119BT5 53000.00000000 PA USD 61747.32000000 0.019205593210 Long DBT CORP US N 2 2026-06-15 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31335BJX5 59145.39000000 PA USD 65309.40000000 0.020313525659 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SRWNSW731 IRS GBP R F 3.67000 2 CCPINFLATIONZERO / Short: SRWNSW731 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO 000000000 785000.00000000 OU Notional Amount -20943.80000000 -0.00651426010 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-06-15 16.16000000 GBP 0.00000000 GBP 785000.00000000 GBP -20966.40000000 N N N DH EUROPE FINANCE 222100KDGL314CKTZ511 DH Europe Finance II Sarl 000000000 130000.00000000 PA 156465.47000000 0.048666276824 Long DBT CORP LU N 2 2026-03-18 Fixed 0.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SRWJ7V578 IRS USD R F 2.36000 2 CCPINFLATIONZERO / Short: SRWJ7V578 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO 000000000 740000.00000000 OU Notional Amount USD -30289.08000000 -0.00942097161 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-03-05 14.76000000 USD 0.00000000 USD 740000.00000000 USD -30303.84000000 N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 Duke Energy Progress LLC 26442UAB0 75000.00000000 PA USD 93375.47000000 0.029043062802 Long DBT CORP US N 2 2045-08-15 Fixed 4.20000000 N N N N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 Nissan Motor Acceptance Corp 654740BT5 128000.00000000 PA USD 130644.61000000 0.040635079138 Long DBT CORP US N 2 2028-03-09 Fixed 2.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810PT9 2175000.00000000 PA USD 3160207.03000000 0.982935788604 Long DBT UST US N 2 2037-02-15 Fixed 4.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWQWB4V6 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRWQWB4V6 IRS USD P F 1.07650 2 CCPOIS 000000000 20000.00000000 OU Notional Amount USD -67.57000000 -0.00002101665 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-08-02 0.32000000 USD 0.00000000 USD 20000.00000000 USD -67.89000000 N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 Oncor Electric Delivery Co LLC 68233JBD5 28000.00000000 PA USD 33706.10000000 0.010483785293 Long DBT CORP US N 2 2047-09-30 Fixed 3.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWK4SRR7 SWAPTION 000000000 -6290000.00000000 NC USD -11859.17000000 -0.00368861992 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 6290000.00000000 OU Notional Amount N/A -11859.17000000 0.00000000 DIR US N/A N/A 2024-03-25 0.00000000 N/A 0.00000000 N/A 6290000.00000000 USD 1.00000000 0.56500000 USD 2022-03-23 XXXX 8583.33000000 N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 Chile Government International Bond 168863DT2 275000.00000000 PA USD 280436.75000000 0.087225715087 Long DBT NUSS CL N 2 2033-07-27 Fixed 2.55000000 N N N N N N Westlake Automobile Receivables Trust N/A Westlake Automobile Receivables Trust 2021-2 96042RAB4 805000.00000000 PA USD 805319.75000000 0.250482831039 Long ABS-O CORP US N 2 2025-04-15 Fixed 0.32000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMRN7 35650.55000000 PA USD 39046.31000000 0.012144778853 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.50000000 N N N N N N CARGO AIRCRAFT MANAGEMEN 549300GH5J7LOMV44F11 Cargo Aircraft Management Inc 14180LAA4 435000.00000000 PA USD 444783.15000000 0.138343238956 Long DBT CORP US N 2 2028-02-01 Fixed 4.75000000 N N N N N N AMER AIRLINE 16-1 B PTT N/A American Airlines 2016-1 Class B Pass Through Trust 02376YAA5 38375.96000000 PA USD 37768.40000000 0.011747303795 Long DBT CORP US N 2 2024-01-15 Fixed 5.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379FEC9 270093.39000000 PA USD 53387.96000000 0.016605537569 Long ABS-MBS USGA US N 2 2045-11-20 Floating 6.16600000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F84J9 720000.00000000 PA USD 65576.66000000 0.020396652940 Long ABS-MBS USGSE US N 2 2029-12-25 Fixed 1.36400000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWKR7Z57 SWAPTION 000000000 2560000.00000000 NC USD 11085.57000000 0.003448003053 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 2560000.00000000 OU Notional Amount N/A 11085.57000000 0.00000000 DIR US N/A N/A 2027-04-12 0.00000000 N/A 0.00000000 N/A 2560000.00000000 USD 1.00000000 1.38500000 USD 2022-04-08 XXXX -26100.77000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPHXWZ7 IRS USD R F 1.30110 2 CCPVANILLA / Short: SRWPHXWZ7 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 165000.00000000 OU Notional Amount USD 208.73000000 0.000064922388 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-12 2.63000000 USD 0.00000000 USD 165000.00000000 USD 206.10000000 N N N SMB Private Education Loan Trust 549300V1P5RKG8RJI005 SMB Private Education Loan Trust 2018-C 78449QAC1 563042.23000000 PA USD 561307.67000000 0.174586472349 Long ABS-O CORP US N 2 2035-11-15 Floating 0.84300000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTGZTTP6 SWAPTION 000000000 315000.00000000 NC USD 37440.49000000 0.011645312226 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 315000.00000000 OU Notional Amount N/A 37440.49000000 0.01000000 DIR US N/A N/A 2048-04-29 0.00000000 N/A 0.00000000 N/A 315000.00000000 USD 1.00000000 2.98500000 USD 2038-04-27 XXXX 22635.49000000 N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 General Dynamics Corp 369550BL1 226000.00000000 PA USD 252964.31000000 0.078680817800 Long DBT CORP US N 2 2027-04-01 Fixed 3.50000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 Santander UK Group Holdings PLC 80281LAJ4 296000.00000000 PA USD 323094.28000000 0.100493710662 Long DBT CORP GB N 2 2024-11-15 Fixed 4.79600000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW4HGU67 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW4HGU67 IRS USD P F .76500 2 CCPVANILLA 000000000 1000000.00000000 OU Notional Amount USD 63451.98000000 0.019735802562 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-05-04 18.59000000 USD 0.00000000 USD 1000000.00000000 USD 63433.39000000 N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 Ryder System Inc 78355HKQ1 105000.00000000 PA USD 118491.29000000 0.036854968194 Long DBT CORP US N 2 2025-06-01 Fixed 4.62500000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VDY7 119000.00000000 PA USD 136267.92000000 0.042384126778 Long DBT CORP US N 2 2027-03-16 Fixed 4.12500000 N N N N N N BP CAPITAL MARKETS PLC 549300CRVT18MXX0AG93 BP Capital Markets PLC 000000000 135000.00000000 PA 172528.23000000 0.053662361421 Long DBT CORP GB N 2 2026-03-22 Fixed 3.25000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 EURO-BUND FUTURE SEP21 000000000 -54.00000000 NC -219600.38000000 -0.06830345943 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bund (FGBL) RXU1 Comdty 2021-09-08 -9349658.42000000 EUR -219600.38000000 N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 CommonSpirit Health 20268JAG8 110000.00000000 PA USD 124374.15000000 0.038684745034 Long DBT CORP US N 2 2050-10-01 Fixed 3.91000000 N N N N N N UNITED AIR 2020-1 A PTT N/A United Airlines 2020-1 Class A Pass Through Trust 90931GAA7 111297.00000000 PA USD 123806.34000000 0.038508136108 Long DBT CORP US N 2 2027-10-15 Fixed 5.87500000 N N N N N N CITRIX SYSTEMS INC HCTKJGUQOPZ5NBK7NP58 Citrix Systems Inc 177376AF7 118000.00000000 PA USD 125627.38000000 0.039074543742 Long DBT CORP US N 2 2030-03-01 Fixed 3.30000000 N N N N N N SWAP CCPC MORGAN STANLEY COC N/A SWAP CCPC MORGAN STANLEY COC 000000000 797120.00000000 NS USD 797120.00000000 0.247932419735 Long STIV CORP US N 1 N N N SEAGATE HDD CAYMAN 529900BD50TRWEG1SF63 Seagate HDD Cayman 81180WAZ4 340000.00000000 PA USD 356575.00000000 0.110907394830 Long DBT CORP KY N 2 2029-06-01 Fixed 4.09100000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 3097.38000000 0.000963394367 N/A DFE XX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 691443.68000000 USD 585000.00000000 EUR 2021-09-15 3097.38000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW0Q3F87 SWAPTION 000000000 -1110000.00000000 NC USD -2404.82000000 -0.00074798379 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1110000.00000000 OU Notional Amount N/A -2404.82000000 0.00000000 DIR US N/A N/A 2032-01-10 0.00000000 N/A 0.00000000 N/A 1110000.00000000 USD 1.00000000 2.10000000 USD 2022-01-06 XXXX 23055.81000000 N N N AGILENT TECHNOLOGIES INC QUIX8Y7A2WP0XRMW7G29 Agilent Technologies Inc 00846UAN1 101000.00000000 PA USD 103082.18000000 0.032062191789 Long DBT CORP US N 2 2031-03-12 Fixed 2.30000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp 68389XBE4 240000.00000000 PA USD 273000.19000000 0.084912682776 Long DBT CORP US N 2 2035-05-15 Fixed 3.90000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 Credit Suisse Group AG 000000000 200000.00000000 PA 263011.44000000 0.081805829407 Long DBT CORP CH N 2 2026-04-02 Fixed 3.25000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWLM2G29 BLACKROCK 000000000 -5390000.00000000 NC USD -44144.10000000 -0.01373037124 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 5390000.00000000 OU Notional Amount N/A -44144.10000000 -0.01000000 DIR US N/A N/A 2027-05-02 0.00000000 N/A 0.00000000 N/A 5390000.00000000 USD 1.00000000 0.00900000 USD 2022-04-28 XXXX -20068.54000000 N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2021-A 63942BAA2 111761.49000000 PA USD 111697.81000000 0.034741956433 Long ABS-O CORP US N 2 2069-05-15 Fixed 0.84000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW4FN4G1 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW4FN4G1 IRS USD P F .76000 2 CCPVANILLA 000000000 360000.00000000 OU Notional Amount USD 23008.52000000 0.007156460806 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-05-03 6.69000000 USD 0.00000000 USD 360000.00000000 USD 23001.83000000 N N N Barclays Global Investors N/A EUR 1Y MIDCV OP SEP21P 99.75 000000000 -21.00000000 NC USD -2362.50000000 -0.00073482078 N/A DIR US N 1 Barclays Global Investors N/A Put Written Barclays Global Investors N/A Barclays Global Investors N/A Eurodollar Time Deposit Future N/A 21.00000000 NC N/A -2362.50000000 0.00000000 DCO US Short Eurodollar Time Deposit EDU2 Comdty 2022-09-19 21.00000000 USD 2500.00000000 99.75000000 USD 2021-09-10 XXXX -34.23000000 N N N VICI PROPERTIES / NOTE N/A VICI Properties LP / VICI Note Co Inc 92564RAA3 250000.00000000 PA USD 260070.00000000 0.080890937877 Long DBT US N 2 2026-12-01 Fixed 4.25000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VFU3 183000.00000000 PA USD 178102.77000000 0.055396239873 Long DBT CORP US N 2 2050-11-20 Fixed 2.87500000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWKKSK13 SWAPTION 000000000 1300000.00000000 NC USD 39104.26000000 0.012162803346 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 1300000.00000000 OU Notional Amount N/A 39104.26000000 0.01000000 DIR US N/A N/A 2027-04-07 0.00000000 N/A 0.00000000 N/A 1300000.00000000 USD 1.00000000 1.52500000 USD 2022-04-05 XXXX 20156.76000000 N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 Altria Group Inc 000000000 260000.00000000 PA 362977.82000000 0.112898897559 Long DBT CORP US N 2 2031-06-15 Fixed 3.12500000 N N N N N N AMEREN ILLINOIS CO RC71E2BZ6UOMFPDJSE79 Ameren Illinois Co 02361DAU4 110000.00000000 PA USD 120611.05000000 0.037514288279 Long DBT CORP US N 2 2050-03-15 Fixed 3.25000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 Danske Bank A/S 23636BAT6 218000.00000000 PA USD 241344.98000000 0.075066796570 Long DBT CORP DK N 2 2024-01-12 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140F9VK8 119470.59000000 PA USD 129716.84000000 0.040346509962 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 MidAmerican Energy Co 595620AT2 204000.00000000 PA USD 233489.78000000 0.072623552462 Long DBT CORP US N 2 2029-04-15 Fixed 3.65000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP Paribas SA 000000000 200000.00000000 PA 237936.50000000 0.074006639136 Long DBT CORP FR N 2 2027-04-13 Fixed 0.25000000 N N N N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 Banque Federative du Credit Mutuel SA 000000000 200000.00000000 PA 237363.77000000 0.073828499916 Long DBT CORP FR N 2 2021-08-30 Fixed 0.12500000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 Charles Schwab Corp/The 808513BK0 130000.00000000 PA USD 135687.50000000 0.042203595698 Long DBT CORP US N 2 2026-06-01 Fixed 4.00000000 N N N N N N Social Professional Loan Program LLC N/A SoFi Professional Loan Program 2020-C Trust 83390UAF4 172298.06000000 PA USD 174996.13000000 0.054429965319 Long ABS-O CORP US N 2 2046-02-15 Fixed 1.95000000 N N N N N N MET LIFE GLOB FUNDING I 635400MMSOCXNNNZDZ82 Metropolitan Life Global Funding I 000000000 115000.00000000 PA 136702.71000000 0.042519361795 Long DBT CORP US N 2 2021-09-17 Fixed 1.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPEH4P8 IRS USD R F 1.37500 2 CCPVANILLA / Short: SRWPEH4P8 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 165000.00000000 OU Notional Amount USD 1384.00000000 0.000430472788 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-08 2.62000000 USD 0.00000000 USD 165000.00000000 USD 1381.38000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31335BAA4 16109.17000000 PA USD 17699.05000000 0.005505028469 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617BTER9 18849.15000000 PA USD 20606.34000000 0.006409298145 Long ABS-MBS USGA US N 2 2048-01-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ATE26 221767.89000000 PA USD 223651.43000000 0.069563478795 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 0.58900000 N N N N N N BROADCOM CRP / CAYMN FI N/A Broadcom Corp / Broadcom Cayman Finance Ltd 11134LAH2 94000.00000000 PA USD 104235.37000000 0.032420874530 Long DBT CORP XX N 2 2027-01-15 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136APYD8 51535.19000000 PA USD 53746.43000000 0.016717034376 Long ABS-MBS USGSE US N 2 2026-10-25 Fixed 4.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: B91ZC0LQ2 CDS USD R V 03MEVENT 1 CCPCDX / Short: B91ZC0LQ2 CDS USD P F 1.00000 2 CCPCDX 000000000 3120000.00000000 OU Notional Amount USD -75201.36000000 -0.02339027392 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S36.V1 2I65BYDY8 Y buy protection 2026-06-20 0.00000000 USD -70650.37000000 USD 3120000.00000000 USD -4550.99000000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 Global Payments Inc 37940XAD4 58000.00000000 PA USD 61624.25000000 0.019167314101 Long DBT CORP US N 2 2030-05-15 Fixed 2.90000000 N N N N N N DELTA AIR LINES 2019-1AA N/A Delta Air Lines 2019-1 Class AA Pass Through Trust 24737BAA3 120000.00000000 PA USD 127047.02000000 0.039516101827 Long DBT CORP US N 2 2024-04-25 Fixed 3.20400000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 Marsh & McLennan Cos Inc 571748BN1 51000.00000000 PA USD 52602.40000000 0.016361200717 Long DBT CORP US N 2 2030-11-15 Fixed 2.25000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A JP Morgan Chase Commercial Mortgage Securities Corp 466330AA5 85040.72000000 PA USD 85252.50000000 0.026516532784 Long ABS-MBS CORP US N 2 2038-04-15 Floating 0.89300000 N N N N N N PIEDMONT NATURAL GAS CO VXB4M3BDPKF3I2AZ3G89 Piedmont Natural Gas Co Inc 720186AN5 75000.00000000 PA USD 77338.21000000 0.024054909603 Long DBT CORP US N 2 2031-03-15 Fixed 2.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTW3QD46 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTW3QD46 IRS USD P F 1.66650 2 CCPVANILLA 000000000 130000.00000000 OU Notional Amount USD 2016.75000000 0.000627280343 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2049-08-17 2.50000000 USD 0.00000000 USD 130000.00000000 USD 2014.25000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Wells Fargo & Co 95000U2G7 330000.00000000 PA USD 352647.15000000 0.109685695017 Long DBT CORP US N 2 2030-10-30 Fixed 2.87900000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BRW0XSR73 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BRW0XSR73 IRS EUR P F .18500 2 CCPVANILLA 000000000 340000.00000000 OU Notional Amount -12119.79000000 -0.00376968193 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-01-16 55.60000000 EUR 0.00000000 EUR 340000.00000000 EUR -12181.81000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW4JWR98 SWAPTION 000000000 440000.00000000 NC USD 8022.83000000 0.002495382947 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 440000.00000000 OU Notional Amount N/A 8022.83000000 0.00000000 DIR US N/A N/A 2035-05-02 0.00000000 N/A 0.00000000 N/A 440000.00000000 USD 1.00000000 0.89000000 USD 2025-04-30 XXXX -15704.17000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617BUEC9 67696.28000000 PA USD 74007.18000000 0.023018841849 Long ABS-MBS USGA US N 2 2047-10-15 Fixed 4.00000000 N N N N N N State Street Corp 549300ZFEEJ2IP5VME73 State Street Corp 857477AQ6 44000.00000000 PA USD 44071.38000000 0.013707752765 Long DBT CORP US N 2 2021-09-15 Variable 3.71600000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 Virginia Electric and Power Co 927804FB5 144000.00000000 PA USD 203042.47000000 0.063153365736 Long DBT CORP US N 2 2037-05-15 Fixed 6.00000000 N N N N N N SCHNEIDER ELECTRIC SE 969500A1YF1XUYYXS284 Schneider Electric SE 000000000 100000.00000000 PA 120811.20000000 0.037576541985 Long DBT CORP FR N 2 2024-09-09 Fixed 0.25000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GJZ3 289000.00000000 PA USD 294280.29000000 0.091531544033 Long DBT CORP US N 2 2029-06-14 Fixed 2.08700000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 L3Harris Technologies Inc 413875AW5 154000.00000000 PA USD 179960.46000000 0.055974046949 Long DBT CORP US N 2 2028-06-15 Fixed 4.40000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 Mexico Government International Bond 91086QBG2 523000.00000000 PA USD 590467.00000000 0.183656051891 Long DBT NUSS MX N 2 2026-01-21 Fixed 4.12500000 N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GJD2 929000.00000000 PA USD 933979.44000000 0.290500530086 Long DBT CORP US N 2 2026-06-19 Fixed 1.31900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FLV47 68207.03000000 PA USD 74056.72000000 0.023034250536 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.50000000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Loan Trust 2020-I 63942AAC0 100000.00000000 PA USD 104245.97000000 0.032424171504 Long ABS-O CORP US N 2 2069-04-15 Fixed 2.95000000 N N N N N N HASBRO INC 549300NUB6D2R1ITYR45 Hasbro Inc 418056AW7 79000.00000000 PA USD 81091.98000000 0.025222464400 Long DBT CORP US N 2 2022-11-19 Fixed 2.60000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWLM2FC8 BLACKROCK 000000000 3590000.00000000 NC USD 61252.94000000 0.019051823602 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 3590000.00000000 OU Notional Amount N/A 61252.94000000 0.02000000 DIR US N/A N/A 2027-05-02 0.00000000 N/A 0.00000000 N/A 3590000.00000000 USD 1.00000000 0.01200000 USD 2022-04-28 XXXX 26106.84000000 N N N AEP Transmission Co LLC 549300X123Z1I0LA3Y84 AEP Transmission Co LLC 00115AAJ8 25000.00000000 PA USD 31604.74000000 0.009830188256 Long DBT CORP US N 2 2048-09-15 Fixed 4.25000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 International Business Machines Corp 459200JJ1 300000.00000000 PA 356188.01000000 0.110787027298 Long DBT CORP US N 2 2021-09-07 Fixed 0.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617BJRG1 67436.02000000 PA USD 73722.66000000 0.022930346099 Long ABS-MBS USGA US N 2 2047-10-15 Fixed 4.00000000 N N N N N N NY & PRESBYTERIAN HOSPIT 19EOSPKL8HML7MY3UE63 New York and Presbyterian Hospital/The 649322AF1 161000.00000000 PA USD 200554.65000000 0.062379566017 Long DBT CORP US N 2 2119-08-01 Fixed 3.95400000 N N N N N N IBERDROLA INTL BV 549300ZMLFJKWC63XN87 Iberdrola International BV 000000000 200000.00000000 PA 245850.20000000 0.076468078806 Long DBT CORP NL N 2 2026-01-28 Fixed 1.87400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCF6 2524000.00000000 PA USD 2532676.25000000 0.787751594576 Long DBT UST US N 2 2026-05-31 Fixed 0.75000000 N N N N N N QUALCOMM Inc H1J8DDZKZP6H7RWC0H53 QUALCOMM Inc 747525AK9 71000.00000000 PA USD 96087.66000000 0.029886649501 Long DBT CORP US N 2 2045-05-20 Fixed 4.80000000 N N N N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 Dow Chemical Co/The 260543CR2 65000.00000000 PA USD 93583.18000000 0.029107667934 Long DBT CORP US N 2 2048-11-30 Fixed 5.55000000 N N N N N N Credit Acceptance Auto Loan Trust N/A Credit Acceptance Auto Loan Trust 2021-2 22537CAA7 540000.00000000 PA USD 541557.63000000 0.168443513689 Long ABS-O CORP US N 2 2030-02-15 Fixed 0.96000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38145GAH3 146000.00000000 PA USD 159435.68000000 0.049590116838 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 Leidos Inc 52532XAF2 421000.00000000 PA USD 483762.68000000 0.150467246876 Long DBT CORP US N 2 2030-05-15 Fixed 4.37500000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 FedEx Corp 000000000 100000.00000000 PA 120230.92000000 0.037396054449 Long DBT CORP US N 2 2029-05-04 Fixed 0.45000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 BAT Capital Corp 05526DBJ3 321000.00000000 PA USD 343929.03000000 0.106974052369 Long DBT CORP US N 2 2026-09-06 Fixed 3.21500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J5YR4 71087.12000000 PA USD 77598.39000000 0.024135834755 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 Mizuho Financial Group Inc 60687YBD0 308000.00000000 PA USD 319719.47000000 0.099444025784 Long DBT CORP JP N 2 2026-05-25 Fixed 2.22600000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 BAT International Finance PLC 000000000 100000.00000000 PA 123156.42000000 0.038305988077 Long DBT CORP GB N 2 2027-03-13 Fixed 1.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137BAZ39 33312.71000000 PA USD 33389.52000000 0.010385317753 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMRP2 63932.59000000 PA USD 70489.68000000 0.021924775352 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Long: BRTDD1B28 CDS USD R F 1.00000 2 CORPORATE / Short: BRTDD1B28 CDS USD P V 03MEVENT 1 CORPORATE 000000000 90000.00000000 OU Notional Amount USD 1156.24000000 0.000359631399 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BERKSHIRE HATHAWAY INC BERKSHIRE HATHAWAY INC Y sell protection 2022-12-20 954.18000000 USD 0.00000000 USD 90000.00000000 USD 202.06000000 N N N AIR LIQUIDE FINANCE 549300YGXL5Z3R14K812 Air Liquide Finance SA 000000000 100000.00000000 PA 119065.05000000 0.037033427780 Long DBT CORP FR N 2 2022-04-18 Fixed 0.37500000 N N N N N N Motorola Solutions Inc 6S552MUG6KGJVEBSEC55 Motorola Solutions Inc 620076BE8 33000.00000000 PA USD 43536.53000000 0.013541395561 Long DBT CORP US N 2 2044-09-01 Fixed 5.50000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 Consumers Energy Co 210518DH6 191000.00000000 PA USD 222291.75000000 0.069140570384 Long DBT CORP US N 2 2051-08-01 Fixed 3.50000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 American International Group Inc 026874DF1 182000.00000000 PA USD 233627.28000000 0.072666319809 Long DBT CORP US N 2 2045-07-10 Fixed 4.80000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A Charter Communications Operating LLC / Charter Communications Operating Capital 161175CC6 102000.00000000 PA USD 112047.52000000 0.034850728571 Long DBT CORP US N 2 2061-12-01 Fixed 4.40000000 N N N N N N Nelnet Student Loan Trust N/A Nelnet Student Loan Trust 2021-B 64034QAA6 1025000.00000000 PA USD 1026320.92000000 0.319221985548 Long ABS-O CORP US N 2 2062-04-20 Floating 0.88400000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRTUHZJ98 SWAPTION 000000000 -1150000.00000000 NC USD -12582.96000000 -0.00391374412 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 1150000.00000000 OU Notional Amount N/A -12582.96000000 0.00000000 DIR US N/A N/A 2034-06-24 0.00000000 N/A 0.00000000 N/A 1150000.00000000 USD 1.00000000 3.00000000 USD 2024-06-20 XXXX 16080.30000000 N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 CommonSpirit Health 20268JAF0 57000.00000000 PA USD 60272.77000000 0.018746956180 Long DBT CORP US N 2 2030-10-01 Fixed 2.78200000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2019-D 63941CAC7 378147.35000000 PA USD 382571.79000000 0.118993312948 Long ABS-O CORP US N 2 2059-12-15 Floating 1.14300000 N N N N N N PECO ENERGY CO YH65D4JBECK76IFEJ279 PECO Energy Co 693304BA4 98000.00000000 PA USD 105644.48000000 0.032859157414 Long DBT CORP US N 2 2051-03-15 Fixed 3.05000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VGK4 343000.00000000 PA USD 370618.36000000 0.115275374840 Long DBT CORP US N 2 2041-03-22 Fixed 3.40000000 N N N N N N Republic of Panama 549300SHS4T08CL0LP14 Panama Government International Bond 698299BE3 250000.00000000 PA USD 271296.88000000 0.084382893322 Long DBT NUSS PA N 2 2025-03-16 Fixed 3.75000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F022683 24628503.00000000 PA USD 25651571.01000000 7.978542842385 Long ABS-MBS USGSE US N 2 2051-08-12 Fixed 2.50000000 N N N N N N UNITED AIR 2014-1 B PTT N/A United Airlines 2014-1 Class B Pass Through Trust 90932PAB4 127676.46000000 PA USD 129561.37000000 0.040298153312 Long DBT CORP US N 2 2022-04-11 Fixed 4.75000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 Mexico Government International Bond 91087BAF7 260000.00000000 PA USD 294986.25000000 0.091751122479 Long DBT NUSS MX N 2 2029-04-22 Fixed 4.50000000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 Baltimore Gas and Electric Co 059165EJ5 204000.00000000 PA USD 240130.75000000 0.074689128237 Long DBT CORP US N 2 2047-08-15 Fixed 3.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SRWHVF463 IRS GBP R F 3.63000 2 CCPINFLATIONZERO / Short: SRWHVF463 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO 000000000 1600000.00000000 OU Notional Amount -78256.31000000 -0.02434047106 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-02-15 31.85000000 GBP 0.00000000 GBP 1600000.00000000 GBP -78301.29000000 N N N UNITED AIR 2016-2 B PTT N/A United Airlines 2016-2 Class B Pass Through Trust 90933JAA9 7702.55000000 PA USD 7688.89000000 0.002391515835 Long DBT CORP US N 2 2025-10-07 Fixed 3.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617ALXR6 18774.63000000 PA USD 21164.62000000 0.006582942906 Long ABS-MBS USGA US N 2 2047-05-15 Fixed 4.50000000 N N N N N N BFLD Trust N/A BFLD 2019-DPLO 054970AA6 350000.00000000 PA USD 350439.36000000 0.108998994499 Long ABS-MBS CORP US N 2 2034-10-15 Floating 1.18300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138Y8EH9 185126.48000000 PA USD 195642.33000000 0.060851661330 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.00000000 N N N N N N SUNTORY HOLDINGS LTD 54930074QUY8RD0UZM08 Suntory Holdings Ltd 86803UAD3 380000.00000000 PA USD 395600.48000000 0.123045694819 Long DBT CORP JP N 2 2024-10-16 Fixed 2.25000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 Exelon Corp 30161NAC5 99000.00000000 PA USD 133125.65000000 0.041406770038 Long DBT CORP US N 2 2035-06-15 Fixed 5.62500000 N N N N N N Chase Mortgage Finance Corporation N/A Chase Home Lending Mortgage Trust 2019-ATR2 16159GAL3 77327.21000000 PA USD 77686.53000000 0.024163249402 Long ABS-MBS CORP US N 2 2049-07-25 Floating 0.98900000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPXRHR7 IRS USD R F 1.23800 2 CCPVANILLA / Short: SRWPXRHR7 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 330000.00000000 OU Notional Amount USD -1627.18000000 -0.00050611034 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-21 5.26000000 USD 0.00000000 USD 330000.00000000 USD -1632.44000000 N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 Edison International 281020AN7 104000.00000000 PA USD 119861.60000000 0.037281182910 Long DBT CORP US N 2 2027-06-15 Fixed 5.75000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWJ2CH72 SWAPTION 000000000 -6360000.00000000 NC USD -18898.74000000 -0.00587817435 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 6360000.00000000 OU Notional Amount N/A -18898.74000000 -0.01000000 DIR US N/A N/A 2024-03-02 0.00000000 N/A 0.00000000 N/A 6360000.00000000 USD 1.00000000 0.50500000 USD 2022-02-28 XXXX 1294.26000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPU5708 IRS USD R F .93000 2 CCPVANILLA / Short: SRWPU5708 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 1850000.00000000 OU Notional Amount USD 8430.01000000 0.002622030281 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-09-17 16.74000000 USD 0.00000000 USD 1850000.00000000 USD 8413.27000000 N N N UNITED AIR 2014-2 B PTT N/A United Airlines 2014-2 Class B Pass Through Trust 90932QAB2 205754.93000000 PA USD 211022.26000000 0.065635361726 Long DBT CORP US N 2 2022-09-03 Fixed 4.62500000 N N N N N N PERNOD RICARD SA 52990097YFPX9J0H5D87 Pernod Ricard SA 000000000 100000.00000000 PA 119459.12000000 0.037155997442 Long DBT CORP FR N 2 2023-10-24 None 0.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWAXWRW7 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWAXWRW7 IRS USD P F 1.73300 2 CCPVANILLA 000000000 1490000.00000000 OU Notional Amount USD -65246.61000000 -0.02029399575 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2030-11-23 29.56000000 USD 0.00000000 USD 1490000.00000000 USD -65276.17000000 N N N Ecopetrol SA 254900IDGKCJICKBPA66 Ecopetrol SA 279158AK5 195000.00000000 PA USD 203979.75000000 0.063444892857 Long DBT CORP CO N 2 2025-01-16 Fixed 4.12500000 N N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 Amgen Inc 031162BZ2 91000.00000000 PA USD 113511.78000000 0.035306165049 Long DBT CORP US N 2 2045-05-01 Fixed 4.40000000 N N N N N N FIDELITY NATL INFO SERV 6WQI0GK1PRFVBA061U48 Fidelity National Information Services Inc 000000000 100000.00000000 PA 119297.31000000 0.037105668828 Long DBT CORP US N 2 2022-12-03 Fixed 0.12500000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F032682 -1326739.00000000 PA USD -1406091.26000000 -0.43734394879 Short ABS-MBS USGSE US N 2 2051-08-15 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW7N6D07 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW7N6D07 IRS USD P F .50100 2 CCPVANILLA 000000000 480000.00000000 OU Notional Amount USD 12533.28000000 0.003898291897 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-08-19 8.09000000 USD 0.00000000 USD 480000.00000000 USD 12525.19000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SRWQWT2H0 IRS USD R F 2.96000 2 CCPINFLATIONZERO / Short: SRWQWT2H0 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO 000000000 2907000.00000000 OU Notional Amount USD 3560.46000000 0.001107428571 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2024-08-02 26.48000000 USD 0.00000000 USD 2907000.00000000 USD 3533.98000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H040681 287500.00000000 PA USD 303881.75000000 0.094517936560 Long ABS-MBS USGA US N 2 2051-08-19 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RE0 2035000.00000000 PA USD 2709411.72000000 0.842722555950 Long DBT UST US N 2 2044-02-15 Fixed 3.62500000 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 Marathon Petroleum Corp 56585ABG6 30000.00000000 PA USD 31912.53000000 0.009925921796 Long DBT CORP US N 2 2023-05-01 Fixed 4.50000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 Level 3 Financing Inc 527298BP7 164000.00000000 PA USD 173671.08000000 0.054017828059 Long DBT CORP US N 2 2027-03-01 Fixed 3.40000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 NVIDIA Corp 67066GAM6 248000.00000000 PA USD 249990.56000000 0.077755876720 Long DBT CORP US N 2 2028-06-15 Fixed 1.55000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SRWM2TCV0 IRS EUR R F .00000 2 CCPVANILLA / Short: SRWM2TCV0 IRS EUR P V 06MEURIB 1 CCPVANILLA 000000000 1140000.00000000 OU Notional Amount 12897.46000000 0.004011564715 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-11-16 0.00000000 EUR -28.05000000 EUR 1140000.00000000 EUR 12931.49000000 N N N UNITED AIR 2016-2 AA PTT N/A United Airlines 2016-2 Class AA Pass Through Trust 90932EAA1 61123.74000000 PA USD 62985.39000000 0.019590676624 Long DBT CORP US N 2 2028-10-07 Fixed 2.87500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWPYKPJ0 BLACKROCK SWAPTION 0.0050000 PUT USD 202 000000000 -1870000.00000000 NC USD -2346.48000000 -0.00072983799 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1870000.00000000 OU Notional Amount N/A -2346.48000000 0.00000000 DIR US N/A N/A 2024-01-19 0.00000000 N/A 0.00000000 N/A 1870000.00000000 USD 1.00000000 0.00500000 USD 2022-01-19 XXXX 1169.12000000 N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD 46591JAA4 130000.00000000 PA USD 130189.57000000 0.040493545657 Long ABS-MBS CORP US N 2 2029-09-15 Floating 1.09300000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46625HRY8 803000.00000000 PA USD 896031.84000000 0.278697488773 Long DBT CORP US N 2 2028-02-01 Fixed 3.78200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H030682 4219468.00000000 PA USD 4413310.36000000 1.372695098100 Long ABS-MBS USGA US N 2 2051-08-19 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTY0AH04 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTY0AH04 IRS USD P F 1.97600 2 CCPVANILLA 000000000 175000.00000000 OU Notional Amount USD -3152.45000000 -0.00098052307 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-10-23 3.19000000 USD 0.00000000 USD 175000.00000000 USD -3155.64000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWK1YJX3 SWAPTION 000000000 -3240000.00000000 NC USD -11796.19000000 -0.00366903092 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 3240000.00000000 OU Notional Amount N/A -11796.19000000 0.00000000 DIR US N/A N/A 2024-03-23 0.00000000 N/A 0.00000000 N/A 3240000.00000000 USD 1.00000000 0.56200000 USD 2022-03-21 XXXX -942.19000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140GRX74 28908.30000000 PA USD 31556.17000000 0.009815081274 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N NEWMONT CORP 549300VSP3RIX7FGDZ51 Newmont Corp 651639AP1 44000.00000000 PA USD 57182.41000000 0.017785745280 Long DBT CORP US N 2 2042-03-15 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140GNNQ2 28915.43000000 PA USD 31563.96000000 0.009817504239 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A24Y5 67238.06000000 PA USD 71043.51000000 0.022097036005 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N Cox Communications Inc 5493001NEDZNIFRP2R92 Cox Communications Inc 224044CF2 4000.00000000 PA USD 4913.17000000 0.001528169066 Long DBT CORP US N 2 2035-02-01 Fixed 4.80000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW4JWRA5 SWAPTION 000000000 -690000.00000000 NC USD -2962.17000000 -0.00092133929 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 690000.00000000 OU Notional Amount N/A -2962.17000000 0.00000000 DIR US N/A N/A 2032-05-04 0.00000000 N/A 0.00000000 N/A 690000.00000000 USD 1.00000000 0.74000000 USD 2022-04-29 XXXX 20911.83000000 N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 Deutsche Bank AG/New York NY 251526CG2 204000.00000000 PA USD 205644.84000000 0.063962794544 Long DBT CORP DE N 2 2025-04-01 Fixed 1.44700000 N N N N N N CSX Corp 549300JVQR4N1MMP3Q88 CSX Corp 126408HE6 169000.00000000 PA USD 180655.30000000 0.056190166683 Long DBT CORP US N 2 2026-11-01 Fixed 2.60000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NBZ3 72000.00000000 PA USD 86088.49000000 0.026776555144 Long DBT CORP US N 2 2047-08-15 Fixed 4.00000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 Air Lease Corp 00914AAJ1 134000.00000000 PA USD 141684.30000000 0.044068811894 Long DBT CORP US N 2 2026-01-15 Fixed 2.87500000 N N N N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 Dow Chemical Co/The 000000000 170000.00000000 PA 212031.49000000 0.065949267833 Long DBT CORP US N 2 2032-03-15 Fixed 1.12500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38148LAC0 94000.00000000 PA USD 101743.06000000 0.031645678263 Long DBT CORP US N 2 2025-01-23 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTR0BH31 SWAPTION 000000000 290000.00000000 NC USD 32591.42000000 0.010137080518 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 290000.00000000 OU Notional Amount N/A 32591.42000000 0.01000000 DIR US N/A N/A 2022-02-28 0.00000000 N/A 0.00000000 N/A 290000.00000000 USD 1.00000000 2.86000000 USD 2039-02-22 XXXX 18243.67000000 N N N Credit Acceptance Auto Loan Trust N/A Credit Acceptance Auto Loan Trust 2021-3 22535GAA0 280000.00000000 PA USD 281198.51000000 0.087462649300 Long ABS-O CORP US N 2 2030-05-15 Fixed 1.00000000 N N N N N N Navient Student Loan Trust N/A Navient Student Loan Trust 2018-EA 63890BAB2 61830.09000000 PA USD 63611.16000000 0.019785313153 Long ABS-O CORP US N 2 2059-12-15 Fixed 4.00000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 013092AC5 563000.00000000 PA USD 595654.00000000 0.185269391741 Long DBT CORP US N 2 2027-01-15 Fixed 4.62500000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 FirstEnergy Corp 337932AK3 29000.00000000 PA USD 29507.50000000 0.009177872685 Long DBT CORP US N 2 2025-03-01 Fixed 2.05000000 N N N N N International Paper Co 824LMFJDH41EY779Q875 International Paper Co 460146CK7 72000.00000000 PA USD 94181.84000000 0.029293872298 Long DBT CORP US N 2 2044-06-15 Fixed 4.80000000 N N N N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 SBA Communications Corp 78410GAE4 121000.00000000 PA USD 118833.80000000 0.036961500878 Long DBT US N 2 2029-02-01 Fixed 3.12500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTWLPW21 EURUBOR SWAPTIONS 000000000 -6270000.00000000 NC -98.17000000 -0.00003053433 N/A DIR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 6270000.00000000 OU Notional Amount N/A -98.17000000 0.00000000 DIR US N/A N/A 2023-09-07 0.00000000 N/A 0.00000000 N/A 6270000.00000000 EUR 1.00000000 0.25000000 EUR 2021-09-03 XXXX 10974.20000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X83E5 91742.81000000 PA USD 100695.74000000 0.031319924823 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 Equinix Inc 29444UBR6 184000.00000000 PA USD 187916.06000000 0.058448518997 Long DBT US N 2 2028-05-15 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp 3134A4AA2 82000.00000000 PA USD 122092.03000000 0.037974925266 Long DBT USGSE US N 2 2031-03-15 Fixed 6.75000000 N N N N N N SELP FINANCE SARL 549300Y4VYEJE1MH6D45 SELP Finance Sarl 000000000 100000.00000000 PA 120928.64000000 0.037613069965 Long DBT LU N 2 2029-05-27 Fixed 0.87500000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 Level 3 Financing Inc 527298BS1 517000.00000000 PA USD 502203.46000000 0.156202979522 Long DBT CORP US N 2 2029-01-15 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 312942H40 22507.17000000 PA USD 24724.97000000 0.007690337264 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SB89 226627.81000000 PA USD 240993.57000000 0.074957495672 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SQ2 5050000.00000000 PA USD 4496472.63000000 1.398561495671 Long DBT UST US N 2 2040-08-15 Fixed 1.12500000 N N N N N N Credit Suisse ABS Repackaging Trust 549300MV4IKF86LLTT11 Credit Suisse ABS Repackaging Trust 2013-A 22546UAA6 26401.17000000 PA USD 26495.59000000 0.008241062501 Long ABS-O CORP US N 2 2030-01-25 Fixed 2.50000000 N N N N N N BOOKING HOLDINGS INC FXM8FAOHMYDIPD38UZ17 Booking Holdings Inc 000000000 100000.00000000 PA 119735.51000000 0.037241964475 Long DBT CORP US N 2 2025-03-08 Fixed 0.10000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810PW2 315000.00000000 PA USD 444814.45000000 0.138352974359 Long DBT UST US N 2 2038-02-15 Fixed 4.37500000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 FirstEnergy Transmission LLC 33767BAA7 60000.00000000 PA USD 78229.65000000 0.024332178868 Long DBT CORP US N 2 2044-07-15 Fixed 5.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMR56 130541.41000000 PA USD 143503.20000000 0.044634553913 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWDDQ3J1 SWAPTION 000000000 -950000.00000000 NC USD -26710.30000000 -0.00830784488 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 950000.00000000 OU Notional Amount N/A -26710.30000000 -0.01000000 DIR US N/A N/A 2033-01-11 0.00000000 N/A 0.00000000 N/A 950000.00000000 USD 1.00000000 1.43800000 USD 2023-01-09 XXXX 7016.45000000 N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NCC3 80000.00000000 PA USD 95161.37000000 0.029598540658 Long DBT CORP US N 2 2047-11-01 Fixed 3.96900000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F020687 621000.00000000 PA USD 633283.38000000 0.196973455416 Long ABS-MBS USGSE US N 2 2051-08-15 Fixed 2.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP Paribas SA 000000000 200000.00000000 PA 237360.17000000 0.073827380189 Long DBT CORP FR N 2 2030-01-19 Fixed 0.50000000 N N N N N N ENI SPA BUCRF72VH5RBN7X3VL35 Eni SpA 000000000 100000.00000000 PA 121709.20000000 0.037855851640 Long DBT CORP IT N 2 2030-02-11 Fixed 2.75000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GJR1 203000.00000000 PA USD 204104.67000000 0.063483747381 Long DBT CORP US N 2 2025-04-22 Fixed 0.97600000 N N N N N N NORTHWEST FLORIDA TIMBER N/A Northwest Florida Timber Finance LLC 667469AA8 200000.00000000 PA USD 207397.30000000 0.064507871381 Long DBT CORP US N 2 2029-03-04 Fixed 4.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36197MRS9 23491.05000000 PA USD 26508.80000000 0.008245171276 Long ABS-MBS USGA US N 2 2047-04-15 Fixed 4.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWCGL1X2 SWAPTION 000000000 -480000.00000000 NC USD -9603.60000000 -0.00298705814 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 480000.00000000 OU Notional Amount N/A -9603.60000000 0.00000000 DIR US N/A N/A 2032-12-20 0.00000000 N/A 0.00000000 N/A 480000.00000000 USD 1.00000000 1.24500000 USD 2022-12-16 XXXX 6092.40000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWQ540H7 IRS USD R F 1.32250 2 CCPVANILLA / Short: SRWQ540H7 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 240000.00000000 OU Notional Amount USD 737.63000000 0.000229428932 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-27 3.83000000 USD 0.00000000 USD 240000.00000000 USD 733.80000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWJ5HYM6 SWAPTION 000000000 -9500000.00000000 NC USD -26020.50000000 -0.00809329276 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 9500000.00000000 OU Notional Amount N/A -26020.50000000 -0.01000000 DIR US N/A N/A 2024-03-04 0.00000000 N/A 0.00000000 N/A 9500000.00000000 USD 1.00000000 0.48500000 USD 2022-03-02 XXXX 1292.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138LQ2K9 1769.94000000 PA USD 1916.94000000 0.000596235915 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWJ5HYL8 SWAPTION 000000000 -9500000.00000000 NC USD -19862.60000000 -0.00617796878 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 9500000.00000000 OU Notional Amount N/A -19862.60000000 -0.01000000 DIR US N/A N/A 2024-03-04 0.00000000 N/A 0.00000000 N/A 9500000.00000000 USD 1.00000000 0.48500000 USD 2022-03-02 XXXX 7449.90000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SF6 275000.00000000 PA USD 340860.35000000 0.106019584714 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J9DU2 331169.34000000 PA USD 352702.87000000 0.109703025901 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KYSX8 15684.04000000 PA USD 16670.78000000 0.005185200251 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J73K9 15955.88000000 PA USD 16797.97000000 0.005224760824 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 3.00000000 N N N N N N AMER AIRLINE 16-3 AA PTT N/A American Airlines 2016-3 Class AA Pass Through Trust 023771R91 102765.29000000 PA USD 104957.08000000 0.032645351782 Long DBT CORP US N 2 2028-10-15 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RZ3 465000.00000000 PA USD 548118.75000000 0.170484253299 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N SALESFORCE.COM INC RCGZFPDMRW58VJ54VR07 salesforce.com Inc 79466LAM6 14000.00000000 PA USD 14572.61000000 0.004532595417 Long DBT CORP US N 2 2061-07-15 Fixed 3.05000000 N N N N N N CD Commercial Mortgage Trust N/A CD 2017-CD3 Mortgage Trust 12515GAD9 300000.00000000 PA USD 333950.85000000 0.103870486643 Long ABS-MBS CORP US N 2 2050-02-10 Fixed 3.63100000 N N N N N N Consumers Energy Co 7NKTFWJ1G6MELP9TU740 Consumers Energy Co 210518CZ7 73000.00000000 PA USD 79837.33000000 0.024832224021 Long DBT CORP US N 2 2046-08-15 Fixed 3.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWHLUMW4 IRS USD R F 1.51300 2 CCPVANILLA / Short: SRWHLUMW4 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 70000.00000000 OU Notional Amount USD 1429.47000000 0.000444615561 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-08-19 1.08000000 USD 0.00000000 USD 70000.00000000 USD 1428.39000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Morgan Stanley 61747YEC5 109000.00000000 PA USD 109907.97000000 0.034185253099 Long DBT CORP US N 2 2027-07-20 Fixed 1.51200000 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust 2019-NUGS 61692AAA0 241000.00000000 PA USD 241924.84000000 0.075247153471 Long ABS-MBS CORP US N 2 2036-12-15 Floating 2.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B9U45 22584.71000000 PA USD 22603.09000000 0.007030357784 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 4.00000000 N N N N N N MOTOROLA SOLUTIONS INC 6S552MUG6KGJVEBSEC55 Motorola Solutions Inc 620076BU2 247000.00000000 PA USD 256209.02000000 0.079690036991 Long DBT CORP US N 2 2031-05-24 Fixed 2.75000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 Danske Bank A/S 23636AAS0 250000.00000000 PA USD 254822.75000000 0.079258858153 Long DBT CORP DK N 2 2022-01-12 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J93N9 292230.70000000 PA USD 310897.13000000 0.096699967043 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.00000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp 68389XAM7 295000.00000000 PA USD 387508.05000000 0.120528663819 Long DBT CORP US N 2 2040-07-15 Fixed 5.37500000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 Morgan Stanley 61746BEF9 157000.00000000 PA USD 175372.11000000 0.054546908353 Long DBT CORP US N 2 2027-01-20 Fixed 3.62500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRTQA6UL8 SWAPTION 000000000 320000.00000000 NC USD 40195.65000000 0.012502264109 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 320000.00000000 OU Notional Amount N/A 40195.65000000 0.01000000 DIR US N/A N/A 2039-01-31 0.00000000 N/A 0.00000000 N/A 320000.00000000 USD 1.00000000 3.08250000 USD 2029-01-29 XXXX 22067.65000000 N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 Hyundai Capital Services Inc 44920UAM0 350000.00000000 PA USD 366884.00000000 0.114113857238 Long DBT CORP KR N 2 2023-03-05 Fixed 3.75000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 CVS Health Corp 126650CX6 278000.00000000 PA USD 321887.70000000 0.100118421748 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N UNITED AIR 2015-1 AA PTT N/A United Airlines 2015-1 Class AA Pass Through Trust 90932LAA5 35637.09000000 PA USD 37464.46000000 0.011652767741 Long DBT CORP US N 2 2027-12-01 Fixed 3.45000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWDRXPF5 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWDRXPF5 IRS USD P F .84458 2 CCPVANILLA 000000000 1520000.00000000 OU Notional Amount USD 11642.61000000 0.003621262130 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-11-15 17.99000000 USD 0.00000000 USD 1520000.00000000 USD 11624.62000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WJ4V7 4358364.53000000 PA USD 4705471.39000000 1.463567477566 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 Vodafone Group PLC 92857WBJ8 216000.00000000 PA USD 241560.10000000 0.075133706473 Long DBT CORP GB N 2 2025-05-30 Fixed 4.12500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWP22RP9 IRS USD R F .71500 2 CCPVANILLA / Short: SRWP22RP9 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 670000.00000000 OU Notional Amount USD -36486.28000000 -0.01134851927 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-01 10.84000000 USD 0.00000000 USD 670000.00000000 USD -36497.12000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWKR7Z32 SWAPTION 000000000 -7200000.00000000 NC USD -7766.64000000 -0.00241569882 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 7200000.00000000 OU Notional Amount N/A -7766.64000000 0.00000000 DIR US N/A N/A 2024-01-12 0.00000000 N/A 0.00000000 N/A 7200000.00000000 USD 1.00000000 0.50800000 USD 2022-01-10 XXXX 12194.61000000 N N N NYT Mortgage Trust N/A BF 2019-NYT Mortgage Trust 62954PAG5 325000.00000000 PA USD 325430.56000000 0.101220376099 Long ABS-MBS CORP US N 2 2035-12-15 Floating 1.49300000 N N N N N N Suncor Energy Inc 549300W70ZOQDVLCHY06 Suncor Energy Inc 71644EAJ1 24000.00000000 PA USD 34979.84000000 0.010879963334 Long DBT CORP CA N 2 2038-05-15 Fixed 6.80000000 N N N N N N Suncor Energy Inc 549300W70ZOQDVLCHY06 Suncor Energy Inc 71644EAB8 30000.00000000 PA USD 30538.15000000 0.009498441167 Long DBT CORP CA N 2 2021-10-15 Fixed 9.25000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38148LAE6 302000.00000000 PA USD 330823.82000000 0.102897870080 Long DBT CORP US N 2 2025-05-22 Fixed 3.75000000 N N N N N N CHEVRON CORP N/A Chevron Corp 166764CA6 51000.00000000 PA USD 53877.38000000 0.016757764442 Long DBT CORP US N 2 2050-05-11 Fixed 3.07800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WKRQ0 2271983.72000000 PA USD 2393783.54000000 0.744551065579 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31335BKV7 50788.12000000 PA USD 56081.16000000 0.017443217709 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAF8 590000.00000000 PA USD 589216.41000000 0.183267074316 Long DBT UST US N 2 2023-08-15 Fixed 0.12500000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 060505FL3 90000.00000000 PA USD 103387.50000000 0.032157157072 Long DBT CORP US N 2 2028-03-15 Fixed 5.87500000 N N N N N N United Mexican States 254900EGTWEU67VP6075 Mexico Government International Bond 91087BAE0 771000.00000000 PA USD 845835.19000000 0.263084561112 Long DBT NUSS MX N 2 2028-01-11 Fixed 3.75000000 N N N N N N Tampa Electric Co WS423EPRKJIIJUITXD73 Tampa Electric Co 875127BD3 42000.00000000 PA USD 49724.17000000 0.015465969725 Long DBT CORP US N 2 2045-05-15 Fixed 4.20000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 Long: BRTDD2U82 CDS USD R F 1.00000 2 CORPORATE / Short: BRTDD2U82 CDS USD P V 03MEVENT 1 CORPORATE 000000000 40000.00000000 OU Notional Amount USD 521.64000000 0.000162248428 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 SHERWIN-WILLIAMS CO SHERWIN-WILLIAMS CO Y sell protection 2022-12-20 380.38000000 USD 0.00000000 USD 40000.00000000 USD 141.26000000 N N N Nvent Finance Sarl 549300KO1OQ4MVFB6X02 Nvent Finance Sarl 67078AAC7 247000.00000000 PA USD 258394.66000000 0.080369848078 Long DBT CORP LU N 2 2023-04-15 Fixed 3.95000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTW81EA1 SWAPTION 000000000 -1220000.00000000 NC USD -31763.92000000 -0.00987969884 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1220000.00000000 OU Notional Amount N/A -31763.92000000 -0.01000000 DIR US N/A N/A 2034-08-22 0.00000000 N/A 0.00000000 N/A 1220000.00000000 USD 1.00000000 2.25000000 USD 2024-08-20 XXXX 4409.08000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTW81883 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTW81883 IRS USD P F 1.64500 2 CCPVANILLA 000000000 375000.00000000 OU Notional Amount USD 4141.62000000 0.001288189818 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-08-22 6.70000000 USD 0.00000000 USD 375000.00000000 USD 4134.92000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 CVS Health Corp 126650DF4 138000.00000000 PA USD 149839.01000000 0.046605214171 Long DBT CORP US N 2 2026-08-15 Fixed 3.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 Raytheon Technologies Corp 75513EAB7 150000.00000000 PA 202566.81000000 0.063005418709 Long DBT CORP US N 2 2030-05-18 Fixed 2.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KYSR1 126627.44000000 PA USD 134594.03000000 0.041863487981 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 3.50000000 N N N N N N SFAVE Commercial Mortgage Securities Trust 549300FIGODFFTOAAU64 SFAVE Commercial Mortgage Securities Trust 2015-5AVE 78413MAE8 515000.00000000 PA USD 572423.58000000 0.178043912212 Long ABS-MBS CORP US N 2 2043-01-05 Variable 4.14400000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 Sumitomo Mitsui Financial Group Inc 86562MBW9 200000.00000000 PA USD 212803.15000000 0.066189281296 Long DBT CORP JP N 2 2030-01-15 Fixed 2.75000000 N N N N N N SWAP CCPC MORGAN STANLEY COC N/A SWAP CCPC MORGAN STANLEY COC 000000000 -207000.00000000 NS USD -207000.00000000 -0.06438429707 Short STIV CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMQ73 27796.78000000 PA USD 30715.34000000 0.009553553504 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWL2FZH8 IRS USD R F .59150 2 CCPVANILLA / Short: SRWL2FZH8 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 1610000.00000000 OU Notional Amount USD 2680.88000000 0.000833848185 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-04-20 6.53000000 USD 0.00000000 USD 1610000.00000000 USD 2674.35000000 N N N General Dynamics Corp 9C1X8XOOTYY2FNYTVH06 General Dynamics Corp 369550BC1 58000.00000000 PA USD 66510.23000000 0.020687026120 Long DBT CORP US N 2 2028-05-15 Fixed 3.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTYQH6H6 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTYQH6H6 IRS USD P F 2.13650 2 CCPVANILLA 000000000 450000.00000000 OU Notional Amount USD -5276.43000000 -0.00164115573 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2039-11-15 8.48000000 USD 0.00000000 USD 450000.00000000 USD -5284.91000000 N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 Digital Dutch Finco BV 000000000 110000.00000000 PA 132416.05000000 0.041186059424 Long DBT NL N 2 2032-01-15 Fixed 1.00000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 Northrop Grumman Corp 666807BM3 303000.00000000 PA USD 323273.41000000 0.100549426406 Long DBT CORP US N 2 2025-01-15 Fixed 2.93000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KJVE9 33052.20000000 PA USD 35118.99000000 0.010923243889 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Atmos Energy Corp QVLWEGTD2S8GJMO8D383 Atmos Energy Corp 049560AM7 29000.00000000 PA USD 35070.23000000 0.010908077810 Long DBT CORP US N 2 2044-10-15 Fixed 4.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620C5BR7 8759.16000000 PA USD 9854.80000000 0.003065190197 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWM3VVY7 BLACKROCK 000000000 2290000.00000000 NC 2496.20000000 0.000776406194 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 2290000.00000000 OU Notional Amount N/A 2496.20000000 0.00000000 DIR US N/A N/A 2026-11-17 0.00000000 N/A 0.00000000 N/A 2290000.00000000 EUR 1.00000000 0.00150000 EUR 2021-11-15 XXXX -13805.26000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWCG7576 SWAPTION 000000000 -480000.00000000 NC USD -21803.38000000 -0.00678161978 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 480000.00000000 OU Notional Amount N/A -21803.38000000 -0.01000000 DIR US N/A N/A 2032-12-20 0.00000000 N/A 0.00000000 N/A 480000.00000000 USD 1.00000000 1.23250000 USD 2022-12-16 XXXX -6107.38000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTPSUE36 SWAPTION 000000000 320000.00000000 NC USD 39303.49000000 0.012224770899 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 320000.00000000 OU Notional Amount N/A 39303.49000000 0.01000000 DIR US N/A N/A 2039-01-16 0.00000000 N/A 0.00000000 N/A 320000.00000000 USD 1.00000000 3.04000000 USD 2029-01-11 XXXX 21063.49000000 N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 BAT International Finance PLC 000000000 155000.00000000 PA 187255.90000000 0.058243185965 Long DBT CORP GB N 2 2023-10-13 Fixed 0.87500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWPEQ064 IRS USD R F 1.36300 2 CCPVANILLA / Short: SRWPEQ064 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 165000.00000000 OU Notional Amount USD 1194.87000000 0.000371646691 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-07-08 2.62000000 USD 0.00000000 USD 165000.00000000 USD 1192.25000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW23UVW7 SWAPTION 000000000 680000.00000000 NC USD 41442.19000000 0.012889981992 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 680000.00000000 OU Notional Amount N/A 41442.19000000 0.01000000 DIR US N/A N/A 2035-02-27 0.00000000 N/A 0.00000000 N/A 680000.00000000 USD 1.00000000 1.49500000 USD 2025-02-25 XXXX 5725.19000000 N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 Glencore Funding LLC 378272AY4 131000.00000000 PA USD 132133.48000000 0.041098170193 Long DBT CORP US N 2 2030-09-01 Fixed 2.50000000 N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 Citigroup Inc 172967MS7 1370000.00000000 PA USD 1418757.52000000 0.441283602156 Long DBT CORP US N 2 2031-06-03 Fixed 2.57200000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 United Parcel Service Inc 911312BY1 35000.00000000 PA USD 42702.92000000 0.013282113465 Long DBT CORP US N 2 2030-04-01 Fixed 4.45000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWJ37H07 SWAPTION 000000000 -970000.00000000 NC USD -16509.11000000 -0.00513491518 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 970000.00000000 OU Notional Amount N/A -16509.11000000 -0.01000000 DIR US N/A N/A 2033-03-03 0.00000000 N/A 0.00000000 N/A 970000.00000000 USD 1.00000000 2.01000000 USD 2023-03-01 XXXX 20447.89000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRTUBDZS3 SWAPTION 000000000 -1150000.00000000 NC USD -12481.64000000 -0.00388223003 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 1150000.00000000 OU Notional Amount N/A -12481.64000000 0.00000000 DIR US N/A N/A 2034-06-17 0.00000000 N/A 0.00000000 N/A 1150000.00000000 USD 1.00000000 3.00000000 USD 2024-06-13 XXXX 18925.64000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWP8TU21 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWP8TU21 IRS USD P F .66500 2 CCPVANILLA 000000000 810000.00000000 OU Notional Amount USD -2821.96000000 -0.00087772903 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-04-05 3.44000000 USD 0.00000000 USD 810000.00000000 USD -2825.40000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWK6BUE7 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWK6BUE7 IRS USD P F 2.50400 2 CCPVANILLA 000000000 3000.00000000 OU Notional Amount USD -102.62000000 -0.00003191843 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-03-20 0.03000000 USD 0.00000000 USD 3000.00000000 USD -102.65000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132XCSC0 125520.15000000 PA USD 138990.83000000 0.043231047775 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWHLT530 SWAPTION 000000000 -620000.00000000 NC USD -6836.12000000 -0.00212627430 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 620000.00000000 OU Notional Amount N/A -6836.12000000 0.00000000 DIR US N/A N/A 2032-02-22 0.00000000 N/A 0.00000000 N/A 620000.00000000 USD 1.00000000 1.62000000 USD 2022-02-18 XXXX 9593.88000000 N N N TOTALENERGIES CAPITAL 549300U37G2I8G4RUG09 TotalEnergies Capital International SA 000000000 100000.00000000 PA 123522.26000000 0.038419777214 Long DBT CORP FR N 2 2023-03-15 Fixed 2.12500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWN4EWX3 BLACKROCK 000000000 -2690000.00000000 NC USD -1751.46000000 -0.00054476580 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 2690000.00000000 OU Notional Amount N/A -1751.46000000 0.00000000 DIR US N/A N/A 2023-12-08 0.00000000 N/A 0.00000000 N/A 2690000.00000000 USD 1.00000000 0.00500000 USD 2021-12-06 XXXX 400.54000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTVRS8P7 SWAPTION 000000000 -1170000.00000000 NC USD -848.37000000 -0.00026387297 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 1170000.00000000 OU Notional Amount N/A -848.37000000 0.00000000 DIR US N/A N/A 2032-08-04 0.00000000 N/A 0.00000000 N/A 1170000.00000000 USD 1.00000000 3.25000000 USD 2022-08-02 XXXX 6815.13000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW4JWRB3 SWAPTION 000000000 440000.00000000 NC USD 43970.12000000 0.013676257335 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 440000.00000000 OU Notional Amount N/A 43970.12000000 0.01000000 DIR US N/A N/A 2035-05-02 0.00000000 N/A 0.00000000 N/A 440000.00000000 USD 1.00000000 0.89000000 USD 2025-04-30 XXXX 20243.12000000 N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 FirstEnergy Transmission LLC 33767BAC3 125000.00000000 PA USD 150902.48000000 0.046935990830 Long DBT CORP US N 2 2049-04-01 Fixed 4.55000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SP4 2755000.00000000 PA USD 2419772.45000000 0.752634532739 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H022689 3903000.00000000 PA USD 4057129.47000000 1.261910285373 Long ABS-MBS USGA US N 2 2051-08-19 Fixed 2.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 Cigna Corp 125523AG5 377000.00000000 PA USD 424122.49000000 0.131917045375 Long DBT CORP US N 2 2025-11-15 Fixed 4.12500000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 UnitedHealth Group Inc 91324PDF6 77000.00000000 PA USD 90895.07000000 0.028271570964 Long DBT CORP US N 2 2047-10-15 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31335BEU6 262113.31000000 PA USD 291041.91000000 0.090524293695 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.50000000 N N N N N N Northern Natural Gas Co 5493007M02M6CT9EXE41 Northern Natural Gas Co 665501AL6 85000.00000000 PA USD 103985.48000000 0.032343149931 Long DBT CORP US N 2 2049-01-15 Fixed 4.30000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 Indonesia Government International Bond 455780CF1 111000.00000000 PA USD 125832.38000000 0.039138305969 Long DBT NUSS ID N 2 2028-04-24 Fixed 4.10000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 Diamondback Energy Inc 25278XAR0 80000.00000000 PA USD 83981.79000000 0.026121297180 Long DBT CORP US N 2 2031-03-24 Fixed 3.12500000 N N N N N N Cox Communications Inc 5493001NEDZNIFRP2R92 Cox Communications Inc 224044CG0 72000.00000000 PA USD 78729.71000000 0.024487715156 Long DBT CORP US N 2 2026-09-15 Fixed 3.35000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GFM6 76000.00000000 PA USD 83370.43000000 0.025931142668 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F040685 211000.00000000 PA USD 225453.50000000 0.070123986090 Long ABS-MBS USGSE US N 2 2051-08-15 Fixed 4.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC Holdings PLC 404280CT4 200000.00000000 PA USD 207441.34000000 0.064521569373 Long DBT CORP GB N 2 2032-05-24 Fixed 2.80400000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 Mexico Government International Bond 000000000 545000.00000000 PA 614988.80000000 0.191283196123 Long DBT NUSS MX N 2 2033-10-25 Fixed 1.45000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 Raytheon Technologies Corp 913017CA5 208000.00000000 PA USD 252050.16000000 0.078396484925 Long DBT CORP US N 2 2045-05-15 Fixed 4.15000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRTUBDZU8 SWAPTION 000000000 -1150000.00000000 NC USD -7393.93000000 -0.00229977287 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 1150000.00000000 OU Notional Amount N/A -7393.93000000 0.00000000 DIR US N/A N/A 2034-06-17 0.00000000 N/A 0.00000000 N/A 1150000.00000000 USD 1.00000000 3.50000000 USD 2024-06-13 XXXX 11424.60000000 N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2019-LTV3 46651HBC0 135349.63000000 PA USD 135241.36000000 0.042064830430 Long ABS-MBS CORP US N 2 2050-03-25 Floating 0.94200000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 Mizuho Financial Group Inc 60687YAW9 280000.00000000 PA USD 296134.34000000 0.092108218941 Long DBT CORP JP N 2 2025-07-16 Fixed 2.83900000 N N N N N N SMB Private Education Loan Trust N/A SMB Private Education Loan Trust 2021-A 78448YAB7 640000.00000000 PA USD 641150.98000000 0.199420556361 Long ABS-O CORP US N 2 2053-01-15 Floating 0.82300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMRL1 266277.01000000 PA USD 295831.70000000 0.092014087233 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRW2C7V65 SWAPTION 000000000 -750000.00000000 NC USD -9003.08000000 -0.00280027525 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 750000.00000000 OU Notional Amount N/A -9003.08000000 0.00000000 DIR US N/A N/A 2032-03-02 0.00000000 N/A 0.00000000 N/A 750000.00000000 USD 1.00000000 1.60000000 USD 2022-02-28 XXXX 4684.42000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36197MQM3 24700.21000000 PA USD 27922.52000000 0.008684888032 Long ABS-MBS USGA US N 2 2047-03-15 Fixed 4.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWL2FZL9 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWL2FZL9 IRS USD P F 1.28500 2 CCPVANILLA 000000000 660000.00000000 OU Notional Amount USD -9025.88000000 -0.00280736685 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-04-20 5.86000000 USD 0.00000000 USD 660000.00000000 USD -9031.74000000 N N N ABBOTT IRELAND FINANCING 54930021QV18ZVZQDE71 Abbott Ireland Financing DAC 000000000 100000.00000000 PA 121765.66000000 0.037873412691 Long DBT CORP IE N 2 2023-09-27 Fixed 0.87500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTTA18G9 SWAPTION 000000000 -3130000.00000000 NC USD -3856.79000000 -0.00119959764 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 3130000.00000000 OU Notional Amount N/A -3856.79000000 0.00000000 DIR US N/A N/A 2032-05-11 0.00000000 N/A 0.00000000 N/A 3130000.00000000 USD 1.00000000 2.75000000 USD 2022-05-09 XXXX 88547.78000000 N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 Cheniere Energy Partners LP 16411QAG6 60000.00000000 PA USD 64725.00000000 0.020131756658 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 MidAmerican Energy Co 595620AV7 70000.00000000 PA USD 75630.86000000 0.023523863566 Long DBT CORP US N 2 2050-04-15 Fixed 3.15000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 MidAmerican Energy Co 595620AQ8 105000.00000000 PA USD 115895.45000000 0.036047570447 Long DBT CORP US N 2 2027-05-01 Fixed 3.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137BR4G7 235921.20000000 PA USD 238178.56000000 0.074081928329 Long ABS-MBS USGSE US N 2 2046-08-15 Floating 0.59300000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PBE5 60000.00000000 PA USD 63405.49000000 0.019721342533 Long DBT CORP US N 2 2030-10-15 Fixed 2.73900000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWKZWRE3 SWAPTION 000000000 -570000.00000000 NC USD -27418.03000000 -0.00852797385 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 570000.00000000 OU Notional Amount N/A -27418.03000000 -0.01000000 DIR US N/A N/A 2031-10-18 0.00000000 N/A 0.00000000 N/A 570000.00000000 USD 1.00000000 1.77500000 USD 2021-10-14 XXXX -15205.78000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWQ0JPK5 IRS USD R F .51500 2 CCPVANILLA / Short: SRWQ0JPK5 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 810000.00000000 OU Notional Amount USD 88.60000000 0.000027557723 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-04-22 3.51000000 USD 0.00000000 USD 810000.00000000 USD 85.09000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWJFUDT4 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWJFUDT4 IRS USD P F 2.78000 2 CCPVANILLA 000000000 1629500.00000000 OU Notional Amount USD -228501.53000000 -0.07107203086 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-03-10 25.30000000 USD 0.00000000 USD 1629500.00000000 USD -228526.83000000 N N N BAT Capital Corp 2138005GYEXN7XRHFA84 BAT Capital Corp 05526DBQ7 247000.00000000 PA USD 292489.94000000 0.090974682071 Long DBT CORP US N 2 2050-04-02 Fixed 5.28200000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 Texas Eastern Transmission LP 882384AC4 45000.00000000 PA USD 45920.86000000 0.014283006242 Long DBT CORP US N 2 2022-10-15 Fixed 2.80000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GFU8 84000.00000000 PA USD 95135.92000000 0.029590624811 Long DBT CORP US N 2 2026-03-03 Fixed 4.45000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRTRHZW25 SWAPTION 000000000 1090000.00000000 NC USD 10850.62000000 0.003374925321 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1090000.00000000 OU Notional Amount N/A 10850.62000000 0.00000000 DIR US N/A N/A 2034-03-14 0.00000000 N/A 0.00000000 N/A 1090000.00000000 USD 1.00000000 2.95000000 USD 2024-03-12 XXXX -38253.88000000 N N N SHIRE ACQ INV IRELAND DA 549300XK5HGW68R8K327 Shire Acquisitions Investments Ireland DAC 82481LAD1 270000.00000000 PA USD 294232.51000000 0.091516682769 Long DBT CORP IE N 2 2026-09-23 Fixed 3.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NDR6 44298.52000000 PA USD 47952.30000000 0.014914855694 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140HBB49 7728.25000000 PA USD 8493.11000000 0.002641656605 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PAR7 196000.00000000 PA USD 223597.57000000 0.069546726436 Long DBT CORP US N 2 2029-04-23 Fixed 4.00500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWP5Z6P6 IRS USD R F 1.78430 2 CCPVANILLA / Short: SRWP5Z6P6 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 480000.00000000 OU Notional Amount USD 10831.69000000 0.003369037424 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2047-02-15 13.47000000 USD 0.00000000 USD 480000.00000000 USD 10818.22000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWHKRR49 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWHKRR49 IRS USD P F 1.59400 2 CCPVANILLA 000000000 560000.00000000 OU Notional Amount USD -10652.56000000 -0.00331332167 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-02-22 8.68000000 USD 0.00000000 USD 560000.00000000 USD -10661.24000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZQ6 6241000.00000000 PA USD 5956741.92000000 1.852756721653 Long DBT UST US N 2 2030-05-15 Fixed 0.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418DKD3 18629.22000000 PA USD 19782.01000000 0.006152902457 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 3.50000000 N N N N N N UNITED AIR 2019-1 AA PTT N/A United Airlines 2019-1 Class AA Pass Through Trust 90931CAA6 63193.62000000 PA USD 68606.56000000 0.021339058649 Long DBT CORP US N 2 2031-08-25 Fixed 4.15000000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 Ares Capital Corp 04010LBA0 69000.00000000 PA USD 69531.19000000 0.021626651173 Long DBT CORP US N 2 2026-07-15 Fixed 2.15000000 N N N N N N AMADEUS IT GROUP SA 9598004A3FTY3TEHHN09 Amadeus IT Group SA 000000000 100000.00000000 PA 134907.29000000 0.041960922884 Long DBT CORP ES N 2 2027-05-20 Fixed 2.87500000 N N N N N N MSCI INC 549300HTIN2PD78UB763 MSCI Inc 55354GAL4 512000.00000000 PA USD 544000.00000000 0.169203176856 Long DBT CORP US N 2 2031-02-15 Fixed 3.87500000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTVUHZ28 SWAPTION 000000000 1190000.00000000 NC USD 7342.42000000 0.002283751451 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 1190000.00000000 OU Notional Amount N/A 7342.42000000 0.00000000 DIR US N/A N/A 2032-08-10 0.00000000 N/A 0.00000000 N/A 1190000.00000000 USD 1.00000000 2.25000000 USD 2022-08-08 XXXX -20830.83000000 N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 Takeda Pharmaceutical Co Ltd 000000000 150000.00000000 PA 199967.43000000 0.062196919896 Long DBT CORP JP N 2 2040-07-09 Fixed 2.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWJ9VQX6 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWJ9VQX6 IRS USD P F 1.71000 2 CCPVANILLA 000000000 430000.00000000 OU Notional Amount USD -1585.56000000 -0.00049316505 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-03-06 0.70000000 USD 0.00000000 USD 430000.00000000 USD -1586.26000000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 Equinix Inc 29444UBE5 58000.00000000 PA USD 63149.01000000 0.019641568212 Long DBT US N 2 2029-11-18 Fixed 3.20000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 Anglo American Capital PLC 034863AT7 227000.00000000 PA USD 254310.80000000 0.079099623656 Long DBT CORP GB N 2 2027-09-11 Fixed 4.00000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 AT&T Inc 00206RFU1 262000.00000000 PA USD 341932.96000000 0.106353204235 Long DBT CORP US N 2 2050-02-15 Fixed 5.15000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTVRS8N2 SWAPTION 000000000 1170000.00000000 NC USD 7031.93000000 0.002187178116 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 1170000.00000000 OU Notional Amount N/A 7031.93000000 0.00000000 DIR US N/A N/A 2032-08-04 0.00000000 N/A 0.00000000 N/A 1170000.00000000 USD 1.00000000 2.25000000 USD 2022-08-02 XXXX -24558.07000000 N N N D.R. HORTON INC 529900ZIUEYVSB8QDD25 DR Horton Inc 23331ABQ1 147000.00000000 PA USD 147179.34000000 0.045777963043 Long DBT CORP US N 2 2026-10-15 Fixed 1.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SA7 1030000.00000000 PA USD 1270682.04000000 0.395226907983 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38148YAC2 445000.00000000 PA USD 447570.05000000 0.139210063099 Long DBT CORP US N 2 2022-10-31 Fixed 2.87600000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR ULTRA FUT SEP21 000000000 -59.00000000 NC USD -117237.41000000 -0.03646496731 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US 10 Year Ultra Bond UXYU1 Comdty 2021-09-21 -8747512.59000000 USD -117237.41000000 N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 Bank of New York Mellon Corp/The 064058AF7 115000.00000000 PA USD 126068.75000000 0.039211825371 Long DBT CORP US N 2 2026-09-20 Fixed 4.62500000 N N N N N N PROLOGIS EURO FINANCE 549300MI5D1784PRQH06 Prologis Euro Finance LLC 000000000 100000.00000000 PA 124264.85000000 0.038650748881 Long DBT US N 2 2049-09-10 Fixed 1.50000000 N N N N N N BALL CORP 0BGI85ALH27ZJP15DY16 Ball Corp 058498AW6 195000.00000000 PA USD 192975.90000000 0.060022307604 Long DBT CORP US N 2 2030-08-15 Fixed 2.87500000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp 68389XAV7 371000.00000000 PA USD 439062.09000000 0.136563787620 Long DBT CORP US N 2 2034-07-08 Fixed 4.30000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 AT&T Inc 00206RGQ9 239000.00000000 PA USD 278610.19000000 0.086657590537 Long DBT CORP US N 2 2030-02-15 Fixed 4.30000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTGZTNG2 SWAPTION 000000000 315000.00000000 NC USD 11813.79000000 0.003674505144 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 315000.00000000 OU Notional Amount N/A 11813.79000000 0.00000000 DIR US N/A N/A 2048-04-29 0.00000000 N/A 0.00000000 N/A 315000.00000000 USD 1.00000000 2.98500000 USD 2038-04-27 XXXX -2991.21000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZT0 490000.00000000 PA USD 484985.15000000 0.150847478140 Long DBT UST US N 2 2025-05-31 Fixed 0.25000000 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Corp Trust 2020-TWN3 36263JAW4 335000.00000000 PA USD 337199.17000000 0.104880828671 Long ABS-MBS CORP US N 2 2037-11-15 Floating 2.59300000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 BRWP0BVG6 BLACKROCK 000000000 635000.00000000 NC USD 37688.46000000 0.011722439637 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 IRS Swap N/A 635000.00000000 OU Notional Amount N/A 37688.46000000 0.01000000 DIR US N/A N/A 2034-07-02 0.00000000 N/A 0.00000000 N/A 635000.00000000 USD 1.00000000 0.02000000 USD 2024-06-28 XXXX 9716.71000000 N N N American Tower Corp 5493006ORUSIL88JOE18 American Tower Corp 03027XAU4 55000.00000000 PA USD 62468.42000000 0.019429880730 Long DBT US N 2 2029-03-15 Fixed 3.95000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTR0BG57 SWAPTION 000000000 290000.00000000 NC USD 11585.99000000 0.003603651314 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 290000.00000000 OU Notional Amount N/A 11585.99000000 0.00000000 DIR US N/A N/A 2029-03-13 0.00000000 N/A 0.00000000 N/A 290000.00000000 USD 1.00000000 2.86000000 USD 2039-02-22 XXXX -2761.76000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132G0B58 24929.94000000 PA USD 26335.12000000 0.008191150674 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 365437.36000000 0.113663901202 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 14633000.00000000 EUR 17738461.94000000 USD 2021-09-15 365437.36000000 N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 Panama Government International Bond 698299BM5 90000.00000000 PA USD 102699.00000000 0.031943009301 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 Colombia Government International Bond 195325DL6 570000.00000000 PA USD 603238.13000000 0.187628323524 Long DBT NUSS CO N 2 2027-04-25 Fixed 3.87500000 N N N N N N THALES SA 529900FNDVTQJOVVPZ19 Thales SA 000000000 100000.00000000 PA 120745.72000000 0.037556175396 Long DBT CORP FR N 2 2023-06-07 Fixed 0.75000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NCL3 144000.00000000 PA USD 181213.51000000 0.056363789671 Long DBT CORP US N 2 2038-10-15 Fixed 4.60000000 N N N N N N Netflix Inc 549300Y7VHGU0I7CE873 Netflix Inc 64110LAG1 231000.00000000 PA USD 257218.50000000 0.080004020857 Long DBT CORP US N 2 2024-03-01 Fixed 5.75000000 N N N N N N AMER AIRLINE 16-1 AA PTT N/A American Airlines 2016-1 Class AA Pass Through Trust 02376UAA3 53331.04000000 PA USD 54742.29000000 0.017026781941 Long DBT CORP US N 2 2028-01-15 Fixed 3.57500000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 Anglo American Capital PLC 034863AR1 220000.00000000 PA USD 255094.69000000 0.079343441079 Long DBT CORP GB N 2 2027-04-10 Fixed 4.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FHX7 4876.91000000 PA USD 5486.94000000 0.001706631763 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138XQM73 50072.04000000 PA USD 52916.31000000 0.016458837793 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRTW2E4T9 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTW2E4T9 IRS USD P F 1.70900 2 CCPVANILLA 000000000 160000.00000000 OU Notional Amount USD 1994.50000000 0.000620359809 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2049-08-16 3.07000000 USD 0.00000000 USD 160000.00000000 USD 1991.43000000 N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F032484 164287.00000000 PA USD 175493.02000000 0.054584515625 Long ABS-MBS USGSE US N 2 2036-08-15 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWNAWTA0 IRS USD R F 1.90350 2 CCPVANILLA / Short: SRWNAWTA0 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 80000.00000000 OU Notional Amount USD 4422.19000000 0.001375456979 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2051-06-11 2.52000000 USD 0.00000000 USD 80000.00000000 USD 4419.67000000 N N N PFS Financing Corp. N/A PFS Financing Corp 69335PDZ5 210000.00000000 PA USD 210192.13000000 0.065377162033 Long ABS-O CORP US N 2 2026-04-15 Fixed 0.71000000 N N N N N N SIMON INTL FINANCE SCA 549300KMCOJGU910PF77 Simon International Finance SCA 000000000 105000.00000000 PA 126762.58000000 0.039427630960 Long DBT LU N 2 2022-11-18 Fixed 1.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 01N050685 426000.00000000 PA USD 478384.69000000 0.148794502403 Long ABS-MBS USGA US N 2 2051-08-19 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCJ8 1204000.00000000 PA USD 1214911.25000000 0.377880226284 Long DBT UST US N 2 2026-06-30 Fixed 0.87500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BRWNSW681 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BRWNSW681 IRS GBP P F 3.63000 2 CCPINFLATIONZERO 000000000 785000.00000000 OU Notional Amount 13707.61000000 0.004263549924 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-06-15 9.08000000 GBP 0.00000000 GBP 785000.00000000 GBP 13694.89000000 N N N AIR CANADA 2017-1AA PTT N/A Air Canada 2017-1 Class AA Pass Through Trust 00908PAA5 47398.40000000 PA USD 48434.20000000 0.015064743581 Long DBT CORP CA N 2 2030-01-15 Fixed 3.30000000 N N N N N N College Ave Student Loans N/A College Avenue Student Loans LLC 19425AAB0 100000.00000000 PA USD 101100.77000000 0.031445903431 Long ABS-O CORP US N 2 2052-06-25 Fixed 1.76000000 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 Hyundai Capital Services Inc 44920UAK4 200000.00000000 PA USD 204725.00000000 0.063676691878 Long DBT CORP KR N 2 2022-08-29 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BRWHVF4F3 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BRWHVF4F3 IRS GBP P F 3.58250 2 CCPINFLATIONZERO 000000000 1600000.00000000 OU Notional Amount 52166.95000000 0.016225760417 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-02-15 17.29000000 GBP 0.00000000 GBP 1600000.00000000 GBP 52142.34000000 N N N Barclays PLC 213800LBQA1Y9L22JB70 Barclays PLC 06738EAS4 432000.00000000 PA USD 438130.08000000 0.136273899655 Long DBT CORP GB N 2 2023-01-10 Fixed 3.68400000 N N N N N N KLA Corp 549300H0BF5JCG96TJ81 KLA Corp 482480AE0 122000.00000000 PA USD 136250.10000000 0.042378584130 Long DBT CORP US N 2 2024-11-01 Fixed 4.65000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810ST6 4535000.00000000 PA USD 4212589.84000000 1.310263940666 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N AMER AIRLINE 16-2 B PTT N/A American Airlines 2016-2 Class B Pass Through Trust 02376GAA4 77350.00000000 PA USD 76026.63000000 0.023646961988 Long DBT CORP US N 2 2024-06-15 Fixed 4.37500000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 AEP Texas Inc 00108WAK6 102000.00000000 PA USD 108501.30000000 0.033747729141 Long DBT CORP US N 2 2050-01-15 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J7MA0 29641.46000000 PA USD 33239.17000000 0.010338553603 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132G5AU3 14337.77000000 PA USD 15193.71000000 0.004725779412 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.00000000 N N N N N N Social Professional Loan Program LLC 549300WT845S0N68C331 Sofi Professional Loan Program 2016-B LLC 83402JAA6 21074.42000000 PA USD 21191.83000000 0.006591406175 Long ABS-O CORP US N 2 2033-06-25 Floating 1.28900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617B9SG2 34273.40000000 PA USD 37468.49000000 0.011654021213 Long ABS-MBS USGA US N 2 2047-09-15 Fixed 4.00000000 N N N N N N COMM Mortgage Trust N/A COMM 2015-CCRE25 Mortgage Trust 12593PAV4 273857.16000000 PA USD 292132.14000000 0.090863393657 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 3.50500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179R4E6 1835249.99000000 PA USD 1951585.04000000 0.607011743886 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 3.50000000 N N N N N N THALES SA 529900FNDVTQJOVVPZ19 Thales SA 000000000 200000.00000000 PA 238030.45000000 0.074035860898 Long DBT CORP FR N 2 2022-05-31 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BRWM2TD31 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BRWM2TD31 IRS EUR P F .44000 2 CCPVANILLA 000000000 400000.00000000 OU Notional Amount -15409.88000000 -0.00479301590 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-05-16 18.75000000 EUR 0.00000000 EUR 400000.00000000 EUR -15432.61000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 Morgan Stanley 617482V92 31000.00000000 PA USD 48009.95000000 0.014932786876 Long DBT CORP US N 2 2042-07-24 Fixed 6.37500000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTVRS8Q5 SWAPTION 000000000 -1170000.00000000 NC USD -2515.85000000 -0.00078251803 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 1170000.00000000 OU Notional Amount N/A -2515.85000000 0.00000000 DIR US N/A N/A 2032-08-04 0.00000000 N/A 0.00000000 N/A 1170000.00000000 USD 1.00000000 2.75000000 USD 2022-08-02 XXXX 13513.15000000 N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 Thermo Fisher Scientific Inc 883556CE0 100000.00000000 PA 134505.27000000 0.041835880492 Long DBT CORP US N 2 2049-10-01 Fixed 1.87500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 85690.52000000 0.026652772445 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3131000.00000000 EUR 3802969.27000000 USD 2021-09-15 85690.52000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCB5 192000.00000000 PA USD 199050.00000000 0.061911566825 Long DBT UST US N 2 2031-05-15 Fixed 1.62500000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 Morgan Stanley 61744YAP3 272000.00000000 PA USD 305867.02000000 0.095135425514 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FJQ0 4659.99000000 PA USD 5242.89000000 0.001630723610 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 4.50000000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 FedEx Corp 31428XCD6 64000.00000000 PA USD 66242.71000000 0.020603817969 Long DBT CORP US N 2 2031-05-15 Fixed 2.40000000 N N N N N N NVIDIA Corp 549300S4KLFTLO7GSQ80 NVIDIA Corp 67066GAE4 34000.00000000 PA USD 37529.04000000 0.011672854397 Long DBT CORP US N 2 2026-09-16 Fixed 3.20000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 Southern California Edison Co 842400GV9 50000.00000000 PA USD 50240.37000000 0.015626526122 Long DBT CORP US N 2 2026-02-01 Fixed 1.20000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 Broadcom Inc 11135FBD2 135000.00000000 PA USD 161170.97000000 0.050129853200 Long DBT CORP US N 2 2030-04-15 Fixed 5.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWCWHKG9 SWAPTION 000000000 -530000.00000000 NC USD -10843.27000000 -0.00337263921 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 530000.00000000 OU Notional Amount N/A -10843.27000000 0.00000000 DIR US N/A N/A 2033-01-04 0.00000000 N/A 0.00000000 N/A 530000.00000000 USD 1.00000000 1.25400000 USD 2022-12-30 XXXX 6593.73000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp 68389XCD5 399000.00000000 PA USD 414096.34000000 0.128798559288 Long DBT CORP US N 2 2028-03-25 Fixed 2.30000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 Northrop Grumman Corp 666807BP6 166000.00000000 PA USD 200913.51000000 0.062491184127 Long DBT CORP US N 2 2047-10-15 Fixed 4.03000000 N N N N N N METHODIST HOSPITAL/THE 549300Y1E42JLBRENF23 Methodist Hospital/The 591539AA9 32000.00000000 PA USD 32288.30000000 0.010042799513 Long DBT CORP US N 2 2050-12-01 Fixed 2.70500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140HBB31 5635.88000000 PA USD 6152.10000000 0.001913519971 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWNRTXX4 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWNRTXX4 IRS USD P F .74200 2 CCPVANILLA 000000000 810000.00000000 OU Notional Amount USD -2580.43000000 -0.00080260469 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-06-23 3.50000000 USD 0.00000000 USD 810000.00000000 USD -2583.93000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NBB3 43486.43000000 PA USD 47073.23000000 0.014641433935 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRWAF4NF0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWAF4NF0 IRS USD P F 1.25100 2 CCPVANILLA 000000000 40000.00000000 OU Notional Amount USD 2477.56000000 0.000770608497 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2040-11-05 0.96000000 USD 0.00000000 USD 40000.00000000 USD 2476.60000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 BRWJ2CH80 SWAPTION 000000000 -6360000.00000000 NC USD -12120.25000000 -0.00376982500 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 IRS Swap N/A 6360000.00000000 OU Notional Amount N/A -12120.25000000 0.00000000 DIR US N/A N/A 2024-03-02 0.00000000 N/A 0.00000000 N/A 6360000.00000000 USD 1.00000000 0.50500000 USD 2022-02-28 XXXX 8072.75000000 N N N Alabama Power Co 0RL818ELFOHP5JHOFU19 Alabama Power Co 010392FL7 97000.00000000 PA USD 119181.51000000 0.037069650945 Long DBT CORP US N 2 2044-08-15 Fixed 4.15000000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 Philippine Government International Bond 718286CC9 600000.00000000 PA USD 648342.00000000 0.201657217076 Long DBT NUSS PH N 2 2028-02-01 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BRW602445 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW602445 IRS USD P F 1.13550 2 CCPVANILLA 000000000 195000.00000000 OU Notional Amount USD 28559.40000000 0.008882980163 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2052-06-20 5.20000000 USD 0.00000000 USD 195000.00000000 USD 28554.20000000 N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 CenterPoint Energy Houston Electric LLC 15189XAW8 112000.00000000 PA USD 126737.65000000 0.039419876851 Long DBT CORP US N 2 2051-04-01 Fixed 3.35000000 N N N N N N VOLKSWAGEN FIN SERV AG 529900USFSZYPS075O24 Volkswagen Financial Services AG 000000000 120000.00000000 PA 142646.02000000 0.044367940716 Long DBT CORP DE N 2 2021-10-14 Fixed 0.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SRWHVHL37 IRS USD R F 2.32500 2 CCPINFLATIONZERO / Short: SRWHVHL37 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO 000000000 2910000.00000000 OU Notional Amount USD -116078.65000000 -0.03610455210 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-03-01 31.48000000 USD 0.00000000 USD 2910000.00000000 USD -116110.13000000 N N N UNITED AIR 2019-2 AA PTT N/A United Airlines 2019-2 Class AA Pass Through Trust 90932JAA0 48055.26000000 PA USD 48499.78000000 0.015085141273 Long DBT CORP US N 2 2032-05-01 Fixed 2.70000000 N N N N N N RELX CAPITAL INC 2R15C3RTKJN1RCBOV146 RELX Capital Inc 74949LAD4 181000.00000000 PA USD 195364.09000000 0.060765118881 Long DBT CORP US N 2 2030-05-22 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SRWNFEWM5 IRS USD R F .35900 2 CCPVANILLA / Short: SRWNFEWM5 IRS USD P V 03MLIBOR 1 CCPVANILLA 000000000 2110000.00000000 OU Notional Amount USD -887.68000000 -0.00027609977 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2023-12-16 0.00000000 USD -1329.50000000 USD 2110000.00000000 USD 441.82000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRWK1YJW5 SWAPTION 000000000 -3240000.00000000 NC USD -6076.30000000 -0.00188994349 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 3240000.00000000 OU Notional Amount N/A -6076.30000000 0.00000000 DIR US N/A N/A 2024-03-23 0.00000000 N/A 0.00000000 N/A 3240000.00000000 USD 1.00000000 0.56200000 USD 2022-03-21 XXXX 4777.70000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AKRQ8 16624.69000000 PA USD 16743.84000000 0.005207924486 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B9AH8 423983.51000000 PA USD 487117.79000000 0.151510804359 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 4.50000000 N Y N N N N BX Trust N/A BX Commercial Mortgage Trust 2020-BXLP 05607QAA6 326968.13000000 PA USD 327378.41000000 0.101826226114 Long ABS-MBS CORP US N 2 2036-12-15 Floating 0.89300000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 BRTVUJ014 SWAPTION 000000000 -1190000.00000000 NC USD -2657.87000000 -0.00082669126 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 IRS Swap N/A 1190000.00000000 OU Notional Amount N/A -2657.87000000 0.00000000 DIR US N/A N/A 2032-08-10 0.00000000 N/A 0.00000000 N/A 1190000.00000000 USD 1.00000000 2.75000000 USD 2022-08-08 XXXX 11681.63000000 N N N Eurex Zurich N/A EURO-SCHATZ FUT SEP21 000000000 -14.00000000 NC -3417.32000000 -0.00106290698 N/A DIR DE N 1 Eurex Zurich N/A Short Euro-Schatz Futures (FGBS) DUU1 Comdty 2021-09-08 -1570089.22000000 EUR -3417.32000000 N N N PENSKE TRUCK LEASING/PTL N/A Penske Truck Leasing Co Lp / PTL Finance Corp 709599BL7 293000.00000000 PA USD 292183.06000000 0.090879231573 Long DBT CORP US N 2 2025-11-15 Fixed 1.20000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 Crown Castle International Corp 22822VAB7 3000.00000000 PA USD 3400.97000000 0.001057821559 Long DBT US N 2 2026-02-15 Fixed 4.45000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GJS9 117000.00000000 PA USD 119031.43000000 0.037022970775 Long DBT CORP US N 2 2027-07-22 Fixed 1.73400000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 Danske Bank A/S 23636AAW1 378000.00000000 PA USD 382311.61000000 0.118912387796 Long DBT CORP DK N 2 2024-06-22 Fixed 1.22600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138XHAW1 70270.96000000 PA USD 79025.89000000 0.024579837577 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617BFTR3 90604.64000000 PA USD 98156.85000000 0.030530240533 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N AHS HOSPITAL CORP 549300D7W3C9Z4RGJG34 AHS Hospital Corp 001306AC3 40000.00000000 PA USD 40593.84000000 0.012626115236 Long DBT CORP US N 2 2051-07-01 Fixed 2.78000000 N N N N N N Barclays Global Investors N/A EUR 2Y MIDCV OP SEP21P 99.5 000000000 21.00000000 NC USD 16143.75000000 0.005021275342 N/A DIR US N 1 Barclays Global Investors N/A Put Purchased Barclays Global Investors N/A Barclays Global Investors N/A Eurodollar Time Deposit Future N/A 21.00000000 NC N/A 16143.75000000 0.01000000 DCO US Long Eurodollar Time Deposit EDU3 Comdty 2023-09-18 21.00000000 USD 2500.00000000 99.50000000 USD 2021-09-10 XXXX 9547.02000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VFX7 57000.00000000 PA USD 55122.37000000 0.017145000220 Long DBT CORP US N 2 2030-10-30 Fixed 1.68000000 N N N N N N SPRINT COMMUNICATIONS 549300JKU50UT08ZWD77 Sprint Communications Inc 852061AS9 1161000.00000000 PA USD 1228953.33000000 0.382247808170 Long DBT CORP US N 2 2022-11-15 Fixed 6.00000000 N N N N N N Lehman XS Trust N/A Lehman XS Trust Series 2005-6 525221CT2 107514.18000000 PA USD 99909.66000000 0.031075426232 Long ABS-O CORP US N 2 2035-11-25 Floating 0.60900000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BRWPPTXN3 BLACKROCK SWAPTION 0.0030000 CALL USD 20 000000000 -1260000.00000000 NC USD -1136.14000000 -0.00035337959 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 1260000.00000000 OU Notional Amount N/A -1136.14000000 0.00000000 DIR US N/A N/A 2023-12-06 0.00000000 N/A 0.00000000 N/A 1260000.00000000 USD 1.00000000 0.00300000 USD 2021-12-06 XXXX -553.39000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36197MRR1 32014.66000000 PA USD 36090.09000000 0.011225290222 Long ABS-MBS USGA US N 2 2047-04-15 Fixed 4.50000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 187.62000000 0.000058356433 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 109000.00000000 EUR 129597.84000000 USD 2021-09-15 187.62000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132XWBS9 11782.14000000 PA USD 12888.33000000 0.004008724963 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UPB2 95463.66000000 PA USD 101700.38000000 0.031632403278 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N Republic of Panama 549300SHS4T08CL0LP14 Panama Government International Bond 698299BF0 190000.00000000 PA USD 209391.88000000 0.065128256073 Long DBT NUSS PA N 2 2028-03-17 Fixed 3.87500000 N N N N N N Prodigy Finance Designated Activity Co 635400HTAZNW3LYYMQ40 Prodigy Finance CM2021-1 Designated Activity Co 742855AA7 480000.00000000 PA USD 480873.26000000 0.149568535399 Long ABS-O CORP IE N 2 2051-07-25 Floating 1.35100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMRG2 57652.08000000 PA USD 62103.93000000 0.019316511491 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SS8 2272000.00000000 PA USD 2123965.00000000 0.660627988111 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N AIR CANADA 2017-1B PTT N/A Air Canada 2017-1 Class B Pass Through Trust 00908PAC1 706.35000000 PA USD 692.00000000 0.000215236394 Long DBT CORP CA N 2 2026-01-15 Fixed 3.70000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 Northrop Grumman Corp 666807BH4 27000.00000000 PA USD 35390.29000000 0.011007627753 Long DBT CORP US N 2 2043-06-01 Fixed 4.75000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 Marsh & McLennan Cos Inc 000000000 165000.00000000 PA 221566.11000000 0.068914870764 Long DBT CORP US N 2 2030-03-21 Fixed 1.97900000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 Uruguay Government International Bond 760942AZ5 85000.00000000 PA USD 92055.00000000 0.028632350083 Long DBT NUSS UY N 2 2024-08-14 Fixed 4.50000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 Lowe's Cos Inc 548661DR5 118000.00000000 PA USD 133558.57000000 0.041541423419 Long DBT CORP US N 2 2029-04-05 Fixed 3.65000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 Philip Morris International Inc 000000000 100000.00000000 PA 130977.84000000 0.040738725415 Long DBT CORP US N 2 2036-05-09 Fixed 2.00000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 013092AD3 128000.00000000 PA USD 131040.00000000 0.040758059366 Long DBT CORP US N 2 2023-02-15 Fixed 3.50000000 N N N N N N 2021-08-27 PACE SELECT ADVISORS TRUST Joanne Kilkeary Joanne Kilkeary Vice President and Treasurer