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