U S TREASURY NOTE

NPORT-P false 0000934563 XXXXXXXX S000029852 C000091786 HC Capital Trust 811-08918 0000934563 549300WBB2KZ0XDJW948 Five Tower Bridge, 300 Barr Harbor 5th Floor West Conshohocken 19428 610-828-7200 The U.S. Government Fixed Income Securities Portfolio S000029852 549300R2MO8O37TM5195 2025-06-30 2025-06-30 N 1082215510.75 301889.81 1081913620.94 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 6180081.88000000 USD N Bloomberg US Government Bond Index N/A United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMB4 2030000.00000000 PA USD 2044352.73000000 0.188957111772 Long DBT UST US N 2 2027-12-15 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SD1 1460000.00000000 PA USD 1079487.50000000 0.099775756502 Long DBT UST US N 2 2048-08-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CDG3 635000.00000000 PA USD 612328.51000000 0.056596802013 Long DBT UST US N 2 2026-10-31 Fixed 1.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RG5 1695000.00000000 PA USD 1393276.76000000 0.128778927728 Long DBT UST US N 2 2044-05-15 Fixed 3.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810PT9 520000.00000000 PA USD 541104.69000000 0.050013668330 Long DBT UST US N 2 2037-02-15 Fixed 4.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CDF5 3400000.00000000 PA USD 3152171.86000000 0.291351527422 Long DBT UST US N 2 2028-10-31 Fixed 1.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLS8 1750000.00000000 PA USD 1754921.88000000 0.162205359654 Long DBT UST US N 2 2026-10-31 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJC6 2805000.00000000 PA USD 2830091.59000000 0.261582027920 Long DBT UST US N 2 2026-10-15 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMM0 3150000.00000000 PA USD 3250652.33000000 0.300453961118 Long DBT UST US N 2 2035-02-15 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CEN7 2250000.00000000 PA USD 2209921.88000000 0.204260473038 Long DBT UST US N 2 2027-04-30 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJQ5 2345000.00000000 PA USD 2333458.19000000 0.215678788475 Long DBT UST US N 2 2030-12-31 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828ZV5 2520000.00000000 PA USD 2364468.75000000 0.218545057963 Long DBT UST US N 2 2027-06-30 Fixed 0.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTES 912810FE3 400000.00000000 PA USD 420875.00000000 0.038900979879 Long DBT UST US N 2 2028-08-15 Fixed 5.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKN0 1335000.00000000 PA USD 1386314.06000000 0.128135373579 Long DBT UST US N 2 2031-04-30 Fixed 4.62500000 N N N N N N US BOND FUTR OPTN AUG25C N/A US BOND FUTR OPTN AUG25C N/A 150.00000000 NC USD 110156.25000000 0.010181612271 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Option 117 Jul 2025 on US Long Bond (CBT) Sep 2025 N/A Call Option 117 Jul 2025 on US Long Bond (CBT) Sep 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Sep 2025 US Long Bond (CBT) Sep 2025 2025-07-25 0.00000000 USD 1000.00000000 USD 117.00000000 USD 2025-07-25 XXXX 10658.50000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RP5 400000.00000000 PA USD 304625.00000000 0.028156129482 Long DBT UST US N 2 2045-11-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810PX0 255000.00000000 PA USD 257799.02000000 0.023828059376 Long DBT UST US N 2 2038-05-15 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RQ3 1135000.00000000 PA USD 786342.19000000 0.072680681228 Long DBT UST US N 2 2046-02-15 Fixed 2.50000000 N N N N N N State Street Institutional Investment Trust: State Street Institutional Treasury Plus Money Market Fund; Trust N/A STATE STREET INSTITUTIONAL TREASURY PLUS MMKT 85749Q448 98238999.84000000 NS USD 98238999.84000000 9.080114894444 Long STIV RF US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LOAN MORTGAGE CORP 3134HAPE7 500000.00000000 PA USD 500320.50000000 0.046244033748 Long ABS-MBS USGSE US N 2 2029-09-27 Fixed 4.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHF1 2175000.00000000 PA USD 2170242.19000000 0.200592926089 Long DBT UST US N 2 2030-05-31 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMW8 2190000.00000000 PA USD 2192994.15000000 0.202695862918 Long DBT UST US N 2 2028-04-15 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCZ2 2030000.00000000 PA USD 1955302.33000000 0.180726288324 Long DBT UST US N 2 2026-09-30 Fixed 0.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TT5 3015000.00000000 PA USD 2693125.20000000 0.248922386027 Long DBT UST US N 2 2053-08-15 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828V98 2985000.00000000 PA USD 2912007.41000000 0.269153410553 Long DBT UST US N 2 2027-02-15 Fixed 2.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLC3 2500000.00000000 PA USD 2523437.50000000 0.233238352042 Long DBT UST US N 2 2029-07-31 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CAY7 135000.00000000 PA USD 125491.99000000 0.011599076633 Long DBT UST US N 2 2027-11-30 Fixed 0.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TS7 150000.00000000 PA USD 133968.75000000 0.012382573562 Long DBT UST US N 2 2043-05-15 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SU3 1695000.00000000 PA USD 952113.28000000 0.088002707570 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKA8 3230000.00000000 PA USD 3245392.95000000 0.299967842828 Long DBT UST US N 2 2027-02-15 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CFF3 3910000.00000000 PA USD 3606975.00000000 0.333388445268 Long DBT UST US N 2 2032-08-15 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKE0 1280000.00000000 PA USD 1289699.99000000 0.119205449033 Long DBT UST US N 2 2027-03-15 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKV2 2265000.00000000 PA USD 2302514.06000000 0.212818659034 Long DBT UST US N 2 2027-06-15 Fixed 4.62500000 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION 254900C5LP6DN9OP9V83 FEDERAL FARM CREDIT BANK 3133EPPE9 300000.00000000 PA USD 301039.80000000 0.027824753674 Long DBT USGSE US N 2 2026-07-06 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RT7 1760000.00000000 PA USD 1152731.25000000 0.106545589933 Long DBT UST US N 2 2046-08-15 Fixed 2.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810FF0 282000.00000000 PA USD 294866.25000000 0.027254139729 Long DBT UST US N 2 2028-11-15 Fixed 5.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKR1 2375000.00000000 PA USD 2406357.41000000 0.222416777404 Long DBT UST US N 2 2027-05-15 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810PW2 530000.00000000 PA USD 529006.25000000 0.048895423789 Long DBT UST US N 2 2038-02-15 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMA6 2500000.00000000 PA USD 2536914.05000000 0.234483973664 Long DBT UST US N 2 2029-11-30 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLD1 2790000.00000000 PA USD 2822259.38000000 0.260858105987 Long DBT UST US N 2 2031-07-31 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810QT8 1000000.00000000 PA USD 819375.00000000 0.075733864898 Long DBT UST US N 2 2041-11-15 Fixed 3.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGC9 2500000.00000000 PA USD 2510546.88000000 0.232046887238 Long DBT UST US N 2 2027-12-31 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGP0 2500000.00000000 PA USD 2518652.35000000 0.232796066271 Long DBT UST US N 2 2028-02-29 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHY0 1750000.00000000 PA USD 1764218.75000000 0.163064658384 Long DBT UST US N 2 2026-09-15 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828U24 2510000.00000000 PA USD 2447250.00000000 0.226196431270 Long DBT UST US N 2 2026-11-15 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCW9 2345000.00000000 PA USD 2259902.15000000 0.208880090449 Long DBT UST US N 2 2026-08-31 Fixed 0.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SW9 3315000.00000000 PA USD 2278156.05000000 0.210567276897 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810QL5 550000.00000000 PA USD 526990.23000000 0.048709085439 Long DBT UST US N 2 2040-11-15 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RX8 1075000.00000000 PA USD 804864.26000000 0.074392654313 Long DBT UST US N 2 2047-05-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHJ3 2000000.00000000 PA USD 1995000.00000000 0.184395497143 Long DBT UST US N 2 2030-06-30 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJP7 1950000.00000000 PA USD 1964548.83000000 0.181580931414 Long DBT UST US N 2 2026-12-15 Fixed 4.37500000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TENNESSEE VALLEY AUTHORITY 880591FC1 250000.00000000 PA USD 243904.75000000 0.022543828386 Long DBT USGA US N 2 2055-02-01 Fixed 5.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CAH4 2135000.00000000 PA USD 1993139.26000000 0.184223511140 Long DBT UST US N 2 2027-08-31 Fixed 0.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CDL2 3410000.00000000 PA USD 3168902.33000000 0.292897905033 Long DBT UST US N 2 2028-11-30 Fixed 1.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGZ8 2125000.00000000 PA USD 2097773.44000000 0.193894724994 Long DBT UST US N 2 2030-04-30 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMZ1 500000.00000000 PA USD 502031.25000000 0.046402156353 Long DBT UST US N 2 2030-04-30 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CEW7 2200000.00000000 PA USD 2180062.50000000 0.201500605760 Long DBT UST US N 2 2027-06-30 Fixed 3.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJX0 1985000.00000000 PA USD 1999112.10000000 0.184775573697 Long DBT UST US N 2 2031-01-31 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810FT0 825000.00000000 PA USD 845367.19000000 0.078136292365 Long DBT UST US N 2 2036-02-15 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RD2 1220000.00000000 PA USD 1065546.10000000 0.098487169342 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810QE1 673000.00000000 PA USD 676443.87000000 0.062522909122 Long DBT UST US N 2 2040-02-15 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TJ7 1670000.00000000 PA USD 1205596.48000000 0.111431860794 Long DBT UST US N 2 2052-08-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLR0 500000.00000000 PA USD 507226.56000000 0.046882352729 Long DBT UST US N 2 2029-10-31 Fixed 4.12500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION 3135G05Y5 350000.00000000 PA USD 327260.85000000 0.030248334401 Long ABS-MBS USGSE US N 2 2027-10-08 Fixed 0.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828ZB9 1840000.00000000 PA USD 1761225.00000000 0.162787949602 Long DBT UST US N 2 2027-02-28 Fixed 1.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810FA1 100000.00000000 PA USD 105199.22000000 0.009723439835 Long DBT UST US N 2 2027-08-15 Fixed 6.37500000 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION 254900C5LP6DN9OP9V83 FEDERAL FARM CREDIT BANK 3133EMW40 468000.00000000 PA USD 415079.03000000 0.038365265208 Long DBT USGSE US N 2 2030-07-26 Fixed 1.55000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810QD3 1180000.00000000 PA USD 1156031.25000000 0.106850605041 Long DBT UST US N 2 2039-11-15 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCV1 3635000.00000000 PA USD 3356411.31000000 0.310229138910 Long DBT UST US N 2 2028-08-31 Fixed 1.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810UA4 3230000.00000000 PA USD 3137642.19000000 0.290008567160 Long DBT UST US N 2 2054-05-15 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJJ1 4815000.00000000 PA USD 4946283.96000000 0.457179192891 Long DBT UST US N 2 2033-11-15 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CFB2 2200000.00000000 PA USD 2157031.25000000 0.199371854485 Long DBT UST US N 2 2027-07-31 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CAV3 4775000.00000000 PA USD 4096054.69000000 0.378593504206 Long DBT UST US N 2 2030-11-15 Fixed 0.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKC4 1675000.00000000 PA USD 1707453.13000000 0.157817879075 Long DBT UST US N 2 2031-02-28 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828ZN3 2225000.00000000 PA USD 2097931.63000000 0.193909346309 Long DBT UST US N 2 2027-04-30 Fixed 0.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CFT3 1750000.00000000 PA USD 1766542.96000000 0.163279482373 Long DBT UST US N 2 2029-10-31 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RE0 2205000.00000000 PA USD 1886567.00000000 0.174373162837 Long DBT UST US N 2 2044-02-15 Fixed 3.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SK5 1475000.00000000 PA USD 948609.38000000 0.087678846225 Long DBT UST US N 2 2049-11-15 Fixed 2.37500000 N N N N N N US BOND FUTR OPTN OCT25P N/A US BOND FUTR OPTN OCT25P N/A -50.00000000 NC USD -28906.25000000 -0.00267177059 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Option 108 Sep 2025 on US Long Bond (CBT) Dec 2025 N/A Put Option 108 Sep 2025 on US Long Bond (CBT) Dec 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Dec 2025 US Long Bond (CBT) Dec 2025 2025-09-26 0.00000000 USD 1000.00000000 USD 108.00000000 USD 2025-09-26 XXXX 9282.00000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CBB6 3245000.00000000 PA USD 3008216.41000000 0.278045894956 Long DBT UST US N 2 2027-12-31 Fixed 0.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TF5 1880000.00000000 PA USD 1366598.43000000 0.126313081150 Long DBT UST US N 2 2042-02-15 Fixed 2.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CDY4 4810000.00000000 PA USD 4225472.25000000 0.390555416644 Long DBT UST US N 2 2032-02-15 Fixed 1.87500000 N N N N N N Vanguard Intermediate Term Treasury ETF N/A VANGUARD INTERMEDIATE TERM TREASURY ETF 92206C706 3187898.00000000 NS USD 190668179.38000000 17.62323495052 Long RF US N 1 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGJ4 2545000.00000000 PA USD 2515573.44000000 0.232511486251 Long DBT UST US N 2 2030-01-31 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RK6 2835000.00000000 PA USD 1995020.51000000 0.184397392859 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828Y95 1200000.00000000 PA USD 1173328.13000000 0.108449335260 Long DBT UST US N 2 2026-07-31 Fixed 1.87500000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3130AEB25 300000.00000000 PA USD 295831.50000000 0.027343356648 Long DBT USGSE US N 2 2028-06-09 Fixed 3.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CND9 2255000.00000000 PA USD 2258611.52000000 0.208760799040 Long DBT UST US N 2 2028-05-15 Fixed 3.75000000 N N N N N N US BOND FUTR OPTN SEP25P N/A US BOND FUTR OPTN SEP25P N/A -100.00000000 NC USD -25000.00000000 -0.00231072051 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Option 108 Aug 2025 on US Long Bond (CBT) Sep 2025 N/A Put Option 108 Aug 2025 on US Long Bond (CBT) Sep 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Sep 2025 US Long Bond (CBT) Sep 2025 2025-08-22 0.00000000 USD 1000.00000000 USD 108.00000000 USD 2025-08-22 XXXX 44345.25000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TW8 1750000.00000000 PA USD 1747812.50000000 0.161548248046 Long DBT UST US N 2 2043-11-15 Fixed 4.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828YX2 2005000.00000000 PA USD 1944458.40000000 0.179723996663 Long DBT UST US N 2 2026-12-31 Fixed 1.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128286B1 2745000.00000000 PA USD 2643134.75000000 0.244301827691 Long DBT UST US N 2 2029-02-15 Fixed 2.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SY5 2350000.00000000 PA USD 1705953.13000000 0.157679235844 Long DBT UST US N 2 2041-05-15 Fixed 2.25000000 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION 254900C5LP6DN9OP9V83 FEDERAL FARM CREDIT BANK 3133ENAF7 250000.00000000 PA USD 240697.50000000 0.022247386052 Long DBT USGSE US N 2 2026-10-07 Fixed 1.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CME8 2500000.00000000 PA USD 2514746.10000000 0.232435016190 Long DBT UST US N 2 2026-12-31 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CDJ7 4990000.00000000 PA USD 4269373.84000000 0.394613188832 Long DBT UST US N 2 2031-11-15 Fixed 1.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128286T2 2820000.00000000 PA USD 2682525.00000000 0.247942622043 Long DBT UST US N 2 2029-05-15 Fixed 2.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RZ3 2320000.00000000 PA USD 1649375.00000000 0.152449786015 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828YG9 600000.00000000 PA USD 583429.69000000 0.053925718163 Long DBT UST US N 2 2026-09-30 Fixed 1.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CEM9 2600000.00000000 PA USD 2520578.11000000 0.232974061996 Long DBT UST US N 2 2029-04-30 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810FP8 215000.00000000 PA USD 230721.88000000 0.021325351260 Long DBT UST US N 2 2031-02-15 Fixed 5.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LOAN MORTGAGE CORP 3128X75U4 100000.00000000 PA USD 52480.80000000 0.004850738449 Long ABS-MBS USGSE US N 2 2038-11-15 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLP4 400000.00000000 PA USD 397953.12000000 0.036782337545 Long DBT UST US N 2 2026-09-30 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810PU6 235000.00000000 PA USD 249623.24000000 0.023072381673 Long DBT UST US N 2 2037-05-15 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912810QB7 130000.00000000 PA USD 126485.94000000 0.011690946259 Long DBT UST US N 2 2039-05-15 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TL2 925000.00000000 PA USD 809049.81000000 0.074779519763 Long DBT UST US N 2 2052-11-15 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CBL4 4420000.00000000 PA USD 3824508.60000000 0.353494819362 Long DBT UST US N 2 2031-02-15 Fixed 1.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHT1 4605000.00000000 PA USD 4536104.87000000 0.419266823358 Long DBT UST US N 2 2033-08-15 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLQ2 2090000.00000000 PA USD 2097184.38000000 0.193840278873 Long DBT UST US N 2 2027-10-15 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CDK4 2820000.00000000 PA USD 2719207.02000000 0.251333097889 Long DBT UST US N 2 2026-11-30 Fixed 1.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810QC5 1150000.00000000 PA USD 1144968.75000000 0.105828111213 Long DBT UST US N 2 2039-08-15 Fixed 4.50000000 N N N N N N US BOND FUTR OPTN SEP25C N/A US BOND FUTR OPTN SEP25C N/A 150.00000000 NC USD 159375.00000000 0.014730843286 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Option 118 Aug 2025 on US Long Bond (CBT) Sep 2025 N/A Call Option 118 Aug 2025 on US Long Bond (CBT) Sep 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Sep 2025 US Long Bond (CBT) Sep 2025 2025-08-22 0.00000000 USD 1000.00000000 USD 118.00000000 USD 2025-08-22 XXXX 45814.75000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TK4 1315000.00000000 PA USD 1103418.55000000 0.101987675230 Long DBT UST US N 2 2042-08-15 Fixed 3.37500000 N N N N N N US BOND FUTR OPTN AUG25C N/A US BOND FUTR OPTN AUG25C N/A 100.00000000 NC USD 109375.00000000 0.010109402255 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Option 116 Jul 2025 on US Long Bond (CBT) Sep 2025 N/A Call Option 116 Jul 2025 on US Long Bond (CBT) Sep 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Sep 2025 US Long Bond (CBT) Sep 2025 2025-07-25 0.00000000 USD 1000.00000000 USD 116.00000000 USD 2025-07-25 XXXX 42001.50000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLF6 5415000.00000000 PA USD 5288085.94000000 0.488771546789 Long DBT UST US N 2 2034-08-15 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCP4 3100000.00000000 PA USD 2990410.16000000 0.276400084269 Long DBT UST US N 2 2026-07-31 Fixed 0.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CNA5 1000000.00000000 PA USD 1001328.12000000 0.092551577188 Long DBT UST US N 2 2032-04-30 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RY6 1110000.00000000 PA USD 791265.23000000 0.073135712009 Long DBT UST US N 2 2047-08-15 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CEB3 1965000.00000000 PA USD 1841573.44000000 0.170214461150 Long DBT UST US N 2 2029-02-28 Fixed 1.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828ZQ6 4655000.00000000 PA USD 4004754.69000000 0.370154752883 Long DBT UST US N 2 2030-05-15 Fixed 0.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CFH9 1500000.00000000 PA USD 1481484.38000000 0.136931854015 Long DBT UST US N 2 2027-08-31 Fixed 3.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828YU8 945000.00000000 PA USD 916207.03000000 0.084683935229 Long DBT UST US N 2 2026-11-30 Fixed 1.62500000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3130AXU63 500000.00000000 PA USD 504514.50000000 0.046631680222 Long DBT USGSE US N 2 2026-11-17 Fixed 4.62500000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3130B2PJ8 225000.00000000 PA USD 224128.35000000 0.020715919058 Long DBT USGSE US N 2 2026-09-04 Fixed 3.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJZ5 5000000.00000000 PA USD 4948828.10000000 0.457414344751 Long DBT UST US N 2 2034-02-15 Fixed 4.00000000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3130AWN63 300000.00000000 PA USD 302503.80000000 0.027960069468 Long DBT USGSE US N 2 2028-06-30 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SJ8 1850000.00000000 PA USD 1160224.61000000 0.107238192360 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TG3 2095000.00000000 PA USD 1474683.59000000 0.136303265016 Long DBT UST US N 2 2052-05-15 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CDQ1 3235000.00000000 PA USD 3114066.61000000 0.287829504105 Long DBT UST US N 2 2026-12-31 Fixed 1.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810UD8 1525000.00000000 PA USD 1397221.68000000 0.129143552032 Long DBT UST US N 2 2044-08-15 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLY5 3000000.00000000 PA USD 3015585.93000000 0.278727050998 Long DBT UST US N 2 2026-11-30 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SR0 2580000.00000000 PA USD 1602018.75000000 0.148072703679 Long DBT UST US N 2 2040-05-15 Fixed 1.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJW2 1950000.00000000 PA USD 1967671.88000000 0.181869591242 Long DBT UST US N 2 2029-01-31 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810QZ4 1177000.00000000 PA USD 945599.96000000 0.087400689084 Long DBT UST US N 2 2043-02-15 Fixed 3.12500000 N N N N N N US BOND FUTR OPTN OCT25P N/A US BOND FUTR OPTN OCT25P N/A -100.00000000 NC USD -28125.00000000 -0.00259956058 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Option 105 Sep 2025 on US Long Bond (CBT) Dec 2025 N/A Put Option 105 Sep 2025 on US Long Bond (CBT) Dec 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Dec 2025 US Long Bond (CBT) Dec 2025 2025-09-26 0.00000000 USD 1000.00000000 USD 105.00000000 USD 2025-09-26 XXXX 45126.50000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMT5 2550000.00000000 PA USD 2572910.14000000 0.237811049810 Long DBT UST US N 2 2032-03-31 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128285M8 3430000.00000000 PA USD 3365687.50000000 0.311086526212 Long DBT UST US N 2 2028-11-15 Fixed 3.12500000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3130AWGR5 200000.00000000 PA USD 200590.00000000 0.018540297128 Long DBT USGSE US N 2 2026-06-12 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CDW8 3005000.00000000 PA USD 2807092.56000000 0.259456254701 Long DBT UST US N 2 2029-01-31 Fixed 1.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLH2 2500000.00000000 PA USD 2493945.30000000 0.230512422778 Long DBT UST US N 2 2026-08-31 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828ZE3 1225000.00000000 PA USD 1160304.69000000 0.107245594060 Long DBT UST US N 2 2027-03-31 Fixed 0.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TH1 850000.00000000 PA USD 702843.75000000 0.064963018895 Long DBT UST US N 2 2042-05-15 Fixed 3.25000000 N N N N N N United States of America N/A 10 YEAR US TREASURY NOTE FUTURE SEP25 N/A 1124.00000000 NC USD 2926547.60000000 0.270497343166 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long United States of America US 10 Year Treasury Note Future (consolidated) Sep 2025 2025-09-19 123101952.40000000 USD 2926547.60000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLW9 4115000.00000000 PA USD 4128984.58000000 0.381637175102 Long DBT UST US N 2 2034-11-15 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKX8 2600000.00000000 PA USD 2648750.00000000 0.244820838626 Long DBT UST US N 2 2029-06-30 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RC4 1470000.00000000 PA USD 1263683.21000000 0.116800748742 Long DBT UST US N 2 2043-08-15 Fixed 3.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION 3135G0Q22 100000.00000000 PA USD 97526.60000000 0.009014268617 Long ABS-MBS USGSE US N 2 2026-09-24 Fixed 1.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810EZ7 1000000.00000000 PA USD 1044960.94000000 0.096584507281 Long DBT UST US N 2 2027-02-15 Fixed 6.62500000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3130ANED8 70000.00000000 PA USD 67762.24000000 0.006263183926 Long DBT USGSE US N 2 2026-07-27 Fixed 1.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CEP2 3860000.00000000 PA USD 3601862.50000000 0.332915902923 Long DBT UST US N 2 2032-05-15 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810QK7 225000.00000000 PA USD 206868.16000000 0.019120580053 Long DBT UST US N 2 2040-08-15 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TB4 2215000.00000000 PA USD 1232093.75000000 0.113880972210 Long DBT UST US N 2 2051-11-15 Fixed 1.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHU8 1670000.00000000 PA USD 1677110.54000000 0.155013349267 Long DBT UST US N 2 2026-08-15 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RS9 1550000.00000000 PA USD 1070044.92000000 0.098902989969 Long DBT UST US N 2 2046-05-15 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGT2 2600000.00000000 PA USD 2595429.69000000 0.239892505257 Long DBT UST US N 2 2028-03-31 Fixed 3.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810EY0 3000.00000000 PA USD 3110.16000000 0.000287468420 Long DBT UST US N 2 2026-11-15 Fixed 6.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810QW1 1125000.00000000 PA USD 897758.79000000 0.082978786164 Long DBT UST US N 2 2042-05-15 Fixed 3.00000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TENN VALLEY AUTHORITY 880591DZ2 200000.00000000 PA USD 198761.20000000 0.018371263301 Long DBT USGA US N 2 2056-04-01 Fixed 5.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128284V9 3380000.00000000 PA USD 3296556.25000000 0.304696806306 Long DBT UST US N 2 2028-08-15 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810UK2 1350000.00000000 PA USD 1342248.04000000 0.124062403321 Long DBT UST US N 2 2055-05-15 Fixed 4.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CET4 2750000.00000000 PA USD 2693173.84000000 0.248926881765 Long DBT UST US N 2 2027-05-31 Fixed 2.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810FB9 265000.00000000 PA USD 278902.15000000 0.025778596793 Long DBT UST US N 2 2027-11-15 Fixed 6.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKY6 3725000.00000000 PA USD 3746535.16000000 0.346287826263 Long DBT UST US N 2 2026-06-30 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TZ1 700000.00000000 PA USD 676402.34000000 0.062519070553 Long DBT UST US N 2 2044-02-15 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CES6 2655000.00000000 PA USD 2560208.19000000 0.236637023552 Long DBT UST US N 2 2029-05-31 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RB6 831000.00000000 PA USD 639967.38000000 0.059151430170 Long DBT UST US N 2 2043-05-15 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHE4 2750000.00000000 PA USD 2744091.79000000 0.253633167832 Long DBT UST US N 2 2028-05-31 Fixed 3.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLB5 1000000.00000000 PA USD 1003984.37000000 0.092797091243 Long DBT UST US N 2 2026-07-31 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKW0 1455000.00000000 PA USD 1481826.56000000 0.136963481309 Long DBT UST US N 2 2031-06-30 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 US T NOTE 4 625 11 15 26 91282CJK8 1945000.00000000 PA USD 1963918.16000000 0.181522639329 Long DBT UST US N 2 2026-11-15 Fixed 4.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION 3135G06L2 100000.00000000 PA USD 95587.70000000 0.008835058377 Long ABS-MBS USGSE US N 2 2026-12-18 Fixed 0.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SL3 1020000.00000000 PA USD 598971.09000000 0.055362191436 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLJ8 2520000.00000000 PA USD 2496375.00000000 0.230736997084 Long DBT UST US N 2 2031-08-31 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CBJ9 3650000.00000000 PA USD 3385945.31000000 0.312958931699 Long DBT UST US N 2 2028-01-31 Fixed 0.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SE9 2400000.00000000 PA USD 1898156.26000000 0.175444344470 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128282R0 1000000.00000000 PA USD 969960.94000000 0.089652345735 Long DBT UST US N 2 2027-08-15 Fixed 2.25000000 N N N N N N US BOND FUTR OPTN AUG25C N/A US BOND FUTR OPTN AUG25C N/A 150.00000000 NC USD 44531.25000000 0.004115970918 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Option 119 Jul 2025 on US Long Bond (CBT) Sep 2025 N/A Call Option 119 Jul 2025 on US Long Bond (CBT) Sep 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Sep 2025 US Long Bond (CBT) Sep 2025 2025-07-25 0.00000000 USD 1000.00000000 USD 119.00000000 USD 2025-07-25 XXXX -50279.00000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CFC0 355000.00000000 PA USD 340023.44000000 0.031427965543 Long DBT UST US N 2 2029-07-31 Fixed 2.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMH1 3600000.00000000 PA USD 3616734.38000000 0.334290493251 Long DBT UST US N 2 2027-01-31 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCH2 2890000.00000000 PA USD 2690409.38000000 0.248671365987 Long DBT UST US N 2 2028-06-30 Fixed 1.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CAE1 5595000.00000000 PA USD 4771048.80000000 0.440982413721 Long DBT UST US N 2 2030-08-15 Fixed 0.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828ZS2 1715000.00000000 PA USD 1613238.86000000 0.149109765213 Long DBT UST US N 2 2027-05-31 Fixed 0.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RV2 440000.00000000 PA USD 330326.56000000 0.030531694361 Long DBT UST US N 2 2047-02-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128287B0 910000.00000000 PA USD 891053.52000000 0.082359025966 Long DBT UST US N 2 2026-06-30 Fixed 1.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMV0 1500000.00000000 PA USD 1502519.54000000 0.138876109045 Long DBT UST US N 2 2027-03-31 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TN8 1100000.00000000 PA USD 897917.97000000 0.082993498983 Long DBT UST US N 2 2053-02-15 Fixed 3.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810FG8 425000.00000000 PA USD 447046.88000000 0.041320015881 Long DBT UST US N 2 2029-02-15 Fixed 5.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLU3 900000.00000000 PA USD 909421.88000000 0.084056791817 Long DBT UST US N 2 2031-10-31 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810QU5 1000000.00000000 PA USD 815937.50000000 0.075416140827 Long DBT UST US N 2 2042-02-15 Fixed 3.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CEV9 2700000.00000000 PA USD 2650851.55000000 0.245015082414 Long DBT UST US N 2 2029-06-30 Fixed 3.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHC8 4400000.00000000 PA USD 4194781.23000000 0.387718681862 Long DBT UST US N 2 2033-05-15 Fixed 3.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128283W8 2625000.00000000 PA USD 2562348.63000000 0.236834861897 Long DBT UST US N 2 2028-02-15 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGQ8 2800000.00000000 PA USD 2827781.24000000 0.261368484994 Long DBT UST US N 2 2030-02-28 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128282A7 750000.00000000 PA USD 729726.56000000 0.067447765318 Long DBT UST US N 2 2026-08-15 Fixed 1.50000000 N N N N N N US BOND FUTR OPTN OCT25P N/A US BOND FUTR OPTN OCT25P N/A -50.00000000 NC USD -22656.25000000 -0.00209409046 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Option 107 Sep 2025 on US Long Bond (CBT) Dec 2025 N/A Put Option 107 Sep 2025 on US Long Bond (CBT) Dec 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Dec 2025 US Long Bond (CBT) Dec 2025 2025-09-26 0.00000000 USD 1000.00000000 USD 107.00000000 USD 2025-09-26 XXXX 16313.25000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CEC1 3360000.00000000 PA USD 3256443.76000000 0.300989256163 Long DBT UST US N 2 2027-02-28 Fixed 1.87500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION 3135G05Q2 200000.00000000 PA USD 172864.20000000 0.015977634134 Long ABS-MBS USGSE US N 2 2030-08-05 Fixed 0.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMD0 2500000.00000000 PA USD 2562304.68000000 0.236830799650 Long DBT UST US N 2 2029-12-31 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLM1 930000.00000000 PA USD 914524.21000000 0.084528394161 Long DBT UST US N 2 2031-09-30 Fixed 3.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLX7 2030000.00000000 PA USD 2048872.65000000 0.189374882647 Long DBT UST US N 2 2027-11-15 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCR0 3365000.00000000 PA USD 3102109.38000000 0.286724311438 Long DBT UST US N 2 2028-07-31 Fixed 1.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SA7 1370000.00000000 PA USD 1017653.13000000 0.094060478609 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHK0 1250000.00000000 PA USD 1260644.53000000 0.116519887133 Long DBT UST US N 2 2028-06-30 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLN9 2000000.00000000 PA USD 1980000.00000000 0.183009064834 Long DBT UST US N 2 2029-09-30 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LOAN MORTGAGE CORP 3134A4KX1 250000.00000000 PA USD 283425.25000000 0.026196661592 Long ABS-MBS USGSE US N 2 2032-07-15 Fixed 6.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMR9 1400000.00000000 PA USD 1413015.62000000 0.130603367279 Long DBT UST US N 2 2032-02-29 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCS8 3975000.00000000 PA USD 3400022.45000000 0.314260065146 Long DBT UST US N 2 2031-08-15 Fixed 1.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKF7 750000.00000000 PA USD 759550.78000000 0.070204382799 Long DBT UST US N 2 2031-03-31 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SX7 3860000.00000000 PA USD 2447632.02000000 0.226231740928 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMF5 2280000.00000000 PA USD 2309657.81000000 0.213478947422 Long DBT UST US N 2 2028-01-15 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810UG1 2345000.00000000 PA USD 2283626.94000000 0.211072944808 Long DBT UST US N 2 2055-02-15 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810QN1 1500000.00000000 PA USD 1518457.04000000 0.140349193374 Long DBT UST US N 2 2041-02-15 Fixed 4.75000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TENNESSEE VALLEY AUTHORITY 880591EH1 85000.00000000 PA USD 87171.07000000 0.008057119192 Long DBT USGA US N 2 2039-09-15 Fixed 5.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCY5 2990000.00000000 PA USD 2765983.58000000 0.255656600163 Long DBT UST US N 2 2028-09-30 Fixed 1.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128284N7 2995000.00000000 PA USD 2928080.47000000 0.270639024532 Long DBT UST US N 2 2028-05-15 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RN0 1280000.00000000 PA USD 956750.00000000 0.088431274131 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCJ8 1640000.00000000 PA USD 1589967.19000000 0.146958792201 Long DBT UST US N 2 2026-06-30 Fixed 0.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810EX2 200000.00000000 PA USD 205757.81000000 0.019017951712 Long DBT UST US N 2 2026-08-15 Fixed 6.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHA2 1500000.00000000 PA USD 1491855.47000000 0.137890441632 Long DBT UST US N 2 2028-04-30 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGS4 1650000.00000000 PA USD 1638140.63000000 0.151411406446 Long DBT UST US N 2 2030-03-31 Fixed 3.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKQ3 4650000.00000000 PA USD 4723019.51000000 0.436543123091 Long DBT UST US N 2 2034-05-15 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKZ3 2210000.00000000 PA USD 2237452.33000000 0.206805080063 Long DBT UST US N 2 2027-07-15 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TD0 3010000.00000000 PA USD 1839039.45000000 0.169980247443 Long DBT UST US N 2 2052-02-15 Fixed 2.25000000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3130B3A29 100000.00000000 PA USD 100054.00000000 0.009247873218 Long DBT USGSE US N 2 2026-10-09 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810QQ4 551000.00000000 PA USD 533609.06000000 0.049320856089 Long DBT UST US N 2 2041-05-15 Fixed 4.37500000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3130AQF65 100000.00000000 PA USD 96226.90000000 0.008894138879 Long DBT USGSE US N 2 2026-12-21 Fixed 1.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CNF4 800000.00000000 PA USD 806843.75000000 0.074575616239 Long DBT UST US N 2 2032-05-31 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828YS3 2500000.00000000 PA USD 2301757.80000000 0.212748758814 Long DBT UST US N 2 2029-11-15 Fixed 1.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLZ2 1600000.00000000 PA USD 1616250.00000000 0.149388081332 Long DBT UST US N 2 2031-11-30 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BONDS 912810FM5 1090000.00000000 PA USD 1205471.88000000 0.111420344163 Long DBT UST US N 2 2030-05-15 Fixed 6.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGM7 4600000.00000000 PA USD 4435046.85000000 0.409926149755 Long DBT UST US N 2 2033-02-15 Fixed 3.50000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TENNESSEE VALLEY AUTH 880591CP5 140000.00000000 PA USD 157142.16000000 0.014524464519 Long DBT USGA US N 2 2038-01-15 Fixed 6.15000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810QX9 450000.00000000 PA USD 344126.95000000 0.031807248133 Long DBT UST US N 2 2042-08-15 Fixed 2.75000000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3133XGAY0 165000.00000000 PA USD 179528.58000000 0.016593614917 Long DBT USGSE US N 2 2036-07-15 Fixed 5.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CBZ3 2300000.00000000 PA USD 2149691.41000000 0.198693441730 Long DBT UST US N 2 2028-04-30 Fixed 1.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828YD6 450000.00000000 PA USD 436851.56000000 0.040377674478 Long DBT UST US N 2 2026-08-31 Fixed 1.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CFY2 1765000.00000000 PA USD 1772721.88000000 0.163850592661 Long DBT UST US N 2 2029-11-30 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SQ2 1250000.00000000 PA USD 767968.75000000 0.070982445838 Long DBT UST US N 2 2040-08-15 Fixed 1.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJT9 3050000.00000000 PA USD 3057267.57000000 0.282579635825 Long DBT UST US N 2 2027-01-15 Fixed 4.00000000 N N N N N N US BOND FUTR OPTN SEP25P N/A US BOND FUTR OPTN SEP25P N/A -50.00000000 NC USD -21875.00000000 -0.00202188045 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Option 110 Aug 2025 on US Long Bond (CBT) Sep 2025 N/A Put Option 110 Aug 2025 on US Long Bond (CBT) Sep 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Sep 2025 US Long Bond (CBT) Sep 2025 2025-08-22 0.00000000 USD 1000.00000000 USD 110.00000000 USD 2025-08-22 XXXX 14750.75000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CAU5 2145000.00000000 PA USD 1992168.75000000 0.184133808045 Long DBT UST US N 2 2027-10-31 Fixed 0.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RJ9 955000.00000000 PA USD 735051.56000000 0.067939948788 Long DBT UST US N 2 2044-11-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJM4 2220000.00000000 PA USD 2277407.80000000 0.210498117032 Long DBT UST US N 2 2030-11-30 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CNC1 2010000.00000000 PA USD 2013140.63000000 0.186072214180 Long DBT UST US N 2 2035-05-15 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810UF3 1450000.00000000 PA USD 1419583.99000000 0.131210473971 Long DBT UST US N 2 2044-11-15 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKG5 1700000.00000000 PA USD 1723242.18000000 0.159277242346 Long DBT UST US N 2 2029-03-31 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SS8 2570000.00000000 PA USD 1353667.19000000 0.125117861888 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CBP5 4015000.00000000 PA USD 3754181.83000000 0.346994598953 Long DBT UST US N 2 2028-02-29 Fixed 1.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828X88 3435000.00000000 PA USD 3349795.89000000 0.309617683442 Long DBT UST US N 2 2027-05-15 Fixed 2.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SN9 2620000.00000000 PA USD 1258521.09000000 0.116323620078 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TR9 3605000.00000000 PA USD 2940468.94000000 0.271784076204 Long DBT UST US N 2 2053-05-15 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LOAN MORTGAGE CORP 3134A4AA2 180000.00000000 PA USD 206082.00000000 0.019047916211 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 6.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CAD3 2285000.00000000 PA USD 2132279.88000000 0.197084114547 Long DBT UST US N 2 2027-07-31 Fixed 0.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCB5 4675000.00000000 PA USD 4122948.23000000 0.381079242390 Long DBT UST US N 2 2031-05-15 Fixed 1.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810ST6 1065000.00000000 PA USD 677939.06000000 0.062661107770 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKU4 1980000.00000000 PA USD 2055951.55000000 0.190029177025 Long DBT UST US N 2 2031-05-31 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKD2 2750000.00000000 PA USD 2798769.52000000 0.258686965930 Long DBT UST US N 2 2029-02-28 Fixed 4.25000000 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION 254900C5LP6DN9OP9V83 FEDERAL FARM CREDIT BANK 3133EPSW6 100000.00000000 PA USD 100568.40000000 0.009295418603 Long DBT USGSE US N 2 2026-08-14 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMN8 2365000.00000000 PA USD 2397056.84000000 0.221557136688 Long DBT UST US N 2 2028-02-15 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828Z78 2615000.00000000 PA USD 2522351.36000000 0.233137961402 Long DBT UST US N 2 2027-01-31 Fixed 1.50000000 N N N N N N United States of America N/A 30 YEAR US TREASURY BOND FUTURE SEP25 N/A 497.00000000 NC USD 2506664.23000000 0.231688018478 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long United States of America US Long Bond (CBT) Sep 2025 2025-09-19 54881304.52000000 USD 2506664.23000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMU2 2000000.00000000 PA USD 2018750.00000000 0.186590681633 Long DBT UST US N 2 2030-03-31 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKJ9 3320000.00000000 PA USD 3361240.61000000 0.310675505414 Long DBT UST US N 2 2027-04-15 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMY4 500000.00000000 PA USD 499960.94000000 0.046210800042 Long DBT UST US N 2 2027-04-30 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SC3 1030000.00000000 PA USD 781190.63000000 0.072204528613 Long DBT UST US N 2 2048-05-15 Fixed 3.12500000 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION 254900C5LP6DN9OP9V83 FEDERAL FARM CREDIT BANK 3133EMLN0 75000.00000000 PA USD 64673.18000000 0.005977665753 Long DBT USGSE US N 2 2030-12-23 Fixed 1.24000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CFL0 1400000.00000000 PA USD 1406562.50000000 0.130006913008 Long DBT UST US N 2 2029-09-30 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CEF4 2650000.00000000 PA USD 2593273.44000000 0.239693205613 Long DBT UST US N 2 2027-03-31 Fixed 2.50000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TENNESSEE VALLEY AUTHORITY 880591FD9 100000.00000000 PA USD 102397.20000000 0.009464452431 Long DBT USGA US N 2 2035-05-15 Fixed 4.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CAL5 1740000.00000000 PA USD 1615617.18000000 0.149329590526 Long DBT UST US N 2 2027-09-30 Fixed 0.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CBS9 790000.00000000 PA USD 739730.08000000 0.068372378874 Long DBT UST US N 2 2028-03-31 Fixed 1.25000000 N N N N N N US BOND FUTR OPTN OCT25P N/A US BOND FUTR OPTN OCT25P N/A -50.00000000 NC USD -11718.75000000 -0.00108315024 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Option 104 Sep 2025 on US Long Bond (CBT) Dec 2025 N/A Put Option 104 Sep 2025 on US Long Bond (CBT) Dec 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Dec 2025 US Long Bond (CBT) Dec 2025 2025-09-26 0.00000000 USD 1000.00000000 USD 104.00000000 USD 2025-09-26 XXXX 19438.25000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLG4 2050000.00000000 PA USD 2050880.86000000 0.189560499129 Long DBT UST US N 2 2027-08-15 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJR3 2500000.00000000 PA USD 2502343.75000000 0.231288681607 Long DBT UST US N 2 2028-12-31 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828YB0 2235000.00000000 PA USD 2058120.69000000 0.190229668077 Long DBT UST US N 2 2029-08-15 Fixed 1.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RM2 1900000.00000000 PA USD 1455058.59000000 0.134489349411 Long DBT UST US N 2 2045-05-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TC2 3320000.00000000 PA USD 2281592.18000000 0.210884874341 Long DBT UST US N 2 2041-11-15 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TX6 2355000.00000000 PA USD 2148661.52000000 0.198598250212 Long DBT UST US N 2 2054-02-15 Fixed 4.25000000 N N N N N N iShares US Treasury Bond ETF 549300YMK9GAMCTG8G20 ISHARES U S TREASURY BOND ETF 46429B267 11042200.00000000 NS USD 253749756.00000000 23.45379068058 Long RF US N 1 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMK4 1945000.00000000 PA USD 1991345.69000000 0.184057733580 Long DBT UST US N 2 2032-01-31 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CNG2 1200000.00000000 PA USD 1211718.74000000 0.111997734065 Long DBT UST US N 2 2030-05-31 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CEE7 2400000.00000000 PA USD 2286750.00000000 0.211361605560 Long DBT UST US N 2 2029-03-31 Fixed 2.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLK5 2700000.00000000 PA USD 2686921.88000000 0.248349020475 Long DBT UST US N 2 2029-08-31 Fixed 3.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810QH4 163000.00000000 PA USD 159173.32000000 0.014712202242 Long DBT UST US N 2 2040-05-15 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SH2 2350000.00000000 PA USD 1686400.40000000 0.155872000071 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CJG7 2340000.00000000 PA USD 2456177.35000000 0.227021575702 Long DBT UST US N 2 2030-10-31 Fixed 4.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RH3 1205000.00000000 PA USD 949455.28000000 0.087757031765 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHM6 1590000.00000000 PA USD 1598260.54000000 0.147725336761 Long DBT UST US N 2 2026-07-15 Fixed 4.50000000 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION 254900C5LP6DN9OP9V83 FEDERAL FARM CREDIT BANK 3133EPNG6 200000.00000000 PA USD 200668.20000000 0.018547525062 Long DBT USGSE US N 2 2026-06-23 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CDP3 2650000.00000000 PA USD 2448144.52000000 0.226279110699 Long DBT UST US N 2 2028-12-31 Fixed 1.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMG3 2425000.00000000 PA USD 2473310.53000000 0.228605175323 Long DBT UST US N 2 2030-01-31 Fixed 4.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION 31359MGK3 160000.00000000 PA USD 180923.52000000 0.016722547576 Long ABS-MBS USGSE US N 2 2030-11-15 Fixed 6.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SP4 3910000.00000000 PA USD 1927355.09000000 0.178143157891 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TENNESSEE VALLEY AUTHORITY 880591CS9 100000.00000000 PA USD 110484.20000000 0.010211924303 Long DBT USGA US N 2 2036-04-01 Fixed 5.88000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CFV8 3720000.00000000 PA USD 3745575.00000000 0.346199079806 Long DBT UST US N 2 2032-11-15 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810FJ2 280000.00000000 PA USD 304653.12000000 0.028158728580 Long DBT UST US N 2 2029-08-15 Fixed 6.12500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOCIATION 31359MEU3 95000.00000000 PA USD 103438.57000000 0.009560705032 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 6.25000000 N N N N N N US BOND FUTR OPTN AUG25C N/A US BOND FUTR OPTN AUG25C N/A 50.00000000 NC USD 22656.25000000 0.002094090467 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Option 118 Jul 2025 on US Long Bond (CBT) Sep 2025 N/A Call Option 118 Jul 2025 on US Long Bond (CBT) Sep 2025 N/A N/A NC USD N/A N/A DIR N/A US Long Bond (CBT) Sep 2025 US Long Bond (CBT) Sep 2025 2025-07-25 0.00000000 USD 1000.00000000 USD 118.00000000 USD 2025-07-25 XXXX -11030.50000000 N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CLL3 2110000.00000000 PA USD 2095493.75000000 0.193684015936 Long DBT UST US N 2 2027-09-15 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LOAN MORTGAGE CORP 3134GW4C7 400000.00000000 PA USD 383358.40000000 0.035433364788 Long ABS-MBS USGSE US N 2 2026-10-27 Fixed 0.80000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SF6 570000.00000000 PA USD 420041.01000000 0.038823895167 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810UC0 2675000.00000000 PA USD 2443445.31000000 0.225844768261 Long DBT UST US N 2 2054-08-15 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGH8 2950000.00000000 PA USD 2935134.77000000 0.271291045162 Long DBT UST US N 2 2028-01-31 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828YQ7 1500000.00000000 PA USD 1456230.47000000 0.134597664898 Long DBT UST US N 2 2026-10-31 Fixed 1.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810QY7 1995000.00000000 PA USD 1518615.83000000 0.140363870147 Long DBT UST US N 2 2042-11-15 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810UB2 450000.00000000 PA USD 441263.67000000 0.040785480602 Long DBT UST US N 2 2044-05-15 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810SZ2 4335000.00000000 PA USD 2499398.44000000 0.231016450077 Long DBT UST US N 2 2051-08-15 Fixed 2.00000000 N N N N N N THE FEDERAL HOME LOAN BANKS N/A FEDERAL HOME LOAN BANK 3130B0TY5 100000.00000000 PA USD 101544.00000000 0.009385592161 Long DBT USGSE US N 2 2027-04-09 Fixed 4.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMS7 2185000.00000000 PA USD 2195498.25000000 0.202927313928 Long DBT UST US N 2 2028-03-15 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CHH7 1780000.00000000 PA USD 1782016.40000000 0.164709674183 Long DBT UST US N 2 2026-06-15 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CGB1 1740000.00000000 PA USD 1747476.55000000 0.161517196583 Long DBT UST US N 2 2029-12-31 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TV0 1775000.00000000 PA USD 1758775.38000000 0.162561534115 Long DBT UST US N 2 2053-11-15 Fixed 4.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 912828Z94 3685000.00000000 PA USD 3334637.09000000 0.308216573436 Long DBT UST US N 2 2030-02-15 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FEDERAL NATIONAL MORTGAGE ASSOC 31359MFP3 180000.00000000 PA USD 207270.18000000 0.019157738287 Long ABS-MBS USGSE US N 2 2030-05-15 Fixed 7.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CMC2 1065000.00000000 PA USD 1098281.25000000 0.101512840650 Long DBT UST US N 2 2031-12-31 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810RU4 955000.00000000 PA USD 703118.75000000 0.064988436820 Long DBT UST US N 2 2046-11-15 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TQ1 1275000.00000000 PA USD 1140925.78000000 0.105454424264 Long DBT UST US N 2 2043-02-15 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810TA6 2625000.00000000 PA USD 1741523.44000000 0.160966957647 Long DBT UST US N 2 2041-08-15 Fixed 1.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY BOND 912810UE6 3055000.00000000 PA USD 2912274.22000000 0.269178071486 Long DBT UST US N 2 2054-11-15 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CKP5 3100000.00000000 PA USD 3197117.17000000 0.295505769418 Long DBT UST US N 2 2029-04-30 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CCE9 2065000.00000000 PA USD 1926419.13000000 0.178056648212 Long DBT UST US N 2 2028-05-31 Fixed 1.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 9128283F5 1775000.00000000 PA USD 1716341.79000000 0.158639447436 Long DBT UST US N 2 2027-11-15 Fixed 2.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U S TREASURY NOTE 91282CFJ5 2000000.00000000 PA USD 1951875.00000000 0.180409504254 Long DBT UST US N 2 2029-08-31 Fixed 3.12500000 N N N N N N 2025-07-30 HC Capital Trust Colette Bergman Colette Bergman Treasurer