Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000009306
        C000058955
        C000025404
        C000025405
        C000058956
        C000025406
        C000161289
        C000025408
        C000202037
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Core Fixed Income Fund
      S000009306
      2NJKQB9WFS0RLSFC6S95
      2022-03-31
      2022-03-31
      N
    
    
      2322388580.20
      595977509.12
      1726411071.08
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      137127858.07000000
      0.00000000
      0.00000000
      30873989.71000000
      
        
          AUD
          
          
        
        
          CAD
          
          
        
        
          CHF
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          JPY
          
          
        
        
          NOK
          
          
        
        
          NZD
          
          
        
        
          SEK
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W7WP5
        
          
        
        50925.05000000
        PA
        USD
        51158.43000000
        0.002963282085
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        4350000.00000000
        OU
        Notional Amount
        USD
        100699.46000000
        0.005832878489
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            72557.11000000
            USD
            0.00000000
            USD
            4350000.00000000
            USD
            28142.35000000
          
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        
        00831TAC5
        
          
        
        830000.00000000
        PA
        USD
        765567.10000000
        0.044344427165
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2031-05-17
          Fixed
          3.79800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        
        61747YEF8
        
          
        
        3175000.00000000
        PA
        USD
        2725737.50000000
        0.157884616570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-16
          Fixed
          2.48400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MKQH2
        
          
        
        79297.78000000
        PA
        USD
        79661.19000000
        0.004614265474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stratton Mortgage Funding PLC
        213800RHNWAD2QXB3483
        
        000000000
        
          
        
        2974538.05000000
        PA
        
        3912549.23000000
        0.226629062773
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-05-25
          Floating
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179WTZ1
        
          
        
        7873817.84000000
        PA
        USD
        7791608.02000000
        0.451318237615
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-12-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q9HH9
        
          
        
        673347.80000000
        PA
        USD
        698354.52000000
        0.040451230399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        25000000.00000000
        OU
        Notional Amount
        USD
        516572.50000000
        0.029921755522
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-17
            227367.23000000
            USD
            0.00000000
            USD
            25000000.00000000
            USD
            289205.27000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        
        6174468P7
        
          
        
        1325000.00000000
        PA
        USD
        1321157.50000000
        0.076526241179
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.62200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        
        20030NCT6
        
          
        
        1775000.00000000
        PA
        USD
        1865755.75000000
        0.108071349938
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKYWORKS SOLUTIONS INC
        549300WZ3ORQ2BVKBD96
        
        83088MAL6
        
          
        
        625000.00000000
        PA
        USD
        557131.25000000
        0.032271065642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -5830000.00000000
        NC
        USD
        -2461.43000000
        -0.00014257496
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    
                    N/A
                    
                      
                    
                    5830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2461.43000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5830000.00000000
                  USD
                
              
            
            1.00000000
            1.83000000
            USD
            2022-04-11
            XXXX
            61960.07000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        
        11135FBQ3
        
          
        
        161000.00000000
        PA
        USD
        141475.53000000
        0.008194776572
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-11-15
          Fixed
          3.18700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        
        780097BK6
        
          
        
        400000.00000000
        PA
        USD
        404796.00000000
        0.023447254641
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          4.26900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        
        000000000
        
          
        
        100000.00000000
        PA
        
        91957.01000000
        0.005326484030
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        11070000.00000000
        OU
        Notional Amount
        
        49195.19000000
        0.002849564094
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            72081.77000000
            NOK
            0.00000000
            NOK
            11070000.00000000
            NOK
            80458.90000000
          
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        
        637417AH9
        
          
        
        1150000.00000000
        PA
        USD
        1176783.50000000
        0.068163574696
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        
        92343VEU4
        
          
        
        2251000.00000000
        PA
        USD
        2338271.27000000
        0.135441165152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-03
          Fixed
          4.01600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        
        00772BAP6
        
          
        
        2075000.00000000
        PA
        USD
        2084794.00000000
        0.120758840980
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-07-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138NXRK5
        
          
        
        25860.09000000
        PA
        USD
        25978.60000000
        0.001504774872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        
        172967KN0
        
          
        
        3175000.00000000
        PA
        USD
        3202082.75000000
        0.185476263657
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        -5830000.00000000
        NC
        USD
        -46382.90000000
        -0.00268666604
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    N/A
                    
                      
                    
                    5830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -46382.90000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5830000.00000000
                  USD
                
              
            
            1.00000000
            2.16500000
            USD
            2022-04-25
            XXXX
            22119.60000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        703.00000000
        NC
        USD
        -2058951.92000000
        -0.11926197384
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            88319248.80000000
            USD
            -2058951.92000000
          
        
        
          N
          N
          N
        
      
      
        Port of Oakland
        N/A
        
        735000TQ4
        
          
        
        330000.00000000
        PA
        USD
        306128.03000000
        0.017732047432
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-05-01
          Fixed
          1.94900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        
        00206RFW7
        
          
        
        1165000.00000000
        PA
        USD
        1270502.40000000
        0.073592113795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31386PGT4
        
          
        
        10271.18000000
        PA
        USD
        11160.29000000
        0.000646444533
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -2670000.00000000
        NC
        
        -4820.63000000
        -0.00027922839
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    2670000.00000000
                    OU
                    Notional Amount
                    N/A
                    -4820.63000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2670000.00000000
                  GBP
                
              
            
            1.00000000
            0.37900000
            GBP
            2022-10-10
            XXXX
            51253.27000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        
        949746SH5
        
          
        
        2700000.00000000
        PA
        USD
        2663469.00000000
        0.154277798875
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-23
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        
        50077LAV8
        
          
        
        2035000.00000000
        PA
        USD
        2032456.25000000
        0.117727248396
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KGR83
        
          
        
        7637391.28000000
        PA
        USD
        7557831.81000000
        0.437777070397
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NiSource Inc
        549300D8GOWWH0SJB189
        
        65473QBE2
        
          
        
        2500000.00000000
        PA
        USD
        2494075.00000000
        0.144465883113
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MJGD5
        
          
        
        36882.33000000
        PA
        USD
        37028.31000000
        0.002144814211
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        
        378272BD9
        
          
        
        1850000.00000000
        PA
        USD
        1710491.50000000
        0.099077880619
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-04-27
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYATT HOTELS CORP
        T27JQIMTYSH41TCD5186
        
        448579AN2
        
          
        
        2000000.00000000
        PA
        USD
        1924314.00000000
        0.111463256476
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        
        92343VGJ7
        
          
        
        3350000.00000000
        PA
        USD
        3112552.00000000
        0.180290317418
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-21
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA DEVELOPMENT BANK
        549300ML2LNRZUCS7149
        
        500630DQ8
        
          
        
        720000.00000000
        PA
        USD
        702280.80000000
        0.040678654798
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2025-02-24
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179QT50
        
          
        
        213927.13000000
        PA
        USD
        222133.52000000
        0.012866780323
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179N5W4
        
          
        
        2535.66000000
        PA
        USD
        2634.51000000
        0.000152600388
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 LTD
        549300BTYXZYFTGVBO58
        
        98888DAN2
        
          
        
        3250000.00000000
        PA
        USD
        3243178.25000000
        0.187856664286
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-28
          Floating
          1.62800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        
        00914AAH5
        
          
        
        1625000.00000000
        PA
        USD
        1603452.50000000
        0.092877792946
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        
        98138HAH4
        
          
        
        1050000.00000000
        PA
        USD
        1051701.00000000
        0.060918341964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        
        00287YCB3
        
          
        
        2625000.00000000
        PA
        USD
        2739003.75000000
        0.158653045956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31397S7M0
        
          
        
        493168.42000000
        PA
        USD
        523080.12000000
        0.030298700510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        2580000.00000000
        OU
        Notional Amount
        USD
        49466.08000000
        0.002865255026
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of Chile
                Republic of Chile
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            31071.75000000
            USD
            0.00000000
            USD
            2580000.00000000
            USD
            18394.33000000
          
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent
        549300N4PXZ37U8QKI55
        
        02666TAB3
        
          
        
        723000.00000000
        PA
        USD
        770508.33000000
        0.044630641155
        Long
        DBT
        
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAB HOLDINGS BV
        529900RRNKUM3INJGF98
        
        46653KAA6
        
          
        
        500000.00000000
        PA
        USD
        446160.00000000
        0.025843207766
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-11-23
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI CRUDE OIL
        549300DONDFW2383FV66
        
        00401MAB2
        
          
        
        1190000.00000000
        PA
        USD
        1257904.38000000
        0.072862390717
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2047-11-02
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Securities LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        1100000.00000000
        OU
        Notional Amount
        USD
        -87828.18000000
        -0.00508732719
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -326244.44000000
            USD
            1100000.00000000
            USD
            238416.26000000
          
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        
        84861TAD0
        
          
        
        1900000.00000000
        PA
        USD
        1920995.00000000
        0.111271007941
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        
        23312LAG3
        
          
        
        1500000.00000000
        PA
        USD
        1145415.89000000
        0.066346648789
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-10
          Variable
          3.32600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q95B5
        
          
        
        737463.79000000
        PA
        USD
        767814.33000000
        0.044474594890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138ERH60
        
          
        
        89502.32000000
        PA
        USD
        92426.92000000
        0.005353702924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418BZY5
        
          
        
        34884.15000000
        PA
        USD
        36228.01000000
        0.002098457928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASTE MANAGEMENT INC
        549300YX8JIID70NFS41
        
        94106LBN8
        
          
        
        925000.00000000
        PA
        USD
        827662.25000000
        0.047941203799
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WRNS5
        
          
        
        57079.32000000
        PA
        USD
        57340.91000000
        0.003321393783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        
        023135BN5
        
          
        
        2300000.00000000
        PA
        USD
        2479446.00000000
        0.143618518296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-03
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUNDIN ENERGY FI
        549300JSNI1KL271GM17
        
        55037AAA6
        
          
        
        2425000.00000000
        PA
        USD
        2264174.00000000
        0.131149182134
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arch Capital Group Ltd
        549300AYR4P8AFKDCE43
        
        03937LAA3
        
          
        
        1125000.00000000
        PA
        USD
        1473232.50000000
        0.085334977554
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2034-05-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417G4E3
        
          
        
        553060.77000000
        PA
        USD
        555595.39000000
        0.032182103052
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        
        62954HAG3
        
          
        
        3125000.00000000
        PA
        USD
        2821406.25000000
        0.163426098063
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2031-05-11
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H020642
        
          
        
        -70000000.00000000
        PA
        USD
        -66558016.00000000
        -3.85528204232
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140QBPV4
        
          
        
        202497.32000000
        PA
        USD
        210146.29000000
        0.012172436421
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        312933VG6
        
          
        
        89793.49000000
        PA
        USD
        96904.80000000
        0.005613077998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        91282CAG6
        
          
        
        94060000.00000000
        PA
        USD
        93740342.73000000
        5.429781139630
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-08-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31371NS63
        
          
        
        39751.53000000
        PA
        USD
        42541.96000000
        0.002464184846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        21480000.00000000
        NC
        
        2121.94000000
        0.000122910472
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    21480000.00000000
                    OU
                    Notional Amount
                    N/A
                    2121.94000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  21480000.00000000
                  GBP
                
              
            
            1.00000000
            0.28100000
            GBP
            2022-09-08
            XXXX
            -38914.78000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179VQU7
        
          
        
        504659.43000000
        PA
        USD
        509268.74000000
        0.029498695214
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        
        000000000
        
          
        
        2600000.00000000
        OU
        Notional Amount
        USD
        -339625.00000000
        -0.01967231360
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -392808.73000000
            USD
            2600000.00000000
            USD
            53183.73000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        29278NAC7
        
          
        
        1950000.00000000
        PA
        USD
        1976461.50000000
        0.114483829089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140GYKA6
        
          
        
        696820.68000000
        PA
        USD
        722753.56000000
        0.041864511419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diameter Capital CLO 1 Ltd.
        25490018I1ROE4V49X69
        
        25255DAA8
        
          
        
        5250000.00000000
        PA
        USD
        5198266.50000000
        0.301102477102
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-07-15
          Floating
          1.48100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        06051GHZ5
        
          
        
        225000.00000000
        PA
        USD
        206457.75000000
        0.011958782786
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-13
          Fixed
          2.49600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Yuma AZ
        N/A
        
        98851WAH6
        
          
        
        35000.00000000
        PA
        USD
        32623.29000000
        0.001889659452
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-07-15
          Fixed
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        
        96949LAB1
        
          
        
        800000.00000000
        PA
        USD
        811680.00000000
        0.047015453827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        
        571903BG7
        
          
        
        2625000.00000000
        PA
        USD
        2399381.25000000
        0.138980877161
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        
        14040HBT1
        
          
        
        1110000.00000000
        PA
        USD
        1116804.30000000
        0.064689361572
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MCT46
        
          
        
        7818.93000000
        PA
        USD
        7854.76000000
        0.000454976229
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tencent Holdings Ltd
        254900N4SLUMW4XUYY11
        
        88032XAG9
        
          
        
        830000.00000000
        PA
        USD
        809125.50000000
        0.046867487909
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-01-19
          Fixed
          3.59500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        
        05583JAE2
        
          
        
        1150000.00000000
        PA
        USD
        1186305.50000000
        0.068715123522
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-12
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        
        87264ABT1
        
          
        
        2205000.00000000
        PA
        USD
        1987256.25000000
        0.115109100218
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTUIT INC
        VI90HBPH7XSFMB9E4M29
        
        46124HAC0
        
          
        
        675000.00000000
        PA
        USD
        615802.50000000
        0.035669517550
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        
        23312JAQ6
        
          
        
        1757000.00000000
        PA
        USD
        1520418.90000000
        0.088068185235
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-06-10
          Variable
          3.21800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31371NVU6
        
          
        
        1212.97000000
        PA
        USD
        1298.71000000
        0.000075226000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        2170000.00000000
        OU
        Notional Amount
        
        182.92000000
        0.000010595390
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-29
            32.98000000
            EUR
            0.00000000
            EUR
            2170000.00000000
            EUR
            21737.74000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136A9EA2
        
          
        
        84110.42000000
        PA
        USD
        91514.29000000
        0.005300840079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Statewide Communities Development Authority
        549300KTNI2GCJNX2U48
        
        13080SZR8
        
          
        
        95000.00000000
        PA
        USD
        85962.47000000
        0.004979258499
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-02-01
          Fixed
          1.80700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UML3
        
          
        
        2693108.18000000
        PA
        USD
        2756652.34000000
        0.159675316393
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Louisiana
        N/A
        
        54651RDG1
        
          
        
        100000.00000000
        PA
        USD
        88107.75000000
        0.005103520909
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-09-01
          Fixed
          1.54300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        
        49271VAG5
        
          
        
        704000.00000000
        PA
        USD
        716101.76000000
        0.041479215002
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-25
          Fixed
          4.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEIR GROUP PLC (THE)
        549300KDR56WHY9I3D10
        
        94876QAA4
        
          
        
        2375000.00000000
        PA
        USD
        2205781.25000000
        0.127766861957
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-13
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        
        20030NCM1
        
          
        
        275000.00000000
        PA
        USD
        310928.75000000
        0.018010122572
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-10-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        
        715638DR0
        
          
        
        100000.00000000
        PA
        USD
        76143.75000000
        0.004410522573
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2121-07-28
          Fixed
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        
        56585AAG7
        
          
        
        600000.00000000
        PA
        USD
        604860.00000000
        0.035035688204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        06051GJB6
        
          
        
        5225000.00000000
        PA
        USD
        4826646.00000000
        0.279576867922
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        
        15135BAR2
        
          
        
        2850000.00000000
        PA
        USD
        2860972.50000000
        0.165717918978
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31406VSY3
        
          
        
        133943.99000000
        PA
        USD
        137919.70000000
        0.007988809983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Floating
          1.54200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Oakland
        N/A
        
        735000TS0
        
          
        
        55000.00000000
        PA
        USD
        49652.63000000
        0.002876060680
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-05-01
          Fixed
          2.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        
        015271AP4
        
          
        
        750000.00000000
        PA
        USD
        763282.50000000
        0.044212094835
        Long
        DBT
        
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        
        6174468L6
        
          
        
        10600000.00000000
        PA
        USD
        9916194.00000000
        0.574381974612
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-22
          Fixed
          2.69900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        
        22535WAD9
        
          
        
        1050000.00000000
        PA
        USD
        1050220.50000000
        0.060832586027
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-10-04
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        
        87264ABD6
        
          
        
        5025000.00000000
        PA
        USD
        5061330.75000000
        0.293170661077
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        San Jose Financing Authority
        N/A
        
        798153NJ7
        
          
        
        345000.00000000
        PA
        USD
        319179.72000000
        0.018488048724
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-06-01
          Fixed
          1.81200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418CCW2
        
          
        
        15537.68000000
        PA
        USD
        16045.39000000
        0.000929407269
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179RD89
        
          
        
        14084.84000000
        PA
        USD
        14616.34000000
        0.000846631503
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMDOCS LTD
        549300HQV672RJ7RQV66
        
        02342TAE9
        
          
        
        1225000.00000000
        PA
        USD
        1114541.75000000
        0.064558306458
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2030-06-15
          Fixed
          2.53800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        
        77586RAK6
        
          
        
        3000000.00000000
        PA
        USD
        2910000.00000000
        0.168557769858
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2027-02-27
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3135G0Q22
        
          
        
        3700000.00000000
        PA
        USD
        3601543.00000000
        0.208614452277
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2026-09-24
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        
        11135FBP5
        
          
        
        6965000.00000000
        PA
        USD
        6140622.60000000
        0.355687165291
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-11-15
          Fixed
          3.13700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        
        958254AE4
        
          
        
        475000.00000000
        PA
        USD
        475000.00000000
        0.027513725320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140HBH76
        
          
        
        755796.40000000
        PA
        USD
        783924.12000000
        0.045407732441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2017 CO
        5493006V07LYI3HE6G83
        
        000000000
        
          
        
        200000.00000000
        PA
        USD
        196000.00000000
        0.011353031921
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2027-04-27
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        17875.60000000
        0.001035419680
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF CHILE
                REPUBLIC OF CHILE
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            11527.19000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            6348.41000000
          
        
        
          N
          N
          N
        
      
      
        CK HUTCHISON INTNTL 21
        254900E16YL0NL5TFN79
        
        12565WAB7
        
          
        
        200000.00000000
        PA
        USD
        183936.00000000
        0.010654241222
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        3700000.00000000
        OU
        Notional Amount
        
        -259226.92000000
        -0.01501536478
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            3860.53000000
            AUD
            0.00000000
            AUD
            3700000.00000000
            AUD
            -261946.98000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31329P6B4
        
          
        
        279757.46000000
        PA
        USD
        290833.84000000
        0.016846152395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W1LY1
        
          
        
        19051.31000000
        PA
        USD
        19138.62000000
        0.001108578386
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        
        42824CAY5
        
          
        
        410000.00000000
        PA
        USD
        480470.80000000
        0.027830613927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179MQQ6
        
          
        
        1708.10000000
        PA
        USD
        1774.69000000
        0.000102796490
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179TV77
        
          
        
        425942.75000000
        PA
        USD
        444443.74000000
        0.025743795753
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WK2U8
        
          
        
        150556.17000000
        PA
        USD
        155665.26000000
        0.009016697274
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        
        404280CF4
        
          
        
        600000.00000000
        PA
        USD
        641928.00000000
        0.037182801405
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-03-31
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        
        023135CB0
        
          
        
        900000.00000000
        PA
        USD
        845388.00000000
        0.048967943623
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-05-12
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UPA4
        
          
        
        2400063.55000000
        PA
        USD
        2456130.71000000
        0.142268012013
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        
        30212PAP0
        
          
        
        825000.00000000
        PA
        USD
        821048.25000000
        0.047558096895
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417MFB4
        
          
        
        20582.61000000
        PA
        USD
        21675.13000000
        0.001255502259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WTT97
        
          
        
        74882.90000000
        PA
        USD
        75226.08000000
        0.004357367793
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        
        23291KAJ4
        
          
        
        1225000.00000000
        PA
        USD
        1166114.25000000
        0.067545572982
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2039-11-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Maryland Department of Transportation
        N/A
        
        57421FAF4
        
          
        
        65000.00000000
        PA
        USD
        58931.81000000
        0.003413544490
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-08-01
          Fixed
          1.30300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        
        87264ABZ7
        
          
        
        1350000.00000000
        PA
        USD
        1259091.00000000
        0.072931124057
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        
        11135FBJ9
        
          
        
        3700000.00000000
        PA
        USD
        3302620.00000000
        0.191299746353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BURLINGTN NORTH SANTA FE
        N/A
        
        12189LBC4
        
          
        
        800000.00000000
        PA
        USD
        849528.00000000
        0.049207747461
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-06-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        
        913017DD8
        
          
        
        1775000.00000000
        PA
        USD
        1831782.25000000
        0.106103481417
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-16
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HOMES 4 RENT
        549300N4PXZ37U8QKI55
        
        02666TAC1
        
          
        
        740000.00000000
        PA
        USD
        654618.80000000
        0.037917898637
        Long
        DBT
        
        US
        N
        
        2
        
          2031-07-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        
        01882YAB2
        
          
        
        225000.00000000
        PA
        USD
        230728.50000000
        0.013364632784
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        N/A
        
        62432FAM6
        
          
        
        3500000.00000000
        PA
        USD
        3465616.00000000
        0.200741066716
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-14
          Floating
          1.59800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET CORP
        549300ZFEEJ2IP5VME73
        
        857477BN2
        
          
        
        100000.00000000
        PA
        USD
        98498.00000000
        0.005705361929
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-30
          Fixed
          3.15200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        
        035240AQ3
        
          
        
        1200000.00000000
        PA
        USD
        1301148.00000000
        0.075367218259
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-01-23
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        -229.00000000
        NC
        USD
        370658.65000000
        0.021469895334
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            -34720658.65000000
            USD
            370658.65000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418DC26
        
          
        
        644666.55000000
        PA
        USD
        669017.65000000
        0.038751932329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        
        949831AA9
        
          
        
        130712.48000000
        PA
        USD
        130682.01000000
        0.007569576689
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        
        871829BM8
        
          
        
        225000.00000000
        PA
        USD
        292776.75000000
        0.016958692799
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136A1MA0
        
          
        
        483044.27000000
        PA
        USD
        511772.70000000
        0.029643733672
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New Orleans LA Sewerage Service Revenue
        N/A
        
        647719QA4
        
          
        
        60000.00000000
        PA
        USD
        54981.45000000
        0.003184725290
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-06-01
          Fixed
          0.95800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -4450000.00000000
        NC
        
        -72644.46000000
        -0.00420783098
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    4450000.00000000
                    OU
                    Notional Amount
                    N/A
                    -72644.46000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4450000.00000000
                  EUR
                
              
            
            1.00000000
            1.09000000
            EUR
            2022-04-25
            XXXX
            -30226.26000000
          
        
        
          N
          N
          N
        
      
      
        Telefonica Emisiones SAU
        549300Y5MFC4SW5Z3K71
        
        87938WAV5
        
          
        
        1200000.00000000
        PA
        USD
        1225260.00000000
        0.070971509655
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2038-03-06
          Fixed
          4.66500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912810RU4
        
          
        
        15240000.00000000
        PA
        USD
        16035337.50000000
        0.928824992414
        Long
        DBT
        UST
        US
        N
        
        1
        
          2046-11-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        
        251526CC1
        
          
        
        1075000.00000000
        PA
        USD
        1052188.50000000
        0.060946579735
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        
        20030NDH1
        
          
        
        325000.00000000
        PA
        USD
        326384.50000000
        0.018905375751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        
        92343VGH1
        
          
        
        7580000.00000000
        PA
        USD
        7075930.00000000
        0.409863567173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-22
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        
        55903VAN3
        
          
        
        5025000.00000000
        PA
        USD
        5126454.75000000
        0.296942879704
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36296RE37
        
          
        
        5808.87000000
        PA
        USD
        6442.19000000
        0.000373155044
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-11-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MRK75
        
          
        
        143272.78000000
        PA
        USD
        143839.84000000
        0.008331725995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        06738EBL8
        
          
        
        2600000.00000000
        PA
        USD
        2527798.00000000
        0.146419241763
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-07
          Fixed
          2.85200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UZT2
        
          
        
        1632911.46000000
        PA
        USD
        1651444.68000000
        0.095657674331
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        
        62954HAD0
        
          
        
        825000.00000000
        PA
        USD
        802857.00000000
        0.046504393620
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WVN49
        
          
        
        39117.90000000
        PA
        USD
        39297.17000000
        0.002276234823
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        
        00774MAV7
        
          
        
        5125000.00000000
        PA
        USD
        4737703.75000000
        0.274425009742
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-10-29
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameren Corp
        XRZQ5S7HYJFPHJ78L959
        
        023608AJ1
        
          
        
        400000.00000000
        PA
        USD
        395332.00000000
        0.022899065386
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        
        913017CP2
        
          
        
        550000.00000000
        PA
        USD
        566973.00000000
        0.032841135549
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-04
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138NYAR6
        
          
        
        27211.03000000
        PA
        USD
        27318.73000000
        0.001582400070
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        
        37045XCS3
        
          
        
        300000.00000000
        PA
        USD
        324852.00000000
        0.018816607784
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-17
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31410GDN0
        
          
        
        1576.28000000
        PA
        USD
        1646.14000000
        0.000095350407
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Floating
          2.31200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        91282CBT7
        
          
        
        29700000.00000000
        PA
        USD
        27695250.00000000
        1.604209476175
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-03-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        
        459506AP6
        
          
        
        2300000.00000000
        PA
        USD
        2091804.00000000
        0.121164885642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        21700000.00000000
        NC
        USD
        6870.22000000
        0.000397948096
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    21700000.00000000
                    OU
                    Notional Amount
                    N/A
                    6870.22000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  21700000.00000000
                  USD
                
              
            
            1.00000000
            1.36100000
            USD
            2022-07-12
            XXXX
            -129677.87000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -62700000.00000000
        NC
        USD
        -21067.20000000
        -0.00122028874
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    62700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -21067.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  62700000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-11-16
            XXXX
            54172.80000000
          
        
        
          N
          N
          N
        
      
      
        Galaxy CLO Ltd
        5493006XOQ2X0XSJ4F36
        
        36321JAE4
        
          
        
        6000000.00000000
        PA
        USD
        5955318.00000000
        0.344953649785
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          1.54100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        
        62947QAV0
        
          
        
        225000.00000000
        PA
        USD
        228350.25000000
        0.013226875906
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2023-06-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WPGT5
        
          
        
        59968.07000000
        PA
        USD
        60242.90000000
        0.003489487585
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        
        000000000
        
          
        
        1.00000000
        NC
        
        -1358.08000000
        -0.00007866492
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            112350.00000000
            EUR
            123067.18000000
            USD
            2022-05-05
            -1358.08000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -2420000.00000000
        NC
        
        -4952.93000000
        -0.00028689169
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    2420000.00000000
                    OU
                    Notional Amount
                    N/A
                    -4952.93000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2420000.00000000
                  GBP
                
              
            
            1.00000000
            0.42450000
            GBP
            2022-10-10
            XXXX
            46759.13000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179WJS8
        
          
        
        922224.66000000
        PA
        USD
        912595.80000000
        0.052860863515
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128M7CE4
        
          
        
        234821.82000000
        PA
        USD
        253627.54000000
        0.014691028356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140QCJA5
        
          
        
        2086504.68000000
        PA
        USD
        2055640.89000000
        0.119070186958
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912810SL3
        
          
        
        41410000.00000000
        PA
        USD
        37256059.38000000
        2.158006282750
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        29273RBL2
        
          
        
        375000.00000000
        PA
        USD
        384588.75000000
        0.022276777323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-04-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        
        00831TAB7
        
          
        
        740000.00000000
        PA
        USD
        688577.40000000
        0.039884904095
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2026-05-17
          Fixed
          2.63400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUWAIT INTL BOND
        549300FSC1YD0D9XX589
        
        000000000
        
          
        
        4120000.00000000
        PA
        USD
        4275272.50000000
        0.247639312074
        Long
        DBT
        NUSS
        KW
        N
        
        2
        
          2027-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        29278NAG8
        
          
        
        1225000.00000000
        PA
        USD
        1312783.50000000
        0.076041188682
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF ISRAEL
        213800T8ZHTFZIBYPE21
        
        46513JB59
        
          
        
        200000.00000000
        PA
        USD
        213000.00000000
        0.012337733670
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2120-04-03
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        
        22823RAN9
        
          
        
        4600000.00000000
        PA
        USD
        4509352.40000000
        0.261198070120
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          2.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        
        000000000
        
          
        
        100000.00000000
        PA
        
        89329.67000000
        0.005174298954
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2032-08-03
          Fixed
          2.03100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        62700000.00000000
        NC
        USD
        62530.71000000
        0.003622005850
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    62700000.00000000
                    OU
                    Notional Amount
                    N/A
                    62530.71000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  62700000.00000000
                  USD
                
              
            
            1.00000000
            1.80000000
            USD
            2022-11-16
            XXXX
            -141244.29000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        
        000000000
        
          
        
        420000.00000000
        PA
        USD
        371175.00000000
        0.021499804201
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        
        00206RHA3
        
          
        
        450000.00000000
        PA
        USD
        513279.00000000
        0.029730984039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-11-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KMQE8
        
          
        
        9645113.30000000
        PA
        USD
        9232512.71000000
        0.534780670991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        
        92538GAA0
        
          
        
        498564.91000000
        PA
        USD
        470614.21000000
        0.027259684433
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-11-25
          Variable
          1.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        
        000000000
        
          
        
        -8.00000000
        NC
        
        5651.79000000
        0.000327372205
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 5 Year Euro BOBL Future
                OEM2 COMDTY
              
            
            2022-06-08
            -1036548.96000000
            EUR
            5651.79000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        
        097023CA1
        
          
        
        1575000.00000000
        PA
        USD
        1523072.25000000
        0.088221876904
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        
        74365PAE8
        
          
        
        210000.00000000
        PA
        USD
        152118.75000000
        0.008811270533
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2051-02-08
          Fixed
          3.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        -5830000.00000000
        NC
        USD
        -66455.00000000
        -0.00384931498
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    N/A
                    
                      
                    
                    5830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -66455.00000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5830000.00000000
                  USD
                
              
            
            1.00000000
            2.16500000
            USD
            2022-04-25
            XXXX
            2047.50000000
          
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        
        41161PYW7
        
          
        
        81701.36000000
        PA
        USD
        78908.62000000
        0.004570673886
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-19
          Floating
          0.92900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        
        225401AU2
        
          
        
        1545000.00000000
        PA
        USD
        1390098.30000000
        0.080519542725
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2032-05-14
          Fixed
          3.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        
        91087BAK6
        
          
        
        200000.00000000
        PA
        USD
        212000.00000000
        0.012279810037
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2032-04-27
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138EPK94
        
          
        
        1771378.93000000
        PA
        USD
        1894515.80000000
        0.109737236498
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        
        45254NKQ9
        
          
        
        71889.74000000
        PA
        USD
        70153.09000000
        0.004063521786
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.17700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q8G58
        
          
        
        1149002.87000000
        PA
        USD
        1187455.40000000
        0.068781729907
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        2950000.00000000
        OU
        Notional Amount
        USD
        46426.81000000
        0.002689209469
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                PRUDENTIAL FINANCIAL INC
                PRUDENTIAL FINANCIAL INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            22108.58000000
            USD
            0.00000000
            USD
            2950000.00000000
            USD
            24318.23000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -6960000.00000000
        NC
        USD
        -28620.22000000
        -0.00165778709
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    6960000.00000000
                    OU
                    Notional Amount
                    N/A
                    -28620.22000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6960000.00000000
                  USD
                
              
            
            1.00000000
            1.59400000
            USD
            2022-07-12
            XXXX
            108014.40000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128M5R36
        
          
        
        119876.61000000
        PA
        USD
        129255.07000000
        0.007486923141
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        
        00287YCA5
        
          
        
        3250000.00000000
        PA
        USD
        3352602.50000000
        0.194194914302
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-11-21
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENT URUGUAY
        549300RDR012H2V82H43
        
        917288BK7
        
          
        
        280000.00000000
        PA
        USD
        304640.00000000
        0.017645855329
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2031-01-23
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        
        494550BM7
        
          
        
        4500000.00000000
        PA
        USD
        4531050.00000000
        0.262454873923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        
        37045VAG5
        
          
        
        550000.00000000
        PA
        USD
        555907.00000000
        0.032200152635
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128K6NY2
        
          
        
        1227.58000000
        PA
        USD
        1313.03000000
        0.000076055466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        
        867224AC1
        
          
        
        775000.00000000
        PA
        USD
        776720.50000000
        0.044990472605
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CELLNEX FINANCE CO SA
        549300OUROMFTRFA7T23
        
        000000000
        
          
        
        1900000.00000000
        PA
        
        1836681.03000000
        0.106387236549
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-01-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        18340000.00000000
        OU
        Notional Amount
        
        113287.60000000
        0.006562029281
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            89075.38000000
            EUR
            0.00000000
            EUR
            18340000.00000000
            EUR
            14694.44000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132L5TH6
        
          
        
        25512.92000000
        PA
        USD
        26612.74000000
        0.001541506565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WMWQ0
        
          
        
        176428.02000000
        PA
        USD
        177236.57000000
        0.010266185902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        
        92936UAC3
        
          
        
        445000.00000000
        PA
        USD
        454781.10000000
        0.026342573192
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179MAY6
        
          
        
        2761.32000000
        PA
        USD
        2856.50000000
        0.000165458855
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        
        98138HAJ0
        
          
        
        675000.00000000
        PA
        USD
        674406.00000000
        0.039064045133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        
        61761JVL0
        
          
        
        3300000.00000000
        PA
        USD
        3358872.00000000
        0.194558066515
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTSMAN INTERNATIONAL L
        3YTEJFW18LGIUQ2N5J61
        
        44701QBF8
        
          
        
        950000.00000000
        PA
        USD
        876375.00000000
        0.050762823216
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        
        21036PBB3
        
          
        
        1375000.00000000
        PA
        USD
        1422602.50000000
        0.082402304053
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAIDU INC
        254900AL64IANZYI1E02
        
        056752AR9
        
          
        
        450000.00000000
        PA
        USD
        431658.00000000
        0.025003199251
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-04-07
          Fixed
          3.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31410FXS9
        
          
        
        616619.95000000
        PA
        USD
        639892.17000000
        0.037064878737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Floating
          1.80300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131Y7RG4
        
          
        
        198651.30000000
        PA
        USD
        206300.36000000
        0.011949666186
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        7840000.00000000
        OU
        Notional Amount
        
        257939.54000000
        0.014940795058
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-12-18
            106887.72000000
            CAD
            0.00000000
            CAD
            7840000.00000000
            CAD
            173619.96000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        
        46647PAP1
        
          
        
        640000.00000000
        PA
        USD
        646502.40000000
        0.037447767268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRYKER CORP
        5493002F0SC4JTBU5137
        
        863667AY7
        
          
        
        2825000.00000000
        PA
        USD
        2534335.75000000
        0.146797931990
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        
        404280BR9
        
          
        
        850000.00000000
        PA
        USD
        850620.50000000
        0.049271029029
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-18
          Floating
          1.48800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -62600000.00000000
        NC
        USD
        -24808.38000000
        -0.00143699147
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    
                    N/A
                    
                      
                    
                    62600000.00000000
                    OU
                    Notional Amount
                    N/A
                    -24808.38000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  62600000.00000000
                  USD
                
              
            
            1.00000000
            1.34750000
            USD
            2022-11-22
            XXXX
            50408.07000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        204900000.00000000
        OU
        Notional Amount
        
        -345506.16000000
        -0.02001297175
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            SEK
            -2638744.77000000
            SEK
            204900000.00000000
            SEK
            178011.42000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        
        09659W2L7
        
          
        
        1325000.00000000
        PA
        USD
        1259054.75000000
        0.072929024326
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.21900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        
        3133XV5J6
        
          
        
        2400000.00000000
        PA
        USD
        2766000.00000000
        0.160216766813
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-09-28
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        
        225401AF5
        
          
        
        1675000.00000000
        PA
        USD
        1638769.75000000
        0.094923496347
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2029-01-12
          Fixed
          3.86900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        
        29278GAN8
        
          
        
        4125000.00000000
        PA
        USD
        3710850.00000000
        0.214945910748
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-07-12
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        
        25179MAV5
        
          
        
        514000.00000000
        PA
        USD
        556662.00000000
        0.032243884977
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31416NFG2
        
          
        
        4785.81000000
        PA
        USD
        5034.68000000
        0.000291626952
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F040644
        
          
        
        -8000000.00000000
        PA
        USD
        -8164379.20000000
        -0.47291049836
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WWKV0
        
          
        
        27590.45000000
        PA
        USD
        27716.89000000
        0.001605462943
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        
        05369AAK7
        
          
        
        1600000.00000000
        PA
        USD
        1472176.00000000
        0.085273781236
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Corp
        I1BZKREC126H0VB1BL91
        
        26441CAX3
        
          
        
        2100000.00000000
        PA
        USD
        2078874.00000000
        0.120415933077
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754RAB2
        
          
        
        978000.00000000
        PA
        USD
        948792.42000000
        0.054957503221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          1.64900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE REALTY LP
        2549009GZDBNY1KE9O81
        
        26441YBE6
        
          
        
        1075000.00000000
        PA
        USD
        937281.75000000
        0.054290763405
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UMM1
        
          
        
        863165.33000000
        PA
        USD
        896746.00000000
        0.051942785529
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -18900000.00000000
        NC
        USD
        -321844.32000000
        -0.01864239203
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    18900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -321844.32000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  18900000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            -261364.32000000
          
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        
        05526DAZ8
        
          
        
        1685000.00000000
        PA
        USD
        1684460.80000000
        0.097570087925
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-15
          Fixed
          3.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        
        110122DU9
        
          
        
        1200000.00000000
        PA
        USD
        1176072.00000000
        0.068122362031
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        38780000.00000000
        OU
        Notional Amount
        USD
        10734.30000000
        0.000621769645
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            13033.32000000
            USD
            0.00000000
            USD
            38780000.00000000
            USD
            -2299.02000000
          
        
        
          N
          N
          N
        
      
      
        Louisiana State Transportation Authority
        N/A
        
        54651TBF1
        
          
        
        60000.00000000
        PA
        USD
        55100.00000000
        0.003191592137
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-02-15
          Fixed
          1.99700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        635400C9RW3TYNTIJP57
        
        00432CBN0
        
          
        
        680059.19000000
        PA
        USD
        659348.60000000
        0.038191865833
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-09-26
          Floating
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31371JY81
        
          
        
        13148.24000000
        PA
        USD
        13853.88000000
        0.000802467050
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-03-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        23970000.00000000
        NC
        
        6735.32000000
        0.000390134198
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    N/A
                    
                      
                    
                    23970000.00000000
                    OU
                    Notional Amount
                    N/A
                    6735.32000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  23970000.00000000
                  GBP
                
              
            
            1.00000000
            0.54400000
            GBP
            2022-11-16
            XXXX
            -49713.64000000
          
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        
        36164QNA2
        
          
        
        800000.00000000
        PA
        USD
        862592.00000000
        0.049964461793
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.41800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        
        00774MAK1
        
          
        
        900000.00000000
        PA
        USD
        911727.00000000
        0.052810539463
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WLA60
        
          
        
        1104755.64000000
        PA
        USD
        1168088.19000000
        0.067659910757
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        
        928563AL9
        
          
        
        2075000.00000000
        PA
        USD
        1825045.50000000
        0.105713264388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        
        780097BJ9
        
          
        
        2100000.00000000
        PA
        USD
        2132739.00000000
        0.123535989529
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.51900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        
        94974BGL8
        
          
        
        4150000.00000000
        PA
        USD
        4312099.00000000
        0.249772436717
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        
        337932AP2
        
          
        
        1125000.00000000
        PA
        USD
        995320.13000000
        0.057652557184
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        
        694308JF5
        
          
        
        850000.00000000
        PA
        USD
        764201.00000000
        0.044265297691
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STERIS PLC
        549300BRDKZ1HFI2J358
        
        85917PAA5
        
          
        
        2175000.00000000
        PA
        USD
        1997585.25000000
        0.115707393416
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2031-03-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA HOLDINGS INC
        549300B3CEAHYG7K8164
        
        65535HAX7
        
          
        
        950000.00000000
        PA
        USD
        853195.00000000
        0.049420153420
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2031-07-14
          Fixed
          2.60800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIA Group Ltd
        ZP5ILWVSYE4LJGMMVD57
        
        00131LAF2
        
          
        
        875000.00000000
        PA
        USD
        896035.00000000
        0.051901601826
        Long
        DBT
        CORP
        HK
        N
        
        2
        
          2028-04-06
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140GULV7
        
          
        
        551088.75000000
        PA
        USD
        582336.69000000
        0.033731056279
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        
        42824CBE8
        
          
        
        2400000.00000000
        PA
        USD
        2397384.00000000
        0.138865189186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        
        87264ACA1
        
          
        
        3600000.00000000
        PA
        USD
        3298392.00000000
        0.191054845236
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASCO CORP
        5GCSNMQXHEYA1JO8QN11
        
        574599BS4
        
          
        
        1300000.00000000
        PA
        USD
        1147354.00000000
        0.066458911160
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RELIANCE INDUSTRIES LTD
        5493003UOETFYRONLG31
        
        759470BD8
        
          
        
        400000.00000000
        PA
        USD
        353906.00000000
        0.020499520996
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2052-01-12
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        91282CBQ3
        
          
        
        20000.00000000
        PA
        USD
        18490.63000000
        0.001071044452
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-02-28
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        
        035240AG5
        
          
        
        400000.00000000
        PA
        USD
        442660.00000000
        0.025640475053
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2042-01-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NETFLIX INC
        549300Y7VHGU0I7CE873
        
        64110LAV8
        
          
        
        3575000.00000000
        PA
        USD
        3811879.50000000
        0.220797906353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        
        21036PAY4
        
          
        
        1075000.00000000
        PA
        USD
        1071861.00000000
        0.062086082391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        
        05964HAB1
        
          
        
        400000.00000000
        PA
        USD
        404576.00000000
        0.023434511442
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-04-11
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31416MVP6
        
          
        
        9410.34000000
        PA
        USD
        9936.26000000
        0.000575544270
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RELIANCE INDUSTRIES LTD
        5493003UOETFYRONLG31
        
        759470BC0
        
          
        
        250000.00000000
        PA
        USD
        224260.00000000
        0.012989953769
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2062-01-12
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arch Capital Finance LLC
        549300XG4URFY0200M65
        
        03939CAA1
        
          
        
        1200000.00000000
        PA
        USD
        1234344.00000000
        0.071497687930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.01100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAXTER INTERNATIONAL INC
        J5OIVXX3P24RJRW5CK77
        
        071813CM9
        
          
        
        2050000.00000000
        PA
        USD
        1899202.00000000
        0.110008678223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-01
          Fixed
          2.27200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        
        337738AR9
        
          
        
        1075000.00000000
        PA
        USD
        1107938.00000000
        0.064175793271
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        
        91087BAP5
        
          
        
        600000.00000000
        PA
        USD
        477000.00000000
        0.027629572585
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2071-04-19
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W4AP6
        
          
        
        37268.19000000
        PA
        USD
        37438.99000000
        0.002168602288
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        
        46513EFG2
        
          
        
        4700000.00000000
        PA
        USD
        5922846.00000000
        0.343072753599
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2033-09-18
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATURE CONSERVANCY (THE)
        549300GJ1IZME7V1JJ28
        
        63902HAJ8
        
          
        
        60000.00000000
        PA
        USD
        54654.17000000
        0.003165768044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          0.94400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PANAMA
        549300SHS4T08CL0LP14
        
        698299BS2
        
          
        
        210000.00000000
        PA
        USD
        202230.00000000
        0.011713896150
        Long
        DBT
        NUSS
        PA
        N
        
        2
        
          2063-01-19
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        28060000.00000000
        NC
        
        2860.42000000
        0.000165685916
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    28060000.00000000
                    OU
                    Notional Amount
                    N/A
                    2860.42000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  28060000.00000000
                  GBP
                
              
            
            1.00000000
            0.30000000
            GBP
            2022-09-08
            XXXX
            -51752.77000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MQHG1
        
          
        
        36200.42000000
        PA
        USD
        36343.70000000
        0.002105159113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        
        05401AAH4
        
          
        
        2125000.00000000
        PA
        USD
        2041147.50000000
        0.118230677165
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST-CITIZENS BANK/TRST
        L9VVX1KT5TFTKS0MLF66
        
        12556LBJ4
        
          
        
        1500000.00000000
        PA
        USD
        1486500.00000000
        0.086103479345
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-27
          Fixed
          2.96900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        
        20030NCA7
        
          
        
        1550000.00000000
        PA
        USD
        1546683.00000000
        0.089589497305
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Statewide Communities Development Authority
        549300KTNI2GCJNX2U48
        
        13080SZS6
        
          
        
        525000.00000000
        PA
        USD
        469703.43000000
        0.027206928747
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-02-01
          Fixed
          1.87700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138NXMW4
        
          
        
        10100.72000000
        PA
        USD
        10147.01000000
        0.000587751675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WVH46
        
          
        
        26468.22000000
        PA
        USD
        26589.52000000
        0.001540161578
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31416BY51
        
          
        
        944.89000000
        PA
        USD
        958.89000000
        0.000055542391
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UDR INC
        P3CH2EG5X6Z1XWU1OO74
        
        90265EAT7
        
          
        
        475000.00000000
        PA
        USD
        410837.00000000
        0.023797171304
        Long
        DBT
        
        US
        N
        
        2
        
          2032-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADVENT HEALTH SYSTEM
        5493008YM33UCY5QPW83
        
        007944AF8
        
          
        
        540000.00000000
        PA
        USD
        525550.89000000
        0.030441816482
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          2.95200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        40000.00000000
        OU
        Notional Amount
        USD
        -2328.24000000
        -0.00013486011
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            USD
            -106.90000000
            USD
            40000.00000000
            USD
            -2221.34000000
          
        
        
          N
          N
          N
        
      
      
        Bacardi Ltd
        549300R32WTQNHNN5055
        
        067316AH2
        
          
        
        1500000.00000000
        PA
        USD
        1686840.00000000
        0.097707899830
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2048-05-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        
        00774MAX3
        
          
        
        700000.00000000
        PA
        USD
        632730.00000000
        0.036650019835
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2032-01-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        
        378272AH1
        
          
        
        1181000.00000000
        PA
        USD
        1210099.84000000
        0.070093378122
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-29
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        
        097023BZ7
        
          
        
        100000.00000000
        PA
        USD
        85460.00000000
        0.004950153612
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        
        000000000
        
          
        
        466878.95000000
        PA
        
        613514.68000000
        0.035536998706
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.95200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417GFQ4
        
          
        
        220856.90000000
        PA
        USD
        221869.07000000
        0.012851462419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        91282CCH2
        
          
        
        34040000.00000000
        PA
        USD
        31665178.30000000
        1.834162143097
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-06-30
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVITATION HOMES OP
        549300147YMUQB3GW319
        
        46188BAA0
        
          
        
        4520000.00000000
        PA
        USD
        3865865.60000000
        0.223924977356
        Long
        DBT
        
        US
        N
        
        2
        
          2031-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        -4320000.00000000
        NC
        
        -44778.74000000
        -0.00259374726
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    N/A
                    
                      
                    
                    4320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -44778.74000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-05
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4320000.00000000
                  EUR
                
              
            
            1.00000000
            1.22600000
            EUR
            2022-05-03
            XXXX
            3520.10000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        
        000000000
        
          
        
        690000.00000000
        PA
        USD
        608062.50000000
        0.035221188637
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        
        24703TAC0
        
          
        
        875000.00000000
        PA
        USD
        935751.25000000
        0.054202111285
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        
        00206RHK1
        
          
        
        3105000.00000000
        PA
        USD
        3380848.20000000
        0.195831007842
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        
        91087BAR1
        
          
        
        1746000.00000000
        PA
        USD
        1623780.00000000
        0.094055235580
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2034-02-12
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        
        824348AW6
        
          
        
        1900000.00000000
        PA
        USD
        1906859.00000000
        0.110452199475
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        
        48128BAG6
        
          
        
        2350000.00000000
        PA
        USD
        2264930.00000000
        0.131192972400
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        
        05565AHN6
        
          
        
        650000.00000000
        PA
        USD
        669773.00000000
        0.038795684945
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-03-25
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        
        824348AV8
        
          
        
        325000.00000000
        PA
        USD
        327050.75000000
        0.018943967371
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UQ47
        
          
        
        10979.47000000
        PA
        USD
        11115.29000000
        0.000643837970
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138M6P76
        
          
        
        20499.39000000
        PA
        USD
        20580.52000000
        0.001192098472
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        
        871829BH9
        
          
        
        125000.00000000
        PA
        USD
        129636.25000000
        0.007509002471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        
        74365PAA6
        
          
        
        420000.00000000
        PA
        USD
        370125.00000000
        0.021438984387
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        
        24703TAA4
        
          
        
        433000.00000000
        PA
        USD
        446059.28000000
        0.025837373698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        
        61746BDQ6
        
          
        
        525000.00000000
        PA
        USD
        535673.25000000
        0.031028140341
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-29
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        
        68389XCE3
        
          
        
        3175000.00000000
        PA
        USD
        2897378.00000000
        0.167826657772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-25
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYLOR SCOTT & WHITE HOL
        549300JQDKSBWYRGGV95
        
        072863AH6
        
          
        
        1140000.00000000
        PA
        USD
        1007793.90000000
        0.058375083251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          1.77700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        
        000000000
        
          
        
        580000.00000000
        PA
        USD
        507500.00000000
        0.029396243368
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2051-02-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        7880000.00000000
        OU
        Notional Amount
        
        -344186.24000000
        -0.01993651719
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            GBP
            -253225.82000000
            GBP
            7880000.00000000
            GBP
            159845.96000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        49870000.00000000
        OU
        Notional Amount
        
        -263702.00000000
        -0.01527457767
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            310919.38000000
            SEK
            0.00000000
            SEK
            49870000.00000000
            SEK
            -297855.99000000
          
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        
        928563AK1
        
          
        
        700000.00000000
        PA
        USD
        623840.00000000
        0.036135078745
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        
        548661ED5
        
          
        
        1900000.00000000
        PA
        USD
        1721628.00000000
        0.099722947149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MRXV8
        
          
        
        42378.20000000
        PA
        USD
        42545.93000000
        0.002464414803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31402DDE7
        
          
        
        256509.39000000
        PA
        USD
        267619.15000000
        0.015501473228
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Floating
          1.91700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        16450000.00000000
        OU
        Notional Amount
        
        -1068832.54000000
        -0.06191066298
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            CHF
            -472352.63000000
            CHF
            16450000.00000000
            CHF
            -561251.47000000
          
        
        
          N
          N
          N
        
      
      
        SUTTER HEALTH
        549300MJCC12LU768G81
        
        86944BAG8
        
          
        
        605000.00000000
        PA
        USD
        546659.85000000
        0.031664524119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.29400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        
        26078JAB6
        
          
        
        925000.00000000
        PA
        USD
        946487.75000000
        0.054824008363
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISOURCE INC
        549300D8GOWWH0SJB189
        
        65473PAJ4
        
          
        
        325000.00000000
        PA
        USD
        322500.75000000
        0.018680414844
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        
        -37117.07000000
        -0.00214995551
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            1040021.49000000
            USD
            763483.83000000
            GBP
            2022-04-05
            -37117.07000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137B4PT7
        
          
        
        113574.93000000
        PA
        USD
        124941.45000000
        0.007237062603
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35566AAH2
        
          
        
        599282.18000000
        PA
        USD
        601467.16000000
        0.034839162588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          2.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31402RD71
        
          
        
        336547.20000000
        PA
        USD
        350597.10000000
        0.020307857489
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Floating
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        
        03522AAH3
        
          
        
        850000.00000000
        PA
        USD
        923831.00000000
        0.053511647108
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kilroy Realty LP
        5493008CT3N3JR7P1552
        
        49427RAN2
        
          
        
        1025000.00000000
        PA
        USD
        1080083.50000000
        0.062562359457
        Long
        DBT
        
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        
        161175AY0
        
          
        
        8750000.00000000
        PA
        USD
        9060362.50000000
        0.524809105535
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912828X70
        
          
        
        2630000.00000000
        PA
        USD
        2609864.06000000
        0.151172806043
        Long
        DBT
        UST
        US
        N
        
        1
        
          2024-04-30
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        
        024836AA6
        
          
        
        2575000.00000000
        PA
        USD
        2595883.25000000
        0.150362986746
        Long
        DBT
        
        US
        N
        
        2
        
          2023-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSH OBLIGATED GROUP
        N/A
        
        78200JAA0
        
          
        
        1320000.00000000
        PA
        USD
        1348059.20000000
        0.078084485357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          3.92200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        635400C39IXGGYE6DH05
        
        03765YAU8
        
          
        
        4000000.00000000
        PA
        USD
        3974900.00000000
        0.230240645845
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.46100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        
        88032XBA1
        
          
        
        1140000.00000000
        PA
        USD
        1045995.60000000
        0.060587864473
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-04-22
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WN5M7
        
          
        
        149141.00000000
        PA
        USD
        149824.50000000
        0.008678379240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        
        785592AS5
        
          
        
        1025000.00000000
        PA
        USD
        1084880.50000000
        0.062840219121
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        
        718546AZ7
        
          
        
        725000.00000000
        PA
        USD
        677860.50000000
        0.039264142321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        
        62954HAH1
        
          
        
        2250000.00000000
        PA
        USD
        2029567.50000000
        0.117559921504
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2032-02-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        3875000.00000000
        OU
        Notional Amount
        USD
        40777.40000000
        0.002361975121
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-06-20
            44572.72000000
            USD
            0.00000000
            USD
            3875000.00000000
            USD
            -3795.32000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46653PAC1
        
          
        
        2731322.10000000
        PA
        USD
        2518897.89000000
        0.145903715065
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        21220000.00000000
        OU
        Notional Amount
        
        -68267.58000000
        -0.00395430619
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-22
            0.00000000
            CAD
            -22878.61000000
            CAD
            21220000.00000000
            CAD
            -50065.32000000
          
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        
        3133834G3
        
          
        
        6800000.00000000
        PA
        USD
        6813532.00000000
        0.394664521916
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-06-09
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCHER-DANIELS-MIDLAND C
        549300LO13MQ9HYSTR83
        
        039482AD6
        
          
        
        1550000.00000000
        PA
        USD
        1516783.50000000
        0.087857609662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        
        126650DE7
        
          
        
        650000.00000000
        PA
        USD
        647972.00000000
        0.037532891838
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        
        59284MAC8
        
          
        
        440000.00000000
        PA
        USD
        417450.00000000
        0.024180220284
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WQQ39
        
          
        
        22643.41000000
        PA
        USD
        22747.18000000
        0.001317599289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        
        023135AP1
        
          
        
        1300000.00000000
        PA
        USD
        1496170.00000000
        0.086663600869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-12-05
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mars Inc
        54930073HKEO6GZBSS03
        
        571676AB1
        
          
        
        925000.00000000
        PA
        USD
        919551.75000000
        0.053263777405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KTB5
        
          
        
        780000.00000000
        PA
        USD
        798321.65000000
        0.046241689674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        
        03522AAJ9
        
          
        
        6675000.00000000
        PA
        USD
        7416459.00000000
        0.429588243740
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418PC86
        
          
        
        271352.16000000
        PA
        USD
        287970.32000000
        0.016680286915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Oakland
        N/A
        
        735000TT8
        
          
        
        385000.00000000
        PA
        USD
        342724.46000000
        0.019851845585
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-05-01
          Fixed
          2.19900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        1050000.00000000
        OU
        Notional Amount
        USD
        54500.98000000
        0.003156894722
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-03-16
            0.00000000
            USD
            -97278.30000000
            USD
            1050000.00000000
            USD
            151779.28000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31298EPA7
        
          
        
        8479.93000000
        PA
        USD
        9507.67000000
        0.000550718780
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-12-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        
        3133ENSY7
        
          
        
        7050000.00000000
        PA
        USD
        7035477.00000000
        0.407520382477
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2034-03-28
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        26330000.00000000
        NC
        
        7014.52000000
        0.000406306476
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    26330000.00000000
                    OU
                    Notional Amount
                    N/A
                    7014.52000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  26330000.00000000
                  GBP
                
              
            
            1.00000000
            0.51600000
            GBP
            2022-11-15
            XXXX
            -54814.56000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31329PZC0
        
          
        
        1398642.90000000
        PA
        USD
        1454019.09000000
        0.084222067059
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132DVLL7
        
          
        
        9761358.58000000
        PA
        USD
        9626118.86000000
        0.557579768877
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        06051GHX0
        
          
        
        1325000.00000000
        PA
        USD
        1255556.75000000
        0.072726407460
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-22
          Fixed
          2.88400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        
        22550L2C4
        
          
        
        1175000.00000000
        PA
        USD
        1162733.00000000
        0.067349718701
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        
        13063A5E0
        
          
        
        950000.00000000
        PA
        USD
        1309288.96000000
        0.075838772232
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-04-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179U4B5
        
          
        
        20215621.62000000
        PA
        USD
        20059813.76000000
        1.161937275312
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        
        161175BJ2
        
          
        
        6675000.00000000
        PA
        USD
        6614925.00000000
        0.383160483085
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        
        606822BK9
        
          
        
        1700000.00000000
        PA
        USD
        1677628.00000000
        0.097174307330
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2039-07-18
          Fixed
          3.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        
        15135BAZ4
        
          
        
        2100000.00000000
        PA
        USD
        1869693.00000000
        0.108299409759
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-01
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        
        913017CY3
        
          
        
        775000.00000000
        PA
        USD
        810223.75000000
        0.046931102538
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-16
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WMKE0
        
          
        
        47993.85000000
        PA
        USD
        48213.80000000
        0.002792718420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        
        92936UAG4
        
          
        
        725000.00000000
        PA
        USD
        653449.75000000
        0.037850183015
        Long
        DBT
        
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        
        337932AL1
        
          
        
        2175000.00000000
        PA
        USD
        1970813.18000000
        0.114156657879
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W0YR4
        
          
        
        10629.98000000
        PA
        USD
        10678.70000000
        0.000618549091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179RQ36
        
          
        
        30077.75000000
        PA
        USD
        31184.56000000
        0.001806322985
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        -5830000.00000000
        NC
        USD
        -223532.69000000
        -0.01294782533
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    N/A
                    
                      
                    
                    5830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -223532.69000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5830000.00000000
                  USD
                
              
            
            1.00000000
            1.69000000
            USD
            2022-04-04
            XXXX
            -153485.24000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        
        09659W2D5
        
          
        
        900000.00000000
        PA
        USD
        897246.00000000
        0.051971747345
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -5830000.00000000
        NC
        USD
        -24843.96000000
        -0.00143905240
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    
                    N/A
                    
                      
                    
                    5830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -24843.96000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5830000.00000000
                  USD
                
              
            
            1.00000000
            2.01000000
            USD
            2022-04-19
            XXXX
            32144.29000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36295WVH7
        
          
        
        36989.54000000
        PA
        USD
        38719.72000000
        0.002242786822
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON AND CO
        ICE2EP6D98PQUILVRZ91
        
        075887CJ6
        
          
        
        1225000.00000000
        PA
        USD
        1165122.00000000
        0.067488098258
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-20
          Fixed
          2.82300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        
        000000000
        
          
        
        1.00000000
        NC
        
        -7147.46000000
        -0.00041400684
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            1951248.69000000
            USD
            1479991.33000000
            GBP
            2022-04-05
            -7147.46000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        
        172967KA8
        
          
        
        2450000.00000000
        PA
        USD
        2525803.00000000
        0.146303684117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-29
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KH3R5
        
          
        
        770096.69000000
        PA
        USD
        801256.55000000
        0.046411689743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWCREST FINANCE PTY LTD
        549300I0XDZ4K7PDSS04
        
        65120FAD6
        
          
        
        525000.00000000
        PA
        USD
        502750.50000000
        0.029121135077
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-05-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417GAX4
        
          
        
        445290.62000000
        PA
        USD
        447331.34000000
        0.025911056033
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179VFQ8
        
          
        
        2365174.01000000
        PA
        USD
        2389921.51000000
        0.138432934660
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        
        455780BT2
        
          
        
        420000.00000000
        PA
        USD
        433597.50000000
        0.025115542136
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-01-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        1950000.00000000
        OU
        Notional Amount
        USD
        -44141.37000000
        -0.00255682848
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                NORDSTROM INC
                NORDSTROM INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            USD
            -34548.36000000
            USD
            1950000.00000000
            USD
            -9593.01000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        06051GKA6
        
          
        
        2695000.00000000
        PA
        USD
        2398415.25000000
        0.138924922932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-07-21
          Fixed
          2.29900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIS NORTH AMERICA INC
        5493004KVU1HWZCP0C66
        
        970648AJ0
        
          
        
        700000.00000000
        PA
        USD
        658266.00000000
        0.038129157709
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIVERSITY OF CHICAGO
        54930099Y7GU6182V326
        
        91412NAF7
        
          
        
        320000.00000000
        PA
        USD
        356333.49000000
        0.020640130034
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          5.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        
        256746AG3
        
          
        
        975000.00000000
        PA
        USD
        998702.25000000
        0.057848461859
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        
        56585ABD3
        
          
        
        375000.00000000
        PA
        USD
        377621.25000000
        0.021873194416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        62600000.00000000
        NC
        USD
        69392.10000000
        0.004019442481
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    
                    N/A
                    
                      
                    
                    62600000.00000000
                    OU
                    Notional Amount
                    N/A
                    69392.10000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  62600000.00000000
                  USD
                
              
            
            1.00000000
            1.85000000
            USD
            2022-11-22
            XXXX
            -142983.77000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        8460000.00000000
        OU
        Notional Amount
        USD
        29221.69000000
        0.001692626425
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-14
            16736.84000000
            USD
            0.00000000
            USD
            8460000.00000000
            USD
            12484.85000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        12910000.00000000
        OU
        Notional Amount
        USD
        61392.21000000
        0.003556059795
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-24
            34948.53000000
            USD
            0.00000000
            USD
            12910000.00000000
            USD
            26443.68000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        
        718546AU8
        
          
        
        1325000.00000000
        PA
        USD
        1342821.25000000
        0.077781084267
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        312943UP6
        
          
        
        1588.52000000
        PA
        USD
        1687.87000000
        0.000097767561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        
        097023BS3
        
          
        
        275000.00000000
        PA
        USD
        227493.75000000
        0.013177264315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-06-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        
        30212PBH7
        
          
        
        1225000.00000000
        PA
        USD
        1136665.25000000
        0.065839779936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        
        59284MAB0
        
          
        
        200000.00000000
        PA
        USD
        175500.00000000
        0.010165597460
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2046-10-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        
        025816BK4
        
          
        
        700000.00000000
        PA
        USD
        713321.00000000
        0.041318143282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        06051GJF7
        
          
        
        3725000.00000000
        PA
        USD
        3253117.00000000
        0.188432352786
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-07-23
          Fixed
          1.89800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        91282CBS9
        
          
        
        10230000.00000000
        PA
        USD
        9541073.44000000
        0.552653629244
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-03-31
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Louisiana State Transportation Authority
        N/A
        
        54651TBB0
        
          
        
        50000.00000000
        PA
        USD
        46715.54000000
        0.002705933759
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.13800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        430000.00000000
        OU
        Notional Amount
        USD
        6481.22000000
        0.000375415803
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            495.42000000
            USD
            0.00000000
            USD
            430000.00000000
            USD
            5985.80000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        
        694308JH1
        
          
        
        500000.00000000
        PA
        USD
        409975.00000000
        0.023747241133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140HEAL6
        
          
        
        382877.56000000
        PA
        USD
        397096.83000000
        0.023001290750
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        
        73358W4V3
        
          
        
        3320000.00000000
        PA
        USD
        3280495.32000000
        0.190018204525
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          1.08600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        
        780097BD2
        
          
        
        1336000.00000000
        PA
        USD
        1349253.12000000
        0.078153641540
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        
        172967KJ9
        
          
        
        2500000.00000000
        PA
        USD
        2594675.00000000
        0.150293000517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-09
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        
        55336VAT7
        
          
        
        645000.00000000
        PA
        USD
        716304.75000000
        0.041490972920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST BANK
        JJKC32MCHWDI71265Z06
        
        89788KAA4
        
          
        
        1250000.00000000
        PA
        USD
        1143537.50000000
        0.066237845618
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-11
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31415RBP8
        
          
        
        714.21000000
        PA
        USD
        757.06000000
        0.000043851665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        
        46513EGV8
        
          
        
        1200000.00000000
        PA
        USD
        1261656.00000000
        0.073079698174
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2023-12-04
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MR5R8
        
          
        
        15487.93000000
        PA
        USD
        15558.91000000
        0.000901228581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        
        46647PBA3
        
          
        
        2275000.00000000
        PA
        USD
        2324708.75000000
        0.134655574732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-29
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        23650000.00000000
        NC
        
        4200.37000000
        0.000243300687
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    23650000.00000000
                    OU
                    Notional Amount
                    N/A
                    4200.37000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  23650000.00000000
                  GBP
                
              
            
            1.00000000
            0.45900000
            GBP
            2022-10-10
            XXXX
            -47498.77000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36202FY67
        
          
        
        5146.99000000
        PA
        USD
        5322.53000000
        0.000308300270
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        
        20030NDK4
        
          
        
        1775000.00000000
        PA
        USD
        1798359.00000000
        0.104167485376
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        
        05583JAJ1
        
          
        
        1650000.00000000
        PA
        USD
        1449805.50000000
        0.083978000621
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-01-20
          Fixed
          2.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        1.00000000
        NC
        
        -5877.02000000
        -0.00034041834
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            677048.37000000
            CHF
            727435.66000000
            USD
            2022-04-25
            -5877.02000000
          
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        
        25746UDB2
        
          
        
        1650000.00000000
        PA
        USD
        1646040.00000000
        0.095344615634
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Variable
          3.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES CORP
        5493003QENHHS261UR94
        
        87612GAA9
        
          
        
        1010000.00000000
        PA
        USD
        1019170.80000000
        0.059034074622
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140XCUR7
        
          
        
        11575993.92000000
        PA
        USD
        11080793.74000000
        0.641839821675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46654VAA1
        
          
        
        3910884.25000000
        PA
        USD
        3607269.79000000
        0.208946168755
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        
        3130A0F70
        
          
        
        750000.00000000
        PA
        USD
        763387.50000000
        0.044218176817
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-12-08
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        
        694308JG3
        
          
        
        1475000.00000000
        PA
        USD
        1269149.00000000
        0.073513719951
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418C7F5
        
          
        
        1373127.87000000
        PA
        USD
        1425777.44000000
        0.082586208110
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132GEV56
        
          
        
        4152.03000000
        PA
        USD
        4512.75000000
        0.000261394871
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        
        92343VES9
        
          
        
        625000.00000000
        PA
        USD
        650356.25000000
        0.037670996258
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-08
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        
        452151LF8
        
          
        
        1170000.00000000
        PA
        USD
        1244186.66000000
        0.072067810548
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVANGRID INC
        549300OX0Q38NLSKPB49
        
        05351WAC7
        
          
        
        925000.00000000
        PA
        USD
        922909.50000000
        0.053458270481
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36202FP67
        
          
        
        3287.72000000
        PA
        USD
        3397.38000000
        0.000196788589
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        
        30212PBJ3
        
          
        
        1025000.00000000
        PA
        USD
        1031775.25000000
        0.059764170149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912834AT5
        
          
        
        94430000.00000000
        PA
        USD
        62098048.09000000
        3.596944501239
        Long
        DBT
        UST
        US
        N
        
        1
        
          2038-08-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        
        36962GXZ2
        
          
        
        950000.00000000
        PA
        USD
        1196886.00000000
        0.069327984513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179VN48
        
          
        
        220350.08000000
        PA
        USD
        221861.59000000
        0.012851029150
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        
        000000000
        
          
        
        900000.00000000
        OU
        Notional Amount
        USD
        -98156.25000000
        -0.00568556652
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -152377.52000000
            USD
            900000.00000000
            USD
            54221.27000000
          
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        
        883556BY7
        
          
        
        300000.00000000
        PA
        USD
        324198.00000000
        0.018778725729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-08-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MHKP7
        
          
        
        14492.55000000
        PA
        USD
        14549.91000000
        0.000842783636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UH62
        
          
        
        2281821.98000000
        PA
        USD
        2377442.64000000
        0.137710113183
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F022642
        
          
        
        35000000.00000000
        PA
        USD
        33397658.00000000
        1.934513660127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        
        30161NAW1
        
          
        
        1125000.00000000
        PA
        USD
        1126372.50000000
        0.065243586470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          3.49700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        33100000.00000000
        OU
        Notional Amount
        USD
        57673.44000000
        0.003340655129
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S28
                2I65BYDN2
              
            
            Y
            
            sell protection
            2022-06-20
            50147.55000000
            USD
            0.00000000
            USD
            33100000.00000000
            USD
            7525.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        14170000.00000000
        NC
        USD
        993.32000000
        0.000057536702
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    14170000.00000000
                    OU
                    Notional Amount
                    N/A
                    993.32000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  14170000.00000000
                  USD
                
              
            
            1.00000000
            1.05250000
            USD
            2022-06-21
            XXXX
            -125438.74000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        15290000.00000000
        OU
        Notional Amount
        
        -1509238.72000000
        -0.08742058860
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            EUR
            -815177.91000000
            EUR
            15290000.00000000
            EUR
            -289106.00000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UEB4
        
          
        
        1268319.78000000
        PA
        USD
        1322063.69000000
        0.076578730995
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179T7L3
        
          
        
        1822558.87000000
        PA
        USD
        1896453.97000000
        0.109849502344
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UKZ4
        
          
        
        3673025.55000000
        PA
        USD
        3826084.20000000
        0.221620694172
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        
        22823RAQ2
        
          
        
        2900000.00000000
        PA
        USD
        2857036.50000000
        0.165489931561
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          2.35400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        
        110122CQ9
        
          
        
        1200000.00000000
        PA
        USD
        1285668.00000000
        0.074470560432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-06-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        -441.00000000
        NC
        USD
        1939385.70000000
        0.112336264084
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            -61632870.08000000
            USD
            1939385.70000000
          
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        
        874060AX4
        
          
        
        2400000.00000000
        PA
        USD
        2162064.00000000
        0.125234600045
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-03-31
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31371NJM8
        
          
        
        15276.36000000
        PA
        USD
        16306.48000000
        0.000944530550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128E2V60
        
          
        
        4926.36000000
        PA
        USD
        4972.09000000
        0.000288001512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        36490000.00000000
        OU
        Notional Amount
        USD
        536432.19000000
        0.031072100902
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-01-12
            113612.74000000
            USD
            0.00000000
            USD
            36490000.00000000
            USD
            422819.45000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -2700000.00000000
        NC
        USD
        -13502.97000000
        -0.00078214106
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    2700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -13502.97000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2700000.00000000
                  USD
                
              
            
            1.00000000
            1.06000000
            USD
            2022-11-14
            XXXX
            126740.93000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        3470000.00000000
        OU
        Notional Amount
        
        126745.32000000
        0.007341549305
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.00000000
            NZD
            -37943.65000000
            NZD
            3470000.00000000
            NZD
            157106.57000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        20380000.00000000
        OU
        Notional Amount
        
        2211679.16000000
        0.128108490327
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            553457.29000000
            GBP
            0.00000000
            GBP
            20380000.00000000
            GBP
            1726566.11000000
          
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        
        126650CZ1
        
          
        
        75000.00000000
        PA
        USD
        84977.25000000
        0.004922190978
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-25
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61767EAU8
        
          
        
        1400000.00000000
        PA
        USD
        1108658.74000000
        0.064217541150
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-11-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        
        20030NBY6
        
          
        
        1173000.00000000
        PA
        USD
        1189539.30000000
        0.068902436964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        -411.00000000
        NC
        USD
        3014811.45000000
        0.174628829744
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            -75607686.45000000
            USD
            3014811.45000000
          
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        
        96950FAQ7
        
          
        
        850000.00000000
        PA
        USD
        861730.00000000
        0.049914531622
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -7470000.00000000
        NC
        USD
        -3377.19000000
        -0.00019561911
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    7470000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3377.19000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7470000.00000000
                  USD
                
              
            
            1.00000000
            1.37800000
            USD
            2022-06-21
            XXXX
            123121.49000000
          
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        
        125523CK4
        
          
        
        3475000.00000000
        PA
        USD
        3137230.00000000
        0.181719756815
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        
        756109BE3
        
          
        
        1675000.00000000
        PA
        USD
        1751983.00000000
        0.101481219006
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UXT4
        
          
        
        26162.68000000
        PA
        USD
        26482.81000000
        0.001533980547
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MP2W4
        
          
        
        14434.41000000
        PA
        USD
        14500.56000000
        0.000839925104
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starbucks Corp
        OQSJ1DU9TAOC51A47K68
        
        855244AQ2
        
          
        
        1850000.00000000
        PA
        USD
        1897119.50000000
        0.109888052259
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        San Jose Financing Authority
        N/A
        
        798153NK4
        
          
        
        195000.00000000
        PA
        USD
        178675.56000000
        0.010349537430
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-06-01
          Fixed
          1.86200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UCA8
        
          
        
        7598.13000000
        PA
        USD
        7701.99000000
        0.000446127236
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        9128285M8
        
          
        
        5560000.00000000
        PA
        USD
        5787612.50000000
        0.335239538077
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-11-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        
        05526DBR5
        
          
        
        2550000.00000000
        PA
        USD
        2292501.00000000
        0.132789984865
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Fixed
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MMKP6
        
          
        
        16138.81000000
        PA
        USD
        16212.77000000
        0.000939102527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F020646
        
          
        
        72000000.00000000
        PA
        USD
        66826123.20000000
        3.870811785179
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        
        05401AAL5
        
          
        
        1050000.00000000
        PA
        USD
        1041096.00000000
        0.060304061844
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F032641
        
          
        
        -16000000.00000000
        PA
        USD
        -16028750.40000000
        -0.92844344365
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        
        87264ABL8
        
          
        
        925000.00000000
        PA
        USD
        781504.75000000
        0.045267593743
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOST HOTELS & RESORTS LP
        FXB7X4WXVA8QPMNOGS12
        
        44107TBA3
        
          
        
        1700000.00000000
        PA
        USD
        1522248.00000000
        0.088174133350
        Long
        DBT
        
        US
        N
        
        2
        
          2031-12-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        170000.00000000
        OU
        Notional Amount
        USD
        3282.89000000
        0.000190156913
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            1955.62000000
            USD
            0.00000000
            USD
            170000.00000000
            USD
            1327.27000000
          
        
        
          N
          N
          N
        
      
      
        EAST OHIO GAS CO/THE
        BC95Y6MXLT75BGO7UM71
        
        27409LAA1
        
          
        
        525000.00000000
        PA
        USD
        494712.75000000
        0.028655559402
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12659FAA3
        
          
        
        684624.14000000
        PA
        USD
        654685.59000000
        0.037921767356
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        
        46647PAU0
        
          
        
        650000.00000000
        PA
        USD
        657501.00000000
        0.038084846130
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANNER HEALTH
        PLD0E0WJKFN8IZJ2WD85
        
        06654DAB3
        
          
        
        3235000.00000000
        PA
        USD
        3004647.43000000
        0.174040092787
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-01
          Fixed
          2.33800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        9128286F2
        
          
        
        960000.00000000
        PA
        USD
        958500.00000000
        0.055519801515
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-02-28
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        
        37940XAA0
        
          
        
        875000.00000000
        PA
        USD
        858681.25000000
        0.049737936948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CFIP CLO LTD
        549300NTT3VNL25G1526
        
        12529QAC3
        
          
        
        12050000.00000000
        PA
        USD
        11896446.85000000
        0.689085412465
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-20
          Floating
          1.33400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179TNR2
        
          
        
        5537304.31000000
        PA
        USD
        5612992.95000000
        0.325124939478
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X5FT5
        
          
        
        421844.14000000
        PA
        USD
        439205.26000000
        0.025440363964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        
        075887BX6
        
          
        
        1250000.00000000
        PA
        USD
        1366750.00000000
        0.079167124382
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-06
          Fixed
          4.66900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RJZ6
        
          
        
        1325000.00000000
        PA
        USD
        1220099.75000000
        0.070672609231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        6390000.00000000
        OU
        Notional Amount
        
        -1557.29000000
        -0.00009020389
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-03-30
            85.62000000
            EUR
            0.00000000
            EUR
            6390000.00000000
            EUR
            61927.86000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -2900000.00000000
        NC
        
        -3793.96000000
        -0.00021975994
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    2900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3793.96000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2900000.00000000
                  GBP
                
              
            
            1.00000000
            0.40100000
            GBP
            2022-09-08
            XXXX
            50901.99000000
          
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        
        629377CK6
        
          
        
        1625000.00000000
        PA
        USD
        1618272.50000000
        0.093736221176
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        29278NAF0
        
          
        
        50000.00000000
        PA
        USD
        52484.50000000
        0.003040092877
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLY FINANCIAL INC
        549300JBN1OSM8YNAI90
        
        02005NBL3
        
          
        
        975000.00000000
        PA
        USD
        952097.25000000
        0.055148930978
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        
        68389XBW4
        
          
        
        1325000.00000000
        PA
        USD
        1148563.00000000
        0.066528940832
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        
        254687FW1
        
          
        
        1800000.00000000
        PA
        USD
        1715688.00000000
        0.099378880774
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-13
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        
        26078JAC4
        
          
        
        975000.00000000
        PA
        USD
        1014458.25000000
        0.058761106609
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        
        92343VDR2
        
          
        
        2175000.00000000
        PA
        USD
        2457597.75000000
        0.142352988298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-03-15
          Fixed
          4.81200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418MUL4
        
          
        
        181461.46000000
        PA
        USD
        191122.52000000
        0.011070510563
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        
        20030NCS8
        
          
        
        1300000.00000000
        PA
        USD
        1342588.00000000
        0.077767573580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F032641
        
          
        
        34000000.00000000
        PA
        USD
        34061094.60000000
        1.972942317769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MFW52
        
          
        
        14347.72000000
        PA
        USD
        14404.51000000
        0.000834361540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        
        303022.71000000
        0.017552176018
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            6233061.07000000
            GBP
            8490706.95000000
            USD
            2022-04-05
            303022.71000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        06051GKK4
        
          
        
        3500000.00000000
        PA
        USD
        3282790.00000000
        0.190151120726
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-04
          Fixed
          2.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVITATION HOMES OP
        549300147YMUQB3GW319
        
        46188BAB8
        
          
        
        1300000.00000000
        PA
        USD
        1181583.00000000
        0.068441579169
        Long
        DBT
        
        US
        N
        
        2
        
          2028-11-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140QADH0
        
          
        
        480031.28000000
        PA
        USD
        499037.06000000
        0.028906039144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        
        000000000
        
          
        
        400000.00000000
        PA
        USD
        395000.00000000
        0.022879834740
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-10-31
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        31410000.00000000
        OU
        Notional Amount
        USD
        1738044.08000000
        0.100673826130
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            868024.23000000
            USD
            0.00000000
            USD
            31410000.00000000
            USD
            870019.85000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        
        05971KAG4
        
          
        
        800000.00000000
        PA
        USD
        703344.00000000
        0.040740239203
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-12-03
          Fixed
          2.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417GL20
        
          
        
        247062.37000000
        PA
        USD
        248194.63000000
        0.014376334475
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        
        05401AAF8
        
          
        
        975000.00000000
        PA
        USD
        970407.75000000
        0.056209541647
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        5525000.00000000
        OU
        Notional Amount
        USD
        -56404.72000000
        -0.00326716625
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                NORDSTROM INC
                NORDSTROM INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -11902.31000000
            USD
            5525000.00000000
            USD
            -44502.41000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140JAEL8
        
          
        
        4202951.03000000
        PA
        USD
        4503571.31000000
        0.260863208388
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mars Inc
        54930073HKEO6GZBSS03
        
        571676AA3
        
          
        
        525000.00000000
        PA
        USD
        520332.75000000
        0.030139562860
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31298FT36
        
          
        
        4256.45000000
        PA
        USD
        4768.26000000
        0.000276194938
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        
        29250NBF1
        
          
        
        3175000.00000000
        PA
        USD
        2821463.75000000
        0.163429428672
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2033-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        
        025816CG2
        
          
        
        555000.00000000
        PA
        USD
        552685.65000000
        0.032013560342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP WORLD PLC
        549300M3U2DNF4QVSS04
        
        000000000
        
          
        
        200000.00000000
        PA
        USD
        217000.00000000
        0.012569428199
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2048-09-25
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ventas Realty LP
        32SXKSJ72K64GM3HOU64
        
        92277GAE7
        
          
        
        975000.00000000
        PA
        USD
        976423.50000000
        0.056557995737
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        
        13645RBF0
        
          
        
        1475000.00000000
        PA
        USD
        1367929.75000000
        0.079235459787
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2031-12-02
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        
        70450YAG8
        
          
        
        3825000.00000000
        PA
        USD
        3680568.00000000
        0.213191867316
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -4450000.00000000
        NC
        
        -19153.19000000
        -0.00110942233
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    4450000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19153.19000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4450000.00000000
                  EUR
                
              
            
            1.00000000
            1.09000000
            EUR
            2022-04-25
            XXXX
            23265.01000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        
        6174468U6
        
          
        
        2625000.00000000
        PA
        USD
        2263668.75000000
        0.131119916219
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-13
          Fixed
          1.79400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179TXW0
        
          
        
        1122372.22000000
        PA
        USD
        1169719.94000000
        0.067754427644
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179U4E9
        
          
        
        1051020.98000000
        PA
        USD
        1091499.48000000
        0.063223614484
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        
        95000U2C6
        
          
        
        1135000.00000000
        PA
        USD
        1156054.25000000
        0.066962861242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        
        59261AG76
        
          
        
        2670000.00000000
        PA
        USD
        3054963.80000000
        0.176954599699
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-11-15
          Fixed
          5.17500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q8DN2
        
          
        
        927903.86000000
        PA
        USD
        962581.76000000
        0.055756231880
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        22280000.00000000
        OU
        Notional Amount
        
        -1046090.68000000
        -0.06059337185
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            EUR
            -479862.08000000
            EUR
            22280000.00000000
            EUR
            -385389.98000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RJX1
        
          
        
        6700000.00000000
        PA
        USD
        6394145.00000000
        0.370372103557
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        
        06051GFH7
        
          
        
        4810000.00000000
        PA
        USD
        4929191.80000000
        0.285516693131
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-26
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        
        455780CX2
        
          
        
        450000.00000000
        PA
        USD
        379174.50000000
        0.021963164297
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2071-03-12
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W3FS7
        
          
        
        73470.03000000
        PA
        USD
        73806.74000000
        0.004275154465
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128M9UC4
        
          
        
        39864.94000000
        PA
        USD
        41583.45000000
        0.002408664465
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        1.00000000
        NC
        
        -56364.67000000
        -0.00326484641
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            1759667.33000000
            USD
            1538000.00000000
            EUR
            2022-05-05
            -56364.67000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31394PP72
        
          
        
        254127.58000000
        PA
        USD
        269350.46000000
        0.015601756992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MRD24
        
          
        
        14759.34000000
        PA
        USD
        14817.76000000
        0.000858298481
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Tucson AZ
        N/A
        
        898735UQ6
        
          
        
        690000.00000000
        PA
        USD
        630189.97000000
        0.036502892072
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-07-01
          Fixed
          1.93200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        29278NAP8
        
          
        
        1700000.00000000
        PA
        USD
        1668652.00000000
        0.096654384807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179T4R3
        
          
        
        1121357.23000000
        PA
        USD
        1169574.58000000
        0.067746007865
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-07-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Louisiana State Transportation Authority
        N/A
        
        54651TBD6
        
          
        
        50000.00000000
        PA
        USD
        46255.45000000
        0.002679283675
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-02-15
          Fixed
          1.64800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        
        14448CAP9
        
          
        
        3375000.00000000
        PA
        USD
        3221977.50000000
        0.186628639839
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        
        88732JAY4
        
          
        
        275000.00000000
        PA
        USD
        296763.50000000
        0.017189619840
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        
        59980AAQ0
        
          
        
        422339.74000000
        PA
        USD
        419404.61000000
        0.024293438395
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          3.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        
        842587CV7
        
          
        
        1730000.00000000
        PA
        USD
        1730795.80000000
        0.100253979425
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        1225000.00000000
        OU
        Notional Amount
        USD
        -895.35000000
        -0.00005186192
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                BOEING CO
                BOEING CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            11815.00000000
            USD
            0.00000000
            USD
            1225000.00000000
            USD
            -12710.35000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        270000.00000000
        OU
        Notional Amount
        
        23147.33000000
        0.001340777430
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            5195.65000000
            GBP
            0.00000000
            GBP
            270000.00000000
            GBP
            16266.36000000
          
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        
        871829BN6
        
          
        
        775000.00000000
        PA
        USD
        1038376.00000000
        0.060146509565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        
        867224AD9
        
          
        
        1550000.00000000
        PA
        USD
        1543304.00000000
        0.089393773351
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-05-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        
        55903VAJ2
        
          
        
        6750000.00000000
        PA
        USD
        6782940.00000000
        0.392892522159
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.05400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CubeSmart LP
        549300MPHKO3I3FJRA97
        
        22966RAC0
        
          
        
        1500000.00000000
        PA
        USD
        1523250.00000000
        0.088232172830
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elmwood CLO IV Ltd
        N/A
        
        29002GAB7
        
          
        
        12850000.00000000
        PA
        USD
        12796415.50000000
        0.741214865587
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.48100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OVINTIV EXPLORATION INC
        T8W3X1PFLPW2YE0UIP44
        
        651290AQ1
        
          
        
        1649000.00000000
        PA
        USD
        1731450.00000000
        0.100291873065
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        
        55336VBQ2
        
          
        
        2225000.00000000
        PA
        USD
        2043351.00000000
        0.118358311889
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RMM1
        
          
        
        6170000.00000000
        PA
        USD
        5488585.20000000
        0.317918790718
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        
        06051GGC7
        
          
        
        5000000.00000000
        PA
        USD
        5101950.00000000
        0.295523475576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-25
          Fixed
          4.18300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        
        35137LAJ4
        
          
        
        600000.00000000
        PA
        USD
        678792.00000000
        0.039318098184
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-01-25
          Fixed
          5.47600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MN5G1
        
          
        
        69477.24000000
        PA
        USD
        69752.22000000
        0.004040301940
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        3980000.00000000
        OU
        Notional Amount
        USD
        -651.13000000
        -0.00003771581
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                United Mexican States
                United Mexican States
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -40125.48000000
            USD
            3980000.00000000
            USD
            39474.35000000
          
        
        
          N
          N
          N
        
      
      
        State of Louisiana
        N/A
        
        54651RCR8
        
          
        
        105000.00000000
        PA
        USD
        94705.13000000
        0.005485665122
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-09-01
          Fixed
          1.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        
        842400GQ0
        
          
        
        1075000.00000000
        PA
        USD
        1112700.25000000
        0.064451640089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        
        24703TAH9
        
          
        
        200000.00000000
        PA
        USD
        229206.00000000
        0.013276444054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        752.00000000
        NC
        USD
        -2201474.58000000
        -0.12751740398
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            161466849.20000000
            USD
            -2201474.58000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        
        05971KAE9
        
          
        
        2400000.00000000
        PA
        USD
        2340288.00000000
        0.135557981479
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-05-28
          Fixed
          2.74600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        
        225401AP3
        
          
        
        1925000.00000000
        PA
        USD
        1902227.25000000
        0.110183911692
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2031-04-01
          Fixed
          4.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        
        715638DQ2
        
          
        
        10000.00000000
        PA
        USD
        7845.63000000
        0.000454447386
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2060-12-01
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        
        13063A5G5
        
          
        
        1650000.00000000
        PA
        USD
        2446697.55000000
        0.141721609122
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-04-01
          Fixed
          7.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912810SK5
        
          
        
        38410000.00000000
        PA
        USD
        37521768.75000000
        2.173397134584
        Long
        DBT
        UST
        US
        N
        
        1
        
          2049-11-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179USU7
        
          
        
        838497.63000000
        PA
        USD
        857430.49000000
        0.049665488385
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -18900000.00000000
        NC
        USD
        -3766.77000000
        -0.00021818500
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    18900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3766.77000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  18900000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            56713.23000000
          
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        
        30212PAJ4
        
          
        
        2850000.00000000
        PA
        USD
        2920623.00000000
        0.169173092603
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        
        6174468G7
        
          
        
        325000.00000000
        PA
        USD
        340297.75000000
        0.019711281727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-23
          Fixed
          4.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WXWH6
        
          
        
        22960.58000000
        PA
        USD
        23065.81000000
        0.001336055496
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -4850000.00000000
        NC
        
        -232049.18000000
        -0.01344113136
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    4850000.00000000
                    OU
                    Notional Amount
                    N/A
                    -232049.18000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4850000.00000000
                  EUR
                
              
            
            1.00000000
            0.74300000
            EUR
            2022-04-07
            XXXX
            -172215.33000000
          
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        
        30161NAX9
        
          
        
        1000000.00000000
        PA
        USD
        1032350.00000000
        0.059797461757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        
        251526CE7
        
          
        
        1725000.00000000
        PA
        USD
        1601766.00000000
        0.092780104740
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN ELECTRIC POWER
        1B4S6S7G0TW5EE83BO58
        
        025537AN1
        
          
        
        850000.00000000
        PA
        USD
        772488.50000000
        0.044745339794
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q9CT8
        
          
        
        662931.38000000
        PA
        USD
        687603.03000000
        0.039828465046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -4690000.00000000
        NC
        
        -10437.84000000
        -0.00060459760
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    4690000.00000000
                    OU
                    Notional Amount
                    N/A
                    -10437.84000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4690000.00000000
                  EUR
                
              
            
            1.00000000
            1.05400000
            EUR
            2022-04-19
            XXXX
            41683.26000000
          
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        
        08576PAH4
        
          
        
        1475000.00000000
        PA
        USD
        1376632.25000000
        0.079739540197
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        
        37045XAZ9
        
          
        
        2425000.00000000
        PA
        USD
        2460380.75000000
        0.142514189767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        
        91087BAN0
        
          
        
        1960000.00000000
        PA
        USD
        1586620.00000000
        0.091902793406
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2061-05-24
          Fixed
          3.77100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        
        00774MAW5
        
          
        
        2925000.00000000
        PA
        USD
        2696382.00000000
        0.156184239383
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2028-10-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        
        22535WAG2
        
          
        
        1275000.00000000
        PA
        USD
        1202274.00000000
        0.069640077044
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        
        05526DBK0
        
          
        
        425000.00000000
        PA
        USD
        389682.50000000
        0.022571825825
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2049-09-06
          Fixed
          4.75800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WMZQ7
        
          
        
        19976.59000000
        PA
        USD
        20068.14000000
        0.001162419561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912810RV2
        
          
        
        104460000.00000000
        PA
        USD
        112425075.00000000
        6.512068700397
        Long
        DBT
        UST
        US
        N
        
        1
        
          2047-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912810RD2
        
          
        
        13000000.00000000
        PA
        USD
        15364375.00000000
        0.889960407308
        Long
        DBT
        UST
        US
        N
        
        1
        
          2043-11-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        
        05329WAR3
        
          
        
        500000.00000000
        PA
        USD
        448630.00000000
        0.025986279137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        
        46647PAJ5
        
          
        
        800000.00000000
        PA
        USD
        812832.00000000
        0.047082181852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-07-24
          Fixed
          3.88200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        
        36321PAC4
        
          
        
        320000.00000000
        PA
        USD
        288195.20000000
        0.016693312782
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2040-09-30
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        
        63861VAE7
        
          
        
        975000.00000000
        PA
        USD
        971850.75000000
        0.056293125448
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-18
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        
        59284MAD6
        
          
        
        340000.00000000
        PA
        USD
        300475.00000000
        0.017404603401
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        25480000.00000000
        OU
        Notional Amount
        USD
        1483088.88000000
        0.085905894884
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            920100.70000000
            USD
            0.00000000
            USD
            25480000.00000000
            USD
            562988.18000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138ENQF9
        
          
        
        403261.46000000
        PA
        USD
        437441.10000000
        0.025338177409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        
        958254AJ3
        
          
        
        165000.00000000
        PA
        USD
        163350.00000000
        0.009461825328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KGF45
        
          
        
        107350.94000000
        PA
        USD
        111825.96000000
        0.006477365783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-ELEVEN INC
        549300K23JPL0SS3LB18
        
        817826AD2
        
          
        
        2800000.00000000
        PA
        USD
        2450952.00000000
        0.141968042319
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-10
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        312946ZH2
        
          
        
        2158.81000000
        PA
        USD
        2346.36000000
        0.000135909693
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UPC0
        
          
        
        1255395.26000000
        PA
        USD
        1307806.88000000
        0.075752924776
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WMP47
        
          
        
        5332.82000000
        PA
        USD
        5357.26000000
        0.000310311958
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        
        6174468J1
        
          
        
        1050000.00000000
        PA
        USD
        1038870.00000000
        0.060175123839
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-22
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        
        126650CY4
        
          
        
        675000.00000000
        PA
        USD
        736870.50000000
        0.042682215860
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-25
          Fixed
          4.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        52420000.00000000
        OU
        Notional Amount
        
        -89646.04000000
        -0.00519262425
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            16199.15000000
            NOK
            0.00000000
            NOK
            52420000.00000000
            NOK
            -87030.11000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        17000000.00000000
        OU
        Notional Amount
        USD
        653932.20000000
        0.037878128271
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            369953.32000000
            USD
            0.00000000
            USD
            17000000.00000000
            USD
            283978.88000000
          
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        
        92936UAF6
        
          
        
        1000000.00000000
        PA
        USD
        1011510.00000000
        0.058590333260
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        190.00000000
        NC
        USD
        70750.11000000
        0.004098103353
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            21687218.64000000
            USD
            70750.11000000
          
        
        
          N
          N
          N
        
      
      
        STANFORD HEALTH CARE
        5493005311WCPXQGDG42
        
        85434VAB4
        
          
        
        975000.00000000
        PA
        USD
        975745.97000000
        0.056518750739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          3.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        
        24703TAJ5
        
          
        
        540000.00000000
        PA
        USD
        713426.40000000
        0.041324248433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          8.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US BANCORP
        N1GZ7BBF3NP8GI976H15
        
        902973BC9
        
          
        
        2750000.00000000
        PA
        USD
        2493370.00000000
        0.144425046952
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        
        91087BAH3
        
          
        
        240000.00000000
        PA
        USD
        231360.00000000
        0.013401211558
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2030-04-16
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UCC4
        
          
        
        7717689.39000000
        PA
        USD
        8028189.01000000
        0.465021867878
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        
        11135FBK6
        
          
        
        325000.00000000
        PA
        USD
        303293.25000000
        0.017567846678
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-04-15
          Fixed
          3.41900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        
        571748BG6
        
          
        
        1325000.00000000
        PA
        USD
        1401465.75000000
        0.081177986719
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        
        858119BN9
        
          
        
        1075000.00000000
        PA
        USD
        976132.25000000
        0.056541125480
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        
        59022CAJ2
        
          
        
        350000.00000000
        PA
        USD
        418127.50000000
        0.024219463545
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-01-29
          Fixed
          6.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        
        36321PAB6
        
          
        
        200000.00000000
        PA
        USD
        179412.50000000
        0.010392223671
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2036-03-31
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAXTER INTERNATIONAL INC
        J5OIVXX3P24RJRW5CK77
        
        071813CQ0
        
          
        
        2275000.00000000
        PA
        USD
        2080305.50000000
        0.120498850757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.53900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        
        00774MAD7
        
          
        
        1450000.00000000
        PA
        USD
        1454379.00000000
        0.084242914353
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-01-23
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth Financing Authority
        N/A
        
        20281PMP4
        
          
        
        125000.00000000
        PA
        USD
        120293.71000000
        0.006967848620
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.75800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        25900000.00000000
        NC
        
        4320.99000000
        0.000250287435
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    25900000.00000000
                    OU
                    Notional Amount
                    N/A
                    4320.99000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  25900000.00000000
                  GBP
                
              
            
            1.00000000
            0.42000000
            GBP
            2022-10-10
            XXXX
            -51746.78000000
          
        
        
          N
          N
          N
        
      
      
        Zoetis Inc
        549300HD9Q1LOC9KLJ48
        
        98978VAP8
        
          
        
        100000.00000000
        PA
        USD
        111325.00000000
        0.006448348360
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WHGK2
        
          
        
        44469.77000000
        PA
        USD
        45922.88000000
        0.002660020013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        
        000000000
        
          
        
        3350000.00000000
        OU
        Notional Amount
        USD
        -267476.73000000
        -0.01549322374
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -503701.45000000
            USD
            3350000.00000000
            USD
            236224.72000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q8KK0
        
          
        
        527303.17000000
        PA
        USD
        544949.90000000
        0.031565477604
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTSMAN INTERNATIONAL L
        3YTEJFW18LGIUQ2N5J61
        
        44701QBE1
        
          
        
        850000.00000000
        PA
        USD
        877048.70000000
        0.050801846367
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        
        59259NZM8
        
          
        
        395000.00000000
        PA
        USD
        458134.27000000
        0.026536800978
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-11-15
          Fixed
          5.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        
        958254AD6
        
          
        
        225000.00000000
        PA
        USD
        228375.00000000
        0.013228309515
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RKA9
        
          
        
        1250000.00000000
        PA
        USD
        1138700.00000000
        0.065957640047
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        
        00914AAB8
        
          
        
        2200000.00000000
        PA
        USD
        2185018.00000000
        0.126564179099
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        
        718546AV6
        
          
        
        375000.00000000
        PA
        USD
        382485.00000000
        0.022154920482
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-09
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        
        084659AV3
        
          
        
        1275000.00000000
        PA
        USD
        1311605.25000000
        0.075972940163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        
        694308JJ7
        
          
        
        1025000.00000000
        PA
        USD
        816340.75000000
        0.047285421396
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31359MEU3
        
          
        
        4200000.00000000
        PA
        USD
        5198046.00000000
        0.301089704941
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-05-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSMC GLOBAL LTD
        549300N2ZLI21P85T117
        
        872882AK1
        
          
        
        290000.00000000
        PA
        USD
        263256.20000000
        0.015248755317
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2031-04-23
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASHTEAD CAPITAL INC
        213800J1134IW58IC398
        
        045054AN3
        
          
        
        650000.00000000
        PA
        USD
        594165.00000000
        0.034416194958
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-08-12
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KMNS0
        
          
        
        6719187.79000000
        PA
        USD
        6431753.03000000
        0.372550497256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JDE PEET'S NV
        724500EHG519SE5ZRT89
        
        47216QAB9
        
          
        
        1650000.00000000
        PA
        USD
        1483713.00000000
        0.085942046182
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-01-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        
        172967GT2
        
          
        
        2595000.00000000
        PA
        USD
        2633068.65000000
        0.152516900181
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F030645
        
          
        
        56000000.00000000
        PA
        USD
        54788126.40000000
        3.173527285464
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATURE CONSERVANCY (THE)
        549300GJ1IZME7V1JJ28
        
        63902HAL3
        
          
        
        75000.00000000
        PA
        USD
        66197.07000000
        0.003834374738
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          1.30400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        1.00000000
        NC
        
        -58696.11000000
        -0.00339989189
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            1867622.82000000
            USD
            1377086.65000000
            GBP
            2022-04-05
            -58696.11000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        
        000000000
        
          
        
        390000.00000000
        PA
        USD
        351975.00000000
        0.020387670462
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2029-11-13
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        
        000000000
        
          
        
        380000.00000000
        PA
        USD
        392302.50000000
        0.022723585742
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-01-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        
        6174468C6
        
          
        
        700000.00000000
        PA
        USD
        717283.00000000
        0.041547636713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179WR34
        
          
        
        4888282.00000000
        PA
        USD
        4837243.89000000
        0.280190736205
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754AAB9
        
          
        
        884000.00000000
        PA
        USD
        837605.38000000
        0.048517146004
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        
        548661DY0
        
          
        
        2500000.00000000
        PA
        USD
        2183975.00000000
        0.126503764751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTERCARD INC
        AR5L2ODV9HN37376R084
        
        57636QAR5
        
          
        
        850000.00000000
        PA
        USD
        867263.50000000
        0.050235052041
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-26
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        
        05329WAQ5
        
          
        
        825000.00000000
        PA
        USD
        860887.50000000
        0.049865730961
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONSPIRIT HEALTH
        4SXHN5XW08IBO0UG2V58
        
        20268JAG8
        
          
        
        2385000.00000000
        PA
        USD
        2272218.72000000
        0.131615161537
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-01
          Fixed
          3.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        
        46647PBP0
        
          
        
        925000.00000000
        PA
        USD
        867233.75000000
        0.050233328813
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q8QW8
        
          
        
        1412310.31000000
        PA
        USD
        1459574.69000000
        0.084543867590
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        4410000.00000000
        OU
        Notional Amount
        USD
        126436.46000000
        0.007323659012
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2033-02-09
            2224.66000000
            USD
            0.00000000
            USD
            4410000.00000000
            USD
            124211.80000000
          
        
        
          N
          N
          N
        
      
      
        Tyson Foods Inc
        WD6L6041MNRW1JE49D58
        
        902494BG7
        
          
        
        1250000.00000000
        PA
        USD
        1268850.00000000
        0.073496400785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-28
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        
        42824CAW9
        
          
        
        1782000.00000000
        PA
        USD
        1865647.08000000
        0.108065055377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        
        72650RBD3
        
          
        
        1100000.00000000
        PA
        USD
        1109812.00000000
        0.064284342158
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        
        000000000
        
          
        
        1.00000000
        NC
        
        -725.08000000
        -0.00004199926
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            135151.49000000
            EUR
            148952.35000000
            USD
            2022-05-05
            -725.08000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        87430000.00000000
        OU
        Notional Amount
        
        748228.37000000
        0.043340104945
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            5531879.19000000
            SEK
            0.00000000
            SEK
            87430000.00000000
            SEK
            165100.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        
        46647PBJ4
        
          
        
        275000.00000000
        PA
        USD
        291871.25000000
        0.016906242950
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-24
          Fixed
          4.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -18900000.00000000
        NC
        USD
        -321844.32000000
        -0.01864239203
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    18900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -321844.32000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  18900000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            -261364.32000000
          
        
        
          N
          N
          N
        
      
      
        EMORY UNIVERSITY
        95MD72NUUVZ3P8PQ6919
        
        29157TAD8
        
          
        
        4015000.00000000
        PA
        USD
        3762934.85000000
        0.217962854446
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          2.14300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418CAY0
        
          
        
        11475.08000000
        PA
        USD
        11850.04000000
        0.000686397359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        
        452152BM2
        
          
        
        160000.00000000
        PA
        USD
        179552.75000000
        0.010400347461
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-02-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREAT-WEST LIFECO FIN 18
        N/A
        
        39138QAA3
        
          
        
        825000.00000000
        PA
        USD
        846879.00000000
        0.049054307759
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-05-17
          Fixed
          4.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atlas Senior Loan Fund LTD
        N/A
        
        04942VBE3
        
          
        
        2100000.00000000
        PA
        USD
        2035013.40000000
        0.117875367813
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-22
          Floating
          2.90900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        2150000.00000000
        OU
        Notional Amount
        USD
        37429.57000000
        0.002168056648
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF PERU
                REPUBLIC OF PERU
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            13366.22000000
            USD
            0.00000000
            USD
            2150000.00000000
            USD
            24063.35000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        1.00000000
        NC
        
        101795.01000000
        0.005896336724
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            2834644.88000000
            EUR
            3241104.61000000
            USD
            2022-05-05
            101795.01000000
          
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        
        456837AU7
        
          
        
        3400000.00000000
        PA
        USD
        3153908.00000000
        0.182685807154
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418C4G6
        
          
        
        684859.59000000
        PA
        USD
        713045.19000000
        0.041302167365
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        
        00774MAN5
        
          
        
        965000.00000000
        PA
        USD
        1023411.45000000
        0.059279708474
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        
        55608JAR9
        
          
        
        1900000.00000000
        PA
        USD
        1728259.00000000
        0.100107038755
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2027-01-12
          Fixed
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MQTN3
        
          
        
        48495.57000000
        PA
        USD
        48687.51000000
        0.002820157424
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        
        756109BH6
        
          
        
        875000.00000000
        PA
        USD
        873346.25000000
        0.050587387015
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Municipal Improvement Corp of Los Angeles
        549300ZJ0YLTZNSR8F57
        
        544587Y93
        
          
        
        245000.00000000
        PA
        USD
        221066.39000000
        0.012804968278
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-11-01
          Fixed
          1.83100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UXS6
        
          
        
        4253910.85000000
        PA
        USD
        4228656.36000000
        0.244939135924
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31329PTE3
        
          
        
        199635.05000000
        PA
        USD
        207851.09000000
        0.012039490100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        
        05578QAF0
        
          
        
        3100000.00000000
        PA
        USD
        2796603.00000000
        0.161989403731
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-10-19
          Fixed
          3.11600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RKJ0
        
          
        
        450000.00000000
        PA
        USD
        397876.50000000
        0.023046452068
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        
        09659W2E3
        
          
        
        3825000.00000000
        PA
        USD
        3865927.50000000
        0.223928562829
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912810QB7
        
          
        
        6530000.00000000
        PA
        USD
        8172703.13000000
        0.473392650620
        Long
        DBT
        UST
        US
        N
        
        1
        
          2039-05-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        
        337738AT5
        
          
        
        1825000.00000000
        PA
        USD
        1819944.75000000
        0.105417810421
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140EWUP8
        
          
        
        37904.45000000
        PA
        USD
        39143.03000000
        0.002267306475
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H022648
        
          
        
        10000000.00000000
        PA
        USD
        9698341.00000000
        0.561763137555
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        690000.00000000
        OU
        Notional Amount
        USD
        15139.29000000
        0.000876922666
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                SAUDI INTERNATIONAL BOND
                SAUDI INTERNATIONAL BOND
                
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            770.21000000
            USD
            0.00000000
            USD
            690000.00000000
            USD
            14369.08000000
          
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        
        22822VAJ0
        
          
        
        2150000.00000000
        PA
        USD
        2164555.50000000
        0.125378916774
        Long
        DBT
        
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE
        549300N8C3A3L0UVQB07
        
        36264FAB7
        
          
        
        3675000.00000000
        PA
        USD
        3676764.00000000
        0.212971525819
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-24
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -62600000.00000000
        NC
        USD
        -42749.54000000
        -0.00247620863
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    
                    N/A
                    
                      
                    
                    62600000.00000000
                    OU
                    Notional Amount
                    N/A
                    -42749.54000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  62600000.00000000
                  USD
                
              
            
            1.00000000
            1.59875000
            USD
            2022-11-22
            XXXX
            94409.88000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q9ME0
        
          
        
        2151599.47000000
        PA
        USD
        2223436.86000000
        0.128789539018
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CK HUTCHISON INTL 20 LTD
        254900SSPRZHBMNJF043
        
        12564HAA3
        
          
        
        200000.00000000
        PA
        USD
        185422.00000000
        0.010740315739
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-05-08
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICENOW INC
        549300HJTQM36M0E1G39
        
        81762PAE2
        
          
        
        3400000.00000000
        PA
        USD
        2889354.00000000
        0.167361878546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Municipal Improvement Corp of Los Angeles
        549300ZJ0YLTZNSR8F57
        
        5445872W7
        
          
        
        765000.00000000
        PA
        USD
        695133.54000000
        0.040264659538
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-11-01
          Fixed
          1.64800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        
        20030NCR0
        
          
        
        1275000.00000000
        PA
        USD
        1302769.50000000
        0.075461141429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        
        37045VAW0
        
          
        
        1425000.00000000
        PA
        USD
        1476556.50000000
        0.085527515707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MPDQ5
        
          
        
        52895.30000000
        PA
        USD
        53104.65000000
        0.003076014217
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        
        6174468V4
        
          
        
        5100000.00000000
        PA
        USD
        4690266.00000000
        0.271677242956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-10
          Fixed
          0.98500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COSTAR GROUP INC
        N/A
        
        22160NAA7
        
          
        
        2225000.00000000
        PA
        USD
        2034844.83000000
        0.117865603626
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UGE6
        
          
        
        4079270.77000000
        PA
        USD
        4250214.24000000
        0.246187846637
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31296PDW9
        
          
        
        371.43000000
        PA
        USD
        394.22000000
        0.000022834654
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Agricole SA
        969500TJ5KRTCJQWXH05
        
        225313AL9
        
          
        
        600000.00000000
        PA
        USD
        622278.00000000
        0.036044602031
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-09-23
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        
        14040HBD6
        
          
        
        1050000.00000000
        PA
        USD
        1061518.50000000
        0.061487007224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        
        126650CL2
        
          
        
        4050000.00000000
        PA
        USD
        4133187.00000000
        0.239409203823
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-20
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        
        68902VAJ6
        
          
        
        625000.00000000
        PA
        USD
        593075.00000000
        0.034353058198
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-05
          Fixed
          2.29300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -62700000.00000000
        NC
        USD
        -37513.41000000
        -0.00217291296
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    62700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -37513.41000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  62700000.00000000
                  USD
                
              
            
            1.00000000
            1.54500000
            USD
            2022-11-16
            XXXX
            91021.59000000
          
        
        
          N
          N
          N
        
      
      
        PENSKE TRUCK LEASING/PTL
        N/A
        
        709599AN4
        
          
        
        1425000.00000000
        PA
        USD
        1446845.25000000
        0.083806532189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-17
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        
        00774MAY1
        
          
        
        375000.00000000
        PA
        USD
        337481.25000000
        0.019548139817
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2033-10-29
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        150025000.00000000
        OU
        Notional Amount
        USD
        2078236.32000000
        0.120378996336
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S34
                2I65BYDW2
              
            
            Y
            
            sell protection
            2025-06-20
            1394401.26000000
            USD
            0.00000000
            USD
            150025000.00000000
            USD
            683835.06000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        
        000000000
        
          
        
        1.00000000
        NC
        
        75994.74000000
        0.004401891372
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            1857000.00000000
            GBP
            2515330.64000000
            USD
            2022-04-05
            75994.74000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128LXBF6
        
          
        
        1143.42000000
        PA
        USD
        1230.35000000
        0.000071266340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        
        06051GGR4
        
          
        
        1550000.00000000
        PA
        USD
        1553782.00000000
        0.090000697170
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-21
          Fixed
          3.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        
        74365PAG3
        
          
        
        200000.00000000
        PA
        USD
        183000.00000000
        0.010600024702
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-01-19
          Fixed
          3.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        2650000.00000000
        OU
        Notional Amount
        USD
        41360.67000000
        0.002395760238
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            29937.98000000
            USD
            0.00000000
            USD
            2650000.00000000
            USD
            11422.69000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        
        026874CY1
        
          
        
        300000.00000000
        PA
        USD
        307254.00000000
        0.017797267704
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        
        03027XAT7
        
          
        
        2100000.00000000
        PA
        USD
        2107833.00000000
        0.122093343544
        Long
        DBT
        
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        
        55336VAQ3
        
          
        
        2151000.00000000
        PA
        USD
        2168272.53000000
        0.125594220653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F042640
        
          
        
        21000000.00000000
        PA
        USD
        21784224.00000000
        1.261821379908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital One NA
        207ALC1P1YM0OVDV0K75
        
        14042RHC8
        
          
        
        1700000.00000000
        PA
        USD
        1703638.00000000
        0.098680901005
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-08
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        53350000.00000000
        OU
        Notional Amount
        USD
        911143.31000000
        0.052776730018
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S37
                2I65BYDZ5
              
            
            Y
            
            sell protection
            2026-12-20
            892998.92000000
            USD
            0.00000000
            USD
            53350000.00000000
            USD
            18144.39000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        
        87264ABW4
        
          
        
        2150000.00000000
        PA
        USD
        2021423.55000000
        0.117088194339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECOLAB INC
        82DYEISM090VG8LTLS26
        
        278865BJ8
        
          
        
        364000.00000000
        PA
        USD
        304336.76000000
        0.017628290567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2055-08-18
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        
        37045XDE3
        
          
        
        2825000.00000000
        PA
        USD
        2441026.00000000
        0.141393092345
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-08
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        
        24703TAG1
        
          
        
        176000.00000000
        PA
        USD
        191709.76000000
        0.011104525637
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        
        46625HRY8
        
          
        
        2150000.00000000
        PA
        USD
        2177305.00000000
        0.126117414124
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          3.78200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        
        03027XAZ3
        
          
        
        1750000.00000000
        PA
        USD
        1704972.50000000
        0.098758200092
        Long
        DBT
        
        US
        N
        
        2
        
          2025-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        San Francisco Municipal Transportation Agency
        N/A
        
        797686EQ1
        
          
        
        555000.00000000
        PA
        USD
        501157.01000000
        0.029028834348
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-03-01
          Fixed
          1.30200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        
        075887BV0
        
          
        
        997000.00000000
        PA
        USD
        1005863.33000000
        0.058263257624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-06
          Fixed
          3.36300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New Orleans LA Water System Revenue
        N/A
        
        647753MB5
        
          
        
        45000.00000000
        PA
        USD
        41210.49000000
        0.002387061267
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-12-01
          Fixed
          1.00800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        
        00287YBD0
        
          
        
        125000.00000000
        PA
        USD
        141847.50000000
        0.008216322426
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-14
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        
        000000000
        
          
        
        2987134.40000000
        PA
        USD
        2695888.80000000
        0.156155671448
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2040-09-30
          Fixed
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Yuma AZ
        N/A
        
        98851WAK9
        
          
        
        65000.00000000
        PA
        USD
        59921.12000000
        0.003470848919
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-07-15
          Fixed
          2.10200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASHTEAD CAPITAL INC
        213800J1134IW58IC398
        
        045054AP8
        
          
        
        1000000.00000000
        PA
        USD
        879070.00000000
        0.050918927405
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2031-08-12
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        
        92343VER1
        
          
        
        5066000.00000000
        PA
        USD
        5347314.98000000
        0.309735906446
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138EP2E3
        
          
        
        216853.22000000
        PA
        USD
        232402.07000000
        0.013461572037
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        
        00914AAJ1
        
          
        
        1700000.00000000
        PA
        USD
        1641027.00000000
        0.095054244466
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179QDZ1
        
          
        
        3094.55000000
        PA
        USD
        3215.19000000
        0.000186235483
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        
        037833BZ2
        
          
        
        4050000.00000000
        PA
        USD
        4003830.00000000
        0.231916376526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-04
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -5830000.00000000
        NC
        USD
        -154341.67000000
        -0.00894003013
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    
                    N/A
                    
                      
                    
                    5830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -154341.67000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5830000.00000000
                  USD
                
              
            
            1.00000000
            1.83000000
            USD
            2022-04-11
            XXXX
            -89920.17000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        
        37045XDK9
        
          
        
        3200000.00000000
        PA
        USD
        2922432.00000000
        0.169277876454
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-10
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -4690000.00000000
        NC
        
        -82972.00000000
        -0.00480603961
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    4690000.00000000
                    OU
                    Notional Amount
                    N/A
                    -82972.00000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4690000.00000000
                  EUR
                
              
            
            1.00000000
            1.05400000
            EUR
            2022-04-19
            XXXX
            -30850.90000000
          
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        
        69343FAA5
        
          
        
        2003644.28000000
        PA
        USD
        1994109.14000000
        0.115506044499
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        
        452152GS4
        
          
        
        1595000.00000000
        PA
        USD
        1854891.53000000
        0.107442054854
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-07-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36202F2M7
        
          
        
        860.99000000
        PA
        USD
        890.48000000
        0.000051579836
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        7340000.00000000
        OU
        Notional Amount
        USD
        57423.76000000
        0.003326192756
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of Indonesia
                Republic of Indonesia
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            19081.98000000
            USD
            0.00000000
            USD
            7340000.00000000
            USD
            38341.78000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128E3TE4
        
          
        
        15142.10000000
        PA
        USD
        16105.89000000
        0.000932911649
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        6530000.00000000
        OU
        Notional Amount
        USD
        71947.54000000
        0.004167462848
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                UNITED MEXICAN STATES
                UNITED MEXICAN STATES
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            0.00000000
            USD
            -94770.48000000
            USD
            6530000.00000000
            USD
            166718.02000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F030645
        
          
        
        -36000000.00000000
        PA
        USD
        -35220938.40000000
        -2.04012468351
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANLEY BLACK & DECKER I
        549300DJ09SMTO561131
        
        854502AH4
        
          
        
        1400000.00000000
        PA
        USD
        1466304.00000000
        0.084933653668
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        
        46513EJX1
        
          
        
        2400000.00000000
        PA
        USD
        2544432.00000000
        0.147382743462
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2024-04-26
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNION PACIFIC CORP
        549300LMMRSZZCZ8CL11
        
        907818FX1
        
          
        
        2375000.00000000
        PA
        USD
        2283277.50000000
        0.132255726243
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-14
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31292MA78
        
          
        
        5142.74000000
        PA
        USD
        5320.90000000
        0.000308205854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        
        49271VAD2
        
          
        
        225000.00000000
        PA
        USD
        254830.50000000
        0.014760708169
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-05-25
          Fixed
          5.08500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        
        225433AR2
        
          
        
        683000.00000000
        PA
        USD
        694877.37000000
        0.040249821241
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-04-17
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138ET6A9
        
          
        
        524425.79000000
        PA
        USD
        555602.18000000
        0.032182496353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN PENERBIT SBSN
        254900G208H6Q0L5B953
        
        71567RAF3
        
          
        
        2030000.00000000
        PA
        USD
        2146471.25000000
        0.124331411328
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2026-03-29
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        
        316773CY4
        
          
        
        1235000.00000000
        PA
        USD
        1208225.20000000
        0.069984792164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-28
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        
        61744YAQ1
        
          
        
        550000.00000000
        PA
        USD
        555472.50000000
        0.032174984817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-24
          Fixed
          3.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RJY9
        
          
        
        2375000.00000000
        PA
        USD
        2224686.25000000
        0.128861908224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        
        256746AH1
        
          
        
        1999000.00000000
        PA
        USD
        2073882.54000000
        0.120126809584
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate Lending
        N/A
        
        12528YAV5
        
          
        
        2024000.00000000
        PA
        USD
        1460175.86000000
        0.084578689540
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-11-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        
        404280CJ6
        
          
        
        3625000.00000000
        PA
        USD
        3417178.75000000
        0.197935405260
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-18
          Fixed
          1.64500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        
        29379VBE2
        
          
        
        85000.00000000
        PA
        USD
        86591.20000000
        0.005015676825
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        
        378272BG2
        
          
        
        3175000.00000000
        PA
        USD
        2839370.75000000
        0.164466667154
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2031-09-23
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q92H5
        
          
        
        654497.85000000
        PA
        USD
        681433.91000000
        0.039471127208
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELANCO ANIMAL HEALTH INC
        549300SHPNDCE059M934
        
        28414HAE3
        
          
        
        650000.00000000
        PA
        USD
        671210.15000000
        0.038878929893
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-28
          Fixed
          5.77200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DENTSPLY SIRONA INC
        9NHEHR1SOZCYXDO8HO28
        
        24906PAA7
        
          
        
        1125000.00000000
        PA
        USD
        1084072.50000000
        0.062793416826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        88190000.00000000
        OU
        Notional Amount
        
        -645234.44000000
        -0.03737432241
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            NOK
            -1458922.43000000
            NOK
            88190000.00000000
            NOK
            -479623.79000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        3640000.00000000
        OU
        Notional Amount
        
        86714.42000000
        0.005022814175
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-17
            67874.38000000
            GBP
            0.00000000
            GBP
            3640000.00000000
            GBP
            -2180.70000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38373T5Q4
        
          
        
        6533.43000000
        PA
        USD
        7498.51000000
        0.000434340935
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-02-16
          Floating
          35.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W02A6
        
          
        
        13970.74000000
        PA
        USD
        14034.77000000
        0.000812944856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KPU7
        
          
        
        1975000.00000000
        PA
        USD
        1948024.27000000
        0.112836641436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179TSJ5
        
          
        
        165202.48000000
        PA
        USD
        173836.54000000
        0.010069243815
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912833Z60
        
          
        
        50580000.00000000
        PA
        USD
        33748430.18000000
        1.954831658886
        Long
        DBT
        UST
        US
        N
        
        1
        
          2038-02-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        
        98138HAG6
        
          
        
        1000000.00000000
        PA
        USD
        1002040.00000000
        0.058041796463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417FY69
        
          
        
        117347.89000000
        PA
        USD
        117885.68000000
        0.006828366776
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W02X6
        
          
        
        14450.98000000
        PA
        USD
        14508.18000000
        0.000840366482
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        
        74730DAD5
        
          
        
        650000.00000000
        PA
        USD
        598000.00000000
        0.034638332087
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2051-07-12
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        
        437076BW1
        
          
        
        625000.00000000
        PA
        USD
        654843.75000000
        0.037930928558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-06
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138MNJQ4
        
          
        
        15571.77000000
        PA
        USD
        15633.40000000
        0.000905543312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        
        000000000
        
          
        
        690000.00000000
        PA
        USD
        716737.50000000
        0.041516039372
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2048-06-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        
        000000000
        
          
        
        1.00000000
        NC
        
        -18144.02000000
        -0.00105096754
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX 30 Year Euro BUXL Future
                UBM2 COMDTY
              
            
            2022-06-08
            202121.38000000
            EUR
            -18144.02000000
          
        
        
          N
          N
          N
        
      
      
        CFIP CLO LTD
        549300NTT3VNL25G1526
        
        12529QAG4
        
          
        
        1700000.00000000
        PA
        USD
        1661682.00000000
        0.096250657090
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-20
          Floating
          2.51400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418DEV0
        
          
        
        1333932.39000000
        PA
        USD
        1384558.06000000
        0.080198631901
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        
        87264ABB0
        
          
        
        2025000.00000000
        PA
        USD
        2037271.50000000
        0.118006165166
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        
        42824CBG3
        
          
        
        4325000.00000000
        PA
        USD
        4428800.00000000
        0.256532182525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UH54
        
          
        
        6974582.45000000
        PA
        USD
        7247557.15000000
        0.419804835094
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        2540000.00000000
        OU
        Notional Amount
        USD
        42213.28000000
        0.002445146506
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of Chile
                Republic of Chile
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            22949.70000000
            USD
            0.00000000
            USD
            2540000.00000000
            USD
            19263.58000000
          
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        
        459506AQ4
        
          
        
        4025000.00000000
        PA
        USD
        3593560.25000000
        0.208152062402
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        
        17308CC53
        
          
        
        1375000.00000000
        PA
        USD
        1307735.00000000
        0.075748761225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-05
          Fixed
          2.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        
        035240AN0
        
          
        
        1700000.00000000
        PA
        USD
        1829642.00000000
        0.105979510363
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2048-04-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Mexican States
        254900EGTWEU67VP6075
        
        91087BAE0
        
          
        
        200000.00000000
        PA
        USD
        203700.00000000
        0.011799043890
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2028-01-11
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140J8MQ3
        
          
        
        469986.35000000
        PA
        USD
        487477.36000000
        0.028236459332
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        
        78081BAH6
        
          
        
        1475000.00000000
        PA
        USD
        1364714.25000000
        0.079049206348
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-09-02
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        
        000000000
        
          
        
        3450000.00000000
        OU
        Notional Amount
        USD
        -376265.62000000
        -0.02179467140
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -306237.14000000
            USD
            3450000.00000000
            USD
            -70028.48000000
          
        
        
          N
          N
          N
        
      
      
        MARTIN MARIETTA
        5299005MZ4WZECVATV08
        
        573284AX4
        
          
        
        3125000.00000000
        PA
        USD
        2665750.00000000
        0.154409922680
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-07-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        
        000000000
        
          
        
        1.00000000
        NC
        
        -2767.15000000
        -0.00016028337
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                French Government Bond Futures
                OATM2 COMDTY
              
            
            2022-06-08
            153911.38000000
            EUR
            -2767.15000000
          
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        
        58013MFR0
        
          
        
        650000.00000000
        PA
        USD
        680231.50000000
        0.039401479253
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418C6A7
        
          
        
        1342928.70000000
        PA
        USD
        1395259.68000000
        0.080818508602
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        4530000.00000000
        OU
        Notional Amount
        USD
        75822.69000000
        0.004391925612
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF PHILIPPINES
                REPUBLIC OF PHILIPPINES
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            71395.90000000
            USD
            0.00000000
            USD
            4530000.00000000
            USD
            4426.79000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        
        097023CP8
        
          
        
        300000.00000000
        PA
        USD
        268344.00000000
        0.015543459173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-02-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        4190000.00000000
        OU
        Notional Amount
        USD
        100221.03000000
        0.005805166085
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                SAUDI INTERNATIONAL BOND
                SAUDI INTERNATIONAL BOND
                
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            87250.12000000
            USD
            0.00000000
            USD
            4190000.00000000
            USD
            12970.91000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        9160000.00000000
        OU
        Notional Amount
        
        -348963.24000000
        -0.02021321838
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            CHF
            -134020.83000000
            CHF
            9160000.00000000
            CHF
            -204424.08000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RKG6
        
          
        
        325000.00000000
        PA
        USD
        296023.00000000
        0.017146727390
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        91282CDS7
        
          
        
        2920000.00000000
        PA
        USD
        2812096.89000000
        0.162886866118
        Long
        DBT
        UST
        US
        N
        
        1
        
          2025-01-15
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        
        37045VAT7
        
          
        
        200000.00000000
        PA
        USD
        223270.00000000
        0.012932609373
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179RJF7
        
          
        
        1921568.83000000
        PA
        USD
        1994080.57000000
        0.115504389620
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        -5830000.00000000
        NC
        USD
        -1.17000000
        -0.00000006777
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    N/A
                    
                      
                    
                    5830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1.17000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5830000.00000000
                  USD
                
              
            
            1.00000000
            1.69000000
            USD
            2022-04-04
            XXXX
            70046.28000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        
        74365PAD0
        
          
        
        230000.00000000
        PA
        USD
        172500.00000000
        0.009991826563
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-08-03
          Fixed
          4.02700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -4850000.00000000
        NC
        
        -39.70000000
        -0.00000229956
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    4850000.00000000
                    OU
                    Notional Amount
                    N/A
                    -39.70000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4850000.00000000
                  EUR
                
              
            
            1.00000000
            0.74300000
            EUR
            2022-04-07
            XXXX
            59794.15000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128LXFW5
        
          
        
        52032.94000000
        PA
        USD
        55534.15000000
        0.003216739682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138EKF83
        
          
        
        163386.60000000
        PA
        USD
        163063.16000000
        0.009445210513
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        
        378272AT5
        
          
        
        1300000.00000000
        PA
        USD
        1318759.00000000
        0.076387311347
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        
        666807BM3
        
          
        
        1925000.00000000
        PA
        USD
        1922690.00000000
        0.111369188497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        
        760759AU4
        
          
        
        1650000.00000000
        PA
        USD
        1633351.50000000
        0.094609651627
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        
        46647PAY2
        
          
        
        3025000.00000000
        PA
        USD
        3073460.50000000
        0.178025995748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          4.02300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        30560000.00000000
        OU
        Notional Amount
        
        -138345.56000000
        -0.00801347734
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            SEK
            -755526.00000000
            SEK
            30560000.00000000
            SEK
            -60009.69000000
          
        
        
          N
          N
          N
        
      
      
        MACQUARIE BANK LTD
        4ZHCHI4KYZG2WVRT8631
        
        556079AD3
        
          
        
        2550000.00000000
        PA
        USD
        2234157.00000000
        0.129410488465
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2036-03-03
          Fixed
          3.05200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        
        459506AR2
        
          
        
        950000.00000000
        PA
        USD
        844892.00000000
        0.048939213502
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          3.26800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        
        780097BM2
        
          
        
        500000.00000000
        PA
        USD
        496250.00000000
        0.028744602505
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-11-01
          Fixed
          3.75400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        
        84861TAF5
        
          
        
        1200000.00000000
        PA
        USD
        1156968.00000000
        0.067015788961
        Long
        DBT
        
        US
        N
        
        2
        
          2030-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        
        24703TAD8
        
          
        
        2351000.00000000
        PA
        USD
        2550882.02000000
        0.147756352049
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        
        78409VAZ7
        
          
        
        1775000.00000000
        PA
        USD
        1869808.08000000
        0.108306075610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        
        6174824M3
        
          
        
        2200000.00000000
        PA
        USD
        2237290.00000000
        0.129591963204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New Orleans LA Water System Revenue
        N/A
        
        647753MD1
        
          
        
        105000.00000000
        PA
        USD
        94832.12000000
        0.005493020844
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-12-01
          Fixed
          1.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138NYHT5
        
          
        
        21446.95000000
        PA
        USD
        21531.83000000
        0.001247201802
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        
        72650RBN1
        
          
        
        875000.00000000
        PA
        USD
        856765.00000000
        0.049626940787
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        
        785592AM8
        
          
        
        1650000.00000000
        PA
        USD
        1744627.50000000
        0.101055161729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q9HJ5
        
          
        
        279970.35000000
        PA
        USD
        289317.97000000
        0.016758347698
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RELIANCE INDUSTRIES LTD
        5493003UOETFYRONLG31
        
        759470BB2
        
          
        
        480000.00000000
        PA
        USD
        439324.80000000
        0.025447288155
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2032-01-12
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -2210000.00000000
        NC
        
        -2574.53000000
        -0.00014912612
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    2210000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2574.53000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2210000.00000000
                  GBP
                
              
            
            1.00000000
            0.36300000
            GBP
            2022-09-08
            XXXX
            38337.39000000
          
        
        
          N
          N
          N
        
      
      
        Stryker Corp
        5493002F0SC4JTBU5137
        
        863667AH4
        
          
        
        475000.00000000
        PA
        USD
        478933.00000000
        0.027741538966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        
        25179MAL7
        
          
        
        180000.00000000
        PA
        USD
        207964.80000000
        0.012046076596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-07-15
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        
        00914AAF9
        
          
        
        2250000.00000000
        PA
        USD
        2163510.00000000
        0.125318357617
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        
        17327CAQ6
        
          
        
        3725000.00000000
        PA
        USD
        3486562.75000000
        0.201954378560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-01-25
          Fixed
          3.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        
        61761JZN2
        
          
        
        4000000.00000000
        PA
        USD
        4076080.00000000
        0.236101358956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-23
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        
        125523AG5
        
          
        
        5100000.00000000
        PA
        USD
        5260089.00000000
        0.304683460857
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bay Area Toll Authority
        5493001FUZGUQMIP5D78
        
        072024XE7
        
          
        
        820000.00000000
        PA
        USD
        750790.11000000
        0.043488490231
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-04-01
          Fixed
          1.63300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        
        000000000
        
          
        
        360000.00000000
        PA
        
        318599.93000000
        0.018454465181
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        
        097023CB9
        
          
        
        100000.00000000
        PA
        USD
        87749.00000000
        0.005082740806
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WLCY7
        
          
        
        900448.34000000
        PA
        USD
        949254.62000000
        0.054984275524
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        
        000000000
        
          
        
        839000.00000000
        PA
        
        780800.76000000
        0.045226816085
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2033-10-25
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Board of Administration Finance Corp
        549300S34SOJ0RULXM35
        
        341271AF1
        
          
        
        595000.00000000
        PA
        USD
        543126.35000000
        0.031459850964
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-07-01
          Fixed
          2.15400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        
        961214EF6
        
          
        
        700000.00000000
        PA
        USD
        690837.00000000
        0.040015788335
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2034-07-24
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        635400EWI7RHQRLFJW85
        
        429827AY4
        
          
        
        1659211.49000000
        PA
        USD
        1662317.70000000
        0.096287479143
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.54800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        
        07274NAE3
        
          
        
        850000.00000000
        PA
        USD
        860701.50000000
        0.049854957166
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUKOIL SECURITIES BV
        724500IVNQ6LF8OFIO42
        
        54988LAB2
        
          
        
        590000.00000000
        PA
        USD
        303850.00000000
        0.017600095660
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-06
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        12350000.00000000
        OU
        Notional Amount
        
        -58635.51000000
        -0.00339638171
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-14
            64.84000000
            AUD
            0.00000000
            AUD
            12350000.00000000
            AUD
            -58682.74000000
          
        
        
          N
          N
          N
        
      
      
        LUKOIL SECURITIES BV
        724500IVNQ6LF8OFIO42
        
        000000000
        
          
        
        2340000.00000000
        PA
        USD
        1251900.00000000
        0.072514595218
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-06
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON BANCSHARES
        549300XTVCVV9I7B5T19
        
        446150AM6
        
          
        
        1625000.00000000
        PA
        USD
        1657353.75000000
        0.095999949129
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SA GLOBAL SUKUK LTD
        5493007DFAVKU7UOGR47
        
        78397PAD3
        
          
        
        5360000.00000000
        PA
        USD
        5078600.00000000
        0.294170958763
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-06-17
          Fixed
          2.69400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Tucson AZ
        N/A
        
        898735UM5
        
          
        
        100000.00000000
        PA
        USD
        92460.55000000
        0.005355650896
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-07-01
          Fixed
          1.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        8460000.00000000
        OU
        Notional Amount
        USD
        -201326.85000000
        -0.01166158242
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-02-09
            0.00000000
            USD
            -5172.33000000
            USD
            8460000.00000000
            USD
            -196154.52000000
          
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        
        65339KBW9
        
          
        
        2155000.00000000
        PA
        USD
        1985552.35000000
        0.115010404141
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        
        929227ZT6
        
          
        
        12554.47000000
        PA
        USD
        12082.98000000
        0.000699890090
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-02-25
          Variable
          2.61200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        
        756109BL7
        
          
        
        1550000.00000000
        PA
        USD
        1464347.00000000
        0.084820297119
        Long
        DBT
        
        US
        N
        
        2
        
          2032-12-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        -4320000.00000000
        NC
        
        -52783.09000000
        -0.00305738829
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    N/A
                    
                      
                    
                    4320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -52783.09000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-05-05
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4320000.00000000
                  EUR
                
              
            
            1.00000000
            1.22600000
            EUR
            2022-05-03
            XXXX
            -4484.25000000
          
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO 3, Ltd.
        N/A
        
        40638UAA7
        
          
        
        6250000.00000000
        PA
        USD
        6226612.50000000
        0.360668012636
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-11-30
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGL CLO 3 Ltd.
        549300LS0REDUXQSHW18
        
        00119MAA7
        
          
        
        4100000.00000000
        PA
        USD
        4063911.80000000
        0.235396532614
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.54100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        
        404280BZ1
        
          
        
        1625000.00000000
        PA
        USD
        1633596.25000000
        0.094623828436
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-11
          Fixed
          3.80300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179VBG4
        
          
        
        795601.24000000
        PA
        USD
        803925.85000000
        0.046566305294
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        
        172967KU4
        
          
        
        4925000.00000000
        PA
        USD
        5002716.50000000
        0.289775510815
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-25
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        
        67113GAE7
        
          
        
        2000000.00000000
        PA
        USD
        1987654.00000000
        0.115132139343
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-18
          Floating
          1.69100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        
        097023CW3
        
          
        
        2725000.00000000
        PA
        USD
        3144622.75000000
        0.182147971747
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.80500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140J7R98
        
          
        
        251763.51000000
        PA
        USD
        261172.49000000
        0.015128059265
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        
        35137LAG0
        
          
        
        700000.00000000
        PA
        USD
        714630.00000000
        0.041393965317
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Houston TX Airport System Revenue
        N/A
        
        442349ER3
        
          
        
        355000.00000000
        PA
        USD
        330192.35000000
        0.019125940254
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-07-01
          Fixed
          2.23500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        
        46647PCU8
        
          
        
        3475000.00000000
        PA
        USD
        3279566.00000000
        0.189964374935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-01-25
          Fixed
          2.96300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140QBZE1
        
          
        
        1472689.26000000
        PA
        USD
        1457348.11000000
        0.084414895989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31416BY36
        
          
        
        1069.92000000
        PA
        USD
        1086.96000000
        0.000062960671
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        
        313383YJ4
        
          
        
        3500000.00000000
        PA
        USD
        3560550.00000000
        0.206239988821
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-09-08
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -18900000.00000000
        NC
        USD
        -3766.77000000
        -0.00021818500
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    18900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3766.77000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  18900000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            56713.23000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        2160000.00000000
        OU
        Notional Amount
        
        -126246.69000000
        -0.00731266684
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2033-12-18
            11392.85000000
            CAD
            0.00000000
            CAD
            2160000.00000000
            CAD
            -129817.17000000
          
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        
        404119CA5
        
          
        
        1590000.00000000
        PA
        USD
        1530375.00000000
        0.088644878710
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        
        22550L2G5
        
          
        
        4135000.00000000
        PA
        USD
        3779886.20000000
        0.218944738209
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-08-07
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        
        92840VAD4
        
          
        
        3350000.00000000
        PA
        USD
        3320151.50000000
        0.192315234512
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP WORLD PLC
        549300M3U2DNF4QVSS04
        
        23330JAA9
        
          
        
        100000.00000000
        PA
        USD
        120393.75000000
        0.006973643300
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2037-07-02
          Fixed
          6.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLP Trust
        N/A
        
        23345LAA7
        
          
        
        4650000.00000000
        PA
        USD
        4370856.83000000
        0.253175903654
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-05-10
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        11620000.00000000
        OU
        Notional Amount
        
        -65949.62000000
        -0.00382004153
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-12-15
            0.00000000
            NZD
            -12879.59000000
            NZD
            11620000.00000000
            NZD
            -56735.10000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        8150000.00000000
        OU
        Notional Amount
        USD
        87297.09000000
        0.005056564537
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-02-09
            0.00000000
            USD
            -56.51000000
            USD
            8150000.00000000
            USD
            87353.60000000
          
        
        
          N
          N
          N
        
      
      
        CONSTELLATION BRANDS INC
        5493005GKEG8QCVY7037
        
        21036PBE7
        
          
        
        1425000.00000000
        PA
        USD
        1375823.25000000
        0.079692679979
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        
        00206RFU1
        
          
        
        725000.00000000
        PA
        USD
        830516.50000000
        0.048106532326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        05608RAG0
        
          
        
        2750000.00000000
        PA
        USD
        2688761.74000000
        0.155742846245
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.04300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UXW7
        
          
        
        3222917.45000000
        PA
        USD
        3354953.61000000
        0.194331099133
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        
        05971KAC3
        
          
        
        800000.00000000
        PA
        USD
        775336.00000000
        0.044910277337
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-06-27
          Fixed
          3.30600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136ABDT7
        
          
        
        295415.87000000
        PA
        USD
        332575.26000000
        0.019263967056
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128LXBH2
        
          
        
        7666.51000000
        PA
        USD
        8249.38000000
        0.000477834053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        
        666807BN1
        
          
        
        2750000.00000000
        PA
        USD
        2750852.50000000
        0.159339368594
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417GMA1
        
          
        
        20364.32000000
        PA
        USD
        20457.65000000
        0.001184981395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNILEVER CAPITAL CORP
        MYF1DAS6G5WY7PRWCU78
        
        904764BR7
        
          
        
        925000.00000000
        PA
        USD
        774687.50000000
        0.044872713861
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2051-08-12
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31416BY28
        
          
        
        1393.53000000
        PA
        USD
        1414.16000000
        0.000081913283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KHE2
        
          
        
        710000.00000000
        PA
        USD
        699172.15000000
        0.040498590498
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        8930000.00000000
        OU
        Notional Amount
        USD
        -23735.05000000
        -0.00137482030
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-11-15
            0.00000000
            USD
            -45088.75000000
            USD
            8930000.00000000
            USD
            21353.70000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31296NV61
        
          
        
        5175.89000000
        PA
        USD
        5536.17000000
        0.000320675075
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q9TW3
        
          
        
        700114.96000000
        PA
        USD
        739867.70000000
        0.042855824571
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300Y43K78UTRMTN21
        
        69700GAJ1
        
          
        
        6000000.00000000
        PA
        USD
        5960742.00000000
        0.345267827567
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-11-14
          Floating
          1.54500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -5830000.00000000
        NC
        USD
        -84530.34000000
        -0.00489630432
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    
                    N/A
                    
                      
                    
                    5830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -84530.34000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5830000.00000000
                  USD
                
              
            
            1.00000000
            2.01000000
            USD
            2022-04-19
            XXXX
            -27542.09000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        
        46647PBL9
        
          
        
        100000.00000000
        PA
        USD
        92599.00000000
        0.005363670423
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-22
          Fixed
          2.52200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -2720000.00000000
        NC
        
        -10804.43000000
        -0.00062583183
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    
                    N/A
                    
                      
                    
                    2720000.00000000
                    OU
                    Notional Amount
                    N/A
                    -10804.43000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-11-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2720000.00000000
                  GBP
                
              
            
            1.00000000
            0.55250000
            GBP
            2022-11-15
            XXXX
            51020.90000000
          
        
        
          N
          N
          N
        
      
      
        3650R Commercial Mortgage Trust
        N/A
        
        88581EAH4
        
          
        
        2526000.00000000
        PA
        USD
        2330131.94000000
        0.134969705595
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-11-15
          Fixed
          2.77800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        9128284A5
        
          
        
        19650000.00000000
        PA
        USD
        19824240.28000000
        1.148292003688
        Long
        DBT
        UST
        US
        N
        
        1
        
          2023-02-28
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Recette CLO LLC
        549300392I5L5XOJ0016
        
        75620TAW8
        
          
        
        7000000.00000000
        PA
        USD
        6900250.00000000
        0.399687543458
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          1.33400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132Y1WP9
        
          
        
        1317504.48000000
        PA
        USD
        1393830.41000000
        0.080735720092
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        06051GJL4
        
          
        
        5725000.00000000
        PA
        USD
        4988936.75000000
        0.288977337644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-24
          Fixed
          1.92200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q8KG9
        
          
        
        165943.27000000
        PA
        USD
        172482.02000000
        0.009990785096
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06540BBD0
        
          
        
        950000.00000000
        PA
        USD
        917283.62000000
        0.053132399077
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-10-17
          Fixed
          2.85100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        13700000.00000000
        NC
        USD
        2807.13000000
        0.000162599165
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    13700000.00000000
                    OU
                    Notional Amount
                    N/A
                    2807.13000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13700000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2022-11-14
            XXXX
            -135856.84000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417FU63
        
          
        
        359810.66000000
        PA
        USD
        361459.64000000
        0.020937055261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Entergy Corp
        4XM3TW50JULSLG8BNC79
        
        29364GAJ2
        
          
        
        1025000.00000000
        PA
        USD
        1009327.75000000
        0.058463929414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        1660000.00000000
        OU
        Notional Amount
        
        -166563.53000000
        -0.00964796465
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-12-15
            0.00000000
            CAD
            -87529.24000000
            CAD
            1660000.00000000
            CAD
            -87965.34000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W0FU8
        
          
        
        34107.51000000
        PA
        USD
        34242.50000000
        0.001983449977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417JSB7
        
          
        
        6256.90000000
        PA
        USD
        6598.85000000
        0.000382229360
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO BANK NV
        BFXS5XCH7N0Y05NIXW11
        
        000000000
        
          
        
        1600000.00000000
        PA
        
        1774796.31000000
        0.102802648785
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-09-22
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERRIGO FINANCE UNLIMITE
        549300E86RB6YCTMRM83
        
        71429MAB1
        
          
        
        2975000.00000000
        PA
        USD
        2952687.50000000
        0.171030384910
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2026-03-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        
        29135LAC4
        
          
        
        460000.00000000
        PA
        USD
        461667.50000000
        0.026741458493
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2022-10-11
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        
        09659W2N3
        
          
        
        3025000.00000000
        PA
        USD
        2755472.50000000
        0.159606975775
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-13
          Fixed
          1.32300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138ANZG1
        
          
        
        45600.08000000
        PA
        USD
        48570.46000000
        0.002813377463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H030641
        
          
        
        59000000.00000000
        PA
        USD
        58318007.20000000
        3.377990802822
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Educational Funding of the South, Inc.
        N/A
        
        28148WAB9
        
          
        
        936254.18000000
        PA
        USD
        933759.72000000
        0.054086754634
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-04-25
          Floating
          0.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        21070000.00000000
        OU
        Notional Amount
        
        -1285439.38000000
        -0.07445731793
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            CAD
            -1008688.85000000
            CAD
            21070000.00000000
            CAD
            -489307.97000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179S2P1
        
          
        
        5224189.39000000
        PA
        USD
        5303944.69000000
        0.307223741717
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        
        858119BL3
        
          
        
        490000.00000000
        PA
        USD
        474800.20000000
        0.027502152178
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        
        26078JAF7
        
          
        
        75000.00000000
        PA
        USD
        90778.50000000
        0.005258220450
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-15
          Fixed
          5.41900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        
        21036PAQ1
        
          
        
        625000.00000000
        PA
        USD
        632362.50000000
        0.036628732901
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        3120000.00000000
        OU
        Notional Amount
        
        4279.86000000
        0.000247905036
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-31
            28.24000000
            EUR
            0.00000000
            EUR
            3120000.00000000
            EUR
            35292.23000000
          
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        
        756109BG8
        
          
        
        400000.00000000
        PA
        USD
        411368.00000000
        0.023827928752
        Long
        DBT
        
        US
        N
        
        2
        
          2027-08-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        
        01882YAA4
        
          
        
        825000.00000000
        PA
        USD
        834042.00000000
        0.048310742092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        312941Z42
        
          
        
        4051.13000000
        PA
        USD
        4354.11000000
        0.000252205866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        
        87264ABF1
        
          
        
        2800000.00000000
        PA
        USD
        2811760.00000000
        0.162867352225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lennar Corp
        529900G61XVRLX5TJX09
        
        526057CD4
        
          
        
        1235000.00000000
        PA
        USD
        1287746.85000000
        0.074590974975
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-29
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        
        05583JAH5
        
          
        
        1675000.00000000
        PA
        USD
        1548587.75000000
        0.089699827343
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-10-06
          Fixed
          1.65200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        
        225401AC2
        
          
        
        1400000.00000000
        PA
        USD
        1400014.00000000
        0.081093896086
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2028-01-09
          Fixed
          4.28200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        27400000.00000000
        OU
        Notional Amount
        
        -1610238.65000000
        -0.09327087140
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            AUD
            -667415.75000000
            AUD
            27400000.00000000
            AUD
            -958968.48000000
          
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        
        67112RAS3
        
          
        
        2150000.00000000
        PA
        USD
        2136048.65000000
        0.123727696478
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-07-02
          Floating
          1.39400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        
        251526CK3
        
          
        
        2095000.00000000
        PA
        USD
        1885500.00000000
        0.109215008614
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2032-05-28
          Fixed
          3.03500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        
        70450YAD5
        
          
        
        3000000.00000000
        PA
        USD
        2952660.00000000
        0.171028792010
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        
        000000000
        
          
        
        1100000.00000000
        OU
        Notional Amount
        USD
        -87828.18000000
        -0.00508732719
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -299489.33000000
            USD
            1100000.00000000
            USD
            211661.15000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        659080000.00000000
        OU
        Notional Amount
        
        139901.56000000
        0.008103606513
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            15167412.00000000
            JPY
            0.00000000
            JPY
            659080000.00000000
            JPY
            9889.41000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179T7M1
        
          
        
        1034643.26000000
        PA
        USD
        1078808.66000000
        0.062488516093
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        
        883556CK6
        
          
        
        450000.00000000
        PA
        USD
        412231.50000000
        0.023877945809
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Municipal Improvement Corp of Los Angeles
        549300ZJ0YLTZNSR8F57
        
        5445872Y3
        
          
        
        2295000.00000000
        PA
        USD
        2057464.29000000
        0.119175804909
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.07400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        
        637417AG1
        
          
        
        790000.00000000
        PA
        USD
        802442.50000000
        0.046480384274
        Long
        DBT
        
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIKE INC
        787RXPR0UX0O0XUXPZ81
        
        654106AM5
        
          
        
        925000.00000000
        PA
        USD
        918663.75000000
        0.053212341219
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-27
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132L5TJ2
        
          
        
        8929.13000000
        PA
        USD
        9314.60000000
        0.000539535464
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131Y9XR9
        
          
        
        196708.30000000
        PA
        USD
        204282.55000000
        0.011832787302
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        
        780097BE0
        
          
        
        1883000.00000000
        PA
        USD
        1884995.98000000
        0.109185813945
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-05-15
          Fixed
          3.49800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARIZONA PUBLIC SERVICE
        YG6VT0TPHRH4TFVAQV64
        
        040555CW2
        
          
        
        1175000.00000000
        PA
        USD
        1148304.00000000
        0.066513938611
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        
        29135LAA8
        
          
        
        420000.00000000
        PA
        USD
        430500.00000000
        0.024936123685
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2027-10-11
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H032647
        
          
        
        51000000.00000000
        PA
        USD
        51299925.90000000
        2.971478042475
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New Orleans LA Sewerage Service Revenue
        N/A
        
        647719QC0
        
          
        
        110000.00000000
        PA
        USD
        98713.95000000
        0.005717870538
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-06-01
          Fixed
          1.40900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        
        05583JAF9
        
          
        
        2250000.00000000
        PA
        USD
        2277630.00000000
        0.131928602530
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGET CORP
        8WDDFXB5T1Z6J0XC1L66
        
        87612EBN5
        
          
        
        900000.00000000
        PA
        USD
        828828.00000000
        0.048008728273
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-01-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        1.00000000
        NC
        
        -113.50000000
        -0.00000657433
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            45366.83000000
            USD
            65341.83000000
            NZD
            2022-05-12
            -113.50000000
          
        
        
          N
          N
          N
        
      
      
        American Municipal Power Inc
        EARKGGZJJEMVD66XQ486
        
        02765UEQ3
        
          
        
        1640000.00000000
        PA
        USD
        2067103.23000000
        0.119734127325
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-02-15
          Fixed
          6.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        
        878742BG9
        
          
        
        900000.00000000
        PA
        USD
        898533.00000000
        0.052046295059
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-07-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADOBE INC
        FU4LY2G4933NH2E1CP29
        
        00724PAC3
        
          
        
        1400000.00000000
        PA
        USD
        1359862.00000000
        0.078768146403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        
        92936UAA7
        
          
        
        505000.00000000
        PA
        USD
        518332.00000000
        0.030023672153
        Long
        DBT
        
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        
        91913YAY6
        
          
        
        1150000.00000000
        PA
        USD
        1136154.00000000
        0.065810166479
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        14390000.00000000
        OU
        Notional Amount
        
        1420401.91000000
        0.082274837887
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            1133022.46000000
            EUR
            0.00000000
            EUR
            14390000.00000000
            EUR
            274808.81000000
          
        
        
          N
          N
          N
        
      
      
        WEYERHAEUSER CO
        08IRJODWFYBI7QWRGS31
        
        962166CA0
        
          
        
        900000.00000000
        PA
        USD
        876789.00000000
        0.050786803600
        Long
        DBT
        
        US
        N
        
        2
        
          2033-03-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        
        126650DL1
        
          
        
        200000.00000000
        PA
        USD
        208210.00000000
        0.012060279471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        
        23291KAG0
        
          
        
        1725000.00000000
        PA
        USD
        1691724.75000000
        0.097990842293
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138LSR85
        
          
        
        27258.52000000
        PA
        USD
        27366.41000000
        0.001585161868
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        
        337738AS7
        
          
        
        2775000.00000000
        PA
        USD
        2759598.75000000
        0.159845983162
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OHIO POWER COMPANY
        06ZODLC132CY1O2Y7D77
        
        677415CS8
        
          
        
        675000.00000000
        PA
        USD
        637827.75000000
        0.036945300032
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179NLE6
        
          
        
        26842.29000000
        PA
        USD
        27888.76000000
        0.001615418278
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        
        30212PBK0
        
          
        
        475000.00000000
        PA
        USD
        494342.00000000
        0.028634084215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UKY7
        
          
        
        5153478.09000000
        PA
        USD
        5353969.52000000
        0.310121361574
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        300000.00000000
        OU
        Notional Amount
        
        6499.21000000
        0.000376457849
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            3012.45000000
            EUR
            0.00000000
            EUR
            300000.00000000
            EUR
            3145.28000000
          
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        
        36962G3P7
        
          
        
        700000.00000000
        PA
        USD
        841610.00000000
        0.048749108141
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-01-14
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        
        958667AB3
        
          
        
        1125000.00000000
        PA
        USD
        1113750.00000000
        0.064512445422
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        912810RG5
        
          
        
        210000.00000000
        PA
        USD
        235593.75000000
        0.013646445736
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UPB2
        
          
        
        709092.88000000
        PA
        USD
        736679.50000000
        0.042671152446
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179WB23
        
          
        
        3324185.01000000
        PA
        USD
        3357493.44000000
        0.194478215312
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        
        026874DH7
        
          
        
        3875000.00000000
        PA
        USD
        3973231.25000000
        0.230143985784
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        9660000.00000000
        OU
        Notional Amount
        
        -132561.80000000
        -0.00767846095
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-18
            0.00000000
            CAD
            -47195.71000000
            CAD
            9660000.00000000
            CAD
            -95330.95000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        3620A7LX1
        
          
        
        39307.73000000
        PA
        USD
        41673.11000000
        0.002413857898
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        
        55336VAM2
        
          
        
        275000.00000000
        PA
        USD
        280244.25000000
        0.016232764878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300VI1BOFEK7C6D74
        
        92332TAB8
        
          
        
        6900000.00000000
        PA
        USD
        6854121.90000000
        0.397015636357
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.52100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        
        172967LZ2
        
          
        
        1795000.00000000
        PA
        USD
        1818209.35000000
        0.105317289749
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          4.04400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        -2480000.00000000
        NC
        
        -11134.36000000
        -0.00064494257
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    N/A
                    
                      
                    
                    2480000.00000000
                    OU
                    Notional Amount
                    N/A
                    -11134.36000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2480000.00000000
                  GBP
                
              
            
            1.00000000
            0.59900000
            GBP
            2022-11-16
            XXXX
            45395.19000000
          
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        
        90351DAB3
        
          
        
        2550000.00000000
        PA
        USD
        2597226.00000000
        0.150440763703
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-24
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CUBESMART LP
        549300MPHKO3I3FJRA97
        
        22966RAJ5
        
          
        
        2350000.00000000
        PA
        USD
        2104542.50000000
        0.121902745832
        Long
        DBT
        
        US
        N
        
        2
        
          2032-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President