Form NPORT-P Legg Mason ETF Investmen For: Mar 31

May 19, 2022 5:30 PM EDT

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    NPORT-P
    false
    
      
      
        
          0001645194
          XXXXXXXX
        
      
      
      
      
        S000059365
        C000194756
      
      
    
  
  
    
      Legg Mason ETF Investment Trust
      811-23096
      0001645194
      549300D7ZZ1A7JJ9G964
      620 Eighth Avenue
      47thFloor
      New York
      
      10018
      1-877-721-1926
      Western Asset Total Return ETF
      S000059365
      549300IW55ZZ0YDJ0R05
      2022-03-31
      2022-03-31
      N
    
    
      159338592.16
      46065037.96
      113273554.20
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      848827.84000000
      6303746.14000000
      0.00000000
      1010286.10000000
      
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          IDR
          
          
        
        
          JPY
          
          
        
        
          MXN
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XFHS3
        
          
        
        99085.08000000
        PA
        USD
        98073.56000000
        0.086581162472
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773CX6
        
          
          
        
        10000.00000000
        PA
        USD
        10123.27000000
        0.008937011000
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
          
        
        250000.00000000
        PA
        USD
        247253.33000000
        0.218279837466
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROCHE HOLDINGS INC
        PVJRP0EQNV6OGDPZGY95
        Roche Holdings Inc
        771196BY7
        
          
          
        
        200000.00000000
        PA
        USD
        173235.47000000
        0.152935494276
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2051-12-13
          Fixed
          2.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hunter Douglas Inc
        529900811T142NS3H544
        HUNTER DOUGLAS INC 2/29TL
        000000000
        
          
        
        109714.28550000
        PA
        USD
        107382.86000000
        0.094799585621
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2029-02-25
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GILEAD SCIENCES INC
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558BF9
        
          
          
        
        40000.00000000
        PA
        USD
        40680.39000000
        0.035913404754
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SP4
        
          
          
        
        2060000.00000000
        PA
        USD
        1585556.25000000
        1.399758541345
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-08-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFR0
        
          
          
        
        60000.00000000
        PA
        USD
        52312.21000000
        0.046182191747
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-20
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XCZ68
        
          
        
        96878.79000000
        PA
        USD
        92988.26000000
        0.082091765069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BWAY Mortgage Trust
        N/A
        BWAY 2015-1740 Mortgage Trust
        05604LAL6
        
          
        
        500000.00000000
        PA
        USD
        430989.05000000
        0.380485147697
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-10
          Variable
          4.44990700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AQ4
        
          
          
        
        30000.00000000
        PA
        USD
        29686.40000000
        0.026207705946
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-06-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SZ2
        
          
          
        
        100000.00000000
        PA
        USD
        90218.75000000
        0.079646790141
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CDS CDX.NA.IG.38.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        -11730.75000000
        -0.01035612423
        N/A
        DCR
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            
              
                IHS MARKIT LTD
                CDX.NA.IG.38.V1
                
                  
                  
                
              
            
            Y
            
            Default Event
            2032-06-20
            0.00000000
            USD
            -21893.72000000
            USD
            -3762000.00000000
            USD
            10162.97000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FTZ38
        
          
        
        131487.87000000
        PA
        USD
        133974.47000000
        0.118275153407
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO 3, Ltd.
        N/A
        HalseyPoint CLO 3 Ltd
        40638UAA7
        
          
        
        250000.00000000
        PA
        USD
        248021.58000000
        0.218958062852
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-11-30
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2004-NC8
        61744CHP4
        
          
        
        169940.97000000
        PA
        USD
        165947.53000000
        0.146501565323
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-25
          Floating
          1.37157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RBK7
        
          
          
        
        19000.00000000
        PA
        USD
        19177.74000000
        0.016930465487
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-06-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBC2
        
          
          
        
        10000.00000000
        PA
        USD
        10191.16000000
        0.008996945555
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BM5
        
          
          
        
        80000.00000000
        PA
        USD
        82173.19000000
        0.072544020164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAM2
        
          
          
        
        30000.00000000
        PA
        USD
        29250.00000000
        0.025822443911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13645RBG8
        
          
          
        
        20000.00000000
        PA
        USD
        17991.14000000
        0.015882912942
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2041-12-02
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Grippen Park CLO LTD
        549300P7KR0IARP7PG22
        Grippen Park CLO Ltd
        39862DAA4
        
          
        
        250000.00000000
        PA
        USD
        243997.92000000
        0.215405900983
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-20
          Floating
          5.95400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDL2
        
          
          
        
        20000.00000000
        PA
        USD
        16865.32000000
        0.014889018111
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-01-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKE1
        
          
          
        
        20000.00000000
        PA
        USD
        17143.85000000
        0.015134909574
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-02-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NVIDIA CORP
        549300S4KLFTLO7GSQ80
        NVIDIA Corp
        67066GAF1
        
          
          
        
        20000.00000000
        PA
        USD
        19677.59000000
        0.017371742362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP GLOBAL MARKETS INC.
        MBNUM2BPBDO7JBLYG310
        SWOP IRS USD
        000000000
        
          
        
        -15900000.00000000
        NC
        USD
        -404847.74000000
        -0.35740711312
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CITIGROUP GLOBAL MARKETS INC.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    CITIGROUP GLOBAL MARKETS INC.
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC.
                    MBNUM2BPBDO7JBLYG310
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  
                    
                      
                    
                  
                  
                  2022-05-03
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            1.30000000
            USD
            2022-05-03
            XXXX
            -357023.56000000
          
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HBC0
        
          
          
        
        200000.00000000
        PA
        USD
        200414.05000000
        0.176929250093
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-01-12
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YK2P7
        
          
        
        36803.80000000
        PA
        USD
        37494.52000000
        0.033100859476
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MKK99
        
          
        
        47144.41000000
        PA
        USD
        49260.78000000
        0.043488332601
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HLL2
        
          
          
        
        110000.00000000
        PA
        USD
        124434.88000000
        0.109853425964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QHD36
        
          
        
        87019.66000000
        PA
        USD
        83169.11000000
        0.073423236859
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        USD CALL VERSUS EUR PUT
        000000000
        
          
        
        -611540.00000000
        NC
        USD
        -9757.96000000
        -0.00861450853
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    USD CALL VERSUS EUR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2022-04-08
                
              
            
            1.00000000
            USD
            1.12450000
            USD
            2022-04-08
            XXXX
            -7227.71000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ACE3
        
          
          
        
        130000.00000000
        PA
        USD
        122327.40000000
        0.107992903430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAS9
        
          
          
        
        60000.00000000
        PA
        USD
        63880.79000000
        0.056395149292
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HTWQ8
        
          
        
        9627.69000000
        PA
        USD
        9799.10000000
        0.008650827696
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-05-01
          Fixed
          3.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAD39
        
          
        
        71350.06000000
        PA
        USD
        72502.71000000
        0.064006740595
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDP4
        
          
          
        
        20000.00000000
        PA
        USD
        20970.14000000
        0.018512829537
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFT6
        
          
          
        
        150000.00000000
        PA
        USD
        127598.75000000
        0.112646549233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-20
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KYVX4
        
          
        
        38789.85000000
        PA
        USD
        35151.42000000
        0.031032327226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SAR4
        
          
          
        
        10000.00000000
        PA
        USD
        10335.83000000
        0.009124662921
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-01-31
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2018-IND
        056059AS7
        
          
        
        133000.01000000
        PA
        USD
        131996.55000000
        0.116529008851
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-15
          Floating
          2.44700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CQB3
        
          
        
        58659.92000000
        PA
        USD
        60399.32000000
        0.053321642837
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XGFQ7
        
          
        
        200000.00000000
        PA
        USD
        197958.18000000
        0.174761162389
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harbor Freight Tools USA Inc
        549300Y48HLCFTTB4249
        HARBOR FREIGHT 10/19/27
        41151PAP0
        
          
          
        
        246875.00000000
        PA
        USD
        241320.31000000
        0.213042057084
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-10-19
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CL0
        
          
          
        
        20000.00000000
        PA
        USD
        20018.78000000
        0.017672951238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-16
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582BF8
        
          
          
        
        50000.00000000
        PA
        USD
        53936.83000000
        0.047616436493
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2045-05-11
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        N/A
        Fannie Mae or Freddie Mac
        01F032666
        
          
        
        1400000.00000000
        PA
        USD
        1393968.37000000
        1.230621198253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GFL Environmental Inc
        549300FYK4MBXWIVZU26
        GFL ENVIRONMEN 5/31/25 TL
        000000000
        
          
          
        
        145140.54000000
        PA
        USD
        144414.84000000
        0.127492106184
        Long
        LON
        CORP
        CA
        N
        
        2
        
          2025-05-31
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DP2
        
          
          
        
        130000.00000000
        PA
        USD
        110838.00000000
        0.097849847462
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-21
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCK7
        
          
          
        
        218000.00000000
        PA
        USD
        197835.00000000
        0.174652416795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AB3
        
          
          
        
        40000.00000000
        PA
        USD
        39729.40000000
        0.035073853098
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Variable
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FED REPUBLIC OF BRAZIL
        254900ZFY40OYEADAP90
        Brazilian Government International Bond
        105756BW9
        
          
          
        
        550000.00000000
        PA
        USD
        488955.50000000
        0.431659007659
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2045-01-27
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -13243.06000000
        -0.01169121962
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -882293.00000000
            BRL
            171451.13000000
            USD
            2022-04-19
            -13243.06000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617M7WQ7
        
          
        
        489690.62000000
        PA
        USD
        494655.01000000
        0.436690641071
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCU3
        
          
          
        
        210000.00000000
        PA
        USD
        224019.86000000
        0.197768898117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AU4
        
          
          
        
        10000.00000000
        PA
        USD
        9893.72000000
        0.008734359992
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        6089.89000000
        0.005376268135
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Y
            
              
                
              
            
            
            2032-03-18
            4706.24000000
            USD
            0.00000000
            USD
            583000.00000000
            USD
            1364.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XDKM7
        
          
        
        97627.70000000
        PA
        USD
        90759.53000000
        0.080124200781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        86964WAJ1
        
          
          
        
        150000.00000000
        PA
        USD
        141225.00000000
        0.124676056116
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2031-01-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RLJ9
        
          
          
        
        67000.00000000
        PA
        USD
        59091.74000000
        0.052167286898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2055-09-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EOG RESOURCES INC
        XWTZDRYZPBUHIQBKDB46
        EOG Resources Inc
        26875PAN1
        
          
          
        
        40000.00000000
        PA
        USD
        41065.66000000
        0.036253528275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PEF5
        
          
          
        
        120000.00000000
        PA
        USD
        112711.86000000
        0.099504125915
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-05-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -833.28000000
        -0.00073563507
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -3869318.00000000
            CNY
            607931.88000000
            USD
            2022-04-19
            -833.28000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - BRL
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        64.53000000
        0.000056968283
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -198629.26000000
            USD
            949169.77000000
            BRL
            2022-04-19
            64.53000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - BRL
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2764.32000000
        0.002440393099
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -129524.70000000
            USD
            631951.00000000
            BRL
            2022-04-19
            2764.32000000
          
        
        
          N
          N
          N
        
      
      
        RADIOLOGY PARTNERS INC
        549300SFTAG2177WUZ08
        Radiology Partners Inc
        75041EAB8
        
          
        
        134596.79000000
        PA
        USD
        132650.52000000
        0.117106345728
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-07-09
          Floating
          4.70510000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-81
        12668BBN2
        
          
          
        
        146422.33000000
        PA
        USD
        125222.81000000
        0.110549025219
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Floating
          1.01657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON TLB BORROWER 1 US
        635400O84AGITYFZQB55
        Avolon TLB Borrower 1 US LLC
        05400KAH3
        
          
        
        207900.00000000
        PA
        USD
        205301.25000000
        0.181243761132
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2027-12-01
          Floating
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -66628.69000000
        -0.05882104651
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-10-20
            962.49000000
            USD
            0.00000000
            USD
            1170000.00000000
            USD
            -67636.19000000
          
        
        
          N
          N
          N
        
      
      
        Hunter Douglas Inc
        529900811T142NS3H544
        HUNTER DOUGLAS INC 2/29TL
        000000000
        
          
        
        40285.71450000
        PA
        USD
        39429.64000000
        0.034809219396
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2029-02-25
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCC7
        
          
          
        
        110000.00000000
        PA
        USD
        102575.59000000
        0.090555638272
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-25
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -128.00000000
        NC
        USD
        -242000.00000000
        -0.21364210005
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Put
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Short
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            124.50000000
            USD
            2022-04-22
            XXXX
            -214393.31000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBZ1
        
          
          
        
        240000.00000000
        PA
        USD
        238339.92000000
        0.210410913370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XAH96
        
          
        
        91757.57000000
        PA
        USD
        85417.38000000
        0.075408051423
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137H24R2
        
          
        
        97248.50000000
        PA
        USD
        13731.52000000
        0.012122441197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        IndyMac INDX Mortgage Loan Trust 2005-AR10
        45660LKW8
        
          
          
        
        182977.13000000
        PA
        USD
        160985.53000000
        0.142121019453
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          0.97657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HONEYWELL INTERNATIONAL
        ISRPG12PN4EIEOEMW547
        Honeywell International Inc
        438516CB0
        
          
          
        
        30000.00000000
        PA
        USD
        28897.11000000
        0.025510906057
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAP8
        
          
          
        
        70000.00000000
        PA
        USD
        68470.60000000
        0.060447118909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL SECS CLEARING
        549300RYC9NELN2ICA34
        National Securities Clearing Corp
        637639AB1
        
          
          
        
        250000.00000000
        PA
        USD
        239380.91000000
        0.211329918700
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-23
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPA4
        
          
        
        345101.40000000
        PA
        USD
        354709.55000000
        0.313144186659
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DF6
        
          
          
        
        400000.00000000
        PA
        USD
        376600.00000000
        0.332469482978
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2031-01-23
          Fixed
          2.78300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAF2
        
          
          
        
        200000.00000000
        PA
        USD
        198250.00000000
        0.175018786512
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-08-08
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468L6
        
          
          
        
        50000.00000000
        PA
        USD
        46918.32000000
        0.041420365354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-22
          Fixed
          2.69900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BT6
        
          
          
        
        30000.00000000
        PA
        USD
        27341.85000000
        0.024137893609
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-12
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -240239.59000000
        -0.21208797737
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2024-06-04
            0.00000000
            USD
            0.00000000
            USD
            11054000.00000000
            USD
            -240239.59000000
          
        
        
          N
          N
          N
        
      
      
        CITADEL SECURITIES LP
        549300NV5RXBUS3X7L47
        CITADEL SECURITIES LP
        17288YAD4
        
          
          
        
        137214.00000000
        PA
        USD
        136307.02000000
        0.120334371921
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-02-02
          Floating
          2.74140000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAN3
        
          
          
        
        10000.00000000
        PA
        USD
        10200.30000000
        0.009005014517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -27110.92000000
        -0.02393402431
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -7310000.00000000
            RUB
            59673.47000000
            USD
            2022-04-19
            -27110.92000000
          
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBG7
        
          
          
        
        4000.00000000
        PA
        USD
        4459.04000000
        0.003936523429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-02-14
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AC5
        
          
          
        
        240000.00000000
        PA
        USD
        236490.59000000
        0.208778290458
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-09-17
          Fixed
          4.34500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGH1
        
          
          
        
        40000.00000000
        PA
        USD
        37282.95000000
        0.032914081546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-22
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PBN1
        
          
          
        
        30000.00000000
        PA
        USD
        37680.52000000
        0.033265063735
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-10-15
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AH3
        
          
          
        
        10000.00000000
        PA
        USD
        10519.21000000
        0.009286554195
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBM3
        
          
          
        
        140000.00000000
        PA
        USD
        135715.20000000
        0.119811902220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-04-15
          Fixed
          3.45200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962GXZ2
        
          
          
        
        6000.00000000
        PA
        USD
        7558.47000000
        0.006672757867
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833DT4
        
          
          
        
        160000.00000000
        PA
        USD
        152770.10000000
        0.134868285081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-11
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CW3
        
          
          
        
        70000.00000000
        PA
        USD
        80831.59000000
        0.071359630737
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.80500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -12.00000000
        NC
        USD
        -750.00000000
        -0.00066211394
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            127.00000000
            USD
            2022-04-22
            XXXX
            7244.87000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        CURRENCY CONTRACT - RUB
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -481.98000000
        -0.00042550090
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            -5354.22000000
            USD
            410397.00000000
            RUB
            2022-04-19
            -481.98000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IMM EURODOLLAR TIME DEPOSIT
        000000000
        
          
          
        
        -35.00000000
        NC
        USD
        -13125.00000000
        -0.01158699406
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      NA
                      90 DAY EURO DOLLAR TIME DEPOSIT
                      
                        
                        
                      
                    
                  
                  2022-12-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.12500000
            USD
            2022-12-19
            XXXX
            17426.50000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F022642
        
          
        
        1200000.00000000
        PA
        USD
        1144875.00000000
        1.010716939258
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XYX6
        
          
          
        
        251175.18000000
        PA
        USD
        253066.88000000
        0.223412147510
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-07-25
          Floating
          2.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        06406RAN7
        
          
          
        
        30000.00000000
        PA
        USD
        28918.15000000
        0.025529480560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-24
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAH4
        
          
        
        20000.00000000
        PA
        USD
        20044.68000000
        0.017695816240
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XADE9
        
          
        
        91028.75000000
        PA
        USD
        84733.26000000
        0.074804097565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        175375.52000000
        0.154824770211
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2047-02-15
            417.18000000
            USD
            0.00000000
            USD
            1729000.00000000
            USD
            174729.37000000
          
        
        
          N
          N
          N
        
      
      
        PFIZER INC
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081EX7
        
          
          
        
        60000.00000000
        PA
        USD
        56741.39000000
        0.050092354213
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-28
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL MEDICAL RESPONSE
        549300ZFWD4ZFCEJCQ87
        Global Medical Response Inc
        00169QAF6
        
          
        
        88875.00000000
        PA
        USD
        88124.90000000
        0.077798300426
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-10-02
          Floating
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        5 YEAR US TREASURY NOTE WEEK 1
        000000000
        
          
          
        
        -3.00000000
        NC
        USD
        -164.06000000
        -0.00014483521
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Put
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    5 YEAR US TREASURY NOTE WEEK 1
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Short
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            114.25000000
            USD
            2022-04-01
            XXXX
            369.81000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        157021.77000000
        0.138621738418
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Y
            
              
                
              
            
            
            2045-07-20
            0.00000000
            USD
            0.00000000
            USD
            570000.00000000
            USD
            157021.77000000
          
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AA5
        
          
          
        
        120000.00000000
        PA
        USD
        117000.00000000
        0.103289775646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-01
          Variable
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        77610.64000000
        0.068516116182
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2026-11-20
            0.00000000
            USD
            -6175.65000000
            USD
            3570000.00000000
            USD
            83716.42000000
          
        
        
          N
          N
          N
        
      
      
        3M COMPANY
        LUZQVYP4VS22CLWDAR65
        3M Co
        88579YBJ9
        
          
          
        
        10000.00000000
        PA
        USD
        9509.75000000
        0.008395384136
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-26
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAQ6
        
          
          
        
        150000.00000000
        PA
        USD
        147563.78000000
        0.130272048972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        Qatar Energy
        74730DAD5
        
          
          
        
        200000.00000000
        PA
        USD
        183564.40000000
        0.162054065749
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2051-07-12
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AH0
        
          
          
        
        160000.00000000
        PA
        USD
        149099.32000000
        0.131627652238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-25
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AG5
        
          
          
        
        30000.00000000
        PA
        USD
        30920.99000000
        0.027297624956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TD0
        
          
          
        
        892000.00000000
        PA
        USD
        855483.75000000
        0.755236962450
        Long
        DBT
        UST
        US
        N
        
        2
        
          2052-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AQ3
        
          
          
        
        10000.00000000
        PA
        USD
        10841.75000000
        0.009571298505
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-01-23
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OSAKA EXCHANGE,INC
        3538001249AILNPRUX57
        JPN 10Y BOND(OSE)
        000000000
        
          
          
        
        -1.00000000
        NC
        
        8726.68000000
        0.007704075378
        N/A
        DIR
        CORP
        JP
        N
        
        1
        
          
            
              OSAKA EXCHANGE,INC
              3538001249AILNPRUX57
            
            Short
            
              
                JAPAN (10 YEAR ISSUE)
                Japan Government Ten Year Bond
                
                  
                  
                  
                
              
            
            2022-06-13
            -1242272.87000000
            USD
            8726.68000000
          
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBV6
        
          
          
        
        10000.00000000
        PA
        USD
        9225.63000000
        0.008144557717
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME SECURITY SERVICES BOR
        549300O6QPZVWXV2DC15
        Prime Security Services Borrower LLC
        03765VAK6
        
          
        
        32154.33960000
        PA
        USD
        31886.49000000
        0.028149986309
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-09-23
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IMM EURODOLLAR TIME DEPOSIT
        000000000
        
          
          
        
        -1.00000000
        NC
        USD
        -2581.25000000
        -0.00227877549
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Put
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Short
                  
                    
                      NA
                      90 DAY EURO DOLLAR TIME DEPOSIT
                      
                        
                        
                      
                    
                  
                  2022-06-13
                  0.00000000
                  USD
                
              
            
            2500.00000000
            99.50000000
            USD
            2022-06-13
            XXXX
            -2170.85000000
          
        
        
          N
          N
          N
        
      
      
        EATON CORP
        0NZWDMRCE180888QQE14
        Eaton Corp
        278062AC8
        
          
          
        
        50000.00000000
        PA
        USD
        50271.79000000
        0.044380871029
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-02
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -8.00000000
        NC
        USD
        -2125.00000000
        -0.00187598951
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            124.50000000
            USD
            2022-04-22
            XXXX
            1408.04000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCK8
        
          
        
        137734.61000000
        PA
        USD
        137761.78000000
        0.121618661101
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDU5
        
          
          
        
        30000.00000000
        PA
        USD
        34949.40000000
        0.030853980213
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-16
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140L57D2
        
          
        
        96487.50000000
        PA
        USD
        89793.65000000
        0.079271503957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - RUB
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8752.58000000
        -0.00772694038
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -105634.03000000
            USD
            8160492.70000000
            RUB
            2022-04-19
            -8752.58000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -4.00000000
        NC
        USD
        -9250.00000000
        -0.00816607200
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Put
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Short
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            125.00000000
            USD
            2022-04-22
            XXXX
            -8131.92000000
          
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404121AJ4
        
          
          
        
        40000.00000000
        PA
        USD
        43250.00000000
        0.038181904245
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAW5
        
          
          
        
        150000.00000000
        PA
        USD
        138328.07000000
        0.122118592443
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2028-10-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -4.00000000
        NC
        USD
        -625.00000000
        -0.00055176162
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            117.00000000
            USD
            2022-05-20
            XXXX
            0.89000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DMWN1
        
          
        
        95366.27000000
        PA
        USD
        91300.06000000
        0.080601390717
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trus
        N/A
        CSAIL 2021-C20 Commercial Mortgage Trust
        22945EAU5
        
          
        
        240000.00000000
        PA
        USD
        227701.61000000
        0.201019215480
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-03-15
          Fixed
          2.80480000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200JY8
        
          
          
        
        100000.00000000
        PA
        USD
        100661.38000000
        0.088865738089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377REA8
        
          
        
        200000.00000000
        PA
        USD
        193786.38000000
        0.171078219773
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-20
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAH7
        
          
          
        
        10000.00000000
        PA
        USD
        10168.75000000
        0.008977161590
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HALLIBURTON CO
        ENYF8GB5SMQZ25S06U51
        Halliburton Co
        406216BG5
        
          
          
        
        2000.00000000
        PA
        USD
        2042.45000000
        0.001803112839
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASURION LLC
        549300KNQVXGIOXWK278
        Asurion LLC
        04649VAV2
        
          
        
        15969.91000000
        PA
        USD
        15858.12000000
        0.013999843222
        Long
        LON
        CORP
        US
        N
        
        2
        
          2023-11-03
          Floating
          3.45510000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK & CO INC
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933YAZ8
        
          
          
        
        30000.00000000
        PA
        USD
        26635.99000000
        0.023514747275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-24
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        7233.56000000
        0.006385921277
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2051-06-07
            0.00000000
            USD
            -22.26000000
            USD
            172000.00000000
            USD
            7255.06000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KLVJ3
        
          
        
        277006.76000000
        PA
        USD
        258502.07000000
        0.228210434311
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN ENERGY CO
        EFWMP121W54QV9MGOP87
        Southwestern Energy Co
        845467AS8
        
          
          
        
        20000.00000000
        PA
        USD
        20324.20000000
        0.017942581693
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H040665
        
          
        
        100000.00000000
        PA
        USD
        101207.03000000
        0.089347448055
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NE7
        
          
          
        
        440000.00000000
        PA
        USD
        394748.18000000
        0.348491033752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-11-03
          Fixed
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JBUY0
        
          
        
        20000.00000000
        PA
        USD
        18788.29000000
        0.016586651785
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Variable
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LBF2
        
          
          
        
        10000.00000000
        PA
        USD
        10257.80000000
        0.009055776586
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allegany Park CLO, Ltd.
        549300D5KL0IVFLIND32
        Allegany Park CLO Ltd
        017154AQ8
        
          
        
        250000.00000000
        PA
        USD
        247528.12000000
        0.218522427188
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-20
          Floating
          2.30926000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        85967.83000000
        0.075893998918
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
              
                
              
            
            
            2023-11-18
            0.00000000
            USD
            -11630.12000000
            USD
            3140000.00000000
            USD
            97557.81000000
          
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89114QCH9
        
          
          
        
        80000.00000000
        PA
        USD
        75500.87000000
        0.066653571995
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-06-12
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAG8
        
          
          
        
        30000.00000000
        PA
        USD
        28845.24000000
        0.025465114257
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFF6
        
          
          
        
        50000.00000000
        PA
        USD
        51444.30000000
        0.045415984660
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AJ9
        
          
          
        
        160000.00000000
        PA
        USD
        175143.24000000
        0.154619709107
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-08-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EOG RESOURCES INC
        XWTZDRYZPBUHIQBKDB46
        EOG Resources Inc
        26875PAU5
        
          
          
        
        100000.00000000
        PA
        USD
        108270.55000000
        0.095583254860
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VKP4
        
          
        
        32125.89000000
        PA
        USD
        33396.08000000
        0.029482680433
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        04650NAB0
        
          
          
        
        20000.00000000
        PA
        USD
        22884.67000000
        0.020203012222
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-09-01
          Fixed
          5.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -43.00000000
        NC
        USD
        -3359.38000000
        -0.00296572313
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            129.50000000
            USD
            2022-05-20
            XXXX
            29675.61000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - RUB
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12883.26000000
        -0.01137358149
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -152643.64000000
            USD
            11772259.20000000
            RUB
            2022-04-19
            -12883.26000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XFSM4
        
          
        
        99541.97000000
        PA
        USD
        95328.05000000
        0.084157375190
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae-Aces
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae-Aces
        3136B2HC9
        
          
        
        97518.14000000
        PA
        USD
        98075.74000000
        0.086583087016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-25
          Variable
          3.12080600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARMACEUTICALS NE
        5493004T21MOAFINJP35
        Teva Pharmaceutical Finance Netherlands III BV
        88167AAQ4
        
          
          
        
        320000.00000000
        PA
        USD
        307590.40000000
        0.271546524846
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-05-09
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2019-GS7
        52474MAA7
        
          
        
        196323.73000000
        PA
        USD
        195434.52000000
        0.172533228413
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAV2
        
          
          
        
        130000.00000000
        PA
        USD
        139557.78000000
        0.123204203298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GFL ENVIRONMENTAL INC
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        000000000
        
          
          
        
        70000.00000000
        PA
        USD
        69650.00000000
        0.061488315160
        Long
        LON
        CORP
        CA
        N
        
        2
        
          2025-05-31
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        73587.35000000
        0.064964280956
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Y
            
              
                
              
            
            
            2047-05-15
            44609.66000000
            USD
            0.00000000
            USD
            900000.00000000
            USD
            28759.57000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP IRS USD
        000000000
        
          
        
        -3830000.00000000
        NC
        USD
        -129033.06000000
        -0.11391278477
        N/A
        DIR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Put
            Written
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    CH
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2022-07-07
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            1.60000000
            USD
            2022-07-07
            XXXX
            -95520.56000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        14612.43000000
        0.012900124926
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2047-02-15
            4793.71000000
            USD
            0.00000000
            USD
            249000.00000000
            USD
            9795.51000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM6
        12662KAC3
        
          
        
        224976.99000000
        PA
        USD
        212264.22000000
        0.187390800526
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-07-25
          Variable
          1.58500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        5493005BBCF84ICNQ550
        GS Mortgage Securities Corp II
        36255TAL6
        
          
        
        375702.56000000
        PA
        USD
        136636.78000000
        0.120625490181
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-09-15
          Floating
          4.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENESEE & WYOMING INC
        G617XSG94Z7G0RMW3L02
        Genesee & Wyoming Inc
        55316HAB1
        
          
        
        245787.94000000
        PA
        USD
        242791.79000000
        0.214341106990
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-12-30
          Floating
          2.45510000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R03
        20754AAB9
        
          
        
        260000.00000000
        PA
        USD
        246106.51000000
        0.217267403444
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12860.76000000
        -0.01135371807
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -5660000.00000000
            MXN
            270025.29000000
            USD
            2022-04-19
            -12860.76000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        19.00000000
        NC
        USD
        8164.08000000
        0.007207401637
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            115.00000000
            USD
            2022-04-22
            XXXX
            -3032.86000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFF6
        
          
          
        
        10000.00000000
        PA
        USD
        9883.17000000
        0.008725046256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-22
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARSLEY ENERGY LLC/FINAN
        N/A
        Parsley Energy LLC / Parsley Finance Corp
        701885AJ4
        
          
          
        
        10000.00000000
        PA
        USD
        9946.46000000
        0.008780919845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - AUD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1455.45000000
        0.001284898324
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -98719.86000000
            USD
            133368.00000000
            AUD
            2022-04-19
            1455.45000000
          
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFB5
        
          
          
        
        10000.00000000
        PA
        USD
        10175.20000000
        0.008982855770
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREEPORT-MCMORAN INC
        549300IRDTHJQ1PVET45
        Freeport-McMoRan Inc
        35671DBL8
        
          
          
        
        460000.00000000
        PA
        USD
        473800.00000000
        0.418279450438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-14
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBX0
        
          
          
        
        140000.00000000
        PA
        USD
        134569.82000000
        0.118800739458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-31
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEA6
        
          
          
        
        26803.95000000
        PA
        USD
        27890.47000000
        0.024622225546
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        43.00000000
        NC
        USD
        24187.50000000
        0.021353174773
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            123.50000000
            USD
            2022-04-22
            XXXX
            4628.73000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -6.00000000
        NC
        USD
        -140.63000000
        -0.00012415077
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            118.50000000
            USD
            2022-04-22
            XXXX
            2653.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X92S3
        
          
        
        86433.26000000
        PA
        USD
        80542.77000000
        0.071104655070
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE ENERGY PARTNERS
        5493005UEC8AZ34LDV29
        Cheniere Energy Partners LP
        16411QAK7
        
          
          
        
        20000.00000000
        PA
        USD
        19387.80000000
        0.017115910361
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -773121.81000000
        -0.68252631027
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            USD
            0.00000000
            USD
            12500000.00000000
            USD
            -773121.81000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        58974.89000000
        0.052064129545
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2027-05-15
            0.00000000
            USD
            0.00000000
            USD
            886000.00000000
            USD
            58974.89000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHC6
        
          
          
        
        50000.00000000
        PA
        USD
        50126.24000000
        0.044252376782
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-20
          Fixed
          3.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967EW7
        
          
          
        
        240000.00000000
        PA
        USD
        363339.40000000
        0.320762778713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-07-15
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MISTER CAR WASH HOLDINGS IN
        549300BARUQU0U2GQE05
        Mister Car Wash Holdings Inc
        60646CAF4
        
          
        
        51586.23000000
        PA
        USD
        50831.01000000
        0.044874560844
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-05-14
          Floating
          3.45510000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X7XK0
        
          
        
        118055.81000000
        PA
        USD
        119182.08000000
        0.105216156446
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        N/A
        Fannie Mae or Freddie Mac
        01F030652
        
          
        
        200000.00000000
        PA
        USD
        195167.46000000
        0.172297462879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FXC89
        
          
        
        90779.83000000
        PA
        USD
        12643.31000000
        0.011161749173
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whatabrands LLC
        254900HMMX4HTWIP0085
        WHATABRANDS LLC 8/28 TL
        96244UAF4
        
          
          
        
        229425.00000000
        PA
        USD
        226414.94000000
        0.199883319278
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-08-03
          Floating
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Setanta Aircraft Leasing DAC
        N/A
        SETANTA AIRCRAFT 11/28 TL
        000000000
        
          
          
        
        110000.00000000
        PA
        USD
        108258.70000000
        0.095572793459
        Long
        LON
        CORP
        IE
        N
        
        2
        
          2028-11-05
          Floating
          2.24140000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XJ70
        
          
        
        210312.50000000
        PA
        USD
        211100.20000000
        0.186363182025
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          2.60657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BLU8
        
          
        
        17854.97000000
        PA
        USD
        18078.30000000
        0.015959859410
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J6EW3
        
          
        
        37083.46000000
        PA
        USD
        41408.21000000
        0.036555937784
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCT6
        
          
          
        
        45000.00000000
        PA
        USD
        47286.86000000
        0.041745719319
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECOPETROL SA
        254900IDGKCJICKBPA66
        Ecopetrol SA
        279158AJ8
        
          
          
        
        190000.00000000
        PA
        USD
        166459.00000000
        0.146953100549
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2045-05-28
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CINTAS CORPORATION NO. 2
        549300QVUQTTKMTE0G41
        Cintas Corp No 2
        17252MAM2
        
          
          
        
        50000.00000000
        PA
        USD
        50000.00000000
        0.044140929763
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR COMPANY
        20S05OYHG0MQM4VUIC57
        Ford Motor Co
        345370DA5
        
          
          
        
        190000.00000000
        PA
        USD
        169694.70000000
        0.149809636678
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-12
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        549300V1P5RKG8RJI005
        SMB Private Education Loan Trust 2018-C
        78449QAC1
        
          
        
        153853.27000000
        PA
        USD
        153782.07000000
        0.135761671014
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-11-15
          Floating
          1.14657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAV3
        
          
          
        
        20000.00000000
        PA
        USD
        18818.70000000
        0.016613498298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VODAFONE GROUP PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBK5
        
          
          
        
        80000.00000000
        PA
        USD
        83659.70000000
        0.073856338834
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-05-30
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BZ2
        
          
          
        
        80000.00000000
        PA
        USD
        79020.21000000
        0.069760510790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-04
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAH5
        
          
          
        
        30000.00000000
        PA
        USD
        29567.59000000
        0.026102818269
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP IRS USD
        000000000
        
          
        
        2040000.00000000
        NC
        USD
        78318.54000000
        0.069141063466
        N/A
        DIR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    CH
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2022-07-07
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            1.80000000
            USD
            2022-07-07
            XXXX
            47118.54000000
          
        
        
          N
          N
          N
        
      
      
        Virgin Media Bristol LLC
        N/A
        VIRGIN/O2 01/29 TL
        000000000
        
          
          
        
        20000.00000000
        PA
        USD
        19862.60000000
        0.017535072630
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-01-31
          Floating
          3.44110000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCE1
        
          
          
        
        10000.00000000
        PA
        USD
        9382.93000000
        0.008283425082
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2G7
        
          
          
        
        310000.00000000
        PA
        USD
        294635.96000000
        0.260110104323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-30
          Fixed
          2.87900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BT0
        
          
          
        
        20000.00000000
        PA
        USD
        18998.19000000
        0.016771955408
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        413875AS4
        
          
          
        
        50000.00000000
        PA
        USD
        54310.46000000
        0.047946284005
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-04-27
          Fixed
          4.85400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BURLINGTN NORTH SANTA FE
        N/A
        Burlington Northern Santa Fe LLC
        12189LBH3
        
          
          
        
        40000.00000000
        PA
        USD
        35434.38000000
        0.031282129575
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-06-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - NOK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4770.80000000
        0.004211750954
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -640310.01000000
            USD
            5642000.00000000
            NOK
            2022-04-19
            4770.80000000
          
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BW9
        
          
          
        
        10000.00000000
        PA
        USD
        8890.95000000
        0.007849095989
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-08-12
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVQ54
        
          
        
        73594.86000000
        PA
        USD
        11083.47000000
        0.009784693416
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARGILL INC
        QXZYQNMR4JZ5RIRN4T31
        Cargill Inc
        141781BL7
        
          
          
        
        40000.00000000
        PA
        USD
        39502.39000000
        0.034873444449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-23
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -43.00000000
        NC
        USD
        -165953.13000000
        -0.14650650910
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Put
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Short
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            126.50000000
            USD
            2022-05-20
            XXXX
            -127808.77000000
          
        
        
          N
          N
          N
        
      
      
        RUSSIA GOVT BOND - OFZ
        5493004EHVGF71PDBU58
        Russian Federal Bond - OFZ
        000000000
        
          
          
        
        77880000.00000000
        PA
        
        28371.58000000
        0.025046958401
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2030-04-10
          Fixed
          7.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        3.00000000
        NC
        USD
        1289.06000000
        0.001138006138
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            115.00000000
            USD
            2022-04-22
            XXXX
            -497.38000000
          
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90352JAF0
        
          
          
        
        200000.00000000
        PA
        USD
        208662.00000000
        0.184210693726
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          N/A
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBR3
        
          
          
        
        10000.00000000
        PA
        USD
        9291.41000000
        0.008202629524
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2078-02-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BGU8
        
          
          
        
        270000.00000000
        PA
        USD
        293540.20000000
        0.259142747019
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-12-07
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -297.89000000
        -0.00026298283
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -55000.00000000
            EUR
            60932.30000000
            USD
            2022-04-19
            -297.89000000
          
        
        
          N
          N
          N
        
      
      
        CSC HOLDINGS LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307AS6
        
          
          
        
        200000.00000000
        PA
        USD
        194112.00000000
        0.171365683164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135CB0
        
          
          
        
        60000.00000000
        PA
        USD
        56309.47000000
        0.049711047205
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-05-12
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -63.00000000
        NC
        USD
        -1968.75000000
        -0.00173804910
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            129.00000000
            USD
            2022-04-22
            XXXX
            11703.51000000
          
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBY8
        
          
          
        
        200000.00000000
        PA
        USD
        182999.00000000
        0.161554920115
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-01-31
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        718172CD9
        
          
          
        
        140000.00000000
        PA
        USD
        140602.02000000
        0.124126077788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-02
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAF0
        
          
          
        
        10000.00000000
        PA
        USD
        10502.39000000
        0.009271705186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROCTER & GAMBLE CO/THE
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        742718FG9
        
          
          
        
        10000.00000000
        PA
        USD
        10005.41000000
        0.008832962001
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-25
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BSJ6
        
          
        
        22710.90000000
        PA
        USD
        22643.99000000
        0.019990535443
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        -611540.00000000
        NC
        USD
        -2.11000000
        -0.00000186274
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  EUR
                  N/A
                  USD
                  2022-04-08
                
              
            
            1.00000000
            USD
            1.16750000
            USD
            2022-04-08
            XXXX
            2528.14000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -11.00000000
        NC
        USD
        -8593.75000000
        -0.00758672230
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            124.00000000
            USD
            2022-05-20
            XXXX
            496.60000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AAK52
        
          
        
        39451.99000000
        PA
        USD
        40385.75000000
        0.035653291083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAF9
        
          
          
        
        40000.00000000
        PA
        USD
        44886.00000000
        0.039626195467
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-12-14
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -103764.76000000
        -0.09160545966
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -22344000.00000000
            RUB
            161503.43000000
            USD
            2022-04-19
            -103764.76000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        SOFR 1 YEAR MIDCURVE
        000000000
        
          
          
        
        103.00000000
        NC
        USD
        643.75000000
        0.000568314470
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    SOFR 1 YEAR MIDCURVE
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  2023-09-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.25000000
            USD
            2022-04-14
            XXXX
            -5110.05000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2019-IMC
        05608BAQ3
        
          
        
        300000.00000000
        PA
        USD
        292440.15000000
        0.258171602423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          3.29700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AA5
        
          
          
        
        90000.00000000
        PA
        USD
        90522.86000000
        0.079915264104
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2025-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2004-NC7
        61744CFP6
        
          
          
        
        66393.32000000
        PA
        USD
        64501.31000000
        0.056942955887
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-07-25
          Floating
          1.31157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622AAKS2
        
          
        
        68566.21000000
        PA
        USD
        67702.50000000
        0.059769025946
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KGFZ6
        
          
        
        30715.93000000
        PA
        USD
        32039.05000000
        0.028284669114
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MR9
        
          
          
        
        50000.00000000
        PA
        USD
        49589.65000000
        0.043778665152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          1.67800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2016-3
        64829HAD9
        
          
        
        255660.72330000
        PA
        USD
        253516.04000000
        0.223808674311
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-09-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X9Y82
        
          
        
        60849.34000000
        PA
        USD
        60807.87000000
        0.053682318374
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380QGQ9
        
          
        
        377394.29000000
        PA
        USD
        375364.40000000
        0.331378672322
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2070-07-20
          Floating
          0.89857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IMM EURODOLLAR TIME DEPOSIT
        000000000
        
          
          
        
        -12.00000000
        NC
        USD
        -4500.00000000
        -0.00397268367
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      NA
                      90 DAY EURO DOLLAR TIME DEPOSIT
                      
                        
                        
                      
                    
                  
                  2022-12-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.12500000
            USD
            2022-12-19
            XXXX
            5974.80000000
          
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AU9
        
          
          
        
        90000.00000000
        PA
        USD
        85965.45000000
        0.075891897810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-04
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - BRL
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4274.52000000
        0.003773625741
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -402341.44000000
            USD
            1942423.98000000
            BRL
            2022-04-19
            4274.52000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWT7
        
          
          
        
        10000.00000000
        PA
        USD
        10088.89000000
        0.008906659697
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-23
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QKQY7
        
          
        
        92124.52000000
        PA
        USD
        89171.36000000
        0.078722134773
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -84992.58000000
        -0.07503303008
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            
              
                
              
            
            2026-11-18
            31056.64000000
            USD
            0.00000000
            USD
            3140000.00000000
            USD
            -118339.26000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        294284.20000000
        0.259799564053
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-07-01
            369.47000000
            USD
            0.00000000
            USD
            6330000.00000000
            USD
            292798.21000000
          
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456BAP6
        
          
          
        
        110000.00000000
        PA
        USD
        113986.87000000
        0.100629728452
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        50143.32000000
        0.044267455324
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2028-08-15
            0.00000000
            USD
            -117.73000000
            USD
            853000.00000000
            USD
            50261.05000000
          
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Pro
        N/A
        RAMP Series 2006-NC3 Trust
        76112B4P2
        
          
        
        270000.00000000
        PA
        USD
        264963.69000000
        0.233914872603
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.96657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XYW8
        
          
        
        230000.00000000
        PA
        USD
        227696.73000000
        0.201014907326
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-07-25
          Floating
          4.00657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        4.00000000
        NC
        USD
        2750.00000000
        0.002427751136
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            114.50000000
            USD
            2022-04-22
            XXXX
            368.08000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QNLM2
        
          
        
        99836.18000000
        PA
        USD
        95382.95000000
        0.084205841931
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513EAD3
        
          
          
        
        170000.00000000
        PA
        USD
        157462.98000000
        0.139011246810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IMM EURODOLLAR TIME DEPOSIT
        000000000
        
          
          
        
        117.00000000
        NC
        USD
        20475.00000000
        0.018075710738
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      NA
                      90 DAY EURO DOLLAR TIME DEPOSIT
                      
                        
                        
                      
                    
                  
                  2022-12-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.62500000
            USD
            2022-12-19
            XXXX
            -38270.70000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SS8
        
          
          
        
        290000.00000000
        PA
        USD
        237641.40000000
        0.209794246925
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-11-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H032662
        
          
        
        200000.00000000
        PA
        USD
        199843.75000000
        0.176425778648
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDH1
        
          
          
        
        20000.00000000
        PA
        USD
        20132.26000000
        0.017773133492
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        44.00000000
        NC
        USD
        46750.00000000
        0.041271769328
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            122.50000000
            USD
            2022-04-22
            XXXX
            12298.88000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BCAY6
        
          
        
        83780.83000000
        PA
        USD
        13680.38000000
        0.012077293854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZX9
        
          
          
        
        390000.00000000
        PA
        USD
        417734.87000000
        0.368784111128
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CR89
        
          
        
        61209.54000000
        PA
        USD
        61739.68000000
        0.054504937569
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAV5
        
          
          
        
        140000.00000000
        PA
        USD
        151514.94000000
        0.133760206493
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NVIDIA CORP
        549300S4KLFTLO7GSQ80
        NVIDIA Corp
        67066GAG9
        
          
          
        
        60000.00000000
        PA
        USD
        60437.33000000
        0.053355198772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAM8
        
          
          
        
        260000.00000000
        PA
        USD
        281450.00000000
        0.248469293638
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-15
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        33437.62000000
        PA
        USD
        35110.18000000
        0.030995919787
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGK4
        
          
          
        
        10000.00000000
        PA
        USD
        9374.17000000
        0.008275691591
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-22
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        21.00000000
        NC
        USD
        14437.50000000
        0.012745693469
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            114.50000000
            USD
            2022-04-22
            XXXX
            3737.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCC8
        
          
          
        
        130000.00000000
        PA
        USD
        119099.90000000
        0.105143606414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BHP BILLITON FIN USA LTD
        5493003NUVITP3TMY274
        BHP Billiton Finance USA Ltd
        055451AV0
        
          
          
        
        30000.00000000
        PA
        USD
        35577.60000000
        0.031408566855
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2043-09-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXSTAR MEDIA INC
        5493006PK6I4I2OOT688
        Nexstar Media Inc
        65336RAW8
        
          
        
        146753.28000000
        PA
        USD
        146045.93000000
        0.128932062767
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-09-19
          Floating
          3.19660000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GZR8
        
          
          
        
        20000.00000000
        PA
        USD
        19972.00000000
        0.017631652984
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.61500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CS2
        
          
          
        
        80000.00000000
        PA
        USD
        78800.00000000
        0.069566105307
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAY2
        
          
          
        
        90000.00000000
        PA
        USD
        91440.77000000
        0.080725612121
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          4.02300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWZ3
        
          
          
        
        90000.00000000
        PA
        USD
        92150.26000000
        0.081351963086
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.22300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - CAD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1251.49000000
        0.001104838643
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -123644.27000000
            USD
            156016.00000000
            CAD
            2022-04-19
            1251.49000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        549300AGZIS1CJS4RM30
        Wells Fargo Commercial Mortgage Trust 2018-C44
        95001JAX5
        
          
        
        500000.00000000
        PA
        USD
        521428.30000000
        0.460326599339
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-05-15
          Fixed
          4.21200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAL7
        
          
          
        
        150000.00000000
        PA
        USD
        150667.30000000
        0.133011894139
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          4.27900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KMFR1
        
          
        
        283396.16000000
        PA
        USD
        271312.57000000
        0.239519781926
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KLGL5
        
          
        
        89409.50000000
        PA
        USD
        83314.22000000
        0.073551342666
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X9FG5
        
          
        
        151199.64000000
        PA
        USD
        155281.08000000
        0.137085024917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHNSON & JOHNSON
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160CP7
        
          
          
        
        80000.00000000
        PA
        USD
        73192.34000000
        0.064615558783
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-01
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-1
        35563PES4
        
          
        
        550000.00000000
        PA
        USD
        537555.26000000
        0.474563779512
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-05-25
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AQ1
        
          
          
        
        250000.00000000
        PA
        USD
        234770.38000000
        0.207259657082
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-06-05
          Fixed
          2.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HBJB5
        
          
        
        31919.74000000
        PA
        USD
        33400.16000000
        0.029486282332
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KKT82
        
          
        
        86075.78000000
        PA
        USD
        82406.40000000
        0.072749902289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329N3E6
        
          
        
        56142.81000000
        PA
        USD
        57899.92000000
        0.051115126040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME SECURITY SERVICES BOR
        549300O6QPZVWXV2DC15
        Prime Security Services Borrower LLC
        03765VAK6
        
          
        
        24374.86000000
        PA
        USD
        24171.82000000
        0.021339332177
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-09-23
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        N/A
        Wellfleet CLO 2017-2A Ltd
        94951MAG8
        
          
        
        250000.00000000
        PA
        USD
        245085.50000000
        0.216366036830
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-20
          Floating
          3.65400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XCUK2
        
          
        
        94391.82000000
        PA
        USD
        92728.91000000
        0.081862806067
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JQTK9
        
          
        
        123341.26000000
        PA
        USD
        121223.55000000
        0.107018404124
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -470.04000000
        -0.00041496005
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -764760000.00000000
            IDR
            52736.61000000
            USD
            2022-04-19
            -470.04000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9HZ9
        
          
        
        30927.09000000
        PA
        USD
        32454.13000000
        0.028651109457
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MP3
        
          
          
        
        60000.00000000
        PA
        USD
        62289.28000000
        0.054990134669
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-31
          Fixed
          4.41200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYN8
        
          
          
        
        330000.00000000
        PA
        USD
        298340.87000000
        0.263380867764
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-10-21
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TZ65
        
          
        
        27549.13000000
        PA
        USD
        28792.27000000
        0.025418351356
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHG7
        
          
          
        
        200000.00000000
        PA
        USD
        203043.56000000
        0.179250630417
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-05
          Fixed
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBF9
        
          
          
        
        280000.00000000
        PA
        USD
        303115.08000000
        0.267595629130
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-02-14
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -88.00000000
        NC
        USD
        -52250.00000000
        -0.04612727160
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            115.25000000
            USD
            2022-05-20
            XXXX
            20254.03000000
          
        
        
          N
          N
          N
        
      
      
        MERCK & CO INC
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933YBF1
        
          
          
        
        90000.00000000
        PA
        USD
        78393.60000000
        0.069207327830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-12-10
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QKDU9
        
          
        
        92145.72000000
        PA
        USD
        89323.59000000
        0.078856526248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGM0
        
          
          
        
        194000.00000000
        PA
        USD
        175223.73000000
        0.154690767176
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          2.35500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFU3
        
          
          
        
        265000.00000000
        PA
        USD
        221413.66000000
        0.195468096294
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380QGU0
        
          
        
        385632.16000000
        PA
        USD
        383702.92000000
        0.338740072835
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2070-07-20
          Floating
          0.89857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VDP2
        
          
          
        
        162816.45000000
        PA
        USD
        164046.16000000
        0.144823000530
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJ5M6
        
          
        
        57833.71000000
        PA
        USD
        58644.67000000
        0.051772605189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TB4
        
          
          
        
        652000.00000000
        PA
        USD
        571926.25000000
        0.504907128622
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-11-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAX4
        
          
          
        
        100000.00000000
        PA
        USD
        104236.28000000
        0.092021726285
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-05
          Fixed
          4.45200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XFU74
        
          
        
        199055.07000000
        PA
        USD
        190216.16000000
        0.167926363168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382HM98
        
          
        
        87564.77000000
        PA
        USD
        12713.40000000
        0.011223625929
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-08-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TICP CLO Ltd
        N/A
        TICP CLO II-2 LTD
        87249TAJ3
        
          
        
        250000.00000000
        PA
        USD
        246926.96000000
        0.217991711961
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-04-20
          Floating
          3.20400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY OHIO INC
        L6KC0HABGHNFU1Z6QY21
        Duke Energy Ohio Inc
        26442EAF7
        
          
          
        
        100000.00000000
        PA
        USD
        101645.44000000
        0.089734484556
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUWAIT INTL BOND
        549300FSC1YD0D9XX589
        Kuwait International Government Bond
        501499AB3
        
          
          
        
        400000.00000000
        PA
        USD
        416120.00000000
        0.367358473863
        Long
        DBT
        NUSS
        KW
        N
        
        2
        
          2027-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dewolf Park clo, ltd
        N/A
        Dewolf Park CLO Ltd
        25211AAL3
        
          
        
        280000.00000000
        PA
        USD
        275880.84000000
        0.243552735630
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-10-15
          Floating
          3.09129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IMM EURODOLLAR TIME DEPOSIT
        000000000
        
          
          
        
        -174.00000000
        NC
        USD
        -89175.00000000
        -0.07872534823
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      NA
                      90 DAY EURO DOLLAR TIME DEPOSIT
                      
                        
                        
                      
                    
                  
                  2023-06-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.00000000
            USD
            2023-06-19
            XXXX
            97509.60000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382LXR7
        
          
        
        438452.80000000
        PA
        USD
        45950.69000000
        0.040566123597
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-12-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2U6
        
          
          
        
        30000.00000000
        PA
        USD
        29155.28000000
        0.025738823334
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-03-02
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Garda World Security Corp
        549300ZF1NDXLMCHNO20
        GARDA SECURITY 10/26 TL
        000000000
        
          
          
        
        20611.96000000
        PA
        USD
        20339.68000000
        0.017956247725
        Long
        LON
        CORP
        CA
        N
        
        2
        
          2026-10-30
          Floating
          4.42070000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X9M93
        
          
        
        61461.44000000
        PA
        USD
        61332.97000000
        0.054145886419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBE9
        
          
          
        
        70000.00000000
        PA
        USD
        70779.65000000
        0.062485591186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-11
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOCKHEED MARTIN CORP
        DPRBOZP0K5RM2YE8UU08
        Lockheed Martin Corp
        539830BH1
        
          
          
        
        50000.00000000
        PA
        USD
        51196.20000000
        0.045196957367
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SAV5
        
          
          
        
        30000.00000000
        PA
        USD
        25402.28000000
        0.022425605146
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-09-16
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS CORP
        N/A
        DISH DBS Corp
        25470XBD6
        
          
          
        
        50000.00000000
        PA
        USD
        42579.50000000
        0.037589974377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397C27
        
          
          
        
        230000.00000000
        PA
        USD
        233864.00000000
        0.206459487964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-28
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -1.00000000
        NC
        USD
        -390.63000000
        -0.00034485542
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            124.00000000
            USD
            2022-04-22
            XXXX
            217.02000000
          
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAT8
        
          
          
        
        80000.00000000
        PA
        USD
        80647.20000000
        0.071196847816
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AT7
        
          
          
        
        80000.00000000
        PA
        USD
        85475.38000000
        0.075459254901
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2050-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TREASURY BILL
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796U98
        
          
          
        
        3500000.00000000
        PA
        USD
        3498993.75000000
        3.088976747230
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-05-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAD6
        
          
          
        
        46772.04000000
        PA
        USD
        48376.55000000
        0.042707717914
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony CLO Ltd
        N/A
        Symphony CLO XIX Ltd
        87166DAA6
        
          
        
        250000.00000000
        PA
        USD
        233328.35000000
        0.205986606183
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-16
          Floating
          5.44129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAH0
        
          
          
        
        20000.00000000
        PA
        USD
        19470.22000000
        0.017188672269
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-05
          Fixed
          2.05600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNRUN CALLISTO ISSUER LLC
        N/A
        Sunrun Atlas Issuer 2019-2 LLC
        86772FAA9
        
          
        
        94039.04000000
        PA
        USD
        92164.30000000
        0.081364357859
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-02-01
          Fixed
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAK8
        
          
          
        
        115000.00000000
        PA
        USD
        104554.55000000
        0.092302700960
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QCQ90
        
          
        
        52145.72000000
        PA
        USD
        51234.80000000
        0.045231034164
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        902674XN5
        
          
          
        
        200000.00000000
        PA
        USD
        220908.17000000
        0.195021840322
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2048-06-26
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SALESFORCE.COM INC
        RCGZFPDMRW58VJ54VR07
        salesforce.com Inc
        79466LAE4
        
          
          
        
        50000.00000000
        PA
        USD
        50622.68000000
        0.044690643246
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-11
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X9SV8
        
          
        
        83719.45000000
        PA
        USD
        80064.67000000
        0.070682579500
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        74977RDH4
        
          
          
        
        250000.00000000
        PA
        USD
        233333.06000000
        0.205990764259
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-06-24
          Fixed
          1.33900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13645RBH6
        
          
          
        
        60000.00000000
        PA
        USD
        53048.48000000
        0.046832184594
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2051-12-02
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50076QAE6
        
          
          
        
        20000.00000000
        PA
        USD
        21362.00000000
        0.018858770832
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-06-04
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON WORLDWIDE FINANCE
        549300406TN7EY0NPH20
        Hilton Worldwide Finance LLC
        43289DAH6
        
          
        
        140000.00000000
        PA
        USD
        138408.20000000
        0.122189332697
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-06-21
          Floating
          2.70760000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        064159VL7
        
          
          
        
        50000.00000000
        PA
        USD
        47107.46000000
        0.041587341663
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-06-11
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XFUJ8
        
          
        
        99262.34000000
        PA
        USD
        92439.26000000
        0.081607097660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN SECURITIES EXCHANGE TRADE24
        N/A
        AUST 10Y BOND
        000000000
        
          
          
        
        11.00000000
        NC
        
        -41407.36000000
        -0.03655518738
        N/A
        DIR
        CORP
        AU
        N
        
        1
        
          
            
              AUSTRALIAN SECURITIES EXCHANGE TRADE24
              N/A
            
            Long
            
              
                AUSTRALIAN GOVERNMENT
                Australia Government Bond
                
                  
                  
                  
                
              
            
            2022-06-15
            1087628.66000000
            USD
            -41407.36000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CX1
        
          
          
        
        40000.00000000
        PA
        USD
        46183.45000000
        0.040771608453
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2060-05-01
          Fixed
          5.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746SH5
        
          
          
        
        100000.00000000
        PA
        USD
        98608.95000000
        0.087053814719
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-23
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBB0
        
          
          
        
        70000.00000000
        PA
        USD
        68127.49000000
        0.060144215021
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-08-15
          Fixed
          3.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES PARTNERS
        N/A
        Targa Resources Partners LP / Targa Resources Partners Finance Corp
        87612BBG6
        
          
          
        
        10000.00000000
        PA
        USD
        10134.75000000
        0.008947145758
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -57.70000000
        -0.00005093863
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -30000.00000000
            MXN
            1441.70000000
            USD
            2022-04-19
            -57.70000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        61103.06000000
        0.053942917595
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2051-07-09
            0.00000000
            USD
            -3249.71000000
            USD
            479000.00000000
            USD
            64352.77000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAG2
        
          
          
        
        30000.00000000
        PA
        USD
        29510.25000000
        0.026052197451
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QNL26
        
          
        
        99824.99000000
        PA
        USD
        95693.68000000
        0.084480160153
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAMERON LNG LLC
        549300C39FLHGVD73K22
        Cameron LNG LLC
        133434AB6
        
          
          
        
        60000.00000000
        PA
        USD
        56389.48000000
        0.049781681521
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-01-15
          Fixed
          3.30200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BKY1
        
          
        
        34050.38000000
        PA
        USD
        34476.25000000
        0.030436274595
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456BAQ4
        
          
          
        
        50000.00000000
        PA
        USD
        54342.54000000
        0.047974604826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -44.00000000
        NC
        USD
        -79062.50000000
        -0.06979784518
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            122.00000000
            USD
            2022-05-20
            XXXX
            -13138.62000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5107.99000000
        -0.00450942855
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -312743.86000000
            USD
            276333.84000000
            EUR
            2022-04-19
            -5107.99000000
          
        
        
          N
          N
          N
        
      
      
        NORTHROP GRUMMAN CORP
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BN1
        
          
          
        
        130000.00000000
        PA
        USD
        130005.90000000
        0.114771626014
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        14254.16000000
        0.012583837507
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2031-10-20
            4398.31000000
            USD
            0.00000000
            USD
            1170000.00000000
            USD
            9651.00000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAL4
        
          
          
        
        50000.00000000
        PA
        USD
        48625.00000000
        0.042927054194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAT7
        
          
          
        
        10000.00000000
        PA
        USD
        11075.30000000
        0.009777480788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK LIFE GLOBAL FDG
        635400DPNHEAUHB7ZI15
        New York Life Global Funding
        64952WDQ3
        
          
          
        
        40000.00000000
        PA
        USD
        37352.16000000
        0.032975181421
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-24
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CME Ultra Long Term US Treasury Bond
        000000000
        
          
          
        
        44.00000000
        NC
        USD
        -223711.47000000
        -0.19749664569
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            8017211.47000000
            USD
            -223711.47000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
          
        
        330000000.00000000
        PA
        
        23569.52000000
        0.020807610537
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2035-06-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -528884.70000000
        -0.46690924791
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-07-01
            2945.42000000
            USD
            0.00000000
            USD
            6330000.00000000
            USD
            -532352.02000000
          
        
        
          N
          N
          N
        
      
      
        TIME WARNER CABLE LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JAJ7
        
          
          
        
        10000.00000000
        PA
        USD
        11500.30000000
        0.010152678691
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AH6
        
          
          
        
        140000.00000000
        PA
        USD
        160489.83000000
        0.141683406275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          7.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BALL CORP
        0BGI85ALH27ZJP15DY16
        Ball Corp
        058498AX4
        
          
          
        
        50000.00000000
        PA
        USD
        44685.00000000
        0.039448748929
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-09-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAC4
        
          
          
        
        100000.00000000
        PA
        USD
        103499.40000000
        0.091371194919
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          3.93700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AN8
        
          
          
        
        150000.00000000
        PA
        USD
        150459.82000000
        0.132828726936
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-03-27
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        90DAY EURO$
        000000000
        
          
          
        
        -60.00000000
        NC
        USD
        71904.00000000
        0.063478188274
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2025-03-17
            -14681154.00000000
            USD
            71904.00000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -68.00000000
        NC
        USD
        -10625.00000000
        -0.00937994757
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            117.00000000
            USD
            2022-05-20
            XXXX
            1069.87000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CY9
        
          
          
        
        90000.00000000
        PA
        USD
        95981.20000000
        0.084733988156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IMM EURODOLLAR TIME DEPOSIT
        000000000
        
          
          
        
        -214.00000000
        NC
        USD
        -24075.00000000
        -0.02125385768
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      NA
                      90 DAY EURO DOLLAR TIME DEPOSIT
                      
                        
                        
                      
                    
                  
                  2022-12-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.87500000
            USD
            2022-12-19
            XXXX
            18275.60000000
          
        
        
          N
          N
          N
        
      
      
        II-VI INC
        549300O5C25A0MMHHU33
        II-VI Inc
        000000000
        
          
        
        80000.00000000
        PA
        USD
        79400.00000000
        0.070095796464
        Long
        LON
        CORP
        US
        N
        
        3
        
          2028-12-08
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAW0
        
          
          
        
        20000.00000000
        PA
        USD
        20693.57000000
        0.018268668398
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2017-GS8
        36254KAU6
        
          
        
        401000.00000000
        PA
        USD
        400268.09000000
        0.353364112944
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-10
          Variable
          4.33505500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GSRR5
        
          
        
        21614.88000000
        PA
        USD
        22238.40000000
        0.019632473049
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X5NT6
        
          
        
        27120.83000000
        PA
        USD
        27986.09000000
        0.024706640660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AT4
        
          
          
        
        10000.00000000
        PA
        USD
        9273.93000000
        0.008187197855
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAJ9
        
          
          
        
        90000.00000000
        PA
        USD
        93240.11000000
        0.082314102932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1183.50000000
        -0.00104481580
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1646960215.00000000
            IDR
            113400.46000000
            USD
            2022-04-19
            -1183.50000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CEE0
        
          
        
        172713.13000000
        PA
        USD
        172577.24000000
        0.152354396592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8076.79000000
        -0.00713034040
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -4200000.00000000
            MXN
            201838.65000000
            USD
            2022-04-19
            -8076.79000000
          
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DH0
        
          
          
        
        10000.00000000
        PA
        USD
        10165.39000000
        0.008974195320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Trinitas CLO Ltd
        549300095MXHZZMH2053
        Trinitas CLO XIV Ltd
        89641QAG5
        
          
        
        300000.00000000
        PA
        USD
        299036.18000000
        0.263994700362
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-25
          Floating
          3.25771000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP GLOBAL MARKETS INC.
        MBNUM2BPBDO7JBLYG310
        SWOP IRS USD
        000000000
        
          
        
        3350000.00000000
        NC
        USD
        152546.93000000
        0.134671266455
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CITIGROUP GLOBAL MARKETS INC.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    CITIGROUP GLOBAL MARKETS INC.
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC.
                    MBNUM2BPBDO7JBLYG310
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  
                    
                      
                    
                  
                  
                  2022-05-03
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            1.89000000
            USD
            2022-05-03
            XXXX
            104778.41000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6ZK0
        
          
        
        321907.54000000
        PA
        USD
        331324.45000000
        0.292499385527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJX1
        
          
          
        
        90000.00000000
        PA
        USD
        85749.52000000
        0.075701270791
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREEPORT-MCMORAN INC
        549300IRDTHJQ1PVET45
        Freeport-McMoRan Inc
        35671DCH6
        
          
          
        
        20000.00000000
        PA
        USD
        20450.00000000
        0.018053640273
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAM2
        
          
          
        
        100000.00000000
        PA
        USD
        102174.91000000
        0.090201910517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 10 Year US Treasury Note
        000000000
        
          
          
        
        -1101.00000000
        NC
        USD
        3143809.88000000
        2.775413822055
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -138429184.88000000
            USD
            3143809.88000000
          
        
        
          N
          N
          N
        
      
      
        HERSHEY COMPANY
        21X2CX66SU2BR6QTAD08
        Hershey Co/The
        427866BF4
        
          
          
        
        10000.00000000
        PA
        USD
        9414.13000000
        0.008310969022
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140L1UQ6
        
          
        
        91231.35000000
        PA
        USD
        84874.31000000
        0.074928619128
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 Month Eurodollar
        000000000
        
          
          
        
        257.00000000
        NC
        USD
        -872352.20000000
        -0.77012874378
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2022-12-19
            63413302.20000000
            USD
            -872352.20000000
          
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAU7
        
          
          
        
        330000.00000000
        PA
        USD
        359280.72000000
        0.317179700537
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175CE2
        
          
          
        
        90000.00000000
        PA
        USD
        74405.99000000
        0.065686991571
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Lo
        N/A
        Structured Asset Investment Loan Trust 2005-HE1
        86358EUW4
        
          
          
        
        243423.25000000
        PA
        USD
        239138.90000000
        0.211116267772
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          1.17657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TRANSMISSION SY
        N/A
        American Transmission Systems Inc
        030288AC8
        
          
          
        
        240000.00000000
        PA
        USD
        221807.28000000
        0.195815591350
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - AUD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        71256.88000000
        0.062906898704
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -1496132.72000000
            USD
            2086738.00000000
            AUD
            2022-04-19
            71256.88000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - NZD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6574.34000000
        0.005803949603
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -320239.20000000
            USD
            470000.00000000
            NZD
            2022-04-19
            6574.34000000
          
        
        
          N
          N
          N
        
      
      
        REYNOLDS CONSUMER PRODUC
        549300DWNZYMOSR1X343
        Reynolds Consumer Products LLC
        76171JAB7
        
          
        
        95272.74000000
        PA
        USD
        93571.17000000
        0.082606368857
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-02-04
          Floating
          2.20510000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CITYMD BIDCO LLC
        N/A
        WP CityMD Bidco LLC
        92940KAK1
        
          
        
        227700.01000000
        PA
        USD
        226206.30000000
        0.199699128007
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-12-23
          Floating
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2618.07000000
        -0.00231128087
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -4259680000.00000000
            IDR
            293740.65000000
            USD
            2022-04-19
            -2618.07000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        CURRENCY CONTRACT - BRL
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        728.87000000
        0.000643459989
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -376336.63000000
            USD
            1801260.02000000
            BRL
            2022-04-19
            728.87000000
          
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397B28
        
          
          
        
        500000.00000000
        PA
        USD
        488722.50000000
        0.431453310926
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-13
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BM1
        
          
          
        
        40000.00000000
        PA
        USD
        46581.38000000
        0.041122908457
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-25
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC/DELAWA
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456BAJ0
        
          
          
        
        20000.00000000
        PA
        USD
        21202.46000000
        0.018717925953
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-02-15
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XFNJ6
        
          
        
        99410.50000000
        PA
        USD
        95020.79000000
        0.083886120349
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEPSICO INC
        FJSUNZKFNQ5YPJ5OT455
        PepsiCo Inc
        713448EZ7
        
          
          
        
        70000.00000000
        PA
        USD
        62936.76000000
        0.055561742053
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS CORP
        N/A
        DISH DBS Corp
        25470XBE4
        
          
          
        
        20000.00000000
        PA
        USD
        19050.00000000
        0.016817694239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABV6
        
          
          
        
        10000.00000000
        PA
        USD
        9511.30000000
        0.008396752505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA G
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        86964WAK8
        
          
          
        
        310000.00000000
        PA
        USD
        274467.80000000
        0.242305277642
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2032-01-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QNFK3
        
          
        
        197592.36000000
        PA
        USD
        188778.68000000
        0.166657329094
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        549300FNRP3W5DX0O430
        Madison Park Funding XXVI Ltd
        55819YAG5
        
          
        
        275000.00000000
        PA
        USD
        264000.00000000
        0.233064109151
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-29
          Floating
          3.29900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89114QCG1
        
          
          
        
        100000.00000000
        PA
        USD
        98186.10000000
        0.086680514876
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-06-12
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAW1
        
          
          
        
        10000.00000000
        PA
        USD
        9689.84000000
        0.008554370937
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APOLLO CMMRL REAL EST FIN IN
        549300E0AN7M2AQHSY29
        Apollo Commercial Real Estate Finance Inc
        03768DAB3
        
          
        
        206810.13000000
        PA
        USD
        202673.93000000
        0.178924314180
        Long
        LON
        CORP
        US
        N
        
        3
        
          2026-05-15
          Floating
          3.21870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA CO/THE
        UWJKFUJFZ02DKWI3RY53
        Coca-Cola Co/The
        191216CU2
        
          
          
        
        50000.00000000
        PA
        USD
        46899.94000000
        0.041404139149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X8BA4
        
          
        
        58437.79000000
        PA
        USD
        57424.13000000
        0.050695089781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SU3
        
          
          
        
        50000.00000000
        PA
        USD
        43689.45000000
        0.038569858877
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-02-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -4729.59000000
        -0.00417536999
        N/A
        DIR
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            Y
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            -18.76000000
            USD
            4161000.00000000
            USD
            -4710.83000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29279FAA7
        
          
          
        
        60000.00000000
        PA
        USD
        68848.58000000
        0.060780806681
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBT1
        
          
          
        
        110000.00000000
        PA
        USD
        90125.92000000
        0.079564838091
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2040-09-25
          Fixed
          3.73400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -983832.05000000
        -0.86854522836
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-09-17
            49450.89000000
            USD
            0.00000000
            USD
            15730000.00000000
            USD
            -1039047.15000000
          
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCQ4
        
          
          
        
        30000.00000000
        PA
        USD
        27937.20000000
        0.024663479659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UFC HOLDINGS LLC
        549300JEOTH7UMZ3C491
        UFC Holdings LLC
        90266UAJ2
        
          
        
        281808.18000000
        PA
        USD
        278637.84000000
        0.245986666497
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-04-29
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XBX62
        
          
        
        93904.27000000
        PA
        USD
        90017.26000000
        0.079468911023
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CD5
        
          
          
        
        110000.00000000
        PA
        USD
        104822.17000000
        0.092538960872
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31288QFW5
        
          
        
        90645.44000000
        PA
        USD
        91106.76000000
        0.080430741882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Floating
          3.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAQ6
        
          
          
        
        100000.00000000
        PA
        USD
        102309.46000000
        0.090320693759
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          5.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHS1
        
          
          
        
        70000.00000000
        PA
        USD
        75063.22000000
        0.066267206436
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          4.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALI GROUP NORTH AMERICA
        N/A
        Ali Group North America Corp
        000000000
        
          
        
        100000.00000000
        PA
        USD
        98417.00000000
        0.086884357690
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-12-20
          Floating
          2.44660000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Small Business Administration
        N/A
        United States Small Business Administration
        83162CB51
        
          
        
        24493.80000000
        PA
        USD
        24571.08000000
        0.021691806329
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-04-01
          Fixed
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MTRO Commercial Mortgage Trust
        N/A
        MTRO Commercial Mortgage Trust 2019-TECH
        55378MAG4
        
          
        
        100000.00000000
        PA
        USD
        96968.34000000
        0.085605453704
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-12-15
          Floating
          2.19657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAH3
        
          
          
        
        10000.00000000
        PA
        USD
        8562.50000000
        0.007559134221
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XARA2
        
          
        
        84776.76000000
        PA
        USD
        81372.59000000
        0.071837235597
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378NWU3
        
          
        
        68044.50500000
        PA
        USD
        68562.61000000
        0.060528347048
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-16
          Variable
          3.35604000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN IMPERIAL BANK
        2IGI19DL77OX0HC3ZE78
        Canadian Imperial Bank of Commerce
        13607GRK2
        
          
          
        
        50000.00000000
        PA
        USD
        49065.77000000
        0.043316174147
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-06-23
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKZ24
        
          
          
        
        24670.78000000
        PA
        USD
        25866.36000000
        0.022835303599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAT7
        
          
          
        
        10000.00000000
        PA
        USD
        11112.95000000
        0.009810718908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SN9
        
          
          
        
        3640000.00000000
        PA
        USD
        2714928.14000000
        2.396789046811
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-05-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XBFY1
        
          
        
        322202.19000000
        PA
        USD
        316442.51000000
        0.279361332161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROCTER & GAMBLE CO/THE
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        742718FH7
        
          
          
        
        30000.00000000
        PA
        USD
        30163.85000000
        0.026629207684
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -78738.75000000
        -0.06951203266
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -21657731.00000000
            MXN
            1003711.76000000
            USD
            2022-04-19
            -78738.75000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023BY0
        
          
          
        
        10000.00000000
        PA
        USD
        8789.27000000
        0.007759330994
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-01
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tharaldson Hotel Portfolio Tru
        N/A
        Tharaldson Hotel Portfolio Trust 2018-THPT
        88327HAL7
        
          
        
        243024.08000000
        PA
        USD
        237245.09000000
        0.209444377088
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-11
          Floating
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - JPY
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2220.82000000
        -0.00196058119
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -123781.90000000
            USD
            14749043.00000000
            JPY
            2022-04-19
            -2220.82000000
          
        
        
          N
          N
          N
        
      
      
        DEERFIELD DAKOTA HOLDING
        549300FDREJLOIGXY104
        Deerfield Dakota Holding LLC
        24440EAB3
        
          
          
        
        108075.00000000
        PA
        USD
        107399.53000000
        0.094814302207
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-04-09
          Floating
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JADP0
        
          
        
        94736.33000000
        PA
        USD
        101253.82000000
        0.089388755138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        French Government Bond
        000000000
        
          
          
        
        4.00000000
        NC
        
        -32750.64000000
        -0.02891287399
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Long
            
              
                FRANCE (GOVT OF)
                French Republic Government Bond OAT
                
                  
                  
                  
                
              
            
            2022-06-08
            706684.04000000
            USD
            -32750.64000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEA8
        
          
          
        
        340000.00000000
        PA
        USD
        364779.71000000
        0.322034311164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-08-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDX7
        
          
          
        
        80000.00000000
        PA
        USD
        73631.13000000
        0.065002930754
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030666
        
          
        
        300000.00000000
        PA
        USD
        294937.50000000
        0.260376309442
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP IRS USD
        000000000
        
          
        
        -10300000.00000000
        NC
        USD
        -240344.72000000
        -0.21218078809
        N/A
        DIR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Put
            Written
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    CH
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2022-07-07
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            1.32300000
            USD
            2022-07-07
            XXXX
            -209205.14000000
          
        
        
          N
          N
          N
        
      
      
        SALESFORCE.COM INC
        RCGZFPDMRW58VJ54VR07
        salesforce.com Inc
        79466LAH7
        
          
          
        
        50000.00000000
        PA
        USD
        45995.32000000
        0.040605523791
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAG2
        
          
          
        
        250000.00000000
        PA
        USD
        235989.94000000
        0.208336307328
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZZ4
        
          
          
        
        490000.00000000
        PA
        USD
        532132.65000000
        0.469776598569
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
          
        
        200000.00000000
        PA
        USD
        190181.18000000
        0.167895482174
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.21900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRIFOLS WORLDWIDE OPERAT
        N/A
        Grifols Worldwide Operations USA Inc
        39843PAG8
        
          
          
        
        128833.37000000
        PA
        USD
        126514.37000000
        0.111689238404
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2027-11-15
          Floating
          2.46870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MILEAGE PLUS HLDINGS LLC
        N/A
        Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
        599191AA1
        
          
          
        
        60000.00000000
        PA
        USD
        62550.00000000
        0.055220303134
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3876.90000000
        0.003422599411
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -341238.70000000
            USD
            310000.00000000
            EUR
            2022-04-19
            3876.90000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X8CP0
        
          
        
        83190.77000000
        PA
        USD
        79635.90000000
        0.070304053371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEX BONOS DESARR FIX RT
        254900EGTWEU67VP6075
        Mexican Bonos
        000000000
        
          
          
        
        67020000.00000000
        PA
        
        3131744.92000000
        2.764762651016
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2042-11-13
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ACB9
        
          
          
        
        40000.00000000
        PA
        USD
        36272.06000000
        0.032021649056
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1060.98000000
        -0.00093665287
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -44000.00000000
            EUR
            47923.17000000
            USD
            2022-04-19
            -1060.98000000
          
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        Impac CMB Trust Series 2005-7
        45254NQX8
        
          
          
        
        150751.48000000
        PA
        USD
        140158.93000000
        0.123734909697
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          0.97657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NN7
        
          
          
        
        90000.00000000
        PA
        USD
        89219.57000000
        0.078764695457
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-03-17
          Fixed
          3.78500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMSCOPE INC
        549300Z6K4JXMFE8QY54
        CommScope Inc
        20338QAD5
        
          
          
        
        20000.00000000
        PA
        USD
        20231.80000000
        0.017861009255
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRONERI US INC
        N/A
        Froneri US Inc
        000000000
        
          
          
        
        15363.06000000
        PA
        USD
        15064.09000000
        0.013298858772
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-01-31
          Floating
          2.70743040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABF1
        
          
          
        
        30000.00000000
        PA
        USD
        30115.17000000
        0.026586232075
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Phoenix Newco Inc
        254900PHGVI5379Z9791
        PAREXEL 08/11/28
        71911KAC8
        
          
          
        
        250000.00000000
        PA
        USD
        247947.50000000
        0.218892663650
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-11-15
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - MXN
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        18373.78000000
        0.016220714649
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -501777.09000000
            USD
            10407208.00000000
            MXN
            2022-04-19
            18373.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS CDX.NA.IG.38.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        191501.18000000
        0.169060802720
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                IHS MARKIT LTD
                CDX.NA.IG.38.V1
                
                  
                  
                
              
            
            Y
            
            Default Event
            2027-06-20
            164129.43000000
            USD
            0.00000000
            USD
            -11905000.00000000
            USD
            27371.75000000
          
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582BQ4
        
          
          
        
        30000.00000000
        PA
        USD
        31278.64000000
        0.027613365026
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2046-05-10
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXUS BUYER LLC
        254900PILSANV8WOOF24
        Nexus Buyer LLC
        65343UAC6
        
          
        
        196977.33000000
        PA
        USD
        194859.82000000
        0.172025872566
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-11-08
          Floating
          4.20510000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDBANK AB
        M312WZV08Y7LYUC71685
        Swedbank AB
        87020PAK3
        
          
          
        
        200000.00000000
        PA
        USD
        197171.64000000
        0.174066790251
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2023-06-02
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNION PACIFIC CORP
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818FQ6
        
          
          
        
        30000.00000000
        PA
        USD
        28032.00000000
        0.024747170862
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-04-06
          Fixed
          2.89100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        CURRENCY CONTRACT - RUB
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        31974.05000000
        0.028227285906
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            -120944.73000000
            USD
            12880614.00000000
            RUB
            2022-04-19
            31974.05000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAG8
        
          
          
        
        10000.00000000
        PA
        USD
        10671.07000000
        0.009420619027
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -88.00000000
        NC
        USD
        -68062.54000000
        -0.06008687595
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Put
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Short
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            114.50000000
            USD
            2022-05-20
            XXXX
            -2058.50000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FQ4B6
        
          
        
        2885969.12200000
        PA
        USD
        153784.93000000
        0.135764195876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-25
          Variable
          0.83523300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418D5G3
        
          
        
        48257.31000000
        PA
        USD
        45285.74000000
        0.039979093372
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARMACEUT FIN BV
        549300Q840R30TDKVK53
        Teva Pharmaceutical Finance Co BV
        88165FAG7
        
          
          
        
        280000.00000000
        PA
        USD
        278250.00000000
        0.245644274133
        Long
        DBT
        CORP
        CW
        
        N
        
        2
        
          2022-12-18
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AU5
        
          
          
        
        20000.00000000
        PA
        USD
        18674.60000000
        0.016486284139
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          2.26800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IMM EURODOLLAR TIME DEPOSIT
        000000000
        
          
          
        
        -35.00000000
        NC
        USD
        -81375.00000000
        -0.07183936319
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Put
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Short
                  
                    
                      NA
                      90 DAY EURO DOLLAR TIME DEPOSIT
                      
                        
                        
                      
                    
                  
                  2022-12-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.12500000
            USD
            2022-12-19
            XXXX
            -53886.00000000
          
        
        
          N
          N
          N
        
      
      
        ALLIED UNIVERSAL HOLDCO
        98450038B4549046D794
        Allied Universal Holdco LLC
        01957TAH0
        
          
        
        226336.92000000
        PA
        USD
        222577.46000000
        0.196495520575
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-05-14
          Floating
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140KSBK2
        
          
        
        62682.40000000
        PA
        USD
        61760.77000000
        0.054523556214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY FIN
        549300RLHFT5RU20WM87
        Berkshire Hathaway Finance Corp
        084664CR0
        
          
          
        
        70000.00000000
        PA
        USD
        76657.43000000
        0.067674604669
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-01-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN ENERGY CO
        EFWMP121W54QV9MGOP87
        Southwestern Energy Co
        845467AT6
        
          
          
        
        10000.00000000
        PA
        USD
        9987.50000000
        0.008817150720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XBK82
        
          
        
        186296.94000000
        PA
        USD
        178353.63000000
        0.157453901097
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEPSICO INC
        FJSUNZKFNQ5YPJ5OT455
        PepsiCo Inc
        713448ER5
        
          
          
        
        60000.00000000
        PA
        USD
        59626.85000000
        0.052639691957
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-19
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        040114HS2
        
          
          
        
        145500.00000000
        PA
        USD
        48743.96000000
        0.043032074295
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2030-07-09
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOC ESCROW LTD
        N/A
        VOC Escrow Ltd
        91832VAA2
        
          
          
        
        40000.00000000
        PA
        USD
        37199.80000000
        0.032840675180
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2028-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141EC23
        
          
          
        
        80000.00000000
        PA
        USD
        81460.80000000
        0.071915109025
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-08
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAD21
        
          
        
        38907.63200000
        PA
        USD
        39478.86000000
        0.034852671728
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        EURODOLLAR 1 YEAR MIDCURVE
        000000000
        
          
          
        
        -174.00000000
        NC
        USD
        -1087.50000000
        -0.00096006522
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    EURODOLLAR 1 YEAR MIDCURVE
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      ICE FUTURES EUROPE
                      3 MONTH EURO INTERBANK OFFER RATE
                      
                        
                        
                        
                      
                    
                  
                  2023-06-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.62500000
            USD
            2022-06-10
            XXXX
            15947.10000000
          
        
        
          N
          N
          N
        
      
      
        DIAMONDBACK ENERGY INC
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278XAM1
        
          
          
        
        30000.00000000
        PA
        USD
        29955.43000000
        0.026445210633
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2D4
        
          
          
        
        50000.00000000
        PA
        USD
        51862.56000000
        0.045785232366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-24
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CN6
        
          
          
        
        14000.00000000
        PA
        USD
        14214.74000000
        0.012549036798
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        SOFR 1 YEAR MIDCURVE
        000000000
        
          
          
        
        -103.00000000
        NC
        USD
        -643.75000000
        -0.00056831447
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    SOFR 1 YEAR MIDCURVE
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  2023-09-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.50000000
            USD
            2022-04-14
            XXXX
            427.45000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133AGKB4
        
          
        
        92783.46000000
        PA
        USD
        86400.48000000
        0.076275950384
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AR0
        
          
          
        
        200000.00000000
        PA
        USD
        204374.94000000
        0.180425997439
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-22
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON CORP
        N/A
        Chevron Corp
        166764BX7
        
          
          
        
        10000.00000000
        PA
        USD
        9596.84000000
        0.008472268807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-11
          Fixed
          1.99500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMMUNICATIONS OPER
        549300TPZNMN50BJ3745
        Charter Communications Operating LLC
        16117LBX6
        
          
        
        39097.74000000
        PA
        USD
        38728.66000000
        0.034190381217
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-02-01
          Floating
          2.19710000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZU5
        
          
          
        
        60000.00000000
        PA
        USD
        58650.00000000
        0.051777310612
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-28
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KHK39
        
          
        
        174198.33000000
        PA
        USD
        174974.21000000
        0.154470486280
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCE3
        
          
          
        
        130000.00000000
        PA
        USD
        118532.80000000
        0.104642959989
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-25
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        549300V1P5RKG8RJI005
        SMB Private Education Loan Trust 2018-C
        78449QAB3
        
          
        
        73234.20000000
        PA
        USD
        73596.75000000
        0.064972579451
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-11-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFH2
        
          
          
        
        230000.00000000
        PA
        USD
        247329.80000000
        0.218347346604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        EURODOLLAR 1 YEAR MIDCURVE
        000000000
        
          
          
        
        172.00000000
        NC
        USD
        7525.00000000
        0.006643209929
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    EURODOLLAR 1 YEAR MIDCURVE
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      ICE FUTURES EUROPE
                      3 MONTH EURO INTERBANK OFFER RATE
                      
                        
                        
                        
                      
                    
                  
                  2023-06-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            97.87500000
            USD
            2022-06-10
            XXXX
            -41211.20000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KKY4
        
          
        
        190000.00000000
        PA
        USD
        180692.41000000
        0.159518619572
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-10-25
          Floating
          1.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        N/A
        Fannie Mae or Freddie Mac
        01F042640
        
          
        
        300000.00000000
        PA
        USD
        310875.00000000
        0.274446230804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QDWP5
        
          
        
        77617.53000000
        PA
        USD
        76428.68000000
        0.067472659915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RE0
        
          
          
        
        84000.00000000
        PA
        USD
        97689.38000000
        0.086242001224
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-02-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBZ3
        
          
          
        
        10000.00000000
        PA
        USD
        10202.04000000
        0.009006550621
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622A2SB9
        
          
        
        197916.68000000
        PA
        USD
        201864.03000000
        0.178209319399
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAD2
        
          
          
        
        10000.00000000
        PA
        USD
        10173.46000000
        0.008981319666
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-06
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COTERRA ENERGY INC
        FCNMH6O7VWU7LHXMK351
        Coterra Energy Inc
        127097AH6
        
          
          
        
        140000.00000000
        PA
        USD
        145879.48000000
        0.128785117612
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBB9
        
          
          
        
        22461.01000000
        PA
        USD
        22834.33000000
        0.020158571134
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.45657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKD3
        
          
          
        
        200000.00000000
        PA
        USD
        172657.68000000
        0.152425410520
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -11.00000000
        NC
        USD
        -8765.63000000
        -0.00773846116
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            123.00000000
            USD
            2022-04-22
            XXXX
            -2940.91000000
          
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AK6
        
          
          
        
        20000.00000000
        PA
        USD
        22410.59000000
        0.019784485582
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-12-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROSOFT CORP
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918BY9
        
          
          
        
        210000.00000000
        PA
        USD
        215410.54000000
        0.190168430328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-06
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGD8
        
          
        
        213263.92000000
        PA
        USD
        221879.39000000
        0.195879251398
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS CDX.NA.HY.38.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        -69646.15000000
        -0.06148491630
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                IHS MARKIT LTD
                CDX.NA.HY.38.V1
                
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            0.00000000
            USD
            -59196.28000000
            USD
            1261000.00000000
            USD
            -10356.70000000
          
        
        
          N
          N
          N
        
      
      
        H&E EQUIPMENT SERVICES
        254900KVLRCDMQRYY541
        H&E Equipment Services Inc
        404030AJ7
        
          
          
        
        10000.00000000
        PA
        USD
        9375.00000000
        0.008276424330
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CTR PARTNERSHIP/CARETRST
        N/A
        CTR Partnership LP / CareTrust Capital Corp
        126458AE8
        
          
          
        
        10000.00000000
        PA
        USD
        9427.20000000
        0.008322507461
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        57539.13000000
        0.050796613919
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2026-10-20
            0.00000000
            USD
            -612.21000000
            USD
            1170000.00000000
            USD
            58151.34000000
          
        
        
          N
          N
          N
        
      
      
        LIFEPOINT HEALTH INC
        549300G8ZVHRTBBBSZ90
        LifePoint Health Inc
        75915TAD4
        
          
        
        19254.44000000
        PA
        USD
        19120.04000000
        0.016879526854
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-11-16
          Floating
          4.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QADC1
        
          
        
        17542.04000000
        PA
        USD
        18396.47000000
        0.016240745803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAE8
        
          
          
        
        40000.00000000
        PA
        USD
        38770.02000000
        0.034226894594
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2025-05-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAH0
        
          
          
        
        250000.00000000
        PA
        USD
        237737.50000000
        0.209879085792
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDZ2
        
          
          
        
        40000.00000000
        PA
        USD
        35455.16000000
        0.031300474546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        N/A
        Voya CLO 2020-3 Ltd
        92918NAW7
        
          
        
        250000.00000000
        PA
        USD
        245518.79000000
        0.216748553300
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-20
          Floating
          3.50400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2013-1
        64033CAA8
        
          
        
        54928.08000000
        PA
        USD
        53872.83000000
        0.047559936103
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-06-25
          Floating
          1.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBF1
        
          
          
        
        80000.00000000
        PA
        USD
        71390.97000000
        0.063025275850
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2047-08-15
          Fixed
          4.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -60529.43000000
        -0.05343650636
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1586199.00000000
            BRL
            271516.43000000
            USD
            2022-04-19
            -60529.43000000
          
        
        
          N
          N
          N
        
      
      
        RUSSIA GOVT BOND - OFZ
        5493004EHVGF71PDBU58
        Russian Federal Bond - OFZ
        000000000
        
          
          
        
        9460000.00000000
        PA
        
        3446.27000000
        0.003042431240
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2027-10-06
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COTERRA ENERGY INC
        FCNMH6O7VWU7LHXMK351
        Coterra Energy Inc
        127097AE3
        
          
          
        
        110000.00000000
        PA
        USD
        110801.00000000
        0.097817183174
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DG7
        
          
          
        
        180000.00000000
        PA
        USD
        170174.96000000
        0.150233619137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-04
          Fixed
          2.19600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDK4
        
          
          
        
        50000.00000000
        PA
        USD
        50586.02000000
        0.044658279116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBK7
        
          
          
        
        40000.00000000
        PA
        USD
        41050.97000000
        0.036240559669
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-19
          Fixed
          3.48200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE ENERGY INC
        MIHC87W9WTYSYZWV1J40
        Cheniere Energy Inc
        16411RAK5
        
          
          
        
        30000.00000000
        PA
        USD
        30100.50000000
        0.026573281126
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2020-1
        35563PPH6
        
          
        
        640000.00000000
        PA
        USD
        606696.58000000
        0.535603022510
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-08-25
          Variable
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XCQ76
        
          
        
        93849.52000000
        PA
        USD
        92891.55000000
        0.082006387683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CBT0
        
          
        
        47597.54000000
        PA
        USD
        46034.25000000
        0.040639891919
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFC8
        
          
          
        
        100000.00000000
        PA
        USD
        115017.63000000
        0.101539702547
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-01-21
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JT9
        
          
          
        
        150000.00000000
        PA
        USD
        154304.64000000
        0.136223005528
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-10
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BZ8
        
          
          
        
        20000.00000000
        PA
        USD
        18579.29000000
        0.016402142698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-12
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
          
        
        270000.00000000
        PA
        USD
        279993.01000000
        0.247183035773
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sotera Health Holdings LLC
        549300OVT7MBXFLOFU20
        SOTERA HEALTH 12/13/26
        83600VAE1
        
          
          
        
        110000.00000000
        PA
        USD
        108441.30000000
        0.095733996135
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-12-13
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAJ3
        
          
          
        
        10000.00000000
        PA
        USD
        9900.00000000
        0.008739904093
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Loanpal Solar Loan Ltd.
        N/A
        Loanpal Solar Loan 2021-2 Ltd
        53948QAA4
        
          
        
        260180.43000000
        PA
        USD
        241141.52000000
        0.212884217947
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-03-20
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36178WDM8
        
          
        
        51779.85700000
        PA
        USD
        51572.70000000
        0.045529338568
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CN3
        
          
          
        
        60000.00000000
        PA
        USD
        56100.00000000
        0.049526123194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARS INC
        54930073HKEO6GZBSS03
        Mars Inc
        571676AB1
        
          
          
        
        30000.00000000
        PA
        USD
        29734.45000000
        0.026250125380
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMONDBACK ENERGY INC
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278XAN9
        
          
          
        
        30000.00000000
        PA
        USD
        29716.99000000
        0.026234711367
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KHCN4
        
          
        
        117897.95000000
        PA
        USD
        125435.73000000
        0.110736994955
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAH6
        
          
          
        
        200000.00000000
        PA
        USD
        203054.07000000
        0.179259908841
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-12
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBH5
        
          
          
        
        10000.00000000
        PA
        USD
        9712.56000000
        0.008574428575
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-06
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - COP
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        11808.99000000
        0.010425195963
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -123199.40000000
            USD
            508148260.00000000
            COP
            2022-04-19
            11808.99000000
          
        
        
          N
          N
          N
        
      
      
        ECMC Group Student Loan Trust
        N/A
        ECMC Group Student Loan Trust 2020-2
        26829HAA4
        
          
        
        156976.09000000
        PA
        USD
        155878.53000000
        0.137612464887
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-11-25
          Floating
          1.60657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAF0
        
          
          
        
        40000.00000000
        PA
        USD
        39883.03000000
        0.035209480519
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMM1
        
          
          
        
        40000.00000000
        PA
        USD
        35537.78000000
        0.031373413018
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335BCW4
        
          
        
        45237.34400000
        PA
        USD
        44974.56000000
        0.039704377882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - IDR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -45.40000000
        -0.00004007996
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -29138.10000000
            USD
            418160811.00000000
            IDR
            2022-04-19
            -45.40000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38148LAF3
        
          
          
        
        310000.00000000
        PA
        USD
        346369.05000000
        0.305781038165
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-22
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QMT95
        
          
        
        98140.87000000
        PA
        USD
        93895.31000000
        0.082892525676
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UQ62
        
          
        
        63003.13610000
        PA
        USD
        65518.33000000
        0.057840800054
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XUX0
        
          
        
        323077.36000000
        PA
        USD
        326822.51000000
        0.288524989180
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-05-25
          Floating
          2.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AH7
        
          
          
        
        10000.00000000
        PA
        USD
        10200.00000000
        0.009004749671
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140KLH47
        
          
        
        82073.82000000
        PA
        USD
        78581.25000000
        0.069372988739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -29671.72000000
        -0.02619474616
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -17612357.00000000
            MXN
            850591.54000000
            USD
            2022-04-19
            -29671.72000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
          
        
        959000000.00000000
        PA
        
        64848.77000000
        0.057249700036
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2032-04-15
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -6.00000000
        NC
        USD
        -1125.00000000
        -0.00099317091
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            115.75000000
            USD
            2022-04-22
            XXXX
            927.12000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKK4
        
          
          
        
        60000.00000000
        PA
        USD
        56219.57000000
        0.049631681814
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-04
          Fixed
          2.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2811.80000000
        -0.00248230932
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -1567280.56000000
            MXN
            75520.67000000
            USD
            2022-04-19
            -2811.80000000
          
        
        
          N
          N
          N
        
      
      
        United Airlines Inc
        K1OQBWM7XEOO08LDNP29
        UNITED AIRLINES 04/28 TL
        90932RAJ3
        
          
          
        
        79200.00000000
        PA
        USD
        78144.26000000
        0.068987205841
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-04-21
          Floating
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENNAR CORP
        529900G61XVRLX5TJX09
        Lennar Corp
        526057BZ6
        
          
          
        
        40000.00000000
        PA
        USD
        41005.65000000
        0.036200550331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XCQ68
        
          
        
        32030.37000000
        PA
        USD
        31807.60000000
        0.028080340750
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AD9
        
          
          
        
        10000.00000000
        PA
        USD
        9900.00000000
        0.008739904093
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-13
          Floating
          1.84443000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - CAD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        36250.87000000
        0.032002942130
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1928572.92000000
            USD
            2454398.33000000
            CAD
            2022-04-19
            36250.87000000
          
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BF8
        
          
          
        
        20000.00000000
        PA
        USD
        20314.15000000
        0.017933709367
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL LEASE FINANCE CORP
        N/A
        International Lease Finance Corp
        459745GN9
        
          
          
        
        150000.00000000
        PA
        USD
        151831.37000000
        0.134039556781
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CS54
        
          
          
        
        20858.69000000
        PA
        USD
        21529.13000000
        0.019006316303
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cold Storage Trust
        N/A
        Cold Storage Trust 2020-ICE5
        193051AA7
        
          
        
        501325.17000000
        PA
        USD
        495456.71000000
        0.437398396738
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Floating
          1.29657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NADG NNN Operating LP
        N/A
        NADG NNN Operating LP
        629682AA3
        
          
        
        148312.50000000
        PA
        USD
        144690.78000000
        0.127735711148
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-12-28
          Fixed
          3.36800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKG6
        
          
          
        
        90000.00000000
        PA
        USD
        81999.71000000
        0.072390868794
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHNSON & JOHNSON
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160CF9
        
          
          
        
        30000.00000000
        PA
        USD
        31015.53000000
        0.027381086626
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-03
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBH3
        
          
          
        
        30000.00000000
        PA
        USD
        27641.02000000
        0.024402006448
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-01-31
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES CLO Ltd
        549300VFCO6SQG8OL714
        ARES XLV CLO Ltd
        04015VAE6
        
          
        
        250000.00000000
        PA
        USD
        246820.99000000
        0.217898159674
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-15
          Floating
          6.34129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        234174.31000000
        0.206733435402
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Y
            
              
                
              
            
            
            2047-08-15
            326544.83000000
            USD
            0.00000000
            USD
            2914000.00000000
            USD
            -92688.35000000
          
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBE0
        
          
          
        
        540000.00000000
        PA
        USD
        606894.12000000
        0.535777414495
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2050-04-16
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        040114HX1
        
          
          
        
        4442.68000000
        PA
        USD
        1517.49000000
        0.001339668390
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2029-07-09
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARS INC
        54930073HKEO6GZBSS03
        Mars Inc
        000000000
        
          
          
        
        10000.00000000
        PA
        USD
        9911.48000000
        0.008750038850
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-C41
        95001ABH8
        
          
        
        70000.00000000
        PA
        USD
        67384.95000000
        0.059488686901
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-15
          Variable
          4.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARS INC
        54930073HKEO6GZBSS03
        Mars Inc
        571676AA3
        
          
          
        
        20000.00000000
        PA
        USD
        19822.12000000
        0.017499336133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JHYV9
        
          
        
        33813.47000000
        PA
        USD
        35441.16000000
        0.031288115085
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418B6J0
        
          
        
        72470.08000000
        PA
        USD
        72283.58000000
        0.063813288556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
          
        
        150000.00000000
        PA
        USD
        152026.48000000
        0.134211803517
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wingstop Funding LLC
        N/A
        Wingstop Funding LLC
        974153AB4
        
          
          
        
        407950.00000000
        PA
        USD
        378363.83000000
        0.334026624901
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-12-05
          Fixed
          2.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH54
        
          
          
        
        11731.17000000
        PA
        USD
        12203.75000000
        0.010773697432
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME SECURITY SERVICES BOR
        549300O6QPZVWXV2DC15
        Prime Security Services Borrower LLC
        03765VAK6
        
          
        
        16077.17040000
        PA
        USD
        15943.25000000
        0.014074997569
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-09-23
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARMACEUTICALS NE
        5493004T21MOAFINJP35
        Teva Pharmaceutical Finance Netherlands III BV
        88167AAE1
        
          
          
        
        340000.00000000
        PA
        USD
        307832.60000000
        0.271760343510
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-10-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076CD2
        
          
          
        
        90000.00000000
        PA
        USD
        84799.41000000
        0.074862496015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KK3X5
        
          
        
        84745.43000000
        PA
        USD
        81044.73000000
        0.071547794692
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133AQPP6
        
          
        
        96079.06000000
        PA
        USD
        92220.69000000
        0.081414140000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAF5
        
          
          
        
        200000.00000000
        PA
        USD
        166136.90000000
        0.146668744680
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2031-07-13
          Fixed
          3.06100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        UNITED STATES 10 YEAR TREASURY NOTE/BOND
        000000000
        
          
          
        
        -23.00000000
        NC
        USD
        96636.62000000
        0.085312605119
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -3212417.87000000
            USD
            96636.62000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
          
        
        21046.48000000
        PA
        USD
        21883.26000000
        0.019318948853
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENAHEALTH GROUP INC
        254900AA3KZN4Q7A5Z33
        AthenaHealth Group Inc
        000000000
        
          
        
        23188.41000000
        PA
        USD
        22904.35000000
        0.020220386092
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-02-15
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PED0
        
          
          
        
        10000.00000000
        PA
        USD
        9391.69000000
        0.008291158573
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H032654
        
          
        
        100000.00000000
        PA
        USD
        100234.38000000
        0.088488774549
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAM7
        
          
          
        
        200000.00000000
        PA
        USD
        173700.00000000
        0.153345589998
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-03-08
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AN0
        
          
          
        
        10000.00000000
        PA
        USD
        10792.74000000
        0.009528031565
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2048-04-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE ENERGY PARTNERS
        5493005UEC8AZ34LDV29
        Cheniere Energy Partners LP
        16411QAL5
        
          
          
        
        10000.00000000
        PA
        USD
        9092.90000000
        0.008027381204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-31
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IMM EURODOLLAR TIME DEPOSIT
        000000000
        
          
          
        
        -70.00000000
        NC
        USD
        -17937.50000000
        -0.01583555855
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      NA
                      90 DAY EURO DOLLAR TIME DEPOSIT
                      
                        
                        
                      
                    
                  
                  2022-12-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.37500000
            USD
            2022-12-19
            XXXX
            35290.50000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175CJ1
        
          
          
        
        60000.00000000
        PA
        USD
        59822.54000000
        0.052812450728
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-04-01
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138L9U26
        
          
        
        19338.82000000
        PA
        USD
        19365.73000000
        0.017096426554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QKDF2
        
          
        
        92621.06000000
        PA
        USD
        90492.30000000
        0.079888285168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AB7
        
          
          
        
        200000.00000000
        PA
        USD
        196010.37000000
        0.173041599501
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-09-17
          Fixed
          3.52200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pilot Travel Centers LLC
        549300115UILLXNE1Z49
        PILOT TRAVEL CEN 07/28 TL
        72165NBH1
        
          
          
        
        199000.00000000
        PA
        USD
        195973.21000000
        0.173008793962
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-08-06
          Floating
          2.24140000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COS INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        969457BD1
        
          
          
        
        80000.00000000
        PA
        USD
        100238.76000000
        0.088492641294
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329QBK6
        
          
        
        99077.01000000
        PA
        USD
        104056.46000000
        0.091862977845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329KXS8
        
          
        
        56204.45000000
        PA
        USD
        56953.27000000
        0.050279405817
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVQG0
        
          
        
        86712.05000000
        PA
        USD
        14628.94000000
        0.012914700261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XBAL4
        
          
        
        189376.56000000
        PA
        USD
        176233.41000000
        0.155582131455
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XBUL2
        
          
        
        167919.15000000
        PA
        USD
        173171.24000000
        0.152878790837
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133AGCY3
        
          
        
        89008.98000000
        PA
        USD
        82996.33000000
        0.073270703463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        N/A
        Fannie Mae or Freddie Mac
        01F022659
        
          
        
        200000.00000000
        PA
        USD
        190416.96000000
        0.168103633142
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IMM EURODOLLAR TIME DEPOSIT
        000000000
        
          
          
        
        174.00000000
        NC
        USD
        50025.00000000
        0.044163000228
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      NA
                      90 DAY EURO DOLLAR TIME DEPOSIT
                      
                        
                        
                      
                    
                  
                  2023-06-19
                  0.00000000
                  USD
                
              
            
            2500.00000000
            98.50000000
            USD
            2023-06-19
            XXXX
            -46040.40000000
          
        
        
          N
          N
          N
        
      
      
        FREEPORT-MCMORAN INC
        549300IRDTHJQ1PVET45
        Freeport-McMoRan Inc
        35671DBC8
        
          
          
        
        125000.00000000
        PA
        USD
        139980.00000000
        0.123576946965
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        5 YEAR US TREASURY NOTE WEEK 1
        000000000
        
          
          
        
        9.00000000
        NC
        USD
        140.63000000
        0.000124150779
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Put
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    5 YEAR US TREASURY NOTE WEEK 1
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Short
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            113.75000000
            USD
            2022-04-01
            XXXX
            -507.76000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F020646
        
          
        
        1000000.00000000
        PA
        USD
        928242.19000000
        0.819469466245
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325CU7
        
          
          
        
        330000.00000000
        PA
        USD
        277731.30000000
        0.245186356128
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2045-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        N/A
        Hertz Vehicle Financing III LP
        42806MAE9
        
          
        
        310000.00000000
        PA
        USD
        282652.05000000
        0.249530485730
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-12-27
          Fixed
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE FUTURES EUROPE
        549300UF4R84F48NCH34
        Long Gilt
        000000000
        
          
          
        
        -10.00000000
        NC
        
        13727.66000000
        0.012119033517
        N/A
        DIR
        CORP
        GB
        N
        
        1
        
          
            
              ICE FUTURES EUROPE
              549300UF4R84F48NCH34
            
            Short
            
              
                UNITED KINGDOM GILT
                United Kingdom Gilt
                
                  
                  
                  
                
              
            
            2022-06-28
            -1609307.14000000
            USD
            13727.66000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BR4
        
          
          
        
        100000.00000000
        PA
        USD
        105882.33000000
        0.093474889834
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-30
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VFH Parent LLC
        549300FRO9M476YHHY64
        VFH PARENT LLC 1/29TL
        000000000
        
          
        
        50000.00000000
        PA
        USD
        49437.50000000
        0.043644344303
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-01-13
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -35372.95000000
        -0.03122789802
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-03-04
            0.00000000
            USD
            -1841.17000000
            USD
            1186000.00000000
            USD
            -33531.78000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378KJP5
        
          
        
        10243875.86000000
        PA
        USD
        27135.00000000
        0.023955282582
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-16
          Variable
          0.05719000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        132.00000000
        NC
        USD
        66000.00000000
        0.058266027287
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Put
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Short
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            1000.00000000
            114.50000000
            USD
            2022-04-22
            XXXX
            568.51000000
          
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBQ2
        
          
          
        
        150000.00000000
        PA
        USD
        137448.09000000
        0.121341729736
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cloudera Inc
        549300PGONC4JOI0RG62
        PROJECT SKY 8/28 TL
        74339VAB4
        
          
          
        
        40000.00000000
        PA
        USD
        39450.00000000
        0.034827193583
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-10-08
          Floating
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        5493002SZMQH8ZTTHX49
        OZLM XVIII Ltd
        67112GAG3
        
          
        
        250000.00000000
        PA
        USD
        243056.48000000
        0.214574780244
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          3.08914000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKJ0
        
          
          
        
        50000.00000000
        PA
        USD
        43872.20000000
        0.038731193975
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -14.00000000
        NC
        USD
        -5468.75000000
        -0.00482791419
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            1000.00000000
            124.00000000
            USD
            2022-04-22
            XXXX
            3694.53000000
          
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AC1
        
          
          
        
        290000.00000000
        PA
        USD
        357674.40000000
        0.315761611371
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        78015K7G3
        
          
          
        
        80000.00000000
        PA
        USD
        79596.84000000
        0.070269570476
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-04-17
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE FUTURES EUROPE
        549300UF4R84F48NCH34
        3 MONTH EURO EURIBOR
        000000000
        
          
          
        
        -21.00000000
        NC
        
        8859.26000000
        0.007821119468
        N/A
        DIR
        CORP
        GB
        
        N
        
        1
        
          
            
              ICE FUTURES EUROPE
              549300UF4R84F48NCH34
            
            Short
            
              
                ICE FUTURES EUROPE
                3 MONTH EURO INTERBANK OFFER RATE
                
                  
                  
                  
                
              
            
            2022-06-13
            -5869767.97000000
            USD
            8859.26000000
          
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPBT9
        
          
          
        
        250000.00000000
        PA
        USD
        250368.75000000
        0.221030188174
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XZQF1
        
          
        
        34453.39000000
        PA
        USD
        35135.46000000
        0.031018237441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CY9
        
          
          
        
        100000.00000000
        PA
        USD
        94000.00000000
        0.082984947955
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-08-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468P7
        
          
          
        
        110000.00000000
        PA
        USD
        109427.75000000
        0.096604852538
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.62200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911363AM1
        
          
          
        
        20000.00000000
        PA
        USD
        18850.00000000
        0.016641130520
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        254900TEETF3L54VTH19
        Wellfleet CLO 2017-3 Ltd
        94950HAG0
        
          
        
        250000.00000000
        PA
        USD
        243298.18000000
        0.214788157499
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-01-17
          Floating
          2.99129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R07
        20753WAF3
        
          
        
        70116.07000000
        PA
        USD
        70116.09000000
        0.061899788079
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-10-25
          Floating
          2.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KHNK8
        
          
        
        128573.64000000
        PA
        USD
        126703.49000000
        0.111856197057
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COS INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        969457BM1