Form NPORT-P PACE SELECT ADVISORS For: Jul 31

September 20, 2021 12:13 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000930007
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        C000007355
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      PACE SELECT ADVISORS TRUST
      811-08764
      0000930007
      549300TPB2UX3QR3SC50
      C/O UBS ASSET MANAGEMENT (AMERICAS) INC.
      12TH FLOOR 1285 AVENUE OF THE AMERICAS
      NEW YORK
      
      10019
      212-821-3000
      PACE Intermediate Fixed Income Investments
      S000002697
      5493004WT2PUPHDKF193
      2021-07-31
      2021-07-31
      N
    
    
      412068332.68
      90561366.85
      321506965.83
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      45109194.42000000
      0.00000000
      0.00000000
      1146911.09000000
      
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
      
      
      
      
        
        
        
        
        
      
      
        
          
            UST
          
        
      
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAC5
        
          
        
        20000.00000000
        PA
        USD
        22176.14000000
        0.006897561283
        Long
        DBT
        
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Program LLC
        549300MIP15HTYPHSM46
        Sofi Professional Loan Program 2016-A LLC
        78469PAA2
        
          
        
        31249.59000000
        PA
        USD
        31468.67000000
        0.009787865690
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          1.83900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXD1
        
          
        
        244000.00000000
        PA
        USD
        250388.91000000
        0.077879777613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Floating
          1.32600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRWQ33FA0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWQ33FA0 IRS USD P F  1.32600 2 CCPVANILLA
        000000000
        
          
        
        190000.00000000
        OU
        Notional Amount
        USD
        -649.52000000
        -0.00020202361
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-07-26
            3.03000000
            USD
            0.00000000
            USD
            190000.00000000
            USD
            -652.55000000
          
        
        
          N
          N
          N
        
      
      
        REPSOL EUROPE FINANCE
        222100TAWUOMRM7NNG09
        Repsol Europe Finance Sarl
        000000000
        
          
        
        100000.00000000
        PA
        
        122157.91000000
        0.037995416268
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2033-07-06
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DJP8
        
          
        
        38727.12000000
        PA
        USD
        41123.53000000
        0.012790867499
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBU8
        
          
        
        495000.00000000
        PA
        USD
        529323.49000000
        0.164638264876
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRWHLSBV3 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWHLSBV3 IRS USD P F  1.62100 2 CCPVANILLA
        000000000
        
          
        
        280000.00000000
        OU
        Notional Amount
        USD
        -6048.32000000
        -0.00188124073
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-02-22
            4.34000000
            USD
            0.00000000
            USD
            280000.00000000
            USD
            -6052.66000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HMP40
        
          
        
        14310.75000000
        PA
        USD
        15442.70000000
        0.004803224079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBJ8
        
          
        
        238000.00000000
        PA
        USD
        234551.37000000
        0.072953744375
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-31
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York State Thruway Authority
        N/A
        NEW YORK ST THRUWAY AUTH
        650009S53
        
          
        
        75000.00000000
        PA
        USD
        81751.31000000
        0.025427539272
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-01-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417AYD5
        
          
        
        383421.17000000
        PA
        USD
        420352.32000000
        0.130744389601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513ECC3
        
          
        
        75000.00000000
        PA
        USD
        86212.74000000
        0.026815201274
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-12-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCB0
        
          
        
        433000.00000000
        PA
        USD
        438087.10000000
        0.136260531360
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-22
          Fixed
          1.57800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCT6
        
          
        
        118000.00000000
        PA
        USD
        137207.95000000
        0.042676509246
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHNEIDER ELECTRIC SE
        969500A1YF1XUYYXS284
        Schneider Electric SE
        000000000
        
          
        
        100000.00000000
        PA
        
        119587.00000000
        0.037195772630
        Long
        DBT
        CORP
        FR
        
        N
        
        2
        
          2023-06-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBC3
        
          
        
        28000.00000000
        PA
        USD
        28017.61000000
        0.008714464374
        Long
        DBT
        
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMC Networks Inc
        549300VGG9K75226LR46
        AMC Networks Inc
        00164VAD5
        
          
        
        362000.00000000
        PA
        USD
        367430.00000000
        0.114283682486
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBR5
        
          
        
        216000.00000000
        PA
        USD
        219867.12000000
        0.068386424982
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-03-10
          Fixed
          2.66700000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        ONCOR ELECTRIC DELIVERY
        549300SP2X2BS1KERD24
        Oncor Electric Delivery Co LLC
        68233JBH6
        
          
        
        225000.00000000
        PA
        USD
        258965.26000000
        0.080547324793
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CJ6
        
          
        
        28000.00000000
        PA
        USD
        32418.31000000
        0.010083237206
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ares Capital Corp
        WEQ82666OJYSI5GUAB47
        Ares Capital Corp
        04010LAV5
        
          
        
        330000.00000000
        PA
        USD
        357652.56000000
        0.111242553975
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X83C9
        
          
        
        10387.47000000
        PA
        USD
        11250.21000000
        0.003499211897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SN9
        
          
        
        730000.00000000
        PA
        USD
        621383.99000000
        0.193272325654
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-05-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPRINT SPECTRUM / SPEC I
        N/A
        Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
        85208NAA8
        
          
        
        179687.50000000
        PA
        USD
        180316.41000000
        0.056084759947
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-09-20
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY LOUISIANA LLC
        0V5453U14HDZO63CGH17
        Entergy Louisiana LLC
        29364WBE7
        
          
        
        129000.00000000
        PA
        USD
        126347.80000000
        0.039298619758
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-12-15
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BU7
        
          
        
        261000.00000000
        PA
        USD
        263984.91000000
        0.082108612893
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-07-17
          Fixed
          2.04800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        646136XR7
        
          
        
        105000.00000000
        PA
        USD
        158836.92000000
        0.049403881371
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-12-15
          Fixed
          6.56100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRTY08H58 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTY08H58 IRS USD P F  1.98150 2 CCPVANILLA
        000000000
        
          
        
        175000.00000000
        OU
        Notional Amount
        USD
        -3241.04000000
        -0.00100807769
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2034-10-23
            3.19000000
            USD
            0.00000000
            USD
            175000.00000000
            USD
            -3244.23000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416YDT2
        
          
        
        1644479.99000000
        PA
        USD
        1840547.77000000
        0.572475238677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XBJF8
        
          
        
        1073635.45000000
        PA
        USD
        1146304.22000000
        0.356541021449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYER AG
        549300J4U55H3WP1XT59
        Bayer AG
        000000000
        
          
        
        100000.00000000
        PA
        
        124633.54000000
        0.038765424468
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2032-07-06
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AR0
        
          
        
        214000.00000000
        PA
        USD
        247707.45000000
        0.077045749027
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-22
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWQ487P4 IRS USD R F  1.05131 2 CCPVANILLA / Short: SRWQ487P4 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        990000.00000000
        OU
        Notional Amount
        USD
        307.57000000
        0.000095665112
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-05-15
            12.58000000
            USD
            0.00000000
            USD
            990000.00000000
            USD
            294.99000000
          
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAN4
        
          
        
        71000.00000000
        PA
        USD
        74305.44000000
        0.023111611223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.24200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAMERON LNG LLC
        549300C39FLHGVD73K22
        Cameron LNG LLC
        133434AC4
        
          
        
        145000.00000000
        PA
        USD
        156050.47000000
        0.048537197194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-01-15
          Fixed
          3.40200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRW6QLRQ1 IRS USD R F   .65400 2 CCPVANILLA / Short: SRW6QLRQ1 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1070000.00000000
        OU
        Notional Amount
        USD
        -36452.71000000
        -0.01133807782
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-07-12
            17.08000000
            USD
            0.00000000
            USD
            1070000.00000000
            USD
            -36469.79000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGL7
        
          
        
        162000.00000000
        PA
        USD
        180272.52000000
        0.056071108610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-24
          Fixed
          3.70500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJF94
        
          
        
        3805.23000000
        PA
        USD
        3954.43000000
        0.001229967129
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWQ79UG3 IRS USD R F   .43750 2 CCPVANILLA / Short: SRWQ79UG3 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        810000.00000000
        OU
        Notional Amount
        USD
        328.01000000
        0.000102022672
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-25
            3.53000000
            USD
            0.00000000
            USD
            810000.00000000
            USD
            324.48000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRW5F7325 IRS USD R F   .35800 2 CCPVANILLA / Short: SRW5F7325 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1060000.00000000
        OU
        Notional Amount
        USD
        -10832.96000000
        -0.00336943243
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-06-02
            14.82000000
            USD
            0.00000000
            USD
            1060000.00000000
            USD
            -10847.78000000
          
        
        
          N
          N
          N
        
      
      
        Shellpoint Co-Originator Trust
        N/A
        Shellpoint Co-Originator Trust 2016-1
        82281EBR7
        
          
        
        115491.72000000
        PA
        USD
        117206.25000000
        0.036455275454
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-10-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: BRTDD1BE2 CDS USD R F  1.00000 2 CORPORATE / Short: BRTDD1BE2 CDS USD P V 03MEVENT 1 CORPORATE
        000000000
        
          
        
        65000.00000000
        OU
        Notional Amount
        USD
        831.47000000
        0.000258616480
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Procter & Gamble Co/The
                Procter & Gamble Co/The
                
                  
                  
                
              
            
            Y
            
            sell protection
            2022-12-20
            733.77000000
            USD
            0.00000000
            USD
            65000.00000000
            USD
            97.70000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RD71
        
          
        
        188544.07000000
        PA
        USD
        201260.62000000
        0.062599147573
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS EASTERN TRANSMISSI
        549300SIOULUXXIDGA69
        Texas Eastern Transmission LP
        882384AE0
        
          
        
        171000.00000000
        PA
        USD
        196215.24000000
        0.061029856536
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-01-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED PARCEL SERVICE
        D01LMJZU09ULLNCY6Z23
        United Parcel Service Inc
        911312BR6
        
          
        
        124000.00000000
        PA
        USD
        140172.26000000
        0.043598514152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Chile
        549300FLZTJM5YJF8D34
        Chile Government International Bond
        168863CF3
        
          
        
        130000.00000000
        PA
        USD
        141643.13000000
        0.044056006573
        Long
        DBT
        NUSS
        CL
        N
        
        2
        
          2028-02-06
          Fixed
          3.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBOTT IRELAND FINANCING
        54930021QV18ZVZQDE71
        Abbott Ireland Financing DAC
        000000000
        
          
        
        100000.00000000
        PA
        
        120196.96000000
        0.037385491692
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2024-11-19
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPG03K5 IRS USD R F  1.32479 2 CCPVANILLA / Short: SRWPG03K5 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        80000.00000000
        OU
        Notional Amount
        USD
        287.36000000
        0.000089379089
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-09
            1.27000000
            USD
            0.00000000
            USD
            80000.00000000
            USD
            286.09000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        000000000
        
          
        
        100000.00000000
        PA
        
        120611.86000000
        0.037514540218
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-01-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAN5
        
          
        
        326000.00000000
        PA
        USD
        327629.64000000
        0.101904367500
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-15
          Fixed
          1.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H020683
        
          
        
        4214000.00000000
        PA
        USD
        4315473.12000000
        1.342264267543
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-19
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272BD9
        
          
        
        194000.00000000
        PA
        USD
        195486.04000000
        0.060803049630
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-04-27
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CC HOLDINGS GS V LLC/CRO
        N/A
        CC Holdings GS V LLC / Crown Castle GS III Corp
        14987BAE3
        
          
        
        460000.00000000
        PA
        USD
        486172.84000000
        0.151216891598
        Long
        DBT
        
        US
        N
        
        2
        
          2023-04-15
          Fixed
          3.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tampa Electric Co
        WS423EPRKJIIJUITXD73
        Tampa Electric Co
        875127BF8
        
          
        
        59000.00000000
        PA
        USD
        76844.82000000
        0.023901447920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-06-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Florida Power & Light Co
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081FQ5
        
          
        
        97000.00000000
        PA
        USD
        120515.34000000
        0.037484519095
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR PRODUCTS & CHEMICALS
        7QEON6Y1RL5XR3R1W237
        Air Products and Chemicals Inc
        009158BA3
        
          
        
        60000.00000000
        PA
        USD
        62133.36000000
        0.019325665258
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9GP1
        
          
        
        11432.09000000
        PA
        USD
        12549.57000000
        0.003903358662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPU73R9 IRS USD R F  1.19000 2 CCPVANILLA / Short: SRWPU73R9 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1820000.00000000
        OU
        Notional Amount
        USD
        9716.83000000
        0.003022276663
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-07-19
            16.49000000
            USD
            0.00000000
            USD
            1820000.00000000
            USD
            9700.34000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRWKZWRF0 SWAPTION
        000000000
        
          
        
        -570000.00000000
        NC
        USD
        -1058.95000000
        -0.00032937077
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    570000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1058.95000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-10-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  570000.00000000
                  USD
                
              
            
            1.00000000
            1.77500000
            USD
            2021-10-14
            XXXX
            11153.30000000
          
        
        
          N
          N
          N
        
      
      
        TOTALENERGIES CAPITAL
        549300U37G2I8G4RUG09
        TotalEnergies Capital International SA
        000000000
        
          
        
        100000.00000000
        PA
        
        119528.63000000
        0.037177617502
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2021-11-19
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMONDBACK ENERGY INC
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278XAP4
        
          
        
        15000.00000000
        PA
        USD
        16841.04000000
        0.005238157113
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-31
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY ARKANSAS LLC
        549300A0I5ONUIFMLP35
        Entergy Arkansas LLC
        29366MAC2
        
          
        
        42000.00000000
        PA
        USD
        46811.96000000
        0.014560169755
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-06-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Seasoned Loan Trust
        N/A
        Credit Suisse Seasoned Loan Trust 2006-1
        22545UAA7
        
          
        
        32285.59000000
        PA
        USD
        32267.29000000
        0.010036264662
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          0.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2A0
        
          
        
        317000.00000000
        PA
        USD
        351696.04000000
        0.109389866279
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-22
          Fixed
          3.58400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BRWQWT1V0 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWQWT1V0 IRS USD P F  3.15000 2 CCPINFLATIONZERO
        000000000
        
          
        
        2907000.00000000
        OU
        Notional Amount
        USD
        -4149.80000000
        -0.00129073408
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-08-02
            17.03000000
            USD
            0.00000000
            USD
            2907000.00000000
            USD
            -4166.83000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRW3XUN35 IRS USD R F   .81950 2 CCPVANILLA / Short: SRW3XUN35 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        550000.00000000
        OU
        Notional Amount
        USD
        -17682.75000000
        -0.00549995859
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-04-14
            9.93000000
            USD
            0.00000000
            USD
            550000.00000000
            USD
            -17692.68000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-VIV4
        05608MAA4
        
          
        
        255000.00000000
        PA
        USD
        271597.62000000
        0.084476434063
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-09
          Fixed
          2.84300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WC7G2
        
          
        
        28222.19000000
        PA
        USD
        29871.67000000
        0.009291142393
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        N/A
        SMB Private Education Loan Trust 2021-C
        83208AAA1
        
          
        
        268746.85000000
        PA
        USD
        269431.24000000
        0.083802613515
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CET7
        
          
        
        17898.42000000
        PA
        USD
        18600.18000000
        0.005785311665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DS1
        
          
        
        85000.00000000
        PA
        USD
        83156.56000000
        0.025864621559
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2031-04-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DB68
        
          
        
        10179.74000000
        PA
        USD
        10809.32000000
        0.003362079565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BURLINGTN NORTH SANTA FE
        N/A
        Burlington Northern Santa Fe LLC
        12189LBD2
        
          
        
        173000.00000000
        PA
        USD
        218289.38000000
        0.067895692224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-12-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXJ8
        
          
        
        805000.00000000
        PA
        USD
        873991.12000000
        0.271842047883
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELI LILLY & CO
        FRDRIPF3EKNDJ2CQJL29
        Eli Lilly & Co
        000000000
        
          
        
        100000.00000000
        PA
        
        141914.58000000
        0.044140437092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-01
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-NET
        126438AA8
        
          
        
        383000.00000000
        PA
        USD
        397272.92000000
        0.123565882616
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          2.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRWCG7568 SWAPTION
        000000000
        
          
        
        -480000.00000000
        NC
        USD
        -9386.83000000
        -0.00291963503
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    480000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9386.83000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-12-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  480000.00000000
                  USD
                
              
            
            1.00000000
            1.23250000
            USD
            2022-12-16
            XXXX
            6309.17000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRTUHZJA5 SWAPTION
        000000000
        
          
        
        -1150000.00000000
        NC
        USD
        -7464.77000000
        -0.00232180661
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    1150000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7464.77000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-06-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1150000.00000000
                  USD
                
              
            
            1.00000000
            3.50000000
            USD
            2024-06-20
            XXXX
            9814.49000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWGPWUX7 SWAPTION
        000000000
        
          
        
        -660000.00000000
        NC
        USD
        -9913.53000000
        -0.00308345729
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    660000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9913.53000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-01-31
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  660000.00000000
                  USD
                
              
            
            1.00000000
            1.24750000
            USD
            2022-01-27
            XXXX
            5612.97000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPU8K64 IRS USD R F  1.45200 2 CCPVANILLA / Short: SRWPU8K64 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        271000.00000000
        OU
        Notional Amount
        USD
        1930.20000000
        0.000600360242
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-01-18
            4.32000000
            USD
            0.00000000
            USD
            271000.00000000
            USD
            1925.88000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRW7KMLR7 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW7KMLR7 IRS USD P F   .50200 2 CCPVANILLA
        000000000
        
          
        
        2490000.00000000
        OU
        Notional Amount
        USD
        64719.93000000
        0.020130179709
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-08-17
            41.88000000
            USD
            0.00000000
            USD
            2490000.00000000
            USD
            64678.05000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BTGM8
        
          
        
        57396.42000000
        PA
        USD
        62747.13000000
        0.019516569365
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAG3
        
          
        
        32000.00000000
        PA
        USD
        33175.15000000
        0.010318641126
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2031-05-11
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWHLT522 SWAPTION
        000000000
        
          
        
        -620000.00000000
        NC
        USD
        -22446.73000000
        -0.00698172431
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    620000.00000000
                    OU
                    Notional Amount
                    N/A
                    -22446.73000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-02-22
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  620000.00000000
                  USD
                
              
            
            1.00000000
            1.62000000
            USD
            2022-02-18
            XXXX
            -6016.73000000
          
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES 2020-AA
        N/A
        Delta Air Lines 2020-1 Class AA Pass Through Trust
        247361ZV3
        
          
        
        61113.39000000
        PA
        USD
        61484.10000000
        0.019123722511
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-10
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWKR7Z65 SWAPTION
        000000000
        
          
        
        -7200000.00000000
        NC
        USD
        -23157.36000000
        -0.00720275529
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    7200000.00000000
                    OU
                    Notional Amount
                    N/A
                    -23157.36000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-01-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7200000.00000000
                  USD
                
              
            
            1.00000000
            0.50800000
            USD
            2022-01-10
            XXXX
            -1749.80000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERM49
        
          
        
        28047.69000000
        PA
        USD
        29742.06000000
        0.009250829114
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRWNDU251 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWNDU251 IRS USD P F  1.88989 2 CCPVANILLA
        000000000
        
          
        
        470000.00000000
        OU
        Notional Amount
        USD
        -21352.28000000
        -0.00664131178
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2047-02-15
            13.16000000
            USD
            0.00000000
            USD
            470000.00000000
            USD
            -21365.44000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QL66
        
          
        
        393355.27000000
        PA
        USD
        429601.44000000
        0.133621191967
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Mexican States
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAC4
        
          
        
        226000.00000000
        PA
        USD
        256962.00000000
        0.079924240315
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2027-03-28
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J6D20
        
          
        
        48468.66000000
        PA
        USD
        54533.18000000
        0.016961741360
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        502431AM1
        
          
        
        96000.00000000
        PA
        USD
        112183.14000000
        0.034892911172
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWJ37GZ1 SWAPTION
        000000000
        
          
        
        -970000.00000000
        NC
        USD
        -59645.69000000
        -0.01855191219
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    970000.00000000
                    OU
                    Notional Amount
                    N/A
                    -59645.69000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2033-03-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  970000.00000000
                  USD
                
              
            
            1.00000000
            2.01000000
            USD
            2023-03-01
            XXXX
            -22688.69000000
          
        
        
          N
          N
          N
        
      
      
        PARKER-HANNIFIN CORP
        5493002CONDB4N2HKI23
        Parker-Hannifin Corp
        701094AN4
        
          
        
        92000.00000000
        PA
        USD
        101550.96000000
        0.031585928391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EDvestinU Private Education Loan Issue No. 1, LLC
        N/A
        EDvestinU Private Education Loan Issue No 3 LLC
        28166LAA2
        
          
        
        93137.18000000
        PA
        USD
        94027.59000000
        0.029245895110
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-11-25
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BQ1
        
          
        
        252000.00000000
        PA
        USD
        289169.14000000
        0.089941796207
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030488
        
          
        
        -307000.00000000
        PA
        USD
        -323019.26000000
        -0.10047037679
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHZ5
        
          
        
        107000.00000000
        PA
        USD
        110258.85000000
        0.034294389148
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-13
          Fixed
          2.49600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2019-7
        46651GAL3
        
          
        
        62240.26000000
        PA
        USD
        62302.19000000
        0.019378177340
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Floating
          0.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X83D7
        
          
        
        9915.69000000
        PA
        USD
        10947.35000000
        0.003405011761
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RCP5
        
          
        
        180000.00000000
        PA
        USD
        215431.44000000
        0.067006772137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BALTIMORE GAS & ELECTRIC
        88V8C2WYSOD1SPSSLH72
        Baltimore Gas and Electric Co
        059165EN6
        
          
        
        30000.00000000
        PA
        USD
        30872.14000000
        0.009602323831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPKU969 IRS USD R F  1.35950 2 CCPVANILLA / Short: SRWPKU969 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        330000.00000000
        OU
        Notional Amount
        USD
        2254.63000000
        0.000701269409
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-13
            5.25000000
            USD
            0.00000000
            USD
            330000.00000000
            USD
            2249.38000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VMF4
        
          
        
        235392.55000000
        PA
        USD
        249179.70000000
        0.077503670676
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DLR1
        
          
        
        31127.01000000
        PA
        USD
        33053.34000000
        0.010280753922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 17-1 AA PTT
        N/A
        American Airlines 2017-1 Class AA Pass Through Trust
        023761AA7
        
          
        
        33005.00000000
        PA
        USD
        34459.21000000
        0.010718029051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWP6D1Q7 IRS USD R F  1.79635 2 CCPVANILLA / Short: SRWP6D1Q7 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        320000.00000000
        OU
        Notional Amount
        USD
        8056.10000000
        0.002505731090
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2047-02-15
            8.98000000
            USD
            0.00000000
            USD
            320000.00000000
            USD
            8047.12000000
          
        
        
          N
          N
          N
        
      
      
        ADT SEC CORP
        5493009JEEDYLVRA0J13
        ADT Security Corp/The
        00101JAF3
        
          
        
        442000.00000000
        PA
        USD
        453242.27000000
        0.140974323473
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        BRWQ0LHR4 BLACKROCK SWAPTION 0.0167500 CALL USD 20
        000000000
        
          
        
        380000.00000000
        NC
        USD
        16077.57000000
        0.005000691029
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    380000.00000000
                    OU
                    Notional Amount
                    N/A
                    16077.57000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-07-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  380000.00000000
                  USD
                
              
            
            1.00000000
            0.01675000
            USD
            2024-07-22
            XXXX
            -794.43000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SGL5
        
          
        
        84513.52000000
        PA
        USD
        89870.77000000
        0.027952977556
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBG7
        
          
        
        13000.00000000
        PA
        USD
        17232.85000000
        0.005360023835
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-02-14
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGINIA ELEC & POWER CO
        CQKUMNNZVDJLRYV2PT43
        Virginia Electric and Power Co
        927804FT6
        
          
        
        62000.00000000
        PA
        USD
        76138.21000000
        0.023681667301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MV0
        
          
        
        136000.00000000
        PA
        USD
        139196.00000000
        0.043294862878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-18
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBH8
        
          
        
        502000.00000000
        PA
        USD
        520232.39000000
        0.161810612301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-13
          Fixed
          2.00500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIRIUS XM RADIO INC
        WP5O65E6BMU84LNO4227
        Sirius XM Radio Inc
        82967NBE7
        
          
        
        346000.00000000
        PA
        USD
        354217.50000000
        0.110174129224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP TEXAS INC
        5493001L78U618KXNZ75
        AEP Texas Inc
        00108WAN0
        
          
        
        107000.00000000
        PA
        USD
        114972.07000000
        0.035760366716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-05-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        BRWKG34L7 SWAPTION
        000000000
        
          
        
        -4690000.00000000
        NC
        USD
        -3298.95000000
        -0.00102608974
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    4690000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3298.95000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2024-03-01
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4690000.00000000
                  USD
                
              
            
            1.00000000
            0.75000000
            USD
            2022-02-25
            XXXX
            8191.55000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        BRWQ0LHS2 BLACKROCK SWAPTION 0.0167500 PUT USD 202
        000000000
        
          
        
        380000.00000000
        NC
        USD
        17503.41000000
        0.005444177532
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    380000.00000000
                    OU
                    Notional Amount
                    N/A
                    17503.41000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-07-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  380000.00000000
                  USD
                
              
            
            1.00000000
            0.01675000
            USD
            2024-07-22
            XXXX
            631.41000000
          
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513EBZ3
        
          
        
        24000.00000000
        PA
        USD
        31755.27000000
        0.009877008393
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BRWNASR78 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWNASR78 IRS USD P F  2.48300 2 CCPINFLATIONZERO
        000000000
        
          
        
        725000.00000000
        OU
        Notional Amount
        USD
        14203.47000000
        0.004417779864
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-11
            14.87000000
            USD
            0.00000000
            USD
            725000.00000000
            USD
            14188.60000000
          
        
        
          N
          N
          N
        
      
      
        BANCO DE SABADELL SA
        SI5RG2M0WQQLZCXKRM20
        Banco de Sabadell SA
        000000000
        
          
        
        200000.00000000
        PA
        
        245583.49000000
        0.076385122594
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-03-11
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYB INT FINANCE III
        N/A
        LYB International Finance III LLC
        50249AAD5
        
          
        
        49000.00000000
        PA
        USD
        58059.13000000
        0.018058436105
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDV3
        
          
        
        22000.00000000
        PA
        USD
        31314.15000000
        0.009739804523
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-16
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BYFD8
        
          
        
        74361.37000000
        PA
        USD
        81293.62000000
        0.025285181548
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRTRECD46 SWAPTION
        000000000
        
          
        
        1086500.00000000
        NC
        USD
        142230.67000000
        0.044238752225
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1086500.00000000
                    OU
                    Notional Amount
                    N/A
                    142230.67000000
                    0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-03-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1086500.00000000
                  USD
                
              
            
            1.00000000
            2.98000000
            USD
            2024-03-07
            XXXX
            91652.63000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SRWM2TCVS IRS EUR R V 06MEURIB LCH CCPVANILLA / Short: SRWM2TCVS IRS EUR P F   .15000 LCH CCPVANILLA
        000000000
        
          
        
        1140000.00000000
        OU
        Notional Amount
        
        0.00000000
        0.000000
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-11-16
            0.00000000
            EUR
            0.00000000
            EUR
            1140000.00000000
            EUR
            -10.25000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJB6
        
          
        
        169000.00000000
        PA
        USD
        175159.19000000
        0.054480682727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEACHERS INSUR & ANNUITY
        O06XD7BJ4EPXNABVFN69
        Teachers Insurance & Annuity Association of America
        878091BD8
        
          
        
        43000.00000000
        PA
        USD
        56364.88000000
        0.017531464630
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-09-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Florida Power & Light Co
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081EV5
        
          
        
        7000.00000000
        PA
        USD
        9793.62000000
        0.003046161060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-02-01
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORFOLK SOUTHERN CORP
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844CF3
        
          
        
        60000.00000000
        PA
        USD
        61766.93000000
        0.019211692611
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Westlake Automobile Receivables Trust 2020-1
        N/A
        Westlake Automobile Receivables Trust 2020-1
        96042KAB9
        
          
        
        419321.86000000
        PA
        USD
        420650.94000000
        0.130837270948
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          1.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        N/A
        SMB Private Education Loan Trust 2021-A
        78448YAD3
        
          
        
        100000.00000000
        PA
        USD
        102366.47000000
        0.031839580749
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRTZ4SUL7 IRS USD R F  3.08300 2 CCPVANILLA / Short: SRTZ4SUL7 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        4530000.00000000
        OU
        Notional Amount
        USD
        382942.92000000
        0.119108747461
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-11-29
            54.72000000
            USD
            0.00000000
            USD
            4530000.00000000
            USD
            382888.20000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABR5
        
          
        
        225000.00000000
        PA
        USD
        227531.25000000
        0.070770239584
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABD6
        
          
        
        1216000.00000000
        PA
        USD
        1355694.08000000
        0.421668649231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACTIVISION BLIZZARD
        549300TPQQDBP9GNOF40
        Activision Blizzard Inc
        00507VAK5
        
          
        
        43000.00000000
        PA
        USD
        47619.43000000
        0.014811321389
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SRWNSW9H8 IRS USD R F  2.54500 2 CCPINFLATIONZERO / Short: SRWNSW9H8 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        1395000.00000000
        OU
        Notional Amount
        USD
        -26337.74000000
        -0.00819196558
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-24
            16.14000000
            USD
            0.00000000
            USD
            1395000.00000000
            USD
            -26353.88000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042681
        
          
        
        -81000.00000000
        PA
        USD
        -87326.91000000
        -0.02716174742
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRWCGL1W4 SWAPTION
        000000000
        
          
        
        -480000.00000000
        NC
        USD
        -21452.16000000
        -0.00667237798
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    480000.00000000
                    OU
                    Notional Amount
                    N/A
                    -21452.16000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-12-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  480000.00000000
                  USD
                
              
            
            1.00000000
            1.24500000
            USD
            2022-12-16
            XXXX
            -5756.16000000
          
        
        
          N
          N
          N
        
      
      
        Eni SpA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        000000000
        
          
        
        200000.00000000
        PA
        
        296513.97000000
        0.092226297254
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2029-01-29
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2019-1
        33852AAL1
        
          
        
        186170.40000000
        PA
        USD
        186140.46000000
        0.057896244804
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-25
          Floating
          1.03900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDG3
        
          
        
        282000.00000000
        PA
        USD
        314677.08000000
        0.097875664742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38143U8H7
        
          
        
        348000.00000000
        PA
        USD
        385387.13000000
        0.119868982933
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-25
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        549300NWENTZ8X7JUC78
        SMB Private Education Loan Trust 2017-B
        83189DAC4
        
          
        
        128325.46000000
        PA
        USD
        128802.24000000
        0.040062037121
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-10-15
          Floating
          0.84300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2020-1 B PTT
        N/A
        United Airlines 2020-1 Class B Pass Through Trust
        90932VAA3
        
          
        
        37370.00000000
        PA
        USD
        39201.32000000
        0.012192992428
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        000000000
        
          
        
        100000.00000000
        PA
        
        121251.30000000
        0.037713428599
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-06-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPJOHN FINANCE BV
        254900OG32E8F3XO5O83
        Upjohn Finance BV
        000000000
        
          
        
        140000.00000000
        PA
        
        171256.46000000
        0.053266796119
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-06-23
          Fixed
          1.02300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA CORP
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAE2
        
          
        
        262000.00000000
        PA
        USD
        286676.79000000
        0.089166587498
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7S63
        
          
        
        53580.56000000
        PA
        USD
        56856.43000000
        0.017684354008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SW9
        
          
        
        585000.00000000
        PA
        USD
        591581.25000000
        0.184002622920
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-02-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRTTA18H7 SWAPTION
        000000000
        
          
        
        1430000.00000000
        NC
        USD
        6855.99000000
        0.002132454574
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1430000.00000000
                    OU
                    Notional Amount
                    N/A
                    6855.99000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-05-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1430000.00000000
                  USD
                
              
            
            1.00000000
            2.85000000
            USD
            2022-05-09
            XXXX
            -77402.69000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRW9C7N69 SWAPTION
        000000000
        
          
        
        -535000.00000000
        NC
        USD
        -7072.81000000
        -0.00219989323
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    535000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7072.81000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-10-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  535000.00000000
                  USD
                
              
            
            1.00000000
            1.06300000
            USD
            2022-10-11
            XXXX
            10929.94000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERRX0
        
          
        
        9094.58000000
        PA
        USD
        10232.52000000
        0.003182674432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348BB1
        
          
        
        330000.00000000
        PA
        USD
        332528.13000000
        0.103427970570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-01-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Capital Certificates
        12659RAE9
        
          
        
        130000.00000000
        PA
        USD
        133899.48000000
        0.041647458447
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2026-07-15
          Fixed
          2.79500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DH0
        
          
        
        69000.00000000
        PA
        USD
        76925.79000000
        0.023926632445
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFP9
        
          
        
        127000.00000000
        PA
        USD
        139421.32000000
        0.043364945341
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-21
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAR2
        
          
        
        117000.00000000
        PA
        USD
        127414.19000000
        0.039630304640
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNION PACIFIC CORP
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818FK9
        
          
        
        182000.00000000
        PA
        USD
        195695.65000000
        0.060868245729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-05
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DMRF4
        
          
        
        44162.02000000
        PA
        USD
        47380.41000000
        0.014736977744
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        200000.00000000
        PA
        
        241373.30000000
        0.075075605088
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-21
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XAS5
        
          
        
        113000.00000000
        PA
        USD
        123536.43000000
        0.038424184583
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020489
        
          
        
        2930000.00000000
        PA
        USD
        3040754.00000000
        0.945781685367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FHQ22
        
          
        
        590000.00000000
        PA
        USD
        629089.33000000
        0.195668958019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-25
          Fixed
          3.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VONOVIA SE
        5299005A2ZEP6AP7KM81
        Vonovia SE
        000000000
        
          
        
        100000.00000000
        PA
        
        121412.63000000
        0.037763607916
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2029-12-14
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vonovia Finance BV
        5299009XLZLD9TALOZ03
        Vonovia Finance BV
        000000000
        
          
        
        100000.00000000
        PA
        
        119259.12000000
        0.037093790391
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-01-25
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AK9
        
          
        
        271000.00000000
        PA
        USD
        309228.99000000
        0.096181116698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPHU1D6 IRS USD R F  1.26900 2 CCPVANILLA / Short: SRWPHU1D6 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        165000.00000000
        OU
        Notional Amount
        USD
        -297.99000000
        -0.00009268539
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-12
            2.62000000
            USD
            0.00000000
            USD
            165000.00000000
            USD
            -300.61000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN PUBLIC SERV
        OL6FE7QD5EQ3DOYEO258
        Southwestern Public Service Co
        845743BU6
        
          
        
        130000.00000000
        PA
        USD
        140685.03000000
        0.043758003698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VCV4
        
          
        
        33000.00000000
        PA
        USD
        39663.04000000
        0.012336603624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-01-15
          Fixed
          4.27200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61772BAB9
        
          
        
        621000.00000000
        PA
        USD
        630320.81000000
        0.196051991711
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-04
          Fixed
          1.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRWHXJRC5 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWHXJRC5 IRS USD P F  1.27082 2 CCPVANILLA
        000000000
        
          
        
        1470000.00000000
        OU
        Notional Amount
        USD
        -25868.59000000
        -0.00804604339
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-02-15
            17.78000000
            USD
            0.00000000
            USD
            1470000.00000000
            USD
            -25886.37000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWJ8HHA8 SWAPTION
        000000000
        
          
        
        -3240000.00000000
        NC
        USD
        -6094.12000000
        -0.00189548614
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    3240000.00000000
                    OU
                    Notional Amount
                    N/A
                    -6094.12000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2024-03-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3240000.00000000
                  USD
                
              
            
            1.00000000
            0.51750000
            USD
            2022-03-03
            XXXX
            3342.38000000
          
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Program LLC
        5493002WMPR84WZ75V46
        Sofi Professional Loan Program 2018-A LLC
        83406EAC9
        
          
        
        156131.00000000
        PA
        USD
        159080.78000000
        0.049479730428
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-02-25
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGNA INTERNATIONAL INC
        95RWVLFZX6VGDZNNTN43
        Magna International Inc
        559222AV6
        
          
        
        191000.00000000
        PA
        USD
        198146.55000000
        0.061630562027
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-06-15
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHF9
        
          
        
        123000.00000000
        PA
        USD
        128841.23000000
        0.040074164386
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-05
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFM1
        
          
        
        49000.00000000
        PA
        USD
        50327.90000000
        0.015653751037
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAE Systems Holdings Inc
        MF62XBVMNYTYMC18DL76
        BAE Systems Holdings Inc
        05523UAK6
        
          
        
        345000.00000000
        PA
        USD
        375813.64000000
        0.116891290062
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-10-07
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBG3
        
          
        
        19000.00000000
        PA
        USD
        21425.16000000
        0.006663980030
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBA8
        
          
        
        306000.00000000
        PA
        USD
        359329.47000000
        0.111764132099
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AX6
        
          
        
        159000.00000000
        PA
        USD
        161483.74000000
        0.050227135696
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-09-01
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAB4
        
          
        
        412000.00000000
        PA
        USD
        478506.98000000
        0.148832538904
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2029-06-18
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H032688
        
          
        
        1168200.00000000
        PA
        USD
        1226726.82000000
        0.381555285072
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-19
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AG5K4
        
          
        
        41418.48000000
        PA
        USD
        46124.00000000
        0.014346189943
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth Bank of Australia
        MSFSBD3QN1GSN7Q6C537
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2187.00000000
        -0.00068023409
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Commonwealth Bank of Australia
              MSFSBD3QN1GSN7Q6C537
            
            335678.00000000
            EUR
            396346.60000000
            USD
            2021-09-15
            -2187.00000000
          
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B15 Mortgage Trust
        08160KAK0
        
          
        
        111000.00000000
        PA
        USD
        118929.02000000
        0.036991117655
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2072-12-15
          Variable
          3.72300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF CHILE
        549300FLZTJM5YJF8D34
        Chile Government International Bond
        168863DP0
        
          
        
        145000.00000000
        PA
        USD
        148169.70000000
        0.046085999915
        Long
        DBT
        NUSS
        CL
        N
        
        2
        
          2031-01-31
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAD0
        
          
        
        118000.00000000
        PA
        USD
        130541.82000000
        0.040603107824
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2018-SUN
        61691MAA5
        
          
        
        290000.00000000
        PA
        USD
        290174.41000000
        0.090254470614
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-15
          Floating
          0.99300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYC2
        
          
        
        358000.00000000
        PA
        USD
        378715.86000000
        0.117793982790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-04-22
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Progress LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        144141DB1
        
          
        
        131000.00000000
        PA
        USD
        159397.56000000
        0.049578260175
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AF8
        
          
        
        140000.00000000
        PA
        USD
        143381.00000000
        0.044596545406
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPGN978 IRS USD R F  1.32050 2 CCPVANILLA / Short: SRWPGN978 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        165000.00000000
        OU
        Notional Amount
        USD
        525.04000000
        0.000163305948
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-09
            2.62000000
            USD
            0.00000000
            USD
            165000.00000000
            USD
            522.42000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2018-1 AA PTT
        N/A
        United Airlines 2018-1 Class AA Pass Through Trust
        909318AA5
        
          
        
        17669.23000000
        PA
        USD
        18494.22000000
        0.005752354370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CM9
        
          
        
        238000.00000000
        PA
        USD
        239414.49000000
        0.074466346127
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-05-24
          Fixed
          1.58900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        549300QHI21JZK7YIR34
        SMB Private Education Loan Trust 2018-A
        78449PAC3
        
          
        
        446591.89000000
        PA
        USD
        448279.52000000
        0.139430733279
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-02-15
          Floating
          0.89300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAQ4
        
          
        
        323000.00000000
        PA
        USD
        366116.37000000
        0.113875097248
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lockheed Martin Corp
        DPRBOZP0K5RM2YE8UU08
        Lockheed Martin Corp
        539830AR0
        
          
        
        65000.00000000
        PA
        USD
        94289.73000000
        0.029327429891
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OHIO POWER COMPANY
        06ZODLC132CY1O2Y7D77
        Ohio Power Co
        677415CQ2
        
          
        
        69000.00000000
        PA
        USD
        84993.97000000
        0.026436120841
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWHLSBU5 IRS USD R F  1.90500 2 CCPVANILLA / Short: SRWHLSBU5 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        110000.00000000
        OU
        Notional Amount
        USD
        6061.76000000
        0.001885421046
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-02-22
            3.39000000
            USD
            0.00000000
            USD
            110000.00000000
            USD
            6058.37000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAV1
        
          
        
        54000.00000000
        PA
        USD
        65154.72000000
        0.020265414726
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-05-14
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2018-1 B PTT
        N/A
        United Airlines 2018-1 Class B Pass Through Trust
        90932NAA1
        
          
        
        54305.85000000
        PA
        USD
        56238.89000000
        0.017492277299
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BORGWARNER INC
        549300DSFX2IE88NSX47
        BorgWarner Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        122148.82000000
        0.037992588958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-19
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHMC3
        
          
        
        852396.62000000
        PA
        USD
        929903.35000000
        0.289232722407
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRWH6JRF8 SWAPTION
        000000000
        
          
        
        3310000.00000000
        NC
        USD
        17772.38000000
        0.005527836684
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    3310000.00000000
                    OU
                    Notional Amount
                    N/A
                    17772.38000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-02-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3310000.00000000
                  USD
                
              
            
            1.00000000
            1.22750000
            USD
            2025-02-04
            XXXX
            2711.88000000
          
        
        
          N
          N
          N
        
      
      
        AMER AIRLN 15-2 AA PTT
        N/A
        American Airlines 2015-2 Class AA Pass Through Trust
        02377BAB2
        
          
        
        42737.45000000
        PA
        USD
        44425.86000000
        0.013818008541
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-22
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7MC6
        
          
        
        74901.53000000
        PA
        USD
        77838.28000000
        0.024210449001
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        EUR 1Y MIDCV OP OCT21P 99.25 EXP 10/15/2021
        000000000
        
          
        
        45.00000000
        NC
        USD
        1125.00000000
        0.000349914658
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    Chicago Mercantile Exchange
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    Chicago Mercantile Exchange
                    SNZ2OJLFK8MNNCLQOF39
                    Eurodollar Time Deposit Future
                    N/A
                    
                      
                    
                    45.00000000
                    NC
                    N/A
                    1125.00000000
                    0.00000000
                    DCO
                    
                    US
                  
                  Long
                  
                    
                      Eurodollar Time Deposit
                      EDZ2 Comdty
                    
                  
                  2022-12-19
                  45.00000000
                  USD
                
              
            
            2500.00000000
            99.25000000
            USD
            2021-10-15
            XXXX
            -2885.85000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        955000.00000000
        PA
        USD
        974323.83000000
        0.303049057579
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS Corp
        N/A
        DISH DBS Corp
        25470XAJ4
        
          
        
        1194000.00000000
        PA
        USD
        1235790.00000000
        0.384374253543
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDEX CORP
        549300E707U7WNPZN687
        FedEx Corp
        31428XBZ8
        
          
        
        366000.00000000
        PA
        USD
        432425.73000000
        0.134499645717
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J55S4
        
          
        
        40398.78000000
        PA
        USD
        45219.63000000
        0.014064898993
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAG8
        
          
        
        37000.00000000
        PA
        USD
        44091.29000000
        0.013713945477
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCC7
        
          
        
        200000.00000000
        PA
        
        255329.57000000
        0.079416497039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-12
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833EG1
        
          
        
        2000.00000000
        PA
        USD
        1982.80000000
        0.000616720696
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2061-02-08
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate Lending
        N/A
        Cantor Commercial Real Estate Lending 2019-CF3
        12529TBB8
        
          
        
        101000.00000000
        PA
        USD
        110406.34000000
        0.034340263737
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-01-15
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J74X0
        
          
        
        772343.73000000
        PA
        USD
        816454.43000000
        0.253946109034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tencent Holdings Ltd
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAE6
        
          
        
        200000.00000000
        PA
        USD
        206350.00000000
        0.064182124162
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-01-19
          Fixed
          2.98500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRTPRWT37 SWAPTION
        000000000
        
          
        
        320000.00000000
        NC
        USD
        39554.91000000
        0.012302971382
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    320000.00000000
                    OU
                    Notional Amount
                    N/A
                    39554.91000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2039-01-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  320000.00000000
                  USD
                
              
            
            1.00000000
            3.05250000
            USD
            2029-01-10
            XXXX
            21402.91000000
          
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        000000000
        
          
        
        225000.00000000
        PA
        
        287223.39000000
        0.089336599366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-19
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DX2
        
          
        
        80000.00000000
        PA
        USD
        78952.28000000
        0.024556942272
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMG4
        
          
        
        258000.00000000
        PA
        USD
        274866.70000000
        0.085493233184
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2057-12-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Peru
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638BM3
        
          
        
        120000.00000000
        PA
        USD
        162210.00000000
        0.050453028157
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2050-11-18
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BBBE9
        
          
        
        2377734.01000000
        PA
        USD
        57598.70000000
        0.017915226144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-25
          Variable
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        129372.37000000
        0.040239367649
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-04-02
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        5493008BJIBKQ5KTIF74
        State Street Navigator Securities Lending Government Money Market Portfolio
        857492706
        
          
        
        1003012.50000000
        NS
        USD
        1003012.50000000
        0.311972245270
        Long
        STIV
        RF
        US
        N
        
        2
        
          
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRTZ4WKU9 IRS USD R F  1.92850 2 CCPVANILLA / Short: SRTZ4WKU9 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        30000.00000000
        OU
        Notional Amount
        USD
        573.80000000
        0.000178472027
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2056-12-01
            0.78000000
            USD
            0.00000000
            USD
            30000.00000000
            USD
            573.02000000
          
        
        
          N
          N
          N
        
      
      
        TWITTER INC
        549300I8RX485XMK6836
        Twitter Inc
        90184LAG7
        
          
        
        200000.00000000
        PA
        USD
        213920.00000000
        0.066536661016
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRWDC17A2 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWDC17A2 IRS USD P F  1.05450 2 CCPVANILLA
        000000000
        
          
        
        380000.00000000
        OU
        Notional Amount
        USD
        6956.84000000
        0.002163822479
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-01-11
            5.80000000
            USD
            0.00000000
            USD
            380000.00000000
            USD
            6951.04000000
          
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDA6
        
          
        
        336000.00000000
        PA
        USD
        357031.83000000
        0.111049485064
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRW602478 IRS USD R F   .67950 2 CCPVANILLA / Short: SRW602478 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1065000.00000000
        OU
        Notional Amount
        USD
        -19811.48000000
        -0.00616206866
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-06-20
            16.32000000
            USD
            0.00000000
            USD
            1065000.00000000
            USD
            -19827.80000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578AAN8
        
          
        
        313000.00000000
        PA
        USD
        332437.79000000
        0.103399871645
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-10-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNION PACIFIC CORP
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818FP8
        
          
        
        116000.00000000
        PA
        USD
        123562.39000000
        0.038432259058
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-04-06
          Fixed
          2.89100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Acceptance Auto Loan Trust
        N/A
        Credit Acceptance Auto Loan Trust 2019-3
        22535KAA1
        
          
        
        630000.00000000
        PA
        USD
        641371.75000000
        0.199489223614
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F5BJ1
        
          
        
        21656.05000000
        PA
        USD
        22505.14000000
        0.006999891881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Trust 2017-CALI
        12652FAA0
        
          
        
        260000.00000000
        PA
        USD
        277276.92000000
        0.086242896568
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-10
          Fixed
          3.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2Q5
        
          
        
        248000.00000000
        PA
        USD
        259793.26000000
        0.080804861981
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-04-30
          Fixed
          3.06800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWNJXBS9 IRS USD R F   .35250 2 CCPVANILLA / Short: SRWNJXBS9 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        4070000.00000000
        OU
        Notional Amount
        USD
        -62.88000000
        -0.00001955789
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-11-18
            17.29000000
            USD
            0.00000000
            USD
            4070000.00000000
            USD
            -80.17000000
          
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FIN NETH
        724500GIEFJOBWGD0272
        Imperial Brands Finance Netherlands BV
        000000000
        
          
        
        100000.00000000
        PA
        
        122240.16000000
        0.038020998918
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2033-03-18
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MAY6
        
          
        
        50590.46000000
        PA
        USD
        55661.72000000
        0.017312757083
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBE2
        
          
        
        387000.00000000
        PA
        USD
        485882.12000000
        0.151126467429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-02-14
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic Services Inc
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AS9
        
          
        
        88000.00000000
        PA
        USD
        97443.49000000
        0.030308360426
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2016-1 AA PTT
        N/A
        United Airlines 2016-1 Class AA Pass Through Trust
        90931LAA6
        
          
        
        4733.61000000
        PA
        USD
        5009.49000000
        0.001558127982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-07
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        BRWK4SRQ9 SWAPTION
        000000000
        
          
        
        -6290000.00000000
        NC
        USD
        -23160.41000000
        -0.00720370395
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    6290000.00000000
                    OU
                    Notional Amount
                    N/A
                    -23160.41000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-03-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6290000.00000000
                  USD
                
              
            
            1.00000000
            0.56500000
            USD
            2022-03-23
            XXXX
            -2717.91000000
          
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200HF1
        
          
        
        133000.00000000
        PA
        USD
        157619.15000000
        0.049025111973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CB4
        
          
        
        155000.00000000
        PA
        USD
        171608.26000000
        0.053376218321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617AXW42
        
          
        
        18106.92000000
        PA
        USD
        19794.91000000
        0.006156914811
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-06-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AQ9
        
          
        
        109000.00000000
        PA
        USD
        117597.80000000
        0.036577061307
        Long
        DBT
        
        US
        N
        
        2
        
          2051-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700AS5
        
          
        
        617000.00000000
        PA
        USD
        633094.45000000
        0.196914691526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFA7
        
          
        
        108000.00000000
        PA
        USD
        142650.34000000
        0.044369284389
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-12-09
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348AX4
        
          
        
        37000.00000000
        PA
        USD
        46927.81000000
        0.014596203189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAY7
        
          
        
        70000.00000000
        PA
        USD
        90896.44000000
        0.028271997082
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELARA HGV TIMESHARE ISSUER
        N/A
        Elara HGV Timeshare Issuer 2016-A LLC
        28415PAA2
        
          
        
        45733.74000000
        PA
        USD
        46556.21000000
        0.014480622489
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-04-25
          Fixed
          2.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE SEP21
        000000000
        
          
        
        -22.00000000
        NC
        
        -34207.80000000
        -0.01063983167
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Bobl (FGBM)
                OEU1 Comdty
              
            
            2021-09-08
            -2949083.06000000
            EUR
            -34207.80000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAR0
        
          
        
        506000.00000000
        PA
        USD
        621747.79000000
        0.193385480278
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-05-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SES SA
        5493008JPA4HYMH1HX51
        SES SA
        000000000
        
          
        
        100000.00000000
        PA
        
        130130.86000000
        0.040475284777
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-07-02
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHERN STATES PWR-MINN
        3S1GHB0TEH85KX44SB51
        Northern States Power Co/MN
        665772CS6
        
          
        
        121000.00000000
        PA
        USD
        120582.33000000
        0.037505355347
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWQCWUX9 IRS USD R F  1.27300 2 CCPVANILLA / Short: SRWQCWUX9 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        50000.00000000
        OU
        Notional Amount
        USD
        -84.27000000
        -0.00002621094
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-28
            0.80000000
            USD
            0.00000000
            USD
            50000.00000000
            USD
            -85.07000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRW5F72Z3 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW5F72Z3 IRS USD P F   .64800 2 CCPVANILLA
        000000000
        
          
        
        440000.00000000
        OU
        Notional Amount
        USD
        21193.54000000
        0.006591938045
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-02
            8.07000000
            USD
            0.00000000
            USD
            440000.00000000
            USD
            21185.47000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        06406RAB3
        
          
        
        61000.00000000
        PA
        USD
        67803.33000000
        0.021089225804
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-07
          Fixed
          3.44200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWCWHKH7 SWAPTION
        000000000
        
          
        
        -530000.00000000
        NC
        USD
        -23819.84000000
        -0.00740880992
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    530000.00000000
                    OU
                    Notional Amount
                    N/A
                    -23819.84000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2033-01-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  530000.00000000
                  USD
                
              
            
            1.00000000
            1.25400000
            USD
            2022-12-30
            XXXX
            -6382.84000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCE9
        
          
        
        32000.00000000
        PA
        USD
        38430.38000000
        0.011953202911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRESENIUS FIN IRELAND PL
        549300GFSOR556BX2290
        Fresenius Finance Ireland PLC
        000000000
        
          
        
        60000.00000000
        PA
        
        72790.07000000
        0.022640277734
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2031-10-01
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWM3VVX9 BLACKROCK
        000000000
        
          
        
        -1140000.00000000
        NC
        
        -11875.57000000
        -0.00369372090
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1140000.00000000
                    OU
                    Notional Amount
                    N/A
                    -11875.57000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2033-05-17
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1140000.00000000
                  EUR
                
              
            
            1.00000000
            0.00700000
            EUR
            2023-05-15
            XXXX
            18625.76000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRTXYXSZ0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTXYXSZ0 IRS USD P F  1.93300 2 CCPVANILLA
        000000000
        
          
        
        380000.00000000
        OU
        Notional Amount
        USD
        -5350.02000000
        -0.00166404481
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2034-10-22
            6.91000000
            USD
            0.00000000
            USD
            380000.00000000
            USD
            -5356.93000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SRWHCY0J9 IRS USD R F  2.35000 2 CCPINFLATIONZERO / Short: SRWHCY0J9 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        740000.00000000
        OU
        Notional Amount
        USD
        -31510.38000000
        -0.00980083897
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-02-16
            14.68000000
            USD
            0.00000000
            USD
            740000.00000000
            USD
            -31525.06000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2019-2 B PTT
        N/A
        United Airlines 2019-2 Class B Pass Through Trust
        90932KAA7
        
          
        
        73454.49000000
        PA
        USD
        72957.83000000
        0.022692457008
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XAH8
        
          
        
        173000.00000000
        PA
        USD
        241181.67000000
        0.075016001403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-07-08
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWJ8HHB6 SWAPTION
        000000000
        
          
        
        -3240000.00000000
        NC
        USD
        -10107.18000000
        -0.00314368927
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    3240000.00000000
                    OU
                    Notional Amount
                    N/A
                    -10107.18000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-03-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3240000.00000000
                  USD
                
              
            
            1.00000000
            0.51750000
            USD
            2022-03-03
            XXXX
            -670.68000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SU3
        
          
        
        1044000.00000000
        PA
        USD
        1036659.38000000
        0.322437611055
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-02-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG ENERGY INC
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CP5
        
          
        
        231000.00000000
        PA
        USD
        236115.75000000
        0.073440321702
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-02
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan International Bank Limited
        PGBWEZU4QUV2UVGWJC76
        BRWNCPGF6 BLACKROCK
        000000000
        
          
        
        -2669000.00000000
        NC
        USD
        -2662.59000000
        -0.00082815935
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan International Bank Limited
              PGBWEZU4QUV2UVGWJC76
            
            Put
            Written
            
              
                
                  
                    J.P. Morgan International Bank Limited
                    PGBWEZU4QUV2UVGWJC76
                  
                  
                    J.P. Morgan International Bank Limited
                    PGBWEZU4QUV2UVGWJC76
                    IRS Swap
                    N/A
                    
                      
                    
                    2669000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2662.59000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2669000.00000000
                  USD
                
              
            
            1.00000000
            0.00450000
            USD
            2021-12-10
            XXXX
            -420.63000000
          
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AD3
        
          
        
        261000.00000000
        PA
        USD
        297972.22000000
        0.092679864410
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-09-17
          Fixed
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAN1
        
          
        
        46000.00000000
        PA
        USD
        50238.89000000
        0.015626065789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRW3XUN01 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW3XUN01 IRS USD P F   .62550 2 CCPVANILLA
        000000000
        
          
        
        1060000.00000000
        OU
        Notional Amount
        USD
        -872.95000000
        -0.00027151822
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-04-14
            14.28000000
            USD
            0.00000000
            USD
            1060000.00000000
            USD
            -887.23000000
          
        
        
          N
          N
          N
        
      
      
        MSCI INC
        549300HTIN2PD78UB763
        MSCI Inc
        55354GAK6
        
          
        
        256000.00000000
        PA
        USD
        269120.00000000
        0.083705806903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CQ7
        
          
        
        240000.00000000
        PA
        USD
        250020.00000000
        0.077765033598
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2030-02-14
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAV5
        
          
        
        122000.00000000
        PA
        USD
        143212.27000000
        0.044544064428
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BTEQ1
        
          
        
        74317.50000000
        PA
        USD
        81245.66000000
        0.025270264297
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PFS Financing Corp.
        N/A
        PFS Financing Corp
        69335PDT9
        
          
        
        470000.00000000
        PA
        USD
        474838.84000000
        0.147691618056
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRWH6JRG6 SWAPTION
        000000000
        
          
        
        3310000.00000000
        NC
        USD
        15511.98000000
        0.004824772601
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    3310000.00000000
                    OU
                    Notional Amount
                    N/A
                    15511.98000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-02-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3310000.00000000
                  USD
                
              
            
            1.00000000
            1.22750000
            USD
            2025-02-04
            XXXX
            451.48000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BRW0XSR7S IRS EUR R F   .18500 2 CCPVANILLA / Short: BRW0XSR7S IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        340000.00000000
        OU
        Notional Amount
        
        0.00000000
        0.000000
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-01-16
            0.00000000
            EUR
            0.00000000
            EUR
            340000.00000000
            EUR
            8.24000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRWPU4T49 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWPU4T49 IRS USD P F  1.69624 2 CCPVANILLA
        000000000
        
          
        
        480000.00000000
        OU
        Notional Amount
        USD
        -1678.85000000
        -0.00052218153
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2047-02-15
            13.20000000
            USD
            0.00000000
            USD
            480000.00000000
            USD
            -1692.05000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2015-MS1
        61765DAU2
        
          
        
        520000.00000000
        PA
        USD
        567453.28000000
        0.176497973701
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-15
          Variable
          3.77900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRTUHZJ80 SWAPTION
        000000000
        
          
        
        1150000.00000000
        NC
        USD
        21556.87000000
        0.006704946483
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    1150000.00000000
                    OU
                    Notional Amount
                    N/A
                    21556.87000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-06-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1150000.00000000
                  USD
                
              
            
            1.00000000
            2.50000000
            USD
            2024-06-20
            XXXX
            -25795.46000000
          
        
        
          N
          N
          N
        
      
      
        MID-ATLANTIC INTERSTATE
        N/A
        Mid-Atlantic Interstate Transmission LLC
        59524QAA3
        
          
        
        21000.00000000
        PA
        USD
        23855.21000000
        0.007419811243
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BIOGEN INC
        W8J5WZB5IY3K0NDQT671
        Biogen Inc
        09062XAG8
        
          
        
        91000.00000000
        PA
        USD
        90726.09000000
        0.028219012227
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CN8
        
          
        
        195000.00000000
        PA
        USD
        257725.47000000
        0.080161706398
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-20
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWPR75L4 BLACKROCK SWAPTION 0.0035000 CALL USD 20
        000000000
        
          
        
        -1260000.00000000
        NC
        USD
        -1687.01000000
        -0.00052471957
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1260000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1687.01000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-12-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1260000.00000000
                  USD
                
              
            
            1.00000000
            0.00350000
            USD
            2021-12-06
            XXXX
            -868.01000000
          
        
        
          N
          N
          N
        
      
      
        LAM RESEARCH CORP
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AW8
        
          
        
        89000.00000000
        PA
        USD
        92307.23000000
        0.028710802505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513AP0
        
          
        
        190000.00000000
        PA
        USD
        192375.00000000
        0.059835406521
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GNE82
        
          
        
        13647.68000000
        PA
        USD
        14818.16000000
        0.004608970123
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164QNA2
        
          
        
        200000.00000000
        PA
        USD
        245394.35000000
        0.076326293387
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.41800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DMRZ0
        
          
        
        99037.07000000
        PA
        USD
        107260.62000000
        0.033361833925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RC4
        
          
        
        980000.00000000
        PA
        USD
        1299189.06000000
        0.404093596120
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-08-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FCA BANK SPA IRELAND
        549300V1VN70Q7PQ7234
        FCA Bank SpA/Ireland
        000000000
        
          
        
        100000.00000000
        PA
        
        120098.98000000
        0.037355016458
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-09-18
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Motorola Solutions Inc
        6S552MUG6KGJVEBSEC55
        Motorola Solutions Inc
        620076BN8
        
          
        
        141000.00000000
        PA
        USD
        166504.32000000
        0.051788713059
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-23
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AL9
        
          
        
        59000.00000000
        PA
        USD
        58903.18000000
        0.018320965409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XLV66
        
          
        
        149050.16000000
        PA
        USD
        166931.44000000
        0.051921562436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-A
        64035DAD8
        
          
        
        716374.93000000
        PA
        USD
        719749.92000000
        0.223867597438
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        N/A
        GLP Capital LP / GLP Financing II Inc
        361841AP4
        
          
        
        233000.00000000
        PA
        USD
        253760.30000000
        0.078928398750
        Long
        DBT
        
        US
        N
        
        2
        
          2030-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: BRTDD9YT7 CDS USD R F  1.00000 2 CORPORATE / Short: BRTDD9YT7 CDS USD P V 03MEVENT 1 CORPORATE
        000000000
        
          
        
        130000.00000000
        OU
        Notional Amount
        USD
        1618.27000000
        0.000503339016
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Pfizer Inc
                Pfizer Inc
                
                  
                  
                
              
            
            Y
            
            sell protection
            2022-12-20
            833.17000000
            USD
            0.00000000
            USD
            130000.00000000
            USD
            785.10000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FLP9
        
          
        
        8867.19000000
        PA
        USD
        9976.35000000
        0.003102996532
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 16-2 AA PTT
        N/A
        American Airlines 2016-2 Class AA Pass Through Trust
        023765AA8
        
          
        
        43285.00000000
        PA
        USD
        44160.24000000
        0.013735391358
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRESB Multifamily Mortgage Pass-Through Certifica
        N/A
        FRESB 2019-SB60 Mortgage Trust
        30308GAH3
        
          
        
        232819.40000000
        PA
        USD
        250839.44000000
        0.078019908325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MAQ3
        
          
        
        105000.00000000
        PA
        USD
        107488.55000000
        0.033432728190
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2022-07-12
          Fixed
          2.78400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJEZ7
        
          
        
        64805.63000000
        PA
        USD
        67346.54000000
        0.020947148011
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) SEP21
        000000000
        
          
        
        192.00000000
        NC
        USD
        11624.05000000
        0.003615489316
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUU1 Comdty
              
            
            2021-09-30
            42354375.95000000
            USD
            11624.05000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -508.54000000
        -0.00015817386
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            120000.00000000
            EUR
            141961.42000000
            USD
            2021-09-15
            -508.54000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENT URUGUAY
        549300RDR012H2V82H43
        Uruguay Government International Bond
        760942BB7
        
          
        
        375000.00000000
        PA
        USD
        430382.81000000
        0.133864225581
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2027-10-27
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRW5PE725 SWAPTION
        000000000
        
          
        
        310000.00000000
        NC
        USD
        10448.55000000
        0.003249867377
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    310000.00000000
                    OU
                    Notional Amount
                    N/A
                    10448.55000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2035-06-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  310000.00000000
                  USD
                
              
            
            1.00000000
            1.42000000
            USD
            2025-06-04
            XXXX
            -6213.95000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRWADLYK1 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWADLYK1 IRS USD P F  1.20900 2 CCPVANILLA
        000000000
        
          
        
        165000.00000000
        OU
        Notional Amount
        USD
        11416.31000000
        0.003550874852
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-11-04
            3.96000000
            USD
            0.00000000
            USD
            165000.00000000
            USD
            11412.35000000
          
        
        
          N
          N
          N
        
      
      
        ACTIVISION BLIZZARD
        549300TPQQDBP9GNOF40
        Activision Blizzard Inc
        00507VAQ2
        
          
        
        108000.00000000
        PA
        USD
        98601.63000000
        0.030668582792
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-09-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5X87
        
          
        
        491535.79000000
        PA
        USD
        531204.11000000
        0.165223203991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Cleveland OH Airport System Revenue
        N/A
        CLEVELAND OH ARPT SYS REVENUE
        186352SP6
        
          
        
        90000.00000000
        PA
        USD
        96182.63000000
        0.029916188519
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-01-01
          Fixed
          2.88200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWGPWUW9 SWAPTION
        000000000
        
          
        
        -660000.00000000
        NC
        USD
        -16043.35000000
        -0.00499004740
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    660000.00000000
                    OU
                    Notional Amount
                    N/A
                    -16043.35000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-31
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  660000.00000000
                  USD
                
              
            
            1.00000000
            1.24750000
            USD
            2022-01-27
            XXXX
            -516.85000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBQ3
        
          
        
        2711000.00000000
        PA
        USD
        2693632.66000000
        0.837814712053
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-02-28
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H042687
        
          
        
        498000.00000000
        PA
        USD
        530374.98000000
        0.164965315333
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-19
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS EASTERN TRANSMISSI
        549300SIOULUXXIDGA69
        Texas Eastern Transmission LP
        882384AD2
        
          
        
        69000.00000000
        PA
        USD
        75949.85000000
        0.023623080701
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan International Bank Limited
        PGBWEZU4QUV2UVGWJC76
        BRWN6RP44 BLACKROCK
        000000000
        
          
        
        -835000.00000000
        NC
        USD
        -2766.77000000
        -0.00086056300
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan International Bank Limited
              PGBWEZU4QUV2UVGWJC76
            
            Put
            Written
            
              
                
                  
                    J.P. Morgan International Bank Limited
                    PGBWEZU4QUV2UVGWJC76
                  
                  
                    J.P. Morgan International Bank Limited
                    PGBWEZU4QUV2UVGWJC76
                    IRS Swap
                    N/A
                    
                      
                    
                    835000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2766.77000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-06-09
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  835000.00000000
                  USD
                
              
            
            1.00000000
            0.02400000
            USD
            2022-06-07
            XXXX
            6585.23000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAK5
        
          
        
        15000.00000000
        PA
        USD
        18840.55000000
        0.005860075209
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-02-15
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KBC GROUP NV
        213800X3Q9LSAKRUWY91
        KBC Group NV
        000000000
        
          
        
        100000.00000000
        PA
        
        122832.57000000
        0.038205259311
        Long
        DBT
        CORP
        BE
        N
        
        2
        
          2024-01-25
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MBA0
        
          
        
        11000.00000000
        PA
        USD
        11996.42000000
        0.003731309512
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Florida Power & Light Co
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081FD4
        
          
        
        5000.00000000
        PA
        USD
        6991.67000000
        0.002174655837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REDEXIS GAS FINANCE BV
        724500XI19XTPCL36320
        Redexis Gas Finance BV
        000000000
        
          
        
        100000.00000000
        PA
        
        126361.19000000
        0.039302784520
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-05-28
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379E2W1
        
          
        
        31542.27000000
        PA
        USD
        32773.40000000
        0.010193682713
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-05-20
          Floating
          2.63600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AR9
        
          
        
        152000.00000000
        PA
        USD
        176182.75000000
        0.054799045969
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        MidAmerican Energy Co
        NINLOILYRTLIMK26MZ18
        MidAmerican Energy Co
        595620AS4
        
          
        
        34000.00000000
        PA
        USD
        39778.12000000
        0.012372397561
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-08-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        BRWP0BVF8 BLACKROCK
        000000000
        
          
        
        635000.00000000
        NC
        USD
        20591.72000000
        0.006404750810
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    635000.00000000
                    OU
                    Notional Amount
                    N/A
                    20591.72000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-07-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  635000.00000000
                  USD
                
              
            
            1.00000000
            0.02000000
            USD
            2024-06-28
            XXXX
            -7380.03000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPJ2NY6 IRS USD R F  1.29050 2 CCPVANILLA / Short: SRWPJ2NY6 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        165000.00000000
        OU
        Notional Amount
        USD
        41.40000000
        0.000012876859
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-12
            2.62000000
            USD
            0.00000000
            USD
            165000.00000000
            USD
            38.78000000
          
        
        
          N
          N
          N
        
      
      
        New Jersey Turnpike Authority
        5493005YN67D71KSMI84
        NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
        646140EA7
        
          
        
        25000.00000000
        PA
        USD
        25465.42000000
        0.007920643316
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-01-01
          Fixed
          2.78200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YAZ2
        
          
        
        200000.00000000
        PA
        USD
        210079.35000000
        0.065342083477
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-09-13
          Fixed
          2.55500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: BRTDD1B51 CDS USD R F  1.00000 2 CORPORATE / Short: BRTDD1B51 CDS USD P V 03MEVENT 1 CORPORATE
        000000000
        
          
        
        90000.00000000
        OU
        Notional Amount
        USD
        1142.78000000
        0.000355444864
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2022-12-20
            954.18000000
            USD
            0.00000000
            USD
            90000.00000000
            USD
            188.60000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-VIV3
        05608EAA2
        
          
        
        185000.00000000
        PA
        USD
        203111.54000000
        0.063174848941
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-09
          Variable
          3.54400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SH2
        
          
        
        605000.00000000
        PA
        USD
        733964.26000000
        0.228288758256
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-05-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9YZ0
        
          
        
        41756.56000000
        PA
        USD
        45272.21000000
        0.014081253226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513ECD1
        
          
        
        80000.00000000
        PA
        USD
        80077.60000000
        0.024906956461
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-11-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON INGALLS INDUS
        5TZLZ6WJTBVJ0QWBG121
        Huntington Ingalls Industries Inc
        446413AL0
        
          
        
        182000.00000000
        PA
        USD
        199050.74000000
        0.061911796992
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.48300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582AY8
        
          
        
        41000.00000000
        PA
        USD
        51937.71000000
        0.016154458696
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2043-08-12
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        BRWNTN4P4 BLACKROCK
        000000000
        
          
        
        635000.00000000
        NC
        USD
        36578.92000000
        0.011377333584
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    635000.00000000
                    OU
                    Notional Amount
                    N/A
                    36578.92000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-06-26
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  635000.00000000
                  USD
                
              
            
            1.00000000
            0.01970000
            USD
            2024-06-24
            XXXX
            7559.42000000
          
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358WJA3
        
          
        
        200000.00000000
        PA
        USD
        274803.90000000
        0.085473700170
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2062-10-01
          Fixed
          4.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233851DZ4
        
          
        
        296000.00000000
        PA
        USD
        308111.82000000
        0.095833637446
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-03-10
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5GJ2
        
          
        
        3960.16000000
        PA
        USD
        4319.81000000
        0.001343613190
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOLCIM FINANCE LUX SA
        529900XU3Z9D2HLBR716
        Holcim Finance Luxembourg SA
        000000000
        
          
        
        100000.00000000
        PA
        
        118465.75000000
        0.036847024354
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-04-23
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        College Ave Student Loans
        N/A
        College Ave Student Loans 2021-A LLC
        19424KAA1
        
          
        
        90106.69000000
        PA
        USD
        90871.81000000
        0.028264336284
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-07-25
          Floating
          1.18900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2902.68000000
        0.000902835804
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            1908000.00000000
            EUR
            2268175.07000000
            USD
            2021-09-15
            2902.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ESAW8
        
          
        
        202639.56000000
        PA
        USD
        220507.72000000
        0.068585674164
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132JPFB3
        
          
        
        156358.93000000
        PA
        USD
        176146.81000000
        0.054787867362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth Edison Co
        D8YOXB8L2ZDC8P7Q0771
        Commonwealth Edison Co
        202795JM3
        
          
        
        70000.00000000
        PA
        USD
        85733.68000000
        0.026666196727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAD3
        
          
        
        3753000.00000000
        PA
        USD
        3647886.69000000
        1.134621354340
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-07-31
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7MB8
        
          
        
        56081.07000000
        PA
        USD
        63510.90000000
        0.019754128759
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -476.45000000
        -0.00014819274
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            272000.00000000
            EUR
            322455.46000000
            USD
            2021-09-15
            -476.45000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31393VFU0
        
          
        
        70553.73000000
        PA
        USD
        76398.25000000
        0.023762548908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2248.20000000
        -0.00069926945
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            253000.00000000
            EUR
            298125.97000000
            USD
            2021-09-15
            -2248.20000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BUEB1
        
          
        
        25373.02000000
        PA
        USD
        27738.39000000
        0.008627617111
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KLA CORP
        549300H0BF5JCG96TJ81
        KLA Corp
        482480AG5
        
          
        
        105000.00000000
        PA
        USD
        122245.78000000
        0.038022746936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887CH0
        
          
        
        100000.00000000
        PA
        
        121947.87000000
        0.037930086424
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-24
          Fixed
          1.40100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AACD4
        
          
        
        20657.03000000
        PA
        USD
        22871.40000000
        0.007113811652
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BGWZ8
        
          
        
        56203.37000000
        PA
        USD
        60224.31000000
        0.018731883411
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PUBLIC SERVICE ELECTRIC
        549300RUHPVD434XUK18
        Public Service Electric and Gas Co
        74456QCE4
        
          
        
        55000.00000000
        PA
        USD
        48906.63000000
        0.015211685965
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGZ6
        
          
        
        366000.00000000
        PA
        USD
        393911.32000000
        0.122520306514
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-23
          Fixed
          3.36600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AH6
        
          
        
        284000.00000000
        PA
        USD
        360657.50000000
        0.112177196244
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          7.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)SEP21
        000000000
        
          
        
        -109.00000000
        NC
        USD
        -137692.08000000
        -0.04282709074
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                10 Year US Treasury Note
                TYU1 Comdty
              
            
            2021-09-21
            -14517698.55000000
            USD
            -137692.08000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND SEP21
        000000000
        
          
        
        -8.00000000
        NC
        
        -143685.84000000
        -0.04469136139
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Buxl (FGBX)
                UBU1 Comdty
              
            
            2021-09-08
            -1599193.84000000
            EUR
            -143685.84000000
          
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AU0
        
          
        
        209000.00000000
        PA
        USD
        237046.97000000
        0.073729963949
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank Europe SE
        8IBZUGJ7JPLH368JE346
        BRTVW1DF6 SWAPTION
        000000000
        
          
        
        -3450000.00000000
        NC
        
        -0.82000000
        -0.00000025504
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Goldman Sachs Bank Europe SE
              8IBZUGJ7JPLH368JE346
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank Europe SE
                    8IBZUGJ7JPLH368JE346
                  
                  
                    Goldman Sachs Bank Europe SE
                    8IBZUGJ7JPLH368JE346
                    IRS Swap
                    N/A
                    
                      
                    
                    3450000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.82000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-08-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3450000.00000000
                  EUR
                
              
            
            1.00000000
            0.15000000
            EUR
            2021-08-09
            XXXX
            5101.48000000
          
        
        
          N
          N
          N
        
      
      
        Motorola Solutions Inc
        6S552MUG6KGJVEBSEC55
        Motorola Solutions Inc
        620076BL2
        
          
        
        125000.00000000
        PA
        USD
        146505.81000000
        0.045568471470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-23
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABE6
        
          
        
        365000.00000000
        PA
        USD
        374276.73000000
        0.116413256874
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-10
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIPER ENERGY PARTNERS LP
        5299009LINL232255G03
        Viper Energy Partners LP
        92763MAA3
        
          
        
        705000.00000000
        PA
        USD
        738628.50000000
        0.229739501317
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARTFORD FINL SVCS GRP
        IU7C3FTM7Y3BQM112U94
        Hartford Financial Services Group Inc/The
        416515BB9
        
          
        
        30000.00000000
        PA
        USD
        36380.49000000
        0.011315614859
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRTPRWT29 SWAPTION
        000000000
        
          
        
        320000.00000000
        NC
        USD
        9318.98000000
        0.002898531288
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    320000.00000000
                    OU
                    Notional Amount
                    N/A
                    9318.98000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2039-01-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  320000.00000000
                  USD
                
              
            
            1.00000000
            3.05250000
            USD
            2029-01-10
            XXXX
            -8833.02000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAU3
        
          
        
        264000.00000000
        PA
        USD
        294546.47000000
        0.091614335396
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Qwest Corp
        549300R2L4N683OO1509
        Qwest Corp
        74913GAX3
        
          
        
        472000.00000000
        PA
        USD
        480850.00000000
        0.149561300719
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-12-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BE6
        
          
        
        170000.00000000
        PA
        USD
        178287.50000000
        0.055453697415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEVEN & I HOLDINGS
        52990037G8JRM3TWGY86
        Seven & i Holdings Co Ltd
        81783HAA3
        
          
        
        230000.00000000
        PA
        USD
        230841.80000000
        0.071799937336
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2021-09-17
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRTE79C09 SWAPTION
        000000000
        
          
        
        1050000.00000000
        NC
        USD
        34316.52000000
        0.010673647431
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1050000.00000000
                    OU
                    Notional Amount
                    N/A
                    34316.52000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2037-12-09
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1050000.00000000
                  USD
                
              
            
            1.00000000
            2.73000000
            USD
            2027-12-07
            XXXX
            -30757.10000000
          
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAM4
        
          
        
        28000.00000000
        PA
        USD
        28261.14000000
        0.008790210789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRTYF92U1 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTYF92U1 IRS USD P F  1.99800 2 CCPVANILLA
        000000000
        
          
        
        410000.00000000
        OU
        Notional Amount
        USD
        -8070.96000000
        -0.00251035307
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2034-11-07
            7.47000000
            USD
            0.00000000
            USD
            410000.00000000
            USD
            -8078.43000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXM1
        
          
        
        43000.00000000
        PA
        USD
        42717.15000000
        0.013286539496
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-09
          Fixed
          1.09300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Extended Stay America Trust
        N/A
        Extended Stay America Trust 2021-ESH
        30227FAA8
        
          
        
        410000.00000000
        PA
        USD
        411792.60000000
        0.128082014937
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          1.17400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AK1
        
          
        
        38000.00000000
        PA
        USD
        38119.32000000
        0.011856452286
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAZ4
        
          
        
        2980000.00000000
        PA
        USD
        2951480.48000000
        0.918014473615
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-11-30
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2013-GAM
        12624UAC8
        
          
        
        703068.24000000
        PA
        USD
        700744.74000000
        0.217956316495
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-02-10
          Fixed
          3.36700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHERN STATES PWR-MINN
        3S1GHB0TEH85KX44SB51
        Northern States Power Co/MN
        665772CR8
        
          
        
        30000.00000000
        PA
        USD
        31489.55000000
        0.009794360106
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Regional Management Issuance Trust
        N/A
        Regional Management Issuance Trust 2021-2
        75907UAA7
        
          
        
        245000.00000000
        PA
        USD
        246324.49000000
        0.076615599716
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-08-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEOLIA ENVIRONNEMENT SA
        969500LENY69X51OOT31
        Veolia Environnement SA
        000000000
        
          
        
        300000.00000000
        PA
        
        357441.40000000
        0.111176875772
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-03-30
          Fixed
          0.67200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ANUR6
        
          
        
        786239.85000000
        PA
        USD
        152399.46000000
        0.047401604380
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        25160PAF4
        
          
        
        210000.00000000
        PA
        USD
        213185.44000000
        0.066308186962
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-03-19
          Fixed
          1.68600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        000000000
        
          
        
        230000.00000000
        PA
        
        273385.31000000
        0.085032468672
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-21
          Floating
          0.00200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAH3
        
          
        
        1045000.00000000
        PA
        USD
        1300099.55000000
        0.404376790606
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRWNYBQ05 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWNYBQ05 IRS USD P F   .76650 2 CCPVANILLA
        000000000
        
          
        
        810000.00000000
        OU
        Notional Amount
        USD
        -2888.76000000
        -0.00089850619
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-28
            3.52000000
            USD
            0.00000000
            USD
            810000.00000000
            USD
            -2892.28000000
          
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233851CB8
        
          
        
        150000.00000000
        PA
        USD
        163935.13000000
        0.050989604401
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-08-03
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2020-1NV
        33851YAL0
        
          
        
        275931.64000000
        PA
        USD
        275557.73000000
        0.085708167873
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Floating
          0.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COX COMMUNICATIONS INC
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CM7
        
          
        
        44000.00000000
        PA
        USD
        41873.32000000
        0.013024078620
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RP5
        
          
        
        660000.00000000
        PA
        USD
        806334.38000000
        0.250798416736
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        000000000
        
          
        
        100000.00000000
        PA
        
        119387.94000000
        0.037133857952
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-09-03
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AE5
        
          
        
        78000.00000000
        PA
        USD
        90543.51000000
        0.028162223411
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TGX7
        
          
        
        319000.00000000
        PA
        USD
        344143.65000000
        0.107040806755
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Acceptance Auto Loan Trust
        N/A
        Credit Acceptance Auto Loan Trust 2020-2
        22535MAA7
        
          
        
        180000.00000000
        PA
        USD
        182217.82000000
        0.056676165485
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-07-16
          Fixed
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AS5
        
          
        
        50000.00000000
        PA
        USD
        58283.56000000
        0.018128241747
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arbor Multifamily Mortgage Securities Trust
        N/A
        Arbor Multifamily Mortgage Securities Trust 2020-MF1
        03881BAE3
        
          
        
        465000.00000000
        PA
        USD
        499326.44000000
        0.155308124883
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-05-15
          Fixed
          2.75600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK KGAA
        529900OAREIS0MOPTW25
        Merck KGaA
        000000000
        
          
        
        100000.00000000
        PA
        
        122954.76000000
        0.038243264708
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2079-06-25
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BA2
        
          
        
        9000.00000000
        PA
        USD
        10012.12000000
        0.003114122262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Global Investors
        N/A
        EUR 1Y MIDCV OP SEP21P 99.625
        000000000
        
          
        
        21.00000000
        NC
        USD
        787.50000000
        0.000244940260
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Barclays Global Investors
              N/A
            
            Put
            Purchased
            
              
                
                  
                    Barclays Global Investors
                    N/A
                  
                  
                    Barclays Global Investors
                    N/A
                    Eurodollar Time Deposit Future
                    N/A
                    
                      
                    
                    21.00000000
                    NC
                    N/A
                    787.50000000
                    0.00000000
                    DCO
                    
                    US
                  
                  Long
                  
                    
                      Eurodollar Time Deposit
                      EDU2 Comdty
                    
                  
                  2022-09-19
                  21.00000000
                  USD
                
              
            
            2500.00000000
            99.62500000
            USD
            2021-09-10
            XXXX
            -427.97000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B9RL1
        
          
        
        160556.51000000
        PA
        USD
        163067.68000000
        0.050719796872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AM9
        
          
        
        111000.00000000
        PA
        USD
        111451.13000000
        0.034665230257
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASTRAZENECA PLC
        PY6ZZQWO2IZFZC3IOL08
        AstraZeneca PLC
        046353AW8
        
          
        
        122000.00000000
        PA
        USD
        117925.02000000
        0.036678838262
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-08-06
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B4UR5
        
          
        
        138324.45000000
        PA
        USD
        139995.87000000
        0.043543650644
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-15
          Floating
          0.54300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q83N3
        
          
        
        377909.96000000
        PA
        USD
        418319.89000000
        0.130112232224
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRW5MTQ40 SWAPTION
        000000000
        
          
        
        310000.00000000
        NC
        USD
        8997.35000000
        0.002798493020
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    310000.00000000
                    OU
                    Notional Amount
                    N/A
                    8997.35000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2035-06-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  310000.00000000
                  USD
                
              
            
            1.00000000
            1.28250000
            USD
            2025-06-04
            XXXX
            -7773.65000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SX7
        
          
        
        1575000.00000000
        PA
        USD
        1747265.63000000
        0.543461204795
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-05-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applied Materials Inc
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222AM7
        
          
        
        43000.00000000
        PA
        USD
        55268.03000000
        0.017190305615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-04-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAC2
        
          
        
        129000.00000000
        PA
        USD
        139389.89000000
        0.043355169503
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2027-05-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPZM920 IRS USD R F  1.24500 2 CCPVANILLA / Short: SRWPZM920 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        230000.00000000
        OU
        Notional Amount
        USD
        -2980.02000000
        -0.00092689127
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-01-24
            3.67000000
            USD
            0.00000000
            USD
            230000.00000000
            USD
            -2983.69000000
          
        
        
          N
          N
          N
        
      
      
        PIEDMONT NATURAL GAS CO
        VXB4M3BDPKF3I2AZ3G89
        Piedmont Natural Gas Co Inc
        720186AL9
        
          
        
        87000.00000000
        PA
        USD
        96636.54000000
        0.030057370530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022485
        
          
        
        199000.00000000
        PA
        USD
        208496.28000000
        0.064849692902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED PARCEL SERVICE
        D01LMJZU09ULLNCY6Z23
        United Parcel Service Inc
        911312BU9
        
          
        
        44000.00000000
        PA
        USD
        46965.14000000
        0.014607814135
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHX0
        
          
        
        106000.00000000
        PA
        USD
        112582.54000000
        0.035017138651
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-22
          Fixed
          2.88400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Florida LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAF8
        
          
        
        38000.00000000
        PA
        USD
        47974.64000000
        0.014921804221
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-07-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW US CAPITAL LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EBS3
        
          
        
        103000.00000000
        PA
        USD
        109230.68000000
        0.033974592033
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2031-04-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        DIAMONDBACK ENERGY INC
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278XAN9
        
          
        
        140000.00000000
        PA
        USD
        151775.62000000
        0.047207568149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        000000000
        
          
        
        100000.00000000
        PA
        
        119622.46000000
        0.037206801940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-26
          Fixed
          0.65400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        BRWNSZVT0 BLACKROCK
        000000000
        
          
        
        -1060000.00000000
        NC
        USD
        -28067.10000000
        -0.00872985750
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    1060000.00000000
                    OU
                    Notional Amount
                    N/A
                    -28067.10000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-09-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1060000.00000000
                  USD
                
              
            
            1.00000000
            0.01520000
            USD
            2021-09-22
            XXXX
            -13306.60000000
          
        
        
          N
          N
          N
        
      
      
        FLORIDA POWER & LIGHT CO
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081FX0
        
          
        
        225000.00000000
        PA
        USD
        248565.65000000
        0.077312679480
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBU4
        
          
        
        172000.00000000
        PA
        USD
        188047.78000000
        0.058489488560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-07-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PUBLIC SERVICE ELECTRIC
        549300RUHPVD434XUK18
        Public Service Electric and Gas Co
        74456QBX3
        
          
        
        42000.00000000
        PA
        USD
        47851.77000000
        0.014883587320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRWKKPYU0 SWAPTION
        000000000
        
          
        
        670000.00000000
        NC
        USD
        64586.26000000
        0.020088603627
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    670000.00000000
                    OU
                    Notional Amount
                    N/A
                    64586.26000000
                    0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2036-04-09
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  670000.00000000
                  USD
                
              
            
            1.00000000
            2.60500000
            USD
            2026-04-07
            XXXX
            27133.26000000
          
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        502431AL3
        
          
        
        213000.00000000
        PA
        USD
        240416.04000000
        0.074777863484
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXA7
        
          
        
        35000.00000000
        PA
        USD
        43194.27000000
        0.013434940636
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-04-23
          Fixed
          4.41100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMCOR FLEXIBLES NORTH AM
        PTVU09TE3QPJPL7K4E13
        Amcor Flexibles North America Inc
        02344AAA6
        
          
        
        113000.00000000
        PA
        USD
        118011.93000000
        0.036705870336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-25
          Fixed
          2.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nissan Master Owner Trust Receivables
        N/A
        Nissan Master Owner Trust Receivables
        65474VAS0
        
          
        
        410000.00000000
        PA
        USD
        410468.02000000
        0.127670023864
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-11-15
          Floating
          0.52300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRW7KP0S1 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW7KP0S1 IRS USD P F   .97250 2 CCPVANILLA
        000000000
        
          
        
        180000.00000000
        OU
        Notional Amount
        USD
        19503.73000000
        0.006066347567
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-08-17
            4.18000000
            USD
            0.00000000
            USD
            180000.00000000
            USD
            19499.55000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRTRHZW17 SWAPTION
        000000000
        
          
        
        1090000.00000000
        NC
        USD
        139901.72000000
        0.043514366675
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1090000.00000000
                    OU
                    Notional Amount
                    N/A
                    139901.72000000
                    0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-03-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1090000.00000000
                  USD
                
              
            
            1.00000000
            2.95000000
            USD
            2024-03-12
            XXXX
            90797.22000000
          
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CY3
        
          
        
        169000.00000000
        PA
        USD
        196058.90000000
        0.060981229284
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-16
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJK6
        
          
        
        264000.00000000
        PA
        USD
        263602.13000000
        0.081989554820
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-24
          Fixed
          1.19700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        000000000
        
          
        
        200000.00000000
        PA
        
        241499.99000000
        0.075115010144
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-04-25
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRTFEC160 IRS USD R F  3.08000 2 CCPVANILLA / Short: SRTFEC160 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        430000.00000000
        OU
        Notional Amount
        USD
        136355.80000000
        0.042411460556
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2053-02-20
            10.63000000
            USD
            0.00000000
            USD
            430000.00000000
            USD
            136345.17000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X83B1
        
          
        
        190193.09000000
        PA
        USD
        207024.75000000
        0.064391995198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PSA BANQUE FRANCE
        969500JK1O192KI3E882
        PSA Banque France SA
        000000000
        
          
        
        100000.00000000
        PA
        
        118947.43000000
        0.036996843814
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AL1
        
          
        
        153000.00000000
        PA
        USD
        155876.40000000
        0.048483055288
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARBUCKS CORP
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244AW9
        
          
        
        189000.00000000
        PA
        USD
        194444.26000000
        0.060479019326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-12
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        170000.00000000
        PA
        
        211066.73000000
        0.065649193464
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-03
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSX Corp
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408GY3
        
          
        
        84000.00000000
        PA
        USD
        100492.84000000
        0.031256815770
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-03-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERLIN PROPERTIES SOCIMI
        959800L8KD863DP30X04
        Merlin Properties Socimi SA
        000000000
        
          
        
        200000.00000000
        PA
        
        243637.46000000
        0.075779838664
        Long
        DBT
        
        ES
        N
        
        2
        
          2034-12-04
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGPL PipeCo LLC
        549300K3NT1HSQFEM073
        NGPL PipeCo LLC
        62912XAC8
        
          
        
        20000.00000000
        PA
        USD
        29210.86000000
        0.009085607188
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          7.76800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCL6
        
          
        
        13233.05000000
        PA
        USD
        13751.89000000
        0.004277322565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B33G1
        
          
        
        125236.32000000
        PA
        USD
        126028.33000000
        0.039199253327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAE Systems Holdings Inc
        MF62XBVMNYTYMC18DL76
        BAE Systems Holdings Inc
        05523UAP5
        
          
        
        82000.00000000
        PA
        USD
        90767.44000000
        0.028231873535
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-12-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QT8
        
          
        
        3015000.00000000
        PA
        USD
        3702679.11000000
        1.151663728479
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-11-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130A07B0
        
          
        
        680000.00000000
        PA
        USD
        813126.29000000
        0.252910940172
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2028-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFW9
        
          
        
        99000.00000000
        PA
        USD
        96272.32000000
        0.029944085270
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2056-10-30
          Fixed
          2.98700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2016-4
        64829LAA6
        
          
        
        75141.15000000
        PA
        USD
        79896.26000000
        0.024850553328
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-11-25
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B15 Mortgage Trust
        08160KAJ3
        
          
        
        210000.00000000
        PA
        USD
        231487.35000000
        0.072000726143
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2072-12-15
          Fixed
          3.56400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7MK8
        
          
        
        115856.07000000
        PA
        USD
        120398.57000000
        0.037448199509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUINIX INC
        549300EVUN2BTLJ3GT74
        Equinix Inc
        29444UBG0
        
          
        
        50000.00000000
        PA
        USD
        51001.57000000
        0.015863286155
        Long
        DBT
        
        US
        N
        
        2
        
          2027-07-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBD4
        
          
        
        49000.00000000
        PA
        USD
        57337.70000000
        0.017834045944
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-14
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tharaldson Hotel Portfolio Trust
        N/A
        Tharaldson Hotel Portfolio Trust 2018-THPT
        88327HAA1
        
          
        
        81008.03000000
        PA
        USD
        81031.85000000
        0.025203761850
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-11
          Floating
          1.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIS NORTH AMERICA INC
        5493004KVU1HWZCP0C66
        Willis North America Inc
        970648AJ0
        
          
        
        79000.00000000
        PA
        USD
        83717.27000000
        0.026039022135
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWHKRR15 IRS USD R F  1.87000 2 CCPVANILLA / Short: SRWHKRR15 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        220000.00000000
        OU
        Notional Amount
        USD
        10237.07000000
        0.003184089642
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-02-19
            6.78000000
            USD
            0.00000000
            USD
            220000.00000000
            USD
            10230.29000000
          
        
        
          N
          N
          N
        
      
      
        KION GROUP AG
        5299005KY91C4C6U9H17
        KION Group AG
        000000000
        
          
        
        100000.00000000
        PA
        
        124022.38000000
        0.038575332164
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-09-24
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F012486
        
          
        
        1980000.00000000
        PA
        USD
        2018035.80000000
        0.627680272740
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAB8
        
          
        
        192000.00000000
        PA
        USD
        207928.47000000
        0.064673083976
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AM6W4
        
          
        
        168927.52000000
        PA
        USD
        177595.75000000
        0.055238538779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-07-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCX2
        
          
        
        491000.00000000
        PA
        USD
        519053.99000000
        0.161444088360
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-20
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAQ4
        
          
        
        70000.00000000
        PA
        USD
        81957.24000000
        0.025491590761
        Long
        DBT
        
        US
        N
        
        2
        
          2050-07-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRW9C7N77 SWAPTION
        000000000
        
          
        
        -535000.00000000
        NC
        USD
        -27901.91000000
        -0.00867847759
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    535000.00000000
                    OU
                    Notional Amount
                    N/A
                    -27901.91000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-10-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  535000.00000000
                  USD
                
              
            
            1.00000000
            1.06300000
            USD
            2022-10-11
            XXXX
            -9899.16000000
          
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBM1
        
          
        
        46000.00000000
        PA
        USD
        61249.78000000
        0.019050840731
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2048-05-30
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTODESK INC
        FRKKVKAIQEF3FCSTPG55
        Autodesk Inc
        052769AG1
        
          
        
        121000.00000000
        PA
        USD
        129098.99000000
        0.040154336832
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-CCRE16 Mortgage Trust
        12591VAE1
        
          
        
        145000.00000000
        PA
        USD
        157127.58000000
        0.048872216374
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-10
          Fixed
          4.05100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SESAC Finance, LLC
        N/A
        Sesac Finance LLC
        78396YAA1
        
          
        
        117600.00000000
        PA
        USD
        126282.41000000
        0.039278281163
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-07-25
          Fixed
          5.21600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON INGALLS INDUS
        5TZLZ6WJTBVJ0QWBG121
        Huntington Ingalls Industries Inc
        446413AS5
        
          
        
        56000.00000000
        PA
        USD
        61277.54000000
        0.019059475069
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          3.84400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Progress LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        26442UAG9
        
          
        
        15000.00000000
        PA
        USD
        17051.26000000
        0.005303542943
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) SEP21
        000000000
        
          
        
        -9.00000000
        NC
        USD
        -68708.10000000
        -0.02137064116
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Long Bond
                USU1 Comdty
              
            
            2021-09-21
            -1413760.65000000
            USD
            -68708.10000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GSSE0
        
          
        
        12511.46000000
        PA
        USD
        13733.83000000
        0.004271705269
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP Transmission Co LLC
        549300X123Z1I0LA3Y84
        AEP Transmission Co LLC
        00115AAH2
        
          
        
        64000.00000000
        PA
        USD
        74893.40000000
        0.023294487510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPZJF04 IRS USD R F  1.18800 2 CCPVANILLA / Short: SRWPZJF04 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        370000.00000000
        OU
        Notional Amount
        USD
        -3607.75000000
        -0.00112213742
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-22
            5.90000000
            USD
            0.00000000
            USD
            370000.00000000
            USD
            -3613.65000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHC6
        
          
        
        264000.00000000
        PA
        USD
        273278.02000000
        0.084999097700
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-20
          Fixed
          3.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3134A4KX1
        
          
        
        302000.00000000
        PA
        USD
        451716.50000000
        0.140499755218
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2032-07-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        040114HX1
        
          
        
        29232.00000000
        PA
        USD
        11181.24000000
        0.003477759796
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2029-07-09
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBM7
        
          
        
        52000.00000000
        PA
        USD
        55216.43000000
        0.017174256196
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-04-22
          Fixed
          3.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELECTRONIC ARTS INC
        549300O7A67PUEYKDL45
        Electronic Arts Inc
        285512AE9
        
          
        
        190000.00000000
        PA
        USD
        188648.91000000
        0.058676461181
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBA3
        
          
        
        524000.00000000
        PA
        USD
        586213.66000000
        0.182333113214
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-29
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDK4
        
          
        
        197000.00000000
        PA
        USD
        218102.48000000
        0.067837559735
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWLQPRU0 IRS USD R F  2.07700 2 CCPVANILLA / Short: SRWLQPRU0 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        150000.00000000
        OU
        Notional Amount
        USD
        6650.09000000
        0.002068412416
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2033-05-05
            2.40000000
            USD
            0.00000000
            USD
            150000.00000000
            USD
            6647.69000000
          
        
        
          N
          N
          N
        
      
      
        AON CORP
        LTS3U8DGK38SETRUWX71
        Aon Corp
        037389BE2
        
          
        
        270000.00000000
        PA
        USD
        288742.42000000
        0.089809071245
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: BRTDD1B85 CDS USD R F  1.00000 2 CORPORATE / Short: BRTDD1B85 CDS USD P V 03MEVENT 1 CORPORATE
        000000000
        
          
        
        25000.00000000
        OU
        Notional Amount
        USD
        323.23000000
        0.000100535924
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                HONEYWELL INTERNATIONAL
                HONEYWELL INTERNATIONAL
                
                  
                  
                
              
            
            Y
            
            sell protection
            2022-12-20
            261.64000000
            USD
            0.00000000
            USD
            25000.00000000
            USD
            61.59000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWNBTYH5 BLACKROCK
        000000000
        
          
        
        -1800000.00000000
        NC
        USD
        -14722.20000000
        -0.00457912318
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -14722.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-04-26
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1800000.00000000
                  USD
                
              
            
            1.00000000
            0.00900000
            USD
            2022-04-22
            XXXX
            -5362.20000000
          
        
        
          N
          N
          N
        
      
      
        RYDER SYSTEM INC
        ZXJ6Y2OSPZXIVGRILD15
        Ryder System Inc
        78355HKN8
        
          
        
        186000.00000000
        PA
        USD
        195335.60000000
        0.060756257487
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SRWPY70C1 IRS USD R F  1.20450 2 CCPVANILLA / Short: SRWPY70C1 IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        165000.00000000
        OU
        Notional Amount
        USD
        -1343.37000000
        -0.00041783542
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-21
            2.63000000
            USD
            0.00000000
            USD
            165000.00000000
            USD
            -1346.00000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GN7
        
          
        
        366000.00000000
        PA
        USD
        400468.30000000
        0.124559758438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRW23UVV9 SWAPTION
        000000000
        
          
        
        680000.00000000
        NC
        USD
        24358.01000000
        0.007576199768
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    680000.00000000
                    OU
                    Notional Amount
                    N/A
                    24358.01000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2035-02-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  680000.00000000
                  USD
                
              
            
            1.00000000
            1.49500000
            USD
            2025-02-25
            XXXX
            -11358.99000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VES9
        
          
        
        527000.00000000
        PA
        USD
        604479.67000000
        0.188014486230
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-08
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        CIM Trust
        N/A
        CIM Trust 2019-INV3
        12557LBK0
        
          
        
        233954.14000000
        PA
        USD
        233928.62000000
        0.072760047172
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Floating
          1.04200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962GXZ2
        
          
        
        144000.00000000
        PA
        USD
        200591.43000000
        0.062391005893
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRWBXGVU9 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRWBXGVU9 IRS USD P F   .92000 2 CCPVANILLA
        000000000
        
          
        
        518000.00000000
        OU
        Notional Amount
        USD
        15382.58000000
        0.004784524640
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-12-10
            10.33000000
            USD
            0.00000000
            USD
            518000.00000000
            USD
            15372.25000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        000000000
        
          
        
        145000.00000000
        PA
        
        145990.24000000
        0.045408111025
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2051-10-25
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAJ9
        
          
        
        61000.00000000
        PA
        USD
        67178.07000000
        0.020894747902
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        BRWGPX0E0 SWAPTION
        000000000
        
          
        
        -720000.00000000
        NC
        USD
        -5134.61000000
        -0.00159704471
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    720000.00000000
                    OU
                    Notional Amount
                    N/A
                    -5134.61000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-01-31
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  720000.00000000
                  USD
                
              
            
            1.00000000
            1.00000000
            USD
            2022-01-27
            XXXX
            4729.39000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: BRTDD1BB8 CDS USD R F  1.00000 2 CORPORATE / Short: BRTDD1BB8 CDS USD P V 03MEVENT 1 CORPORATE
        000000000
        
          
        
        40000.00000000
        OU
        Notional Amount
        USD
        470.76000000
        0.000146422955
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                JOHNSON & JOHNSON
                JOHNSON & JOHNSON
                
                  
                  
                
              
            
            Y
            
            sell protection
            2022-12-20
            219.10000000
            USD
            0.00000000
            USD
            40000.00000000
            USD
            251.66000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAN3
        
          
        
        176000.00000000
        PA
        USD
        208947.46000000
        0.064990025787
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anthem Inc
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        94973VBL0
        
          
        
        27000.00000000
        PA
        USD
        35442.20000000
        0.011023773593
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2054-08-15
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FVMZ6
        
          
        
        32249.03000000
        PA
        USD
        35014.83000000
        0.010890846457
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAK0
        
          
        
        122000.00000000
        PA
        USD
        123165.10000000
        0.038308687863
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GVZ99
        
          
        
        59542.35000000
        PA
        USD
        65686.92000000
        0.020430947687
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020695
        
          
        
        9600000.00000000
        PA
        USD
        9768864.00000000
        3.038461071840
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALABAMA POWER CO
        0RL818ELFOHP5JHOFU19
        Alabama Power Co
        010392FT0
        
          
        
        42000.00000000
        PA
        USD
        47170.87000000
        0.014671803417
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BRWHVHLS2 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWHVHLS2 IRS USD P F  2.31500 2 CCPINFLATIONZERO
        000000000
        
          
        
        2910000.00000000
        OU
        Notional Amount
        USD
        134431.70000000
        0.041812997629
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-03-01
            57.95000000
            USD
            0.00000000
            USD
            2910000.00000000
            USD
            134373.75000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRTVYJMM0 SWAPTION
        000000000
        
          
        
        -1940000.00000000
        NC
        
        -0.46000000
        -0.00000014307
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1940000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.46000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-08-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1940000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2021-08-09
            XXXX
            2879.40000000
          
        
        
          N
          N
          N
        
      
      
        Lendmark Funding Trust
        N/A
        Lendmark Funding Trust 2021-1
        52607MAA7
        
          
        
        210000.00000000
        PA
        USD
        213871.06000000
        0.066521438951
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-11-20
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRW4JWRC1 SWAPTION
        000000000
        
          
        
        -690000.00000000
        NC
        USD
        -45931.30000000
        -0.01428625345
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    690000.00000000
                    OU
                    Notional Amount
                    N/A
                    -45931.30000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  690000.00000000
                  USD
                
              
            
            1.00000000
            0.74000000
            USD
            2022-04-29
            XXXX
            -22057.30000000
          
        
        
          N
          N
          N
        
      
      
        CHENIERE ENERGY PARTNERS
        5493005UEC8AZ34LDV29
        Cheniere Energy Partners LP
        16411QAH4
        
          
        
        410000.00000000
        PA
        USD
        433698.00000000
        0.134895366537
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRWKR7Z40 SWAPTION
        000000000
        
          
        
        2560000.00000000
        NC
        USD
        62001.92000000
        0.019284782785
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    2560000.00000000
                    OU
                    Notional Amount
                    N/A
                    62001.92000000
                    0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-04-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2560000.00000000
                  USD
                
              
            
            1.00000000
            1.38500000
            USD
            2022-04-08
            XXXX
            23593.55000000
          
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2021-D
        63942CAA0
        
          
        
        504090.71000000
        PA
        USD
        504090.71000000
        0.156789980801
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2060-04-15
          Variable
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Corp
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BA0
        
          
        
        125000.00000000
        PA
        USD
        133401.29000000
        0.041492503795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        25152R2Y8
        
          
        
        45000.00000000
        PA
        USD
        49571.66000000
        0.015418533739
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-01-13
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Corning Inc
        549300X2937PB0CJ7I56
        Corning Inc
        219350BF1
        
          
        
        27000.00000000
        PA
        USD
        32887.08000000
        0.010229041201
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2057-11-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGF0
        
          
        
        840000.00000000
        PA
        USD
        938949.35000000
        0.292046347293
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-20
          Fixed
          3.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BGGD5
        
          
        
        35615.89000000
        PA
        USD
        36307.56000000
        0.011292931058
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132M9MM3
        
          
        
        6285.72000000
        PA
        USD
        6885.62000000
        0.002141670548
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335ATV0
        
          
        
        355759.62000000
        PA
        USD
        407003.44000000
        0.126592417352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRTV1PKA0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTV1PKA0 IRS USD P F  1.77050 2 CCPVANILLA
        000000000
        
          
        
        10180000.00000000
        OU
        Notional Amount
        USD
        -143699.45000000
        -0.04469559458
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-07-12
            77.51000000
            USD
            0.00000000
            USD
            10180000.00000000
            USD
            -143776.96000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300JEA36NHBYED811
        SLM Private Education Loan Trust 2010-C
        78445QAE1
        
          
        
        475000.00000000
        PA
        USD
        531460.21000000
        0.165302860119
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-10-15
          Floating
          4.84300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIEMENS FINANCIERINGSMAT
        TAFO772JB70PDRN5VS48
        Siemens Financieringsmaatschappij NV
        000000000
        
          
        
        370000.00000000
        PA
        
        439092.26000000
        0.136573171553
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2021-09-05
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRTPSUE44 SWAPTION
        000000000
        
          
        
        320000.00000000
        NC
        USD
        9409.44000000
        0.002926667537
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    320000.00000000
                    OU
                    Notional Amount
                    N/A
                    9409.44000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2039-01-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  320000.00000000
                  USD
                
              
            
            1.00000000
            3.04000000
            USD
            2029-01-11
            XXXX
            -8830.56000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHD4
        
          
        
        203000.00000000
        PA
        USD
        223055.49000000
        0.069378120447
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-20
          Fixed
          3.41900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRW0SED00 10Y RTP
        000000000
        
          
        
        -1090000.00000000
        NC
        USD
        -2107.41000000
        -0.00065547879
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1090000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2107.41000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1090000.00000000
                  USD
                
              
            
            1.00000000
            2.15000000
            USD
            2022-01-10
            XXXX
            23316.84000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300AGZIS1CJS4RM30
        Wells Fargo Commercial Mortgage Trust 2018-C44
        95001JAX5
        
          
        
        445000.00000000
        PA
        USD
        516185.09000000
        0.160551759327
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-05-15
          Fixed
          4.21200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEALED AIR CORP
        Q0M0CZB4YN6JZ65WXI09
        Sealed Air Corp
        81211KAY6
        
          
        
        155000.00000000
        PA
        USD
        165462.50000000
        0.051464670313
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDL3
        
          
        
        187000.00000000
        PA
        USD
        237872.40000000
        0.073986701776
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLN 15-2 B PTT
        N/A
        American Airlines 2015-2 Class B Pass Through Trust
        02377BAC0
        
          
        
        144376.15000000
        PA
        USD
        141168.07000000
        0.043908246166
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-22
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHU6
        
          
        
        420000.00000000
        PA
        USD
        494077.84000000
        0.153675625261
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-23
          Fixed
          4.07800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKY LTD
        2138003TS48MQKF4BZ29
        Sky Ltd
        000000000
        
          
        
        100000.00000000
        PA
        
        118891.85000000
        0.036979556474
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2021-09-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        000000000
        
          
        
        100000.00000000
        PA
        
        133380.70000000
        0.041486099579
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2049-09-18
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTERPOINT ENERGY RES
        2JADVB0458J06WCD4N56
        CenterPoint Energy Resources Corp
        15189YAF3
        
          
        
        185000.00000000
        PA
        USD
        181483.13000000
        0.056447650996
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SD1
        
          
        
        695000.00000000
        PA
        USD
        858922.27000000
        0.267155104332
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lam Research Corp
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AS7
        
          
        
        48000.00000000
        PA
        USD
        53789.88000000
        0.016730548857
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCZ0
        
          
        
        4000.00000000
        PA
        USD
        5027.08000000
        0.001563599092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-10-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFE9
        
          
        
        619000.00000000
        PA
        USD
        674430.84000000
        0.209771765989
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-22
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA CO/THE
        UWJKFUJFZ02DKWI3RY53
        Coca-Cola Co/The
        000000000
        
          
        
        100000.00000000
        PA
        
        121764.95000000
        0.037873191856
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-09
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLVO TREASURY AB
        549300PD69T87IGZG395
        Volvo Treasury AB
        000000000
        
          
        
        200000.00000000
        PA
        
        237371.37000000
        0.073830863784
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2021-09-13
          Floating
          0.10500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY TRANSMISSION
        549300AINIIPOLYX2R63
        FirstEnergy Transmission LLC
        33767BAB5
        
          
        
        202000.00000000
        PA
        USD
        224591.99000000
        0.069856026111
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        BRWKKSK05 SWAPTION
        000000000
        
          
        
        1300000.00000000
        NC
        USD
        4040.79000000
        0.001256828134
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1300000.00000000
                    OU
                    Notional Amount
                    N/A
                    4040.79000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-04-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1300000.00000000
                  USD
                
              
            
            1.00000000
            1.52500000
            USD
            2022-04-05
            XXXX
            -14906.71000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        BRWNTN4U3 BLACKROCK
        000000000
        
          
        
        635000.00000000
        NC
        USD
        21147.15000000
        0.006577509120
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    635000.00000000
                    OU
                    Notional Amount
                    N/A
                    21147.15000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-06-26
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  635000.00000000
                  USD
                
              
            
            1.00000000
            0.01970000
            USD
            2024-06-24
            XXXX
            -7872.35000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN HONDA FINANCE
        B6Q2VFHD1797Q7NZ3E43
        American Honda Finance Corp
        000000000
        
          
        
        120000.00000000
        PA
        
        145626.26000000
        0.045294900415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-10
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VONOVIA FINANCE BV
        5299009XLZLD9TALOZ03
        Vonovia Finance BV
        000000000
        
          
        
        200000.00000000
        PA
        
        238773.04000000
        0.074266832565
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-04-06
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATMA9
        
          
        
        351812.90000000
        PA
        USD
        354262.36000000
        0.110188082266
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-25
          Floating
          0.48900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KLA Corp
        549300H0BF5JCG96TJ81
        KLA Corp
        482480AH3
        
          
        
        90000.00000000
        PA
        USD
        124070.92000000
        0.038590429815
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DTE Electric Co
        9N0FWODEJVKHC2DYLO03
        DTE Electric Co
        23338VAJ5
        
          
        
        160000.00000000
        PA
        USD
        197063.33000000
        0.061293642422
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-03-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        246.95000000
        0.000076810155
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            9000.00000000
            EUR
            10932.20000000
            USD
            2021-09-15
            246.95000000
          
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY FLORIDA LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAH4
        
          
        
        438000.00000000
        PA
        USD
        467367.84000000
        0.145367873692
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGPL PipeCo LLC
        549300K3NT1HSQFEM073
        NGPL PipeCo LLC
        62912XAF1
        
          
        
        100000.00000000
        PA
        USD
        115401.94000000
        0.035894071440
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        925524AX8
        
          
        
        74000.00000000
        PA
        USD
        107665.74000000
        0.033487840526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-04-30
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) SEP21
        000000000
        
          
        
        93.00000000
        NC
        USD
        67441.83000000
        0.020976786560
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                5 Year US Treasury Note
                FVU1 Comdty
              
            
            2021-09-30
            11505972.28000000
            USD
            67441.83000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SJ8
        
          
        
        45000.00000000
        PA
        USD
        48385.55000000
        0.015049611716
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER INTL FINANCE BV
        529900RUGCXMPEENHQ31
        Daimler International Finance BV
        000000000
        
          
        
        60000.00000000
        PA
        
        71938.68000000
        0.022375465431
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-11-06
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KFW
        549300GDPG70E3MBBU98
        Kreditanstalt fuer Wiederaufbau
        000000000
        
          
        
        965000.00000000
        PA
        
        1171334.28000000
        0.364326252458
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2031-01-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RYDER SYSTEM INC
        ZXJ6Y2OSPZXIVGRILD15
        Ryder System Inc
        78355HKP3
        
          
        
        102000.00000000
        PA
        USD
        110019.36000000
        0.034219899315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGITAL DUTCH FINCO BV
        549300ONZ5IS6B6IMJ70
        Digital Dutch Finco BV
        000000000
        
          
        
        100000.00000000
        PA
        
        127753.14000000
        0.039735730039
        Long
        DBT
        
        NL
        
        N
        
        2
        
          2030-03-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        BRTVUJ089 SWAPTION
        000000000
        
          
        
        -1190000.00000000
        NC
        USD
        -909.16000000
        -0.00028278080
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1190000.00000000
                    OU
                    Notional Amount
                    N/A
                    -909.16000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-08-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1190000.00000000
                  USD
                
              
            
            1.00000000
            3.25000000
            USD
            2022-08-08
            XXXX
            6171.34000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        000000000
        
          
        
        100000.00000000
        PA
        
        122201.25000000
        0.038008896536
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-04-28
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XTVX0
        
          
        
        270641.05000000
        PA
        USD
        286458.98000000
        0.089098840910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROPEAN UNION
        529900FZRK8FGMPEOM08
        European Union
        000000000
        
          
        
        990000.00000000
        PA
        
        1201087.84000000
        0.373580658477
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2030-10-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust
        N/A
        Starwood Mortgage Residential Trust 2020-2
        85573DAA7
        
          
        
        146191.32000000
        PA
        USD
        147554.00000000
        0.045894495510
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-04-25
          Variable
          2.71800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAND NORDRHEIN-WESTFALEN
        529900VWPV1LPOHGJ702
        State of North Rhine-Westphalia Germany
        000000000
        
          
        
        1141000.00000000
        PA
        
        1399042.74000000
        0.435151610599
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2030-04-09
          Fixed
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHERN STATES PWR-MINN
        3S1GHB0TEH85KX44SB51
        Northern States Power Co/MN
        665772CU1
        
          
        
        44000.00000000
        PA
        USD
        48894.06000000
        0.015207776252
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        50730983.70000000
        NS
        USD
        50730983.70000000
        15.77912427776
        Long
        STIV
        RF
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        TOTALENERGIES SE
        529900S21EQ1BO4ESM68
        TotalEnergies SE
        000000000
        
          
        
        220000.00000000
        PA
        
        265541.94000000
        0.082592904111
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-10-25
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        BRWNSZVS2 BLACKROCK
        000000000
        
          
        
        -1060000.00000000
        NC
        USD
        -3771.48000000
        -0.00117306323
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    1060000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3771.48000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-09-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1060000.00000000
                  USD
                
              
            
            1.00000000
            0.01520000
            USD
            2021-09-22
            XXXX
            10989.02000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJZ6
        
          
        
        8000.00000000
        PA
        USD
        8498.90000000
        0.002643457499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAR5
        
          
        
        162000.00000000
        PA
        USD
        192525.94000000
        0.059882354182
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-03-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCG4
        
          
        
        7919000.00000000
        PA
        USD
        7901677.19000000
        2.457700152654
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-06-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DMRK3
        
          
        
        1736461.57000000
        PA
        USD
        1904646.78000000
        0.592412290378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROPEAN INVESTMENT BANK
        5493006YXS1U5GIHE750
        European Investment Bank
        000000000
        
          
        
        1829000.00000000
        PA
        
        2213637.78000000
        0.688519383797
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2030-09-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PANAMA
        549300SHS4T08CL0LP14
        Panama Government International Bond
        698299BK9
        
          
        
        125000.00000000
        PA
        USD
        131078.13000000
        0.040769919140
        Long
        DBT
        NUSS
        PA
        N
        
        2
        
          2030-01-23
          Fixed
          3.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAF0
        
          
        
        41000.00000000
        PA
        USD
        47843.44000000
        0.014880996396
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMPHENOL TECH HLDS GMBH
        549300110BRSS7DV8V39
        Amphenol Technologies Holding GmbH
        000000000
        
          
        
        135000.00000000
        PA
        
        166553.91000000
        0.051804137297
        Long
        DBT
        CORP
        DE
        
        N
        
        2
        
          2026-05-04
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBW4
        
          
        
        48000.00000000
        PA
        USD
        51359.54000000
        0.015974627444
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAK2
        
          
        
        42000.00000000
        PA
        USD
        68751.79000000
        0.021384230298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-07-15
          Fixed
          8.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        140871.40000000
        0.043815971338
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-05-19
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gilead Sciences Inc
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558AX1
        
          
        
        163000.00000000
        PA
        USD
        212192.36000000
        0.065999304074
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAC4
        
          
        
        353000.00000000
        PA
        USD
        401643.40000000
        0.124925255962
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        000000000
        
          
        
        155000.00000000
        PA
        
        184576.56000000
        0.057409816774
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-10-29
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        BRWGPX0D2 SWAPTION
        000000000
        
          
        
        -720000.00000000
        NC
        USD
        -9549.50000000
        -0.00297023113
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    720000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9549.50000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-31
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  720000.00000000
                  USD
                
              
            
            1.00000000
            1.50000000
            USD
            2022-01-27
            XXXX
            314.50000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RBH4
        
          
        
        66000.00000000
        PA
        USD
        76350.05000000
        0.023747557009
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZL7
        
          
        
        2070800.00000000
        PA
        USD
        2061093.13000000
        0.641072620208
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-04-30
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCK0
        
          
        
        121000.00000000
        PA
        USD
        134070.84000000
        0.041700757448
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-09
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBV2
        
          
        
        340000.00000000
        PA
        USD
        340690.63000000
        0.105966795811
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-04-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lockheed Martin Corp
        DPRBOZP0K5RM2YE8UU08
        Lockheed Martin Corp
        539830BD0
        
          
        
        139000.00000000
        PA
        USD
        164921.62000000
        0.051296437566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Ohio Inc
        L6KC0HABGHNFU1Z6QY21
        Duke Energy Ohio Inc
        26442EAF7
        
          
        
        110000.00000000
        PA
        USD
        123995.79000000
        0.038567061736
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        BRTRECD20 SWAPTION
        000000000
        
          
        
        1086500.00000000
        NC
        USD
        10396.61000000
        0.003233712206
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    1086500.00000000
                    OU
                    Notional Amount
                    N/A
                    10396.61000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-03-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1086500.00000000
                  USD
                
              
            
            1.00000000
            2.98000000
            USD
            2024-03-07
            XXXX
            -39959.51000000
          
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AU2
        
          
        
        451000.00000000
        PA
        USD
        503731.10000000
        0.156678129414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X7KS7
        
          
        
        282431.68000000
        PA
        USD
        301388.22000000
        0.093742360829
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        BRWKKPYW6 SWAPTION
        000000000
        
          
        
        670000.00000000
        NC
        USD
        18821.64000000
        0.005854193532
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    IRS Swap
                    N/A
                    
                      
                    
                    670000.00000000
                    OU
                    Notional Amount
                    N/A
                    18821.64000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2036-04-09
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  670000.00000000
                  USD
                
              
            
            1.00000000
            2.60500000
            USD
            2026-04-07
            XXXX
            -18631.36000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        040114HT0
        
          
        
        767563.00000000
        PA
        USD
        248306.63000000
        0.077232115129
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2035-07-09
          Variable
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESB Finance DAC
        635400VCPRSU89DLMZ57
        ESB Finance DAC
        000000000
        
          
        
        100000.00000000
        PA
        
        129307.12000000
        0.040219072599
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-12
          Fixed
          3.49400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRW5GTQ05 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW5GTQ05 IRS USD P F   .76100 2 CCPVANILLA
        000000000
        
          
        
        338000.00000000
        OU
        Notional Amount
        USD
        16634.03000000
        0.005173769705
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-03
            6.28000000
            USD
            0.00000000
            USD
            338000.00000000
            USD
            16627.75000000
          
        
        
          N
          N
          N
        
      
      
        Hyundai Capital America
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891AAY3
        
          
        
        290000.00000000
        PA
        USD
        294920.26000000
        0.091730597263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-02-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389DS57
        
          
        
        241342.07000000
        PA
        USD
        270543.13000000
        0.084148450501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BRW6DHMB2 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRW6DHMB2 IRS USD P F   .65200 2 CCPVANILLA
        000000000
        
          
        
        770000.00000000
        OU
        Notional Amount
        USD
        40626.66000000
        0.012636323413
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-11-04
            14.31000000
            USD
            0.00000000
            USD
            770000.00000000
            USD
            40612.35000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2017-SCH
        054966AL0
        
          
        
        1150000.00000000
        PA
        USD
        1131983.64000000
        0.352086816246
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-15
          Floating
          0.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468U6
        
          
        
        858000.00000000
        PA
        USD
        834150.41000000
        0.259450182625
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-13
          Fixed
          1.79400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        000000000
        
          
        
        100000.00000000
        PA
        
        134390.20000000
        0.041800089666
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2049-07-02
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAK2
        
          
        
        314000.00000000
        PA
        USD
        374945.24000000
        0.116621187050
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-07-24
          Fixed
          4.03200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust 2019-XL
        N/A
        BX Commercial Mortgage Trust 2019-XL
        056054AA7
        
          
        
        378022.36000000
        PA
        USD
        378852.61000000
        0.117836516861
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.01300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 17-1B PTT
        N/A
        American Airlines 2017-1 Class B Pass Through Trust
        02378WAA7
        
          
        
        420707.50000000
        PA
        USD
        415618.08000000
        0.129271874071
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137F83S0
        
          
        
        1198687.86000000
        PA
        USD
        97776.01000000
        0.030411785868
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-10-25
          Variable
          1.02800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200JZ5
        
          
        
        171000.00000000
        PA
        USD
        188881.97000000
        0.058748951056
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38148YAB4
        
          
        
        65000.00000000
        PA
        USD
        65103.86000000
        0.020249595473
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-31
          Floating
          0.90900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATWG5
        
          
        
        184002.63000000
        PA
        USD
        185769.99000000
        0.057781015574
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-25
          Floating
          0.58900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AR4
        
          
        
        34000.00000000
        PA
        USD
        38926.92000000
        0.012107644355
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJX1
        
          
        
        224000.00000000
        PA
        USD
        234527.62000000
        0.072946357287
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan International Bank Limited
        PGBWEZU4QUV2UVGWJC76
        BRWN6RP51 BLACKROCK
        000000000
        
          
        
        -835000.00000000
        NC
        USD
        -20304.28000000
        -0.00631534683
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan International Bank Limited
              PGBWEZU4QUV2UVGWJC76
            
            Call
            Written
            
              
                
                  
                    J.P. Morgan International Bank Limited
                    PGBWEZU4QUV2UVGWJC76
                  
                  
                    J.P. Morgan International Bank Limited
                    PGBWEZU4QUV2UVGWJC76
                    IRS Swap
                    N/A
                    
                      
                    
                    835000.00000000
                    OU
                    Notional Amount
                    N/A
                    -20304.28000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-09
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  835000.00000000
                  USD
                
              
            
            1.00000000
            0.01400000
            USD
            2022-06-07
            XXXX
            -12371.78000000
          
        
        
          N
          N
          N
        
      
      
        OP CORPORATE BANK PLC
        549300NQ588N7RWKBP98
        OP Corporate Bank plc
        000000000
        
          
        
        300000.00000000
        PA
        
        370131.19000000
        0.115123847797
        Long