Form NPORT-P LEGG MASON PARTNERS INCO For: Nov 30

January 21, 2022 1:45 PM EST

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    NPORT-P
    false
    
      
      
        
          0000764624
          XXXXXXXX
        
      
      
      
      
        S000016624
        C000046412
        C000118948
        C000046413
        C000046410
        C000080302
      
      
    
  
  
    
      Legg Mason Partners Income Trust
      811-04254
      0000764624
      549300Y1U2UCLTK83X35
      620 Eighth Avenue
      47th Floor
      New York
      
      10018
      1-877-721-1926
      Western Asset Ultra-Short Income Fund
      S000016624
      549300MFJCCCF04ZU149
      2022-05-31
      2021-11-30
      N
    
    
      870516852.84
      21500232.16
      849016620.68
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      12929602.64000000
      0.00000000
      0.00000000
      2355032.00000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        DISH DBS CORP
        N/A
        DISH DBS Corp
        25470XBE4
        
          
          
        
        130000.00000000
        PA
        USD
        128997.05000000
        0.015193701378
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BP8
        
          
          
        
        3430000.00000000
        PA
        USD
        3508898.27000000
        0.413289702996
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Floating
          1.78163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING C
        549300BO65N44G8TZI31
        Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4
        16678RCD7
        
          
          
        
        7683.95000000
        PA
        USD
        7749.30000000
        0.000912738315
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.67163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP MORGAN MORTGAGE TRUST 2018-5
        46649KAA3
        
          
        
        64627.87000000
        PA
        USD
        65344.89000000
        0.007696538372
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMONDBACK ENERGY INC
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278XAL3
        
          
          
        
        400000.00000000
        PA
        USD
        415215.21000000
        0.048905427748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-01
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -53.00000000
        NC
        USD
        -414.09000000
        -0.00004877289
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2021-12-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            122.25000000
            USD
            2021-11-26
            XXXX
            12330.18000000
          
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING C
        549300TC8R2SGZ2KM445
        Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3
        16678RBV8
        
          
          
        
        1703.65000000
        PA
        USD
        1701.08000000
        0.000200358857
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Floating
          0.39163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300H0EHPP0GTD9V95
        SLM Student Loan Trust 2005-7
        78442GQJ8
        
          
          
        
        306307.99000000
        PA
        USD
        305106.90000000
        0.035936504959
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-10-25
          Floating
          0.27388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greystone Commercial Real Esta
        N/A
        Greystone CRE Notes 2021-FL3 Ltd
        39809PAA3
        
          
        
        1280000.00000000
        PA
        USD
        1281853.44000000
        0.150980959474
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2039-07-15
          Floating
          1.10950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACCAR FINANCIAL CORP
        PH3S12DWZBHHQKVYZ297
        PACCAR Financial Corp
        69371RR32
        
          
          
        
        740000.00000000
        PA
        USD
        731961.30000000
        0.086212835199
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-11
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAG2
        
          
          
        
        1800000.00000000
        PA
        USD
        1810665.00000000
        0.213266142958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABM8
        
          
          
        
        1040000.00000000
        PA
        USD
        1042250.01000000
        0.122759670966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-18
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BR5
        
          
          
        
        1650000.00000000
        PA
        USD
        1632526.09000000
        0.192284349945
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-13
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2021-B29 Mortgage Trust
        08163JAG9
        
          
        
        12463067.63000000
        PA
        USD
        939205.56000000
        0.110622753091
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-09-15
          Variable
          1.16013100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300XD71H6EU9N2I97
        Magnetite XIV-R LTD
        55954LAL7
        
          
        
        530000.00000000
        PA
        USD
        530624.57000000
        0.062498725828
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-18
          Floating
          1.24225000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAQ4
        
          
          
        
        1170000.00000000
        PA
        USD
        1180260.47000000
        0.139015001738
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2023-09-12
          Floating
          1.17413000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EOG RESOURCES INC
        XWTZDRYZPBUHIQBKDB46
        EOG Resources Inc
        26875PAK7
        
          
          
        
        660000.00000000
        PA
        USD
        672521.89000000
        0.079211863892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
          
        
        3170000.00000000
        PA
        USD
        3499280.74000000
        0.412156918341
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816BD0
        
          
          
        
        1000000.00000000
        PA
        USD
        1021868.24000000
        0.120359038340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-02
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300XXQYQPW7OQNX23
        Midocean Credit CLO IX
        59802MAE7
        
          
        
        2020000.00000000
        PA
        USD
        2025588.27000000
        0.238580520176
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          1.88150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCO
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        0641594A1
        
          
          
        
        780000.00000000
        PA
        USD
        771185.78000000
        0.090832824848
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-06-24
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XNX8
        
          
          
        
        323265.32000000
        PA
        USD
        329804.72000000
        0.038845496303
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-01-25
          Floating
          2.29200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AL5
        
          
          
        
        2770000.00000000
        PA
        USD
        2863930.70000000
        0.337323278513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        254900JFO9XUH2EREJ70
        Dryden 75 CLO Ltd
        26252JAS7
        
          
        
        250000.00000000
        PA
        USD
        250150.69000000
        0.029463579853
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          1.16375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMONDBACK ENERGY INC
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278XAM1
        
          
          
        
        3330000.00000000
        PA
        USD
        3497945.85000000
        0.411999690559
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXP4
        
          
          
        
        510000.00000000
        PA
        USD
        508435.84000000
        0.059885263446
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-27
          Fixed
          0.48100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FQX57
        
          
        
        1000453.41000000
        PA
        USD
        1010528.78000000
        0.119023439045
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-25
          Floating
          0.54200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON WORLDWIDE FINANCE
        549300406TN7EY0NPH20
        Hilton Worldwide Finance LLC
        43289DAH6
        
          
          
        
        85085.65000000
        PA
        USD
        84008.89000000
        0.009894846337
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-06-21
          Floating
          1.87840000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
          
        
        1500000.00000000
        PA
        USD
        1599952.50000000
        0.188447724229
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2026-06-02
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DE2
        
          
          
        
        3290000.00000000
        PA
        USD
        3290336.96000000
        0.387546825333
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-04
          Fixed
          1.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KDB2
        
          
        
        370000.00000000
        PA
        USD
        377082.76000000
        0.044414061022
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          2.34967000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377REH3
        
          
        
        940000.00000000
        PA
        USD
        927687.41000000
        0.109266107094
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-08-20
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHROP GRUMMAN CORP
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BG6
        
          
          
        
        770000.00000000
        PA
        USD
        800621.54000000
        0.094299866516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXS8
        
          
          
        
        4530000.00000000
        PA
        USD
        4434551.72000000
        0.522316243520
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-12
          Fixed
          0.85500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGNOLIA FINANCE X DAC 2019-1
        213800FNSN9L4EI3LC40
        Credit Suisse European Mortgage Capital Ltd
        55960WAB7
        
          
        
        965000.00000000
        PA
        USD
        935397.87000000
        0.110174270705
        Long
        ABS-O
        CORP
        IE
        
        N
        
        2
        
          2024-08-09
          Floating
          3.03163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272BD9
        
          
          
        
        1320000.00000000
        PA
        USD
        1297274.60000000
        0.152797314964
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-04-27
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AU1
        
          
          
        
        1410000.00000000
        PA
        USD
        1403797.95000000
        0.165343989246
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hildene Community Funding CLO
        549300845E8YWIPN4S43
        Hildene Community Funding CDO Ltd
        43133KAC9
        
          
        
        530000.00000000
        PA
        USD
        530000.00000000
        0.062425161897
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-11-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0HW2
        
          
          
        
        252130.00000000
        PA
        USD
        264207.33000000
        0.031119217641
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-07-25
          Floating
          5.63925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MCC2
        
          
          
        
        200000.00000000
        PA
        USD
        197978.74000000
        0.023318594145
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-01-12
          Fixed
          0.50800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Credit Floorplan Master O
        5493001DTG5N7T8BG747
        Ford Credit Floorplan Master Owner Trust A
        34528PAK2
        
          
        
        670000.00000000
        PA
        USD
        756584.97000000
        0.089113092909
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31351DCS8
        
          
        
        3808.51000000
        PA
        USD
        3818.72000000
        0.000449781536
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Variable
          1.11300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Parliament Funding II Ltd
        N/A
        Parliament Funding II ltd
        70163QAA6
        
          
        
        1500000.00000000
        PA
        USD
        1505156.76000000
        0.177282366839
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-08-12
          Floating
          2.58150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBE2
        
          
          
        
        650000.00000000
        PA
        USD
        694024.34000000
        0.081744493935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greywolf CLO Ltd
        549300RJBZLY8V18YD77
        Greywolf CLO V Ltd
        39808PAL0
        
          
        
        300000.00000000
        PA
        USD
        300234.62000000
        0.035362631624
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-27
          Floating
          1.28388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBC8
        
          
          
        
        1400000.00000000
        PA
        USD
        1417172.40000000
        0.166919276428
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-16
          Floating
          1.53500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUKOIL CAPITAL DAC
        984500BEC55D7EHC4M56
        Lukoil Capital DAC
        549875AA0
        
          
          
        
        1720000.00000000
        PA
        USD
        1702409.56000000
        0.200515457357
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2027-04-26
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAZZ FINANCING LUX SARL
        635400WUEO2NSG5OIU34
        Jazz Financing Lux Sarl
        000000000
        
          
          
        
        498750.00000000
        PA
        USD
        498440.78000000
        0.058708012052
        Long
        LON
        CORP
        LU
        
        N
        
        2
        
          2028-05-05
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoldenTree Loan Management US
        5493007PBV0WMI12LF68
        Goldentree Loan Management US Clo 10 Ltd
        38138TAC5
        
          
        
        1330000.00000000
        PA
        USD
        1331892.92000000
        0.156874775776
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2034-07-20
          Floating
          1.23150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        59022CAA1
        
          
          
        
        200000.00000000
        PA
        USD
        199038.50000000
        0.023443416200
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Floating
          0.87600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XXXV Ltd
        55819MAN6
        
          
        
        760000.00000000
        PA
        USD
        760641.70000000
        0.089590908054
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-20
          Floating
          1.12150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300Y2YE54ON4DJE28
        Neuberger Berman Loan Advisers Clo 40 Ltd
        64134JAA1
        
          
          
        
        800000.00000000
        PA
        USD
        801300.53000000
        0.094379840215
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-16
          Floating
          1.18225000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAL6
        
          
          
        
        250000.00000000
        PA
        USD
        246555.87000000
        0.029040170003
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABPCI Direct Lending Fund CLO
        N/A
        ABPCI Direct Lending Fund IX LLC
        000806AJ8
        
          
        
        2310000.00000000
        PA
        USD
        2310000.00000000
        0.272079479215
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-11-18
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CMFT Net Lease Master Issuer L
        N/A
        CMFT Net Lease Master Issuer LLC
        12575AAA5
        
          
        
        1062457.38000000
        PA
        USD
        1047771.67000000
        0.123410030437
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-20
          Fixed
          2.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIG GLOBAL FUNDING
        54930057MDZ7KOVOTV71
        AIG Global Funding
        00138CAM0
        
          
          
        
        650000.00000000
        PA
        USD
        650567.11000000
        0.076625956919
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-07
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMJ8
        
          
          
        
        1650000.00000000
        PA
        USD
        1639845.90000000
        0.193146501500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-25
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BN99
        
          
        
        331312.83000000
        PA
        USD
        331650.77000000
        0.039062930209
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-03-20
          Floating
          0.47525000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investo
        N/A
        Merrill Lynch Mortgage Investors Trust Series 2004-WMC5
        59020UMF9
        
          
          
        
        490007.93000000
        PA
        USD
        489480.19000000
        0.057652603974
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          1.02163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cutwater Ltd
        N/A
        Cutwater 2015-I Ltd
        23222LAN7
        
          
        
        449612.89000000
        PA
        USD
        449858.95000000
        0.052985882613
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-01-15
          Floating
          1.34375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPRINT CAPITAL CORP
        549300L17W0GQBR1PO80
        Sprint Capital Corp
        852060AD4
        
          
          
        
        480000.00000000
        PA
        USD
        593356.80000000
        0.069887536421
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM3
        12660LAC3
        
          
        
        804404.93000000
        PA
        USD
        802766.44000000
        0.094552499968
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-04-25
          Variable
          1.63200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoodLeap Sustainable Home Impr
        N/A
        GoodLeap Sustainable Home Solutions Trust 2021-5
        38237HAA5
        
          
        
        1000000.00000000
        PA
        USD
        1003571.00000000
        0.118203928586
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-10-20
          Fixed
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AG2
        
          
          
        
        300000.00000000
        PA
        USD
        301650.00000000
        0.035529339785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Variable
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GILEAD SCIENCES INC
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558AW3
        
          
          
        
        720000.00000000
        PA
        USD
        758273.10000000
        0.089311926472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-SOAR
        05608WAA2
        
          
        
        1100000.00000000
        PA
        USD
        1095321.70000000
        0.129010631043
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          0.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HONDA FINANCE
        B6Q2VFHD1797Q7NZ3E43
        American Honda Finance Corp
        02665WCZ2
        
          
          
        
        1400000.00000000
        PA
        USD
        1445370.16000000
        0.170240502340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-27
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US BANK NA CINCINNATI
        6BYL5QZYBDK8S7L73M02
        US Bank NA/Cincinnati OH
        90331HPJ6
        
          
          
        
        1000000.00000000
        PA
        USD
        1001088.17000000
        0.117911492615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-01-21
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM7
        12662QAA4
        
          
        
        731403.06000000
        PA
        USD
        728874.60000000
        0.085849273411
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.75600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456BAF8
        
          
          
        
        1690000.00000000
        PA
        USD
        1832223.54000000
        0.215805379467
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Equity Loan T
        N/A
        CWABS Revolving Home Equity Loan Trust Series 2004-B
        1266715W2
        
          
        
        554900.78000000
        PA
        USD
        550507.63000000
        0.064840618733
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-02-15
          Floating
          0.30950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XB4B3
        
          
        
        883922.19000000
        PA
        USD
        929342.09000000
        0.109461000805
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NAM1
        
          
          
        
        1400000.00000000
        PA
        USD
        1509690.00000000
        0.177816306916
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-03-17
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAD4
        
          
          
        
        500000.00000000
        PA
        USD
        535332.65000000
        0.063053259142
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-14
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Auto Loan Extended Note
        549300XP7ILZSI1BWP36
        Toyota Auto Loan Extended Note Trust 2020-1
        89237JAA4
        
          
        
        1110000.00000000
        PA
        USD
        1111372.96000000
        0.130901201805
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-05-25
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENESEE & WYOMING INC
        G617XSG94Z7G0RMW3L02
        Genesee & Wyoming Inc
        55316HAB1
        
          
          
        
        497474.74370000
        PA
        USD
        493713.83000000
        0.058151256167
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-12-30
          Floating
          2.09400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -306732.09000000
        -0.03612792524
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2024-06-04
            0.00000000
            USD
            0.00000000
            USD
            47152000.00000000
            USD
            -306732.09000000
          
        
        
          N
          N
          N
        
      
      
        Symphony CLO Ltd
        549300JQYSBIW1AM8R32
        Symphony CLO XVIII Ltd
        87154GAY1
        
          
        
        1060000.00000000
        PA
        USD
        1060052.04000000
        0.124856453240
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-07-23
          Floating
          1.72868000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        549300ZUZB9UCBWEBN39
        Navient Private Education Refi Loan Trust 2019-A
        63941BAB1
        
          
        
        98849.44000000
        PA
        USD
        100907.76000000
        0.011885251424
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        54930051VPU2HCJB6841
        SLM Student Loan Trust 2006-10
        78443BAG1
        
          
          
        
        1288009.82000000
        PA
        USD
        1267805.71000000
        0.149326371135
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-03-25
          Floating
          0.27388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13645RBE3
        
          
          
        
        1520000.00000000
        PA
        USD
        1521754.10000000
        0.179237256719
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-12-02
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL
        NQQ6HPCNCCU6TUTQYE16
        Bank of Montreal
        06367WB85
        
          
          
        
        650000.00000000
        PA
        USD
        661579.54000000
        0.077923037533
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-05-01
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Small Business Administration
        N/A
        SBA Small Business Investment Cos
        831641FH3
        
          
        
        63993.44000000
        PA
        USD
        66300.86000000
        0.007809135697
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-03-10
          Fixed
          2.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 MONTH EURODOLLAR
        000000000
        
          
          
        
        169.00000000
        NC
        USD
        -13029.90000000
        -0.00153470493
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2022-03-14
            42144729.90000000
            USD
            -13029.90000000
          
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAF6
        
          
          
        
        560000.00000000
        PA
        USD
        584511.20000000
        0.068845672247
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377REK6
        
          
        
        940000.00000000
        PA
        USD
        928741.81000000
        0.109390297831
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-08-20
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AF4
        
          
          
        
        1020000.00000000
        PA
        USD
        1049865.60000000
        0.123656660473
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital One Multi-Asset Execut
        R42WS16M9R97TJJKGU15
        Capital One Multi-Asset Execution Trust
        14041NFP1
        
          
        
        900000.00000000
        PA
        USD
        911242.98000000
        0.107329227462
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-07-15
          Floating
          0.66925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        N/A
        Commonbond Student Loan Trust 2021-B-GS
        20268AAA0
        
          
        
        1453045.22000000
        PA
        USD
        1430993.52000000
        0.168547173888
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-09-25
          Fixed
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME SECURITY SERVICES BOR
        549300O6QPZVWXV2DC15
        Prime Security Services Borrower LLC
        03765VAK6
        
          
          
        
        566245.81190000
        PA
        USD
        564238.47000000
        0.066457882714
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-09-23
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CL2
        
          
          
        
        820000.00000000
        PA
        USD
        884157.64000000
        0.104139026076
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-20
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitebox CLO I Ltd
        549300E4AC0513DYO913
        Whitebox Clo I Ltd
        96467FAJ9
        
          
        
        1040000.00000000
        PA
        USD
        1042637.57000000
        0.122805319071
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-24
          Floating
          1.25388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
          
        
        3000000.00000000
        PA
        USD
        3046984.50000000
        0.358883963609
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.21900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHN DEERE CAPITAL CORP
        E0KSF7PFQ210NWI8Z391
        John Deere Capital Corp
        24422EVR7
        
          
          
        
        1140000.00000000
        PA
        USD
        1121178.03000000
        0.132056075545
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-17
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-AFC1 Trust
        12657LAA2
        
          
        
        594711.39000000
        PA
        USD
        589384.98000000
        0.069419722257
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-03-25
          Variable
          0.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBC2
        
          
          
        
        1850000.00000000
        PA
        USD
        1943455.38000000
        0.228906635354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 MONTH EURODOLLAR
        000000000
        
          
          
        
        665.00000000
        NC
        USD
        -432790.50000000
        -0.05097550383
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2023-12-18
            164089290.50000000
            USD
            -432790.50000000
          
        
        
          N
          N
          N
        
      
      
        CAMB Commercial Mortgage Trust
        N/A
        CAMB Commercial Mortgage Trust 2019-LIFE
        12482HAA2
        
          
        
        990000.00000000
        PA
        USD
        989924.76000000
        0.116596629075
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Floating
          1.15900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        5493000NQN5E3MSIIG77
        SLM Student Loan Trust 2003-10
        78442GJH0
        
          
          
        
        860000.00000000
        PA
        USD
        860807.37000000
        0.101388753651
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-12-17
          Floating
          0.78600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VAZ6
        
          
          
        
        1190000.00000000
        PA
        USD
        1222367.11000000
        0.143974461774
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MEY6
        
          
          
        
        910000.00000000
        PA
        USD
        983961.01000000
        0.115894198774
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAQ3
        
          
          
        
        520000.00000000
        PA
        USD
        534071.03000000
        0.062904661344
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        549300RCJSGOC0A85G53
        New Residential Mortgage Loan Trust 2015-1
        64829CAD0
        
          
        
        201646.39000000
        PA
        USD
        210126.00000000
        0.024749338809
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-28
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAP0
        
          
          
        
        220000.00000000
        PA
        USD
        207317.00000000
        0.024418485451
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2029-03-08
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICHAELS COS INC/THE
        549300H9LWMBP7HYLR98
        Michaels Cos Inc/The
        59408UAB3
        
          
          
        
        398750.00000000
        PA
        USD
        396732.33000000
        0.046728452698
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-04-15
          Floating
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDJ8
        
          
          
        
        640000.00000000
        PA
        USD
        668678.02000000
        0.078759120105
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2019-UVIL
        12656DAA1
        
          
        
        1480000.00000000
        PA
        USD
        1560188.62000000
        0.183764202254
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-15
          Fixed
          3.15950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31288QMX5
        
          
        
        6765624.60000000
        PA
        USD
        6895364.25000000
        0.812158923870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-01
          Floating
          1.78200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08579JBG6
        
          
          
        
        23742.59000000
        PA
        USD
        23534.84000000
        0.002772011692
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-07-01
          Floating
          1.84400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ballyrock Ltd
        N/A
        Ballyrock CLO 2019-2 Ltd
        05875MAN2
        
          
        
        540000.00000000
        PA
        USD
        540333.23000000
        0.063642244078
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-11-20
          Floating
          1.35963000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust
        92922FJ25
        
          
          
        
        972760.98000000
        PA
        USD
        963156.23000000
        0.113443742624
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-04-25
          Floating
          0.55200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        Renaissance Home Equity Loan Trust 2003-2
        759950AW8
        
          
        
        227125.27000000
        PA
        USD
        224239.26000000
        0.026411645489
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          0.97163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711X3H5
        
          
          
        
        394283.47000000
        PA
        USD
        397056.86000000
        0.046766676921
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-03-25
          Floating
          2.09200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBC4
        
          
          
        
        500000.00000000
        PA
        USD
        550242.36000000
        0.064809374351
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        Bear Stearns Asset Backed Securities Trust 2003-AC5
        07384YMC7
        
          
        
        210719.99000000
        PA
        USD
        211239.50000000
        0.024880490541
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          1.19200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHN DEERE CAPITAL CORP
        E0KSF7PFQ210NWI8Z391
        John Deere Capital Corp
        24422EUG2
        
          
          
        
        635000.00000000
        PA
        USD
        639256.93000000
        0.075293806320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-07
          Floating
          0.66550000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 10 Year US Treasury Note
        000000000
        
          
          
        
        81.00000000
        NC
        USD
        148289.73000000
        0.017466057364
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-03-22
            10447522.77000000
            USD
            148289.73000000
          
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2019-D
        63941CAC7
        
          
        
        1028774.22000000
        PA
        USD
        1038004.38000000
        0.122259606551
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-12-15
          Floating
          1.13950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tharaldson Hotel Portfolio Tru
        N/A
        Tharaldson Hotel Portfolio Trust 2018-THPT
        88327HAA1
        
          
        
        291628.89000000
        PA
        USD
        291584.59000000
        0.034343802335
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-11
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BA9
        
          
          
        
        1000000.00000000
        PA
        USD
        1019630.88000000
        0.120095514641
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZX9
        
          
          
        
        700000.00000000
        PA
        USD
        804741.00000000
        0.094785070209
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CT0
        
          
          
        
        850000.00000000
        PA
        USD
        932174.70000000
        0.109794635027
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Grippen Park CLO LTD
        549300P7KR0IARP7PG22
        Grippen Park CLO Ltd
        39862EAA2
        
          
        
        500000.00000000
        PA
        USD
        500623.70000000
        0.058965123627
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-20
          Floating
          1.39150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICA MOVIL SAB DE CV
        5493000FNR3UCEAONM59
        America Movil SAB de CV
        02364WBD6
        
          
          
        
        1000000.00000000
        PA
        USD
        1013658.01000000
        0.119392010157
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2022-07-16
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AV7
        
          
          
        
        500000.00000000
        PA
        USD
        500549.06000000
        0.058956332279
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-A
        64035DAB2
        
          
        
        831328.48000000
        PA
        USD
        821387.79000000
        0.096745784474
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktree CLO Ltd
        635400SBDDFQR1OHEJ54
        Oaktree CLO 2015-1 Ltd
        67389XAF4
        
          
        
        156742.40000000
        PA
        USD
        156743.85000000
        0.018461811722
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-10-20
          Floating
          1.00150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCRED MML CLO 2021-1 LLC
        N/A
        BCRED MML CLO 2021-1 LLC
        05554LAG7
        
          
        
        1230000.00000000
        PA
        USD
        1230615.00000000
        0.144945925677
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2035-01-15
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        N/A
        SLM Student Loan Trust 2013-6
        78448CAG4
        
          
        
        1007737.12000000
        PA
        USD
        1012803.22000000
        0.119291330149
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-06-25
          Floating
          0.74200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAL8
        
          
          
        
        960000.00000000
        PA
        USD
        1015017.81000000
        0.119552171921
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        N/A
        Golub Capital Partners Clo 36m Ltd
        38175BAC8
        
          
        
        1480000.00000000
        PA
        USD
        1472600.00000000
        0.173447723416
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-05
          Floating
          1.78975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2021-NQM2 Trust
        670857AA9
        
          
        
        999481.68000000
        PA
        USD
        995867.25000000
        0.117296555302
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-05-25
          Variable
          1.10100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBH5
        
          
          
        
        3110000.00000000
        PA
        USD
        3347579.37000000
        0.394289026676
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        5493006EIGNTETP6G413
        CERBERUS LOAN FUNDING XXVII LP
        15673FAA8
        
          
        
        530000.00000000
        PA
        USD
        531269.35000000
        0.062574670160
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          1.92375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        3M COMPANY
        LUZQVYP4VS22CLWDAR65
        3M Co
        88579YBH3
        
          
          
        
        400000.00000000
        PA
        USD
        410010.08000000
        0.048292350233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-14
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YBJ7
        
          
          
        
        400000.00000000
        PA
        USD
        398888.25000000
        0.046982384123
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-09-08
          Fixed
          0.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES HOLDINGS
        98450079DA0B78DD6764
        United Airlines Holdings Inc
        910047AJ8
        
          
          
        
        800000.00000000
        PA
        USD
        810160.00000000
        0.095423338043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300T32RO3I7BJ4V26
        Midocean Credit Clo VIII
        59801MAL2
        
          
        
        1670000.00000000
        PA
        USD
        1669747.13000000
        0.196668367771
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-20
          Floating
          1.20963000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aegis Asset Backed Securities
        N/A
        Aegis Asset Backed Securities Trust 2005-5
        00764MHE0
        
          
          
        
        1700000.00000000
        PA
        USD
        1678696.28000000
        0.197722428408
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          0.73663000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT US LONG BOND
        000000000
        
          
          
        
        -35.00000000
        NC
        USD
        -87471.53000000
        -0.01030268758
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-03-22
            -5586903.47000000
            USD
            -87471.53000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHC6
        
          
          
        
        1820000.00000000
        PA
        USD
        1861431.23000000
        0.219245558291
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-20
          Fixed
          3.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        D.R. HORTON INC
        529900ZIUEYVSB8QDD25
        DR Horton Inc
        23331ABM0
        
          
          
        
        130000.00000000
        PA
        USD
        134850.43000000
        0.015883131933
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL DYNAMICS CORP
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BN7
        
          
          
        
        1180000.00000000
        PA
        USD
        1170513.61000000
        0.137866984166
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-AFC1 Trust
        12597MAA3
        
          
        
        759983.46000000
        PA
        USD
        763432.11000000
        0.089919571820
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FannieMae Grantor Trust
        N/A
        Fannie Mae Grantor Trust 2000-T6
        31358SR78
        
          
        
        104835.43000000
        PA
        USD
        107060.91000000
        0.012609989886
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-25
          Variable
          4.23766000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Springcastle SPV
        N/A
        SpringCastle America Funding LLC
        85022WAP9
        
          
        
        1974574.14000000
        PA
        USD
        1973496.61000000
        0.232444991291
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-09-25
          Fixed
          1.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCU8
        
          
          
        
        140000.00000000
        PA
        USD
        142440.80000000
        0.016777150945
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-08
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING C
        549300IPR6D6ZFC6NF33
        Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-1
        16678RCU9
        
          
          
        
        3007.30000000
        PA
        USD
        2855.86000000
        0.000336372684
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          0.29163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        N/A
        Hertz Vehicle Financing III LP
        42806MAE9
        
          
        
        1500000.00000000
        PA
        USD
        1499198.10000000
        0.176580536055
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-12-27
          Fixed
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA BRISTOL LLC
        N/A
        Virgin Media Bristol LLC
        000000000
        
          
          
        
        40000.00000000
        PA
        USD
        39525.00000000
        0.004655385894
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-01-31
          Floating
          2.59110000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SAU7
        
          
          
        
        1730000.00000000
        PA
        USD
        1790661.57000000
        0.210910072474
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-16
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREAT OUTDOORS GROUP LLC
        549300IYLDI2E8I2AU46
        Great Outdoors Group LLC
        07014QAM3
        
          
          
        
        497493.73720000
        PA
        USD
        498115.60000000
        0.058669711271
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-03-05
          Floating
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397B28
        
          
          
        
        1800000.00000000
        PA
        USD
        1840824.00000000
        0.216818370237
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-13
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XJ54
        
          
        
        320000.00000000
        PA
        USD
        322978.75000000
        0.038041510864
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          2.24200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31288QFQ8
        
          
        
        6572351.18000000
        PA
        USD
        6820398.02000000
        0.803329152088
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Floating
          3.28600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AX6
        
          
          
        
        2040000.00000000
        PA
        USD
        2024491.51000000
        0.238451340137
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-09-01
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHN DEERE CAPITAL CORP
        E0KSF7PFQ210NWI8Z391
        John Deere Capital Corp
        24422EVQ9
        
          
          
        
        2310000.00000000
        PA
        USD
        2281535.60000000
        0.268726847558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-07
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAL3
        
          
          
        
        40000.00000000
        PA
        USD
        43874.00000000
        0.005167625571
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWT7
        
          
          
        
        270000.00000000
        PA
        USD
        277448.69000000
        0.032678829040
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-23
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AP9
        
          
          
        
        230000.00000000
        PA
        USD
        240887.47000000
        0.028372527007
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          4.33300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARMACEUTICAL INDU
        5493004T21MOAFINJP35
        Teva Pharmaceutical Finance Netherlands III BV
        88167AAP6
        
          
          
        
        3080000.00000000
        PA
        USD
        3078182.80000000
        0.362558603097
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-05-09
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FannieMae Whole Loan
        N/A
        Fannie Mae Trust 2003-W6
        31393BW76
        
          
        
        426027.81000000
        PA
        USD
        442525.95000000
        0.052122177495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-25
          Variable
          3.15780000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2021-RPL1 Trust
        12598PAA5
        
          
        
        1654382.52000000
        PA
        USD
        1648289.43000000
        0.194141008532
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-09-25
          Variable
          1.66540000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Owl Rock CLO I LTD.
        N/A
        Owl Rock CLO I Ltd
        69122DAA7
        
          
        
        880000.00000000
        PA
        USD
        880240.22000000
        0.103677619325
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-05-20
          Floating
          1.95963000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCG4
        
          
          
        
        16560000.00000000
        PA
        USD
        16362703.17000000
        1.927253574481
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-06-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Enterprise Fleet Financing LLC
        N/A
        Enterprise Fleet Financing 2020-2 LLC
        29375MAB3
        
          
        
        2432412.87000000
        PA
        USD
        2431337.74000000
        0.286371041600
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-07-20
          Fixed
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMT Trust
        N/A
        IMT Trust 2017-APTS
        44974AAA5
        
          
        
        352056.19000000
        PA
        USD
        352207.86000000
        0.041484212607
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-15
          Floating
          0.78950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rad CLO Ltd
        N/A
        Rad CLO 15 Ltd
        750103AA1
        
          
        
        1710000.00000000
        PA
        USD
        1710000.00000000
        0.201409484614
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-20
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2005-9
        41161PSM6
        
          
          
        
        238385.17000000
        PA
        USD
        236816.02000000
        0.027892978091
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-20
          Floating
          0.99113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BrightSpire Capital, Inc
        N/A
        BRSP 2021-FL1 Ltd
        05591XAA9
        
          
        
        1250000.00000000
        PA
        USD
        1252773.69000000
        0.147555849848
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2038-08-19
          Floating
          1.23875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBR0
        
          
          
        
        1640000.00000000
        PA
        USD
        1624074.40000000
        0.191288881800
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLLAR GENERAL CORP
        OPX52SQVOZI8IVSWYU66
        Dollar General Corp
        256677AC9
        
          
          
        
        25000.00000000
        PA
        USD
        25677.23000000
        0.003024349509
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO I, Ltd.
        549300POBLM5RW6LD816
        Halsey Point CLO I Ltd
        406375AA3
        
          
        
        750000.00000000
        PA
        USD
        750548.97000000
        0.088402152763
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-20
          Floating
          1.48150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAM4
        
          
          
        
        2380000.00000000
        PA
        USD
        2344617.16000000
        0.276156803399
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZH Trust
        N/A
        ZH Trust 2021-2
        98879FAA6
        
          
        
        1460000.00000000
        PA
        USD
        1456588.56000000
        0.171561842786
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-10-17
          Fixed
          2.34940000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OHA Loan Funding Ltd
        N/A
        OHA Loan Funding 2013-2 Ltd
        67104LAE7
        
          
        
        760000.00000000
        PA
        USD
        759748.69000000
        0.089485726367
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-05-23
          Floating
          1.20400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R7
        03072SJ97
        
          
          
        
        34181.67000000
        PA
        USD
        34215.66000000
        0.004030034179
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          0.84163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EBAY INC
        OML71K8X303XQONU6T67
        eBay Inc
        278642AX1
        
          
          
        
        790000.00000000
        PA
        USD
        779755.39000000
        0.091842182002
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-10
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VONTIER CORP
        549300VVSQLG4P5K4639
        Vontier Corp
        928881AA9
        
          
          
        
        1530000.00000000
        PA
        USD
        1503232.65000000
        0.177055738767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTH CAROLINA ST EDU ASSISTAN
        N/A
        North Carolina State Education Assistance Authority
        658262GA2
        
          
          
        
        427128.62790000
        PA
        USD
        427621.11000000
        0.050366635891
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-10-25
          Floating
          1.02400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CQS US CLO 2021-1, Ltd.
        N/A
        CQS US CLO 2021-1 Ltd
        12659UAA0
        
          
        
        1000000.00000000
        PA
        USD
        999500.00000000
        0.117724432673
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-20
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023BQ7
        
          
          
        
        720000.00000000
        PA
        USD
        726791.51000000
        0.085603920146
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAY2
        
          
          
        
        2980000.00000000
        PA
        USD
        3149807.16000000
        0.370994758321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          4.02300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saranac CLO LTD
        5493000LWP4BVD5LGS13
        Saranac CLO III Ltd
        803169AS0
        
          
        
        1100000.00000000
        PA
        USD
        1094225.00000000
        0.128881458071
        Long
        ABS-CBDO
        CORP
        JE
        N
        
        2
        
          2030-06-22
          Floating
          1.97538000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jamestown CLO Ltd
        254900DHYESSX5WQUA23
        Jamestown CLO X Ltd
        47048HAN7
        
          
        
        1310000.00000000
        PA
        USD
        1310652.64000000
        0.154373024988
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-17
          Floating
          1.15225000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAE5
        
          
          
        
        400000.00000000
        PA
        USD
        410724.13000000
        0.048376453416
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-02-23
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AS8
        
          
          
        
        1560000.00000000
        PA
        USD
        1644042.80000000
        0.193640826334
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-08-16
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XCC22
        
          
        
        1639845.05000000
        PA
        USD
        1719034.25000000
        0.202473568612
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAG2
        
          
          
        
        900000.00000000
        PA
        USD
        904498.65000000
        0.106534857854
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400HK2
        
          
          
        
        1050000.00000000
        PA
        USD
        1044451.77000000
        0.123019001578
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          0.97500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        5493005RYHNVNU6C8029
        OZLM XII Ltd
        67109WAJ7
        
          
        
        284517.08000000
        PA
        USD
        284489.78000000
        0.033508152027
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-04-30
          Floating
          1.18163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TEL5
        
          
          
        
        660000.00000000
        PA
        USD
        674977.86000000
        0.079501136203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-11
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        3IFG42XD94UUZ7FL2766
        Morgan Stanley Capital I Inc
        62479WAA9
        
          
        
        2110000.00000000
        PA
        USD
        2105227.18000000
        0.247960655742
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-11-15
          Floating
          0.87790000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -2903.82000000
        -0.00034202157
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2028-08-15
            0.00000000
            USD
            -1041.78000000
            USD
            -709000.00000000
            USD
            -1862.04000000
          
        
        
          N
          N
          N
        
      
      
        Western Asset Premier Institutional Government Reserves
        549300WB3XRN9YTWFB76
        Western Asset Premier Institutional Government Reserves
        52470G494
        
          
          
        
        82178055.94000000
        NS
        USD
        82178055.94000000
        9.679204616062
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 MONTH EURODOLLAR
        000000000
        
          
          
        
        -29.00000000
        NC
        USD
        -2329.65000000
        -0.00027439392
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2021-12-13
            -7232989.10000000
            USD
            -2329.65000000
          
        
        
          N
          N
          N
        
      
      
        ASTRAZENECA FINANCE LLC
        549300C3HATU4Q460S18
        Astrazeneca Finance LLC
        04636NAA1
        
          
          
        
        2020000.00000000
        PA
        USD
        1995098.45000000
        0.234989327818
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-05-28
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AM9
        
          
          
        
        770000.00000000
        PA
        USD
        848486.78000000
        0.099937593603
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitehorse Ltd
        N/A
        Whitehorse XII Ltd
        96525YAC3
        
          
        
        300000.00000000
        PA
        USD
        299811.30000000
        0.035312771587
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-15
          Floating
          1.37375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prime Mortgage Trust
        N/A
        Prime Mortgage Trust 2006-DR1
        74159UAC1
        
          
        
        293460.55000000
        PA
        USD
        283642.24000000
        0.033408325949
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        5493004MLF21SFT7F415
        Midocean Credit Clo VII
        59801WAR7
        
          
        
        500000.00000000
        PA
        USD
        497137.88000000
        0.058554552159
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-15
          Floating
          1.72375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CATERPILLAR FINL SERVICE
        EDBQKYOPJUCJKLOJDE72
        Caterpillar Financial Services Corp
        14913R2F3
        
          
          
        
        140000.00000000
        PA
        USD
        139615.19000000
        0.016444341205
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-14
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aegis Asset Backed Securities
        N/A
        Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4
        00764MGH4
        
          
          
        
        560000.00000000
        PA
        USD
        552516.94000000
        0.065077281945
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.79663000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBP3
        
          
          
        
        1040000.00000000
        PA
        USD
        1045394.22000000
        0.123130006472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-21
          Floating
          0.80963000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCX7
        
          
          
        
        6960000.00000000
        PA
        USD
        6882515.64000000
        0.810645571872
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-09-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FannieMae Grantor Trust
        N/A
        Fannie Mae Grantor Trust 2004-T3
        31393YV77
        
          
        
        496444.50000000
        PA
        USD
        512124.60000000
        0.060319737862
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-25
          Variable
          3.30675000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        549300SDDOLWC85Q9Q65
        OZLM XXII Ltd
        67111VAC0
        
          
        
        249683.22000000
        PA
        USD
        249994.75000000
        0.029445212721
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-17
          Floating
          1.19225000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAP9
        
          
          
        
        83293.55000000
        PA
        USD
        86712.70000000
        0.010213310068
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Floating
          4.99200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCG Receivables Trust
        N/A
        CCG Receivables Trust 2021-2
        12511EAC0
        
          
        
        2590000.00000000
        PA
        USD
        2579937.33000000
        0.303873595305
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-03-14
          Fixed
          0.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        000000000
        
          
          
        
        37958.05360000
        PA
        USD
        37654.39000000
        0.004435059230
        Long
        LON
        CORP
        FR
        N
        
        2
        
          2026-01-31
          Floating
          3.81970000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASURION LLC
        549300KNQVXGIOXWK278
        Asurion LLC
        04649VAW0
        
          
          
        
        48740.56790000
        PA
        USD
        48353.32000000
        0.005695214772
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-11-03
          Floating
          3.09400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APACHE CORP
        72ZZ1XRHOOU9P9X16K08
        Apache Corp
        037411AZ8
        
          
          
        
        330000.00000000
        PA
        USD
        331216.05000000
        0.039011727442
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376R5Y8
        
          
        
        701990.07000000
        PA
        USD
        704207.31000000
        0.082943877993
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-07-20
          Floating
          0.57525000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA6
        35566CAA3
        
          
        
        152245.60000000
        PA
        USD
        152276.09000000
        0.017935584097
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-25
          Floating
          0.94967000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DNB BANK ASA
        549300GKFG0RYRRQ1414
        DNB Bank ASA
        23329PAG5
        
          
          
        
        1230000.00000000
        PA
        USD
        1214781.42000000
        0.143080993988
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2027-05-25
          Fixed
          1.53500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32
        61691GAQ3
        
          
        
        539792.32000000
        PA
        USD
        569981.29000000
        0.067134291145
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Fixed
          3.51400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CL0
        
          
          
        
        1500000.00000000
        PA
        USD
        1516227.98000000
        0.178586371935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-16
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-VIV4
        05608MAA4
        
          
        
        1070000.00000000
        PA
        USD
        1100175.39000000
        0.129582314786
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-09
          Fixed
          2.84300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2021-2R
        12657PAA3
        
          
        
        369722.58000000
        PA
        USD
        376232.95000000
        0.044313967575
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-07-25
          Floating
          1.83750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HONDA FINANCE
        B6Q2VFHD1797Q7NZ3E43
        American Honda Finance Corp
        02665WDM0
        
          
          
        
        1640000.00000000
        PA
        USD
        1639589.87000000
        0.193116345435
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-08
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2019-LTV3
        46651HBT3
        
          
        
        318405.08000000
        PA
        USD
        321515.77000000
        0.037869196216
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          4.45274200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAL4
        
          
          
        
        1910000.00000000
        PA
        USD
        1907629.69000000
        0.224686966489
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2023-09-02
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AE8
        
          
          
        
        750000.00000000
        PA
        USD
        756765.63000000
        0.089134371644
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-12-14
          Floating
          1.31575000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Money Management Corp
        549300ICO4ZE2FVC2Y46
        AMMC CLO 23 Ltd
        00177JAS4
        
          
        
        3120000.00000000
        PA
        USD
        3120273.85000000
        0.367516226890
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-17
          Floating
          1.16307400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -112.00000000
        NC
        USD
        -875.05000000
        -0.00010306629
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2021-12-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            122.25000000
            USD
            2021-11-26
            XXXX
            26321.85000000
          
        
        
          N
          N
          N
        
      
      
        Tryon Park CLO LTD
        549300XSFFA9X5E6Q356
        Tryon Park CLO Ltd
        89852TAM0
        
          
        
        973411.69000000
        PA
        USD
        973559.65000000
        0.114669092016
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-15
          Floating
          1.01375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR8
        92922FR75
        
          
          
        
        1231285.58000000
        PA
        USD
        1217604.77000000
        0.143413537537
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-07-25
          Floating
          0.67200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RRAM
        549300YH0VOGWM5JZF65
        RR 3 Ltd
        74988LAA2
        
          
        
        650000.00000000
        PA
        USD
        650406.25000000
        0.076607010293
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-15
          Floating
          1.21375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJD2
        
          
          
        
        5270000.00000000
        PA
        USD
        5222065.71000000
        0.615072259223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-19
          Fixed
          1.31900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIVISION COMMUNICATIONS
        549300YQDE2JSGTL8V47
        Univision Communications Inc
        914908BC1
        
          
          
        
        577171.82400000
        PA
        USD
        576632.17000000
        0.067917653901
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-03-24
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CV0
        
          
          
        
        403000.00000000
        PA
        USD
        416878.90000000
        0.049101382687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-09
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-ACNT
        05609QAA4
        
          
        
        2510000.00000000
        PA
        USD
        2507696.57000000
        0.295364838439
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-11-15
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCX5
        
          
          
        
        300000.00000000
        PA
        USD
        320857.03000000
        0.037791607629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AF1
        
          
          
        
        1800000.00000000
        PA
        USD
        1925091.00000000
        0.226743617628
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        549300X1SKS4LNS5LQ62
        CIFC Funding 2017-I Ltd
        12551AAL9
        
          
        
        245744.60000000
        PA
        USD
        245867.35000000
        0.028959073828
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-23
          Floating
          1.13950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2019-3R
        69349MAA4
        
          
        
        255232.41000000
        PA
        USD
        255510.87000000
        0.030094919672
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2022-10-27
          Floating
          2.79038000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -47.00000000
        NC
        USD
        -367.21000000
        -0.00004325121
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2021-12-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            122.50000000
            USD
            2021-11-26
            XXXX
            6528.07000000
          
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MBE9
        
          
          
        
        1200000.00000000
        PA
        USD
        1214328.89000000
        0.143027693501
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-10-16
          Floating
          0.92225000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MR9
        
          
          
        
        2260000.00000000
        PA
        USD
        2284761.85000000
        0.269106846008
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          1.67800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -50178.02000000
        -0.00591013400
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2026-11-20
            0.00000000
            USD
            -6316.61000000
            USD
            -9110000.00000000
            USD
            -43861.41000000
          
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CM5
        
          
          
        
        170000.00000000
        PA
        USD
        164627.15000000
        0.019390333002
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KKY4
        
          
        
        1540000.00000000
        PA
        USD
        1543878.03000000
        0.181843086742
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-10-25
          Floating
          1.54967000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON AND CO
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BV0
        
          
          
        
        186000.00000000
        PA
        USD
        195205.91000000
        0.022992001009
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-06
          Fixed
          3.36300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468V4
        
          
          
        
        8320000.00000000
        PA
        USD
        8051053.17000000
        0.948279806766
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-10
          Fixed
          0.98500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS INSTRUMENTS INC
        WDJNR2L6D8RWOEB8T652
        Texas Instruments Inc
        882508BH6
        
          
          
        
        10000.00000000
        PA
        USD
        10099.08000000
        0.001189503215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-12
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        N/A
        Cerberus Loan Funding XXVIII LP
        15673EAA1
        
          
        
        429000.00000000
        PA
        USD
        430196.91000000
        0.050670022178
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-10-15
          Floating
          1.97375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AA9
        
          
          
        
        950000.00000000
        PA
        USD
        978689.22000000
        0.115273269823
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-09-15
          Fixed
          3.04300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816BS7
        
          
          
        
        1400000.00000000
        PA
        USD
        1445645.61000000
        0.170272945757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-27
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        Qatar Energy
        74730DAB9
        
          
          
        
        2020000.00000000
        PA
        USD
        1982716.86000000
        0.233530982987
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2026-09-12
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBM0
        
          
          
        
        1000000.00000000
        PA
        USD
        1015348.83000000
        0.119591160557
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-21
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 9
        81743SAB6
        
          
        
        68352.45000000
        PA
        USD
        68976.13000000
        0.008124237891
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-20
          Variable
          1.63686300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAC7
        
          
          
        
        800000.00000000
        PA
        USD
        838653.38000000
        0.098779383061
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        06675GAQ8
        
          
          
        
        1000000.00000000
        PA
        USD
        1013317.78000000
        0.119351936736
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-07-20
          Floating
          1.09150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        N/A
        Commonbond Student Loan Trust 2021-A-GS
        20268WAA2
        
          
        
        652721.36000000
        PA
        USD
        641961.25000000
        0.075612330119
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-03-25
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAL7
        
          
          
        
        250000.00000000
        PA
        USD
        265611.59000000
        0.031284616052
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-07-09
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AT4
        
          
          
        
        1500000.00000000
        PA
        USD
        1460836.68000000
        0.172062200482
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BXMT Ltd
        N/A
        BXMT 2020-FL2 LTD
        12434LAA2
        
          
        
        940000.00000000
        PA
        USD
        938194.12000000
        0.110503622325
        Long
        ABS-MBS
        CORP
        KY
        N
        
        2
        
          2038-02-15
          Floating
          1.06215000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AK6
        
          
          
        
        1655000.00000000
        PA
        USD
        1660817.74000000
        0.195616634532
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-01-12
          Floating
          0.86113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON CORP
        N/A
        Chevron Corp
        166764BV1
        
          
          
        
        960000.00000000
        PA
        USD
        967102.95000000
        0.113908600425
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-11
          Fixed
          1.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XBX3
        
          
          
        
        200000.00000000
        PA
        USD
        200869.54000000
        0.023659082178
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-30
          Floating
          1.44150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Long Beach Mortgage Loan Trust
        N/A
        Long Beach Mortgage Loan Trust 2004-5
        542514HB3
        
          
        
        377444.67000000
        PA
        USD
        378231.57000000
        0.044549371683
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-25
          Floating
          0.65163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -50.00000000
        NC
        USD
        -390.65000000
        -0.00004601205
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2021-12-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            122.75000000
            USD
            2021-11-26
            XXXX
            8897.85000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AEFK7
        
          
        
        53039.27000000
        PA
        USD
        56696.70000000
        0.006677925804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO Residential Funding Trus
        N/A
        BRAVO Residential Funding Trust 2021-NQM2
        10569EAA9
        
          
        
        1028658.95000000
        PA
        USD
        1025988.96000000
        0.120844390440
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-03-25
          Variable
          0.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2019-RPL3
        64830NAA9
        
          
        
        945130.79000000
        PA
        USD
        964714.66000000
        0.113627299690
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076BV3
        
          
          
        
        500000.00000000
        PA
        USD
        503736.84000000
        0.059331799605
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAC7
        
          
          
        
        820000.00000000
        PA
        USD
        848077.94000000
        0.099889439069
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2019-HY2
        89177HAD4
        
          
        
        1260000.00000000
        PA
        USD
        1302253.34000000
        0.153383727512
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-05-25
          Floating
          1.99163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-VOLT
        05609VAA3
        
          
        
        1460000.00000000
        PA
        USD
        1454778.46000000
        0.171348643190
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-15
          Floating
          0.78951000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMMUNICATIONS OPER
        549300TPZNMN50BJ3745
        Charter Communications Operating LLC
        16117LBW8
        
          
          
        
        522826.02030000
        PA
        USD
        521027.50000000
        0.061368351020
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-04-30
          Floating
          1.84160000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHROP GRUMMAN CORP
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BM3
        
          
          
        
        160000.00000000
        PA
        USD
        167221.88000000
        0.019695948928
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AE4
        
          
          
        
        190000.00000000
        PA
        USD
        196830.50000000
        0.023183350620
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MQ1
        
          
          
        
        1770000.00000000
        PA
        USD
        1856583.69000000
        0.218674598915
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Fixed
          3.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2016-6
        63940LAC8
        
          
        
        1010000.00000000
        PA
        USD
        1049047.81000000
        0.123560338448
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-03-25
          Floating
          1.39200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade MH Asset Trust
        N/A
        Cascade MH Asset Trust 2021-MH1
        14731QAA7
        
          
        
        309939.04000000
        PA
        USD
        306127.47000000
        0.036056711087
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-25
          Fixed
          1.75300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AX2
        
          
          
        
        1650000.00000000
        PA
        USD
        1626773.94000000
        0.191606842595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          0.98300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BHMS Mortgage Trust
        N/A
        BHMS 2018-ATLS
        05549GAA9
        
          
          
        
        910000.00000000
        PA
        USD
        911605.60000000
        0.107371938051
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-15
          Floating
          1.33950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359N4G3
        
          
        
        10184.10000000
        PA
        USD
        10222.59000000
        0.001204050633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-03-25
          Variable
          0.60899100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        280 Park Avenue Mortgage Trust
        N/A
        280 Park Avenue 2017-280P Mortgage Trust
        90205FAA8
        
          
        
        500000.00000000
        PA
        USD
        499716.55000000
        0.058858276484
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-15
          Floating
          0.96950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan T
        N/A
        New Century Home Equity Loan Trust 2004-2
        64352VGB1
        
          
          
        
        480625.43000000
        PA
        USD
        481194.73000000
        0.056676714952
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Floating
          1.02163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners XX
        549300XIS9D4AHDX5A35
        Octagon Investment Partners XXI Ltd
        67590QBK2
        
          
        
        260000.00000000
        PA
        USD
        260234.15000000
        0.030651243292
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-14
          Floating
          1.15600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2021-R6
        12567RAA8
        
          
        
        1383645.49000000
        PA
        USD
        1368024.41000000
        0.161130462782
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-07-25
          Variable
          1.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        718172CN7
        
          
          
        
        200000.00000000
        PA
        USD
        201298.10000000
        0.023709559400
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XAU9
        
          
          
        
        2200000.00000000
        PA
        USD
        2315393.37000000
        0.272714728263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-08
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        N/A
        SMB Private Education Loan Trust 2021-C
        83208AAD5
        
          
        
        2970000.00000000
        PA
        USD
        2971724.38000000
        0.350019576486
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-01-15
          Floating
          0.88950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBJ9
        
          
          
        
        4710000.00000000
        PA
        USD
        4993779.29000000
        0.588183925775
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300001G5S0D8B8343
        Voya CLO 2016-3 Ltd
        92915HAL7
        
          
        
        250000.00000000
        PA
        USD
        250056.54000000
        0.029452490553
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-18
          Floating
          1.31225000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BM3
        
          
          
        
        300000.00000000
        PA
        USD
        328287.50000000
        0.038666793087
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        54930068MLVF3BECCK93
        Voya CLO 2018-3 Ltd
        92917KAA2
        
          
        
        1400000.00000000
        PA
        USD
        1401749.53000000
        0.165102719529
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-15
          Floating
          1.27375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USAA CAPITAL CORP
        5493007XLF4LU3U2W757
        USAA Capital Corp
        90327QD71
        
          
          
        
        1130000.00000000
        PA
        USD
        1119884.31000000
        0.131903696903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        549300XYKYPK3H877P92
        Carlyle Global Market Strategies CLO 2015-3 Ltd
        14311MAN6
        
          
        
        1010225.99000000
        PA
        USD
        1011488.77000000
        0.119136509858
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-07-28
          Floating
          1.13588000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-RPL4 Trust
        12662GAC2
        
          
        
        862906.46000000
        PA
        USD
        865558.17000000
        0.101948318668
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-12-27
          Variable
          1.79561000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -45.00000000
        NC
        USD
        -351.59000000
        -0.00004141143
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2021-12-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            122.00000000
            USD
            2021-11-26
            XXXX
            14336.20000000
          
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2021-NQM3
        64831TAA5
        
          
        
        1346274.15000000
        PA
        USD
        1344032.20000000
        0.158304580530
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-11-27
          Variable
          1.15612000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076AZ5
        
          
          
        
        140000.00000000
        PA
        USD
        143298.67000000
        0.016878193725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXLU4
        
          
        
        381485.45000000
        PA
        USD
        427933.19000000
        0.050403393711
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2059-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FNXD7
        
          
        
        1200000.00000000
        PA
        USD
        1203844.08000000
        0.141792757724
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-25
          Floating
          0.73750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HRW2
        
          
          
        
        4260000.00000000
        PA
        USD
        4299294.88000000
        0.506385243266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-24
          Floating
          1.35388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAT8
        
          
          
        
        6270000.00000000
        PA
        USD
        6079695.72000000
        0.716086772851
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-10-31
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAR5
        
          
          
        
        55975.88000000
        PA
        USD
        56791.70000000
        0.006689115220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Floating
          5.09200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HBC0
        
          
          
        
        600000.00000000
        PA
        USD
        615450.04000000
        0.072489751673
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-01-12
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2021-GS5
        52475XAA2
        
          
        
        1690000.00000000
        PA
        USD
        1702068.29000000
        0.200475261442
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-07-25
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0QQ5
        
          
        
        490000.00000000
        PA
        USD
        501374.22000000
        0.059053522367
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-03-25
          Floating
          2.59200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ocean Trails CLO
        635400RMMLHBGDGXBC03
        Ocean Trails Clo X
        67516CAN9
        
          
        
        795000.00000000
        PA
        USD
        796186.28000000
        0.093777466848
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2034-10-15
          Floating
          1.36100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300L7X3DWAOC00Z83
        SLM Student Loan Trust 2005-4
        78442GPG5
        
          
        
        358572.14000000
        PA
        USD
        357765.42000000
        0.042138800499
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-25
          Floating
          0.24388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP / CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAF6
        
          
          
        
        300000.00000000
        PA
        USD
        314857.94000000
        0.037085014866
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2024-01-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DF4
        
          
          
        
        250000.00000000
        PA
        USD
        263694.48000000
        0.031058812463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AH1
        
          
          
        
        650000.00000000
        PA
        USD
        636130.77000000
        0.074925596802
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-08-10
          Fixed
          1.49400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523BX7
        
          
          
        
        1770000.00000000
        PA
        USD
        1864996.98000000
        0.219665544180
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PFP III
        N/A
        PFP 2021-8 Ltd
        69357XAA9
        
          
        
        1440000.00000000
        PA
        USD
        1440144.00000000
        0.169624947842
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-09
          Floating
          1.08950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXJ8
        
          
          
        
        150000.00000000
        PA
        USD
        159157.89000000
        0.018746145378
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TIME WARNER ENT
        N/A
        Time Warner Entertainment Co LP
        88731EAF7
        
          
          
        
        590000.00000000
        PA
        USD
        646640.53000000
        0.076163471273
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          8.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BQ4
        
          
          
        
        2340000.00000000
        PA
        USD
        2269796.58000000
        0.267344186758
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-03
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        CGMS Commercial Mortgage Trust 2017-B1
        17326CAZ7
        
          
        
        330000.00000000
        PA
        USD
        356675.75000000
        0.042010455544
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-15
          Fixed
          3.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avenue of Americas
        N/A
        AOA 2021-1177 Mortgage Trust
        00192NAA5
        
          
        
        1890000.00000000
        PA
        USD
        1890639.20000000
        0.222685770095
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-10-15
          Floating
          0.96440000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AD9
        
          
          
        
        650000.00000000
        PA
        USD
        646726.78000000
        0.076173630085
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-13
          Floating
          2.22175000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KCAP Senior Funding I LLC
        5493006EPGSPYDWRRN21
        Great Lakes Kcap F3c Senior LLC
        48669RAA9
        
          
        
        2070000.00000000
        PA
        USD
        2069035.49000000
        0.243697878180
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2029-12-20
          Floating
          2.02200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48129AAA0
        
          
          
        
        1690000.00000000
        PA
        USD
        1707747.21000000
        0.201144143518
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-10
          Floating
          0.97113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DA0
        
          
          
        
        3320000.00000000
        PA
        USD
        3412461.50000000
        0.401931059637
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BKP6
        
          
        
        114692.98000000
        PA
        USD
        115013.08000000
        0.013546622904
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2061-02-20
          Floating
          0.57525000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        06406RAN7
        
          
          
        
        450000.00000000
        PA
        USD
        454870.22000000
        0.053576126652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-24
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners XI
        549300QEN35HTPJ3BX33
        Octagon Investment Partners XIV Ltd
        67590ABP6
        
          
        
        680000.00000000
        PA
        USD
        679716.59000000
        0.080059279576
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-15
          Floating
          1.07375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON USA INC
        VA8TZDWPEZYU430RZ444
        Chevron USA Inc
        166756AE6
        
          
          
        
        170000.00000000
        PA
        USD
        166524.46000000
        0.019613804482
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-12
          Fixed
          0.68700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT Trust
        N/A
        STWD Trust
        85236WCE4
        
          
        
        1880000.00000000
        PA
        USD
        1873959.18000000
        0.220721141889
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          0.92180000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MQCZ7
        
          
        
        91819.03000000
        PA
        USD
        94459.60000000
        0.011125765703
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-12-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FannieMae Whole Loan
        N/A
        Fannie Mae Trust 2003-W8
        31393CX24
        
          
          
        
        70991.97000000
        PA
        USD
        70977.65000000
        0.008359983570
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-25
          Floating
          0.49200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        John Deere Owner Trust
        N/A
        John Deere Owner Trust 2018-B
        47788EAD0
        
          
        
        722031.33000000
        PA
        USD
        730242.92000000
        0.086010438690
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-06-16
          Fixed
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        163155.98000000
        0.019217053709
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-11-18
            54310.63000000
            USD
            0.00000000
            USD
            8020000.00000000
            USD
            108845.35000000
          
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        SoFi Professional Loan Program 2020-C Trust
        83390UAF4
        
          
        
        813587.61000000
        PA
        USD
        821380.80000000
        0.096744961169
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-02-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-AFC1 Trust
        12657LAC8
        
          
        
        594711.39000000
        PA
        USD
        589148.82000000
        0.069391906548
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-03-25
          Variable
          1.16900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIT GROUP INC
        N8O96ZZJQRFYQUJY7K79
        CIT Group Inc
        125581GR3
        
          
          
        
        450000.00000000
        PA
        USD
        475359.75000000
        0.055989451610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEP5
        
          
          
        
        3290000.00000000
        PA
        USD
        3353845.25000000
        0.395027042852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Floating
          1.25600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYE8
        
          
          
        
        3000000.00000000
        PA
        USD
        2977467.54000000
        0.350696024963
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-10
          Fixed
          0.65700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EOG RESOURCES INC
        XWTZDRYZPBUHIQBKDB46
        EOG Resources Inc
        26875PAP6
        
          
          
        
        2300000.00000000
        PA
        USD
        2527200.00000000
        0.297662017261
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -42.00000000
        NC
        USD
        -16406.25000000
        -0.00193238266
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    US 5 YEAR TREASURY NOTE
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-03-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            121.50000000
            USD
            2021-12-23
            XXXX
            255.49000000
          
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        502431AJ8
        
          
          
        
        1390000.00000000
        PA
        USD
        1449715.47000000
        0.170752307397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        06406RAL1
        
          
          
        
        3140000.00000000
        PA
        USD
        3229219.80000000
        0.380348243054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-24
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFX7
        
          
          
        
        568000.00000000
        PA
        USD
        536666.48000000
        0.063210362073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-30
          Fixed
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAH8
        
          
          
        
        400000.00000000
        PA
        USD
        404095.43000000
        0.047595703094
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-04-12
          Floating
          1.24113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCS8
        
          
          
        
        1520000.00000000
        PA
        USD
        1658463.31000000
        0.195339321940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2N2
        
          
          
        
        4850000.00000000
        PA
        USD
        4954546.50000000
        0.583562957346
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-30
          Fixed
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-6
        89175JAC4
        
          
        
        960000.00000000
        PA
        USD
        997040.93000000
        0.117434795234
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-10-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OPG Trust
        N/A
        OPG Trust 2021-PORT
        67118AAA3
        
          
        
        1480000.00000000
        PA
        USD
        1470131.06000000
        0.173156923456
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          0.57400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JB4
        
          
          
        
        600000.00000000
        PA
        USD
        621590.86000000
        0.073213037867
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X9MD4
        
          
        
        1620911.69000000
        PA
        USD
        1708631.28000000
        0.201248272222
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300XVEYZNG956Y145
        Neuberger Berman CLO XVII Ltd
        64129UBU8
        
          
        
        750000.00000000
        PA
        USD
        751888.69000000
        0.088559949438
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-22
          Floating
          1.62825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -77.00000000
        NC
        USD
        -14437.50000000
        -0.00170049674
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    US 5 YEAR TREASURY NOTE
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-03-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            122.00000000
            USD
            2021-12-23
            XXXX
            7085.54000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHE2
        
          
          
        
        1800000.00000000
        PA
        USD
        1811496.98000000
        0.213364136328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-05
          Floating
          0.90550000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2019-AFC1 Trust
        12596XAA0
        
          
        
        194365.53000000
        PA
        USD
        196821.07000000
        0.023182239923
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          2.57300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLSTATE CORP
        OBT0W1ED8G0NWVOLOJ77
        Allstate Corp/The
        020002BF7
        
          
          
        
        1000000.00000000
        PA
        USD
        1003989.35000000
        0.118253203240
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-29
          Floating
          0.76175000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -1582.00000000
        NC
        USD
        -237460.41000000
        -0.02796887648
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-03-31
            -191814871.67000000
            USD
            -237460.41000000
          
        
        
          N
          N
          N
        
      
      
        Greywolf CLO Ltd
        5493006V5AX99BBCEZ73
        GREYWOLF CLO VI Ltd
        39809GAC9
        
          
        
        1017000.00000000
        PA
        USD
        1017943.48000000
        0.119896767060
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-26
          Floating
          1.75488000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746SJ1
        
          
          
        
        4110000.00000000
        PA
        USD
        4150195.27000000
        0.488823795543
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-31
          Floating
          1.35863000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECMC Group Student Loan Trust
        N/A
        ECMC Group Student Loan Trust 2016-1
        26827XAA1
        
          
          
        
        1951752.63000000
        PA
        USD
        2010932.50000000
        0.236854314864
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-07-26
          Floating
          1.44200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Asset Acceptance Corpor
        N/A
        Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-1
        65538PAE8
        
          
        
        293786.57000000
        PA
        USD
        307556.29000000
        0.036225002256
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-03-25
          Variable
          6.13800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mortgage Trust
        N/A
        New York Mortgage Trust 2005-2
        649603AD9
        
          
        
        128333.94000000
        PA
        USD
        126568.01000000
        0.014907600972
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Floating
          0.42163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MSG III Securitization Trust
        N/A
        MSG III Securitization Trust 2021-1
        55368MAA9
        
          
        
        1120000.00000000
        PA
        USD
        1121319.58000000
        0.132072747775
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-06-25
          Floating
          0.83600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AF5
        
          
          
        
        1650000.00000000
        PA
        USD
        1725533.29000000
        0.203239047148
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-30
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALMART INC
        Y87794H0US1R65VBXU25
        Walmart Inc
        931142ER0
        
          
          
        
        770000.00000000
        PA
        USD
        761725.06000000
        0.089718509796
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-17
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        5493002GUQ80FGGGNP40
        BlueMountain CLO XXX Ltd
        09630QAA9
        
          
        
        570000.00000000
        PA
        USD
        570951.99000000
        0.067248623418
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.51375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833CM0
        
          
          
        
        500000.00000000
        PA
        USD
        501151.84000000
        0.059027329712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-02-09
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAW1
        
          
          
        
        500000.00000000
        PA
        USD
        501269.86000000
        0.059041230500
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2024-06-22
          Fixed
          1.22600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHP0
        
          
          
        
        1560000.00000000
        PA
        USD
        1659353.67000000
        0.195444191501
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Variable
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAQ8
        
          
          
        
        800000.00000000
        PA
        USD
        785076.25000000
        0.092468890582
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-06-14
          Fixed
          1.67300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWM2
        
          
          
        
        1290000.00000000
        PA
        USD
        1306927.24000000
        0.153934234992
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-24
          Fixed
          2.90500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        549300ZVNWG0TX42H716
        Wells Fargo Commercial Mortgage Trust 2015-NXS3
        94989VAE9
        
          
        
        135950.07000000
        PA
        USD
        141988.56000000
        0.016723884614
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-09-15
          Fixed
          3.37100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PEB4
        
          
          
        
        2310000.00000000
        PA
        USD
        2288255.65000000
        0.269518357387
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Auto Loan Extended Note
        54930055QDKD6LCRW256
        Toyota Auto Loan Extended Note Trust 2021-1
        89237MAA7
        
          
        
        1310000.00000000
        PA
        USD
        1291522.19000000
        0.152119776991
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-02-27
          Fixed
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Asset Acceptance Corpor
        N/A
        Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A1
        65535VBC1
        
          
        
        317144.88000000
        PA
        USD
        236838.82000000
        0.027895663551
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-25
          Variable
          6.63467600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456BAN1
        
          
          
        
        1365000.00000000
        PA
        USD
        1379134.26000000
        0.162439017848
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Floating
          1.40375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622AANA8
        
          
        
        36622.88000000
        PA
        USD
        38581.94000000
        0.004544309152
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABB0
        
          
          
        
        3260000.00000000
        PA
        USD
        3450752.31000000
        0.406441078531
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        902674YH7
        
          
          
        
        800000.00000000
        PA
        USD
        787206.27000000
        0.092719771418
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-06-01
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380QYC0
        
          
        
        3879153.15000000
        PA
        USD
        3886703.92000000
        0.457788908406
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2070-04-20
          Floating
          0.42767000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        Impac CMB Trust Series 2005-7
        45254NQX8
        
          
          
        
        241356.07000000
        PA
        USD
        229182.62000000
        0.026993890863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          0.61163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON AND CO
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BU2
        
          
          
        
        1054000.00000000
        PA
        USD
        1058988.60000000
        0.124731197741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-06
          Floating
          1.14763000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VSE VOI Mortgage LLC
        549300E4XED7XGXU7L27
        VSE 2018-A VOI Mortgage LLC
        918286AA3
        
          
        
        1487473.92000000
        PA
        USD
        1540596.97000000
        0.181456632588
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-02-20
          Fixed
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2021-NQM2 Trust
        670857AC5
        
          
        
        1008249.06000000
        PA
        USD
        1003602.75000000
        0.118207668207
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-05-25
          Variable
          1.56300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Financial Acquisition
        N/A
        Bayview Financial Mortgage Pass-Through Trust 2006-A
        07325NDA7
        
          
        
        423621.31000000
        PA
        USD
        423830.79000000
        0.049920199402
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-02-28
          Floating
          1.06800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CUMBERLAND PARK CLO LTD
        549300FV0ALYM6MGQ903
        Cumberland Park CLO Ltd
        23076RAL5
        
          
        
        250000.00000000
        PA
        USD
        250203.56000000
        0.029469807057
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-07-20
          Floating
          1.53150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468W2
        
          
          
        
        2360000.00000000
        PA
        USD
        2351428.10000000
        0.276959018554
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          0.52900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AU4
        
          
          
        
        200000.00000000
        PA
        USD
        206516.90000000
        0.024324247013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OSCAR US Funding Trust
        N/A
        Oscar US Funding XIII LLC
        68785BAD5
        
          
        
        1500000.00000000
        PA
        USD
        1487930.45000000
        0.175253394781
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2028-09-11
          Fixed
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -38.00000000
        NC
        USD
        -296.89000000
        -0.00003496869
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2021-12-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            122.00000000
            USD
            2021-11-26
            XXXX
            12996.76000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2E0
        
          
          
        
        1090000.00000000
        PA
        USD
        1079255.78000000
        0.127118333576
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-02-02
          Fixed
          0.49500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRKCM Trust
        N/A
        PRKCM 2021-AFC1 Trust
        69357TAA8
        
          
        
        1445092.05000000
        PA
        USD
        1432255.73000000
        0.168695841178
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-08-25
          Variable
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        Option One Mortgage Loan Trust 2007-FXD1
        68402VAA0
        
          
        
        275754.42000000
        PA
        USD
        273553.29000000
        0.032220015879
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Variable
          5.86600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCH2
        
          
          
        
        9150000.00000000
        PA
        USD
        9099246.05000000
        1.071739448717
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-06-30
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZW3
        
          
          
        
        500000.00000000
        PA
        USD
        487226.56000000
        0.057387163941
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-06-30
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2021-GS2
        52476DAA5
        
          
        
        783437.70000000
        PA
        USD
        778944.29000000
        0.091746647948
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-04-25
          Variable
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        1011778 BC ULC
        549300RHSHNRWI5LLA86
        1011778 BC ULC
        000000000
        
          
          
        
        79617.06800000
        PA
        USD
        77958.25000000
        0.009182181844
        Long
        LON
        CORP
        CA
        N
        
        2
        
          2026-11-19
          Floating
          1.84340000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Credit Auto Owner Trust/F
        N/A
        Ford Credit Auto Owner Trust 2020-REV2
        34532JAA2
        
          
        
        1000000.00000000
        PA
        USD
        983783.80000000
        0.115873326391
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-04-15
          Fixed
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAV7
        
          
          
        
        1120000.00000000
        PA
        USD
        1123460.81000000
        0.132324948962
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-10-29
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AH0
        
          
          
        
        2880000.00000000
        PA
        USD
        2908634.57000000
        0.342588648932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-25
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2021-1
        63942NAB4
        
          
        
        824920.21000000
        PA
        USD
        827130.25000000
        0.097422150503
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-12-26
          Floating
          0.69163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-TMIC
        126390AA1
        
          
        
        310000.00000000
        PA
        USD
        312275.71000000
        0.036780871233
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-15
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582CF7
        
          
          
        
        480000.00000000
        PA
        USD
        497552.43000000
        0.058603379236
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-04-06
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBB6
        
          
          
        
        1470000.00000000
        PA
        USD
        1542501.18000000
        0.181680916772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        254900T94H3OWOGPUI54
        Wellfleet CLO 2020-2 Ltd
        94950AAN0
        
          
        
        1810000.00000000
        PA
        USD
        1810109.90000000
        0.213200761435
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-15
          Floating
          1.34375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCR0
        
          
          
        
        3180000.00000000
        PA
        USD
        3109443.75000000
        0.366240621710
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-07-31
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214ER0
        
          
          
        
        2640000.00000000
        PA
        USD
        2601211.43000000
        0.306379329525
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2026-06-03
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAV5
        
          
          
        
        3260000.00000000
        PA
        USD
        3739915.00000000
        0.440499621433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAM1
        
          
          
        
        1800000.00000000
        PA
        USD
        1801674.00000000
        0.212207153089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBJ8
        
          
          
        
        630000.00000000
        PA
        USD
        663762.38000000
        0.078180139685
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-06
          Fixed
          3.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REYNOLDS AMERICAN INC
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713AY2
        
          
          
        
        660000.00000000
        PA
        USD
        703811.43000000
        0.082897249930
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-09-15
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CS6
        
          
          
        
        490000.00000000
        PA
        USD
        484644.28000000
        0.057083014418
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-05-24
          Fixed
          0.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2015-12R
        12651DAE8
        
          
        
        738075.27000000
        PA
        USD
        738045.08000000
        0.086929403032
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-30
          Variable
          0.58600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BR9
        
          
          
        
        1750000.00000000
        PA
        USD
        1766612.80000000
        0.208077528398
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-18
          Floating
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZZ4
        
          
          
        
        700000.00000000
        PA
        USD
        810428.52000000
        0.095454965222
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGET CORP
        8WDDFXB5T1Z6J0XC1L66
        Target Corp
        87612EBL9
        
          
          
        
        90000.00000000
        PA
        USD
        92817.68000000
        0.010932374907
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2019-6
        64828GAD2
        
          
        
        956786.12000000
        PA
        USD
        997313.67000000
        0.117466919458
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-09-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        635400C9RW3TYNTIJP57
        AccessLex Institute
        00432CDJ7
        
          
          
        
        1142754.66000000
        PA
        USD
        1124007.66000000
        0.132389358773
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          0.48025000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deephaven Residential Mortgage
        N/A
        Deephaven Residential Mortgage Trust 2020-2
        24380NAB5
        
          
        
        320000.00000000
        PA
        USD
        322532.35000000
        0.037988932388
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Fixed
          2.59400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2019-HY1
        89177EAE9
        
          
        
        1460000.00000000
        PA
        USD
        1513736.76000000
        0.178292947762
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-10-25
          Floating
          2.24163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZT0
        
          
          
        
        2480000.00000000
        PA
        USD
        2418871.87000000
        0.284902769990
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-05-31
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        3M COMPANY
        LUZQVYP4VS22CLWDAR65
        3M Co
        88579YAX9
        
          
          
        
        1360000.00000000
        PA
        USD
        1388086.34000000
        0.163493423590
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        05530QAN0
        
          
          
        
        850000.00000000
        PA
        USD
        837837.17000000
        0.098683247134
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-25
          Fixed
          1.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGF5
        
          
          
        
        780000.00000000
        PA
        USD
        775369.25000000
        0.091325567852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-22
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        Option One Mortgage Loan Trust 2004-3
        68389FFT6
        
          
        
        623257.90000000
        PA
        USD
        623989.36000000
        0.073495541170
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Floating
          0.87163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-RPL3 Trust
        12661GAA7
        
          
        
        683731.57000000
        PA
        USD
        689735.08000000
        0.081239290633
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MKP78
        
          
        
        92570.81000000
        PA
        USD
        94727.41000000
        0.011157309255
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-12-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2021-7
        03464JAC5
        
          
        
        430000.00000000
        PA
        USD
        431298.47000000
        0.050799767577
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          2.33700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Parliament Funding II Ltd
        N/A
        Parliament Funding II ltd
        70163QAE8
        
          
        
        2290000.00000000
        PA
        USD
        2291145.00000000
        0.269858674635
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-20
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA - CP
        N/A
        BANCO SANTANDER SA - CP
        000000000
        
          
        
        12300000.00000000
        PA
        USD
        12277059.15000000
        1.446032839753
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM5 Trust
        22946DAA0
        
          
        
        1241339.02000000
        PA
        USD
        1226615.75000000
        0.144474880717
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-05-25
          Variable
          0.93800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        5493008SQ2WS8HE83M61
        SMB Private Education Loan Trust 2016-B
        78449GAC3
        
          
        
        184352.77000000
        PA
        USD
        186683.28000000
        0.021988177316
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-02-17
          Floating
          1.53925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK LIFE GLOBAL FDG
        635400DPNHEAUHB7ZI15
        New York Life Global Funding
        64952WDQ3
        
          
          
        
        390000.00000000
        PA
        USD
        386590.85000000
        0.045533955470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-24
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MX6
        
          
          
        
        2780000.00000000
        PA
        USD
        2762395.12000000
        0.325364080362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          0.98100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LN9
        
          
          
        
        2970000.00000000
        PA
        USD
        2981866.07000000
        0.351214098448
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-24
          Floating
          1.07388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XDK9
        
          
          
        
        1600000.00000000
        PA
        USD
        1571138.08000000
        0.185053866052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-10
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NTT FINANCE CORP
        3538007PR116187GD960
        NTT Finance Corp
        62954WAB1
        
          
          
        
        1560000.00000000
        PA
        USD
        1545752.52000000
        0.182063870405
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-03-01
          Fixed
          0.58300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBC4
        
          
          
        
        1700000.00000000
        PA
        USD
        1652785.15000000
        0.194670529379
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-12-31
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CATERPILLAR FINL SERVICE
        EDBQKYOPJUCJKLOJDE72
        Caterpillar Financial Services Corp
        14913R2L0
        
          
          
        
        4720000.00000000
        PA
        USD
        4659717.39000000
        0.548837004659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-17
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE
        7D6DIU2QXTUJRFNNJA49
        Nissan Motor Acceptance Co LLC
        654740BS7
        
          
          
        
        1100000.00000000
        PA
        USD
        1081395.56000000
        0.127370363978
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-09
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNRUN CALLISTO ISSUER LLC
        N/A
        Sunrun Atlas Issuer 2019-2 LLC
        86772FAA9
        
          
        
        569108.04000000
        PA
        USD
        599662.43000000
        0.070630234484
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-02-01
          Fixed
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL SECS CLEARING
        549300RYC9NELN2ICA34
        National Securities Clearing Corp
        637639AB1
        
          
          
        
        500000.00000000
        PA
        USD
        504435.37000000
        0.059414074791
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-23
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUWAIT INTL BOND
        549300FSC1YD0D9XX589
        Kuwait International Government Bond
        000000000
        
          
          
        
        1300000.00000000
        PA
        USD
        1309336.60000000
        0.154218017422
        Long
        DBT
        NUSS
        KW
        N
        
        2
        
          2022-03-20
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Honda Auto Receivables Owner T
        N/A
        Honda Auto Receivables 2019-2 Owner Trust
        43815MAD8
        
          
        
        2900000.00000000
        PA
        USD
        2951420.77000000
        0.347628149804
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-21
          Fixed
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329KUG7
        
          
        
        2785198.21000000
        PA
        USD
        2947738.17000000
        0.347194400933
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCAT
        N/A
        GCAT 2019-NQM2 Trust
        36167FAC3
        
          
        
        1580254.94000000
        PA
        USD
        1581016.94000000
        0.186217431024
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.55400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA3
        35564KEL9
        
          
        
        850000.00000000
        PA
        USD
        857375.45000000
        0.100984530704
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          2.14967000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCD1
        
          
          
        
        13670000.00000000
        PA
        USD
        13611795.74000000
        1.603242552436
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-05-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Pro
        N/A
        RAMP Series 2004-SL4 Trust
        76112BGP9
        
          
        
        7356.73000000
        PA
        USD
        4358.97000000
        0.000513413977
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-07-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AH6
        
          
          
        
        2020000.00000000
        PA
        USD
        2479800.78000000
        0.292079179558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          7.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R01
        20754RAB2
        
          
        
        1530000.00000000
        PA
        USD
        1539091.87000000
        0.181279356906
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-10-25
          Floating
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL DYNAMICS CORP
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BK3
        
          
          
        
        1010000.00000000
        PA
        USD
        1071548.42000000
        0.126210535094
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300L7X3DWAOC00Z83
        SLM Student Loan Trust 2005-4
        78442GPL4
        
          
        
        187136.29000000
        PA
        USD
        176629.11000000
        0.020803963750
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-07-25
          Floating
          0.30388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT LOYALTY KY LTD/IP
        N/A
        Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
        84859BAA9
        
          
          
        
        414000.00000000
        PA
        USD
        453280.32000000
        0.053388862945
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-09-20
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDR0
        
          
          
        
        300000.00000000
        PA
        USD
        310915.26000000
        0.036620632909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        718172CQ0
        
          
          
        
        1440000.00000000
        PA
        USD
        1449135.43000000
        0.170683988358
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-BXLP
        05607QAA6
        
          
        
        709784.86000000
        PA
        USD
        709788.83000000
        0.083601287973
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AU5
        
          
          
        
        130000.00000000
        PA
        USD
        128595.35000000
        0.015146387817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          2.26800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBK1
        
          
          
        
        3320000.00000000
        PA
        USD
        3378005.81000000
        0.397872753927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-22
          Fixed
          2.08300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAH6
        
          
          
        
        1190000.00000000
        PA
        USD
        1267767.44000000
        0.149321863567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR8
        92922FS25
        
          
          
        
        394633.32000000
        PA
        USD
        391974.44000000
        0.046168052597
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-07-25
          Floating
          0.81200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFE9
        
          
          
        
        1290000.00000000
        PA
        USD
        1332258.54000000
        0.156917839715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GVM3
        
          
          
        
        1310000.00000000
        PA
        USD
        1391598.25000000
        0.163907068024
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-03
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300WCW8E0MUEMAH47
        SLM Student Loan Trust 2005-5
        78442GPQ3
        
          
        
        483414.09000000
        PA
        USD
        481924.79000000
        0.056762703846
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-10-25
          Floating
          0.26388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM Ltd Partnership
        N/A
        LCM Loan Income Fund I Income Note Issuer Ltd
        50200JAC5
        
          
        
        920000.00000000
        PA
        USD
        920945.11000000
        0.108471976586
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-16
          Floating
          1.20225000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT Trust
        N/A
        SREIT Trust 2021-MFP
        78472UAA6
        
          
        
        2110000.00000000
        PA
        USD
        2101123.02000000
        0.247477254133
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          0.83080000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        78016EZT7
        
          
          
        
        3040000.00000000
        PA
        USD
        2982231.09000000
        0.351257091717
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-07-14
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COTERRA ENERGY INC
        FCNMH6O7VWU7LHXMK351
        Coterra Energy Inc
        127097AB9
        
          
          
        
        610000.00000000
        PA
        USD
        648684.02000000
        0.076404160319
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALE OVERSEAS LIMITED
        254900BA3U6G5DNV5V04
        Vale Overseas Ltd
        91911TAP8
        
          
          
        
        1000000.00000000
        PA
        USD
        1139430.00000000
        0.134205853247
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-08-10
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ReadyCap Commercial Mortgage T
        N/A
        Ready Capital Mortgage Financing 2021-FL6 LLC
        75575TAA1
        
          
        
        1290000.00000000
        PA
        USD
        1281251.48000000
        0.150910058624
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          1.04163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2E3
        
          
          
        
        450000.00000000
        PA
        USD
        465181.72000000
        0.054790649401
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCH7
        
          
          
        
        2290000.00000000
        PA
        USD
        2263375.15000000
        0.266587849385
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          0.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GM Financial Revolving Receiva
        N/A
        GM Financial Revolving Receivables Trust 2021-1
        36263HAA6
        
          
        
        5500000.00000000
        PA
        USD
        5424210.55000000
        0.638881550476
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-06-12
          Fixed
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitebox CLO III Ltd
        N/A
        Whitebox CLO III Ltd
        96467HAA4
        
          
        
        730000.00000000
        PA
        USD
        730001.89000000
        0.085982049375
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          1.34093000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        74977RDF8
        
          
          
        
        320000.00000000
        PA
        USD
        331977.18000000
        0.039101375864
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-07-22
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELP 2021-ELP
        N/A
        ELP Commercial Mortgage Trust 2021-ELP
        26863LAA2
        
          
        
        2720000.00000000
        PA
        USD
        2711250.30000000
        0.319340073440
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          0.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        N/A
        Voya CLO 2018-4 Ltd
        92917WBG2
        
          
        
        800000.00000000
        PA
        USD
        800088.11000000
        0.094237037357
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          1.16375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        5493004IHDYOZ9K9WF47
        Hertz Vehicle Financing LLC
        42806MAA7
        
          
        
        400000.00000000
        PA
        USD
        397553.44000000
        0.046825165764
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-26
          Fixed
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        N/A
        SMB Private Education Loan Trust 2021-C
        83208AAA1
        
          
        
        495583.19000000
        PA
        USD
        489476.96000000
        0.057652223534
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MMAF Equipment Finance LLC
        N/A
        MMAF Equipment Finance LLC 2019-A
        60700FAJ2
        
          
        
        900000.00000000
        PA
        USD
        941673.87000000
        0.110913478848
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-11-12
          Fixed
          3.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXSTAR BROADCASTING INC
        5493006PK6I4I2OOT688
        Nexstar Media Inc
        65336RAW8
        
          
          
        
        500000.00000000
        PA
        USD
        497232.50000000
        0.058565696817
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-09-19
          Floating
          2.84340000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BN4
        
          
          
        
        1880000.00000000
        PA
        USD
        1872307.83000000
        0.220526640397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-18
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BDS Ltd
        N/A
        BDS 2021-FL8
        05493JAA9
        
          
        
        1290000.00000000
        PA
        USD
        1283163.00000000
        0.151135203804
        Long
        ABS-MBS
        CORP
        KY
        N
        
        2
        
          2036-01-18
          Floating
          1.00875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2015-1
        63939FAB6
        
          
        
        1003327.27000000
        PA
        USD
        1000202.91000000
        0.117807223750
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-04-25
          Floating
          0.69163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJC4
        
          
          
        
        4050000.00000000
        PA
        USD
        4077765.42000000
        0.480292767028
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-19
          Fixed
          1.48600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GA GLOBAL FUNDING TRUST
        54930029I8ROQ4OROZ88
        GA Global Funding Trust
        36143L2A2
        
          
          
        
        1500000.00000000
        PA
        USD
        1499049.63000000
        0.176563048765
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174824M3
        
          
          
        
        1000000.00000000
        PA
        USD
        1038011.64000000
        0.122260461658
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DE7
        
          
          
        
        3050000.00000000
        PA
        USD
        3155205.11000000
        0.371630546816
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NVIDIA CORP
        549300S4KLFTLO7GSQ80
        NVIDIA Corp
        67066GAL8
        
          
          
        
        1500000.00000000
        PA
        USD
        1484280.66000000
        0.174823510382
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-14
          Fixed
          0.58400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BW5
        
          
          
        
        3240000.00000000
        PA
        USD
        3203004.32000000
        0.377260496671
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-12
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAB0
        
          
          
        
        154567.26000000
        PA
        USD
        160743.74000000
        0.018932932063
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-10-25
          Floating
          5.34200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        Structured Adjustable Rate Mortgage Loan Trust
        86359BKY6
        
          
        
        94124.35000000
        PA
        USD
        94562.38000000
        0.011137871473
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-03-25
          Variable
          2.88108000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VFH PARENT LLC
        549300FRO9M476YHHY64
        VFH Parent LLC
        91820UAQ3
        
          
          
        
        8229.46820000
        PA
        USD
        8219.72000000
        0.000968145946
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-03-01
          Floating
          3.09400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust
        9393366D0
        
          
        
        316267.60000000
        PA
        USD
        270132.00000000
        0.031817044969
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          0.49200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CR4
        
          
          
        
        730000.00000000
        PA
        USD
        718641.20000000
        0.084643949540
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833EH9
        
          
          
        
        3240000.00000000
        PA
        USD
        3167556.13000000
        0.373085291011
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-05
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL SECS CLEARING
        549300RYC9NELN2ICA34
        National Securities Clearing Corp
        637639AA3
        
          
          
        
        750000.00000000
        PA
        USD
        756149.43000000
        0.089061793559
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-23
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAF0
        
          
          
        
        840000.00000000
        PA
        USD
        849064.26000000
        0.100005611117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avery Point CLO Ltd
        N/A
        Avery Point VI CLO Ltd
        05363LBC6
        
          
        
        377612.60000000
        PA
        USD
        377613.12000000
        0.044476528586
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-08-05
          Floating
          1.03975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGJ2
        
          
          
        
        800000.00000000
        PA
        USD
        802571.84000000
        0.094529579333
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-24
          Floating
          1.12388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AP4
        
          
          
        
        400000.00000000
        PA
        USD
        407384.49000000
        0.047983099515
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-11-07
          Fixed
          2.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE -- CP
        N/A
        SOCIETE GENERALE -- CP
        000000000
        
          
        
        12275000.00000000
        PA
        USD
        12253518.01000000
        1.443260086025
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        N/A
        CIFC Funding 2021-IV Ltd
        12547DAA4
        
          
        
        830000.00000000
        PA
        USD
        829383.36000000
        0.097687529289
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-07-15
          Floating
          1.17375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89114TZD7
        
          
          
        
        3510000.00000000
        PA
        USD
        3461084.01000000
        0.407657980503
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-06-03
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitebox CLO I Ltd
        549300C89ZJ5IWOT1F21
        Whitebox Clo II Ltd
        96466CAL2
        
          
        
        1221000.00000000
        PA
        USD
        1221000.58000000
        0.143813507328
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-24
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        549300VC6J79YJCFU884
        Carlyle US Clo 2017-2 Ltd
        14315JAQ2
        
          
        
        1590000.00000000
        PA
        USD
        1590794.46000000
        0.187369059833
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          1.18425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        5493000EBJ0T2MCM3713
        Nelnet Student Loan Trust 2015-2
        64033QAB5
        
          
        
        498197.97000000
        PA
        USD
        497728.07000000
        0.058624066699
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-09-25
          Floating
          0.69200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAE9
        
          
          
        
        750000.00000000
        PA
        USD
        752718.75000000
        0.088657716664
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2021-NQM3 Trust
        67114JAA8
        
          
        
        1227087.51000000
        PA
        USD
        1216483.39000000
        0.143281457673
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-07-25
          Variable
          1.05400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBZ1
        
          
          
        
        2130000.00000000
        PA
        USD
        2208894.75000000
        0.260170966762
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNZ INTERNATIONAL FN CP
        N/A
        BNZ INTERNATIONAL FN CP
        000000000
        
          
        
        12500000.00000000
        PA
        USD
        12493772.88000000
        1.471558103302
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWN0
        
          
          
        
        3830000.00000000
        PA
        USD
        3845416.82000000
        0.452925976516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-24
          Floating
          1.12388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST BANK
        JJKC32MCHWDI71265Z06
        Truist Bank
        89788JAB5
        
          
          
        
        3240000.00000000
        PA
        USD
        3261872.49000000
        0.384194185431
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-09
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investo
        N/A
        Merrill Lynch Mortgage Investors Trust Series 2006-HE1
        59020U3E3
        
          
          
        
        81734.53000000
        PA
        USD
        81685.04000000
        0.009621135559
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.67663000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -117.00000000
        NC
        USD
        -45703.13000000
        -0.00538306658
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    US 5 YEAR TREASURY NOTE
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-03-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            121.50000000
            USD
            2021-12-23
            XXXX
            -13842.99000000
          
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AC4
        
          
          
        
        2585000.00000000
        PA
        USD
        2608010.77000000
        0.307180178394
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Floating
          1.01375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2019-AFC1 Trust
        12596XAC6
        
          
        
        427365.46000000
        PA
        USD
        432589.92000000
        0.050951878851
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          2.87700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW 2020-1 LLC
        N/A
        MVW 2020-1 LLC
        55400EAA7
        
          
        
        1228234.18000000
        PA
        USD
        1234520.04000000
        0.145405874270
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-20
          Fixed
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17313CAC3
        
          
        
        30776.66000000
        PA
        USD
        30783.90000000
        0.003625830078
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          0.34163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DN5
        
          
          
        
        510000.00000000
        PA
        USD
        498087.17000000
        0.058666362691
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-13
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        N/A
        Golub Capital Partners Clo 47M Ltd
        38176VAA7
        
          
        
        1220000.00000000
        PA
        USD
        1218484.02000000
        0.143517098525
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-05-05
          Floating
          1.81975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CORP
        5493006W3QUS5LMH6R84
        Toyota Motor Corp
        892331AL3
        
          
          
        
        1480000.00000000
        PA
        USD
        1468901.21000000
        0.173012067634
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-03-25
          Fixed
          0.68100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBG3
        
          
          
        
        1340000.00000000
        PA
        USD
        1468723.05000000
        0.172991083357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382YGG2
        
          
        
        4338432.98000000
        PA
        USD
        4288891.98000000
        0.505159955121
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2071-09-20
          Floating
          0.34767000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2017-3
        64828MAA5
        
          
        
        413531.76000000
        PA
        USD
        439698.23000000
        0.051789119233
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-04-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRIFOLS WORLDWIDE OPERAT
        N/A
        Grifols Worldwide Operations USA Inc
        39843PAG8
        
          
          
        
        497468.35720000
        PA
        USD
        488693.02000000
        0.057559888475
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2027-11-15
          Floating
          2.09110000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -42.00000000
        NC
        USD
        -11484.40000000
        -0.00135267081
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    US 5 YEAR TREASURY NOTE
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-03-31
                  0.00000000
                  USD
                
              
            
            100000.00000000
            121.75000000
            USD
            2021-12-23
            XXXX
            1239.84000000
          
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        549300YZ4ZMNDBNO4U12
        Navient Private Education Loan Trust 2015-A
        63939EAC7
        
          
        
        431771.51000000
        PA
        USD
        434089.35000000
        0.051128486701
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-15
          Floating
          1.28950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBH5
        
          
          
        
        1640000.00000000
        PA
        USD
        1686249.57000000
        0.198612080014
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-06
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582CA8
        
          
          
        
        1300000.00000000
        PA
        USD
        1306739.71000000
        0.153912147085
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2023-11-13
          Floating
          0.55600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SILVER ROCK CLO LTD
        N/A
        Silver Rock CLO I Ltd
        82811RAA5
        
          
        
        420000.00000000
        PA
        USD
        421277.70000000
        0.049619487974
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-20
          Floating
          1.78150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avery Point CLO Ltd
        549300ZZJXJNKXU40667
        Avery Point VII CLO Ltd
        05364CBE1
        
          
        
        899237.33000000
        PA
        USD
        900359.66000000
        0.106047353852
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-15
          Floating
          1.08375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MF1 Multifamily Housing Mortga
        N/A
        MF1 2021-FL7 Ltd
        55284AAA6
        
          
        
        1390000.00000000
        PA
        USD
        1390096.33000000
        0.163730166894
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-10-16
          Floating
          1.16913000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        549300WSX4P5CXVKVR97
        BLUEMOUNTAIN CLO 2012-2 Ltd
        09626RAW5
        
          
        
        371055.28000000
        PA
        USD
        370739.88000000
        0.043666975530
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-11-20
          Floating
          1.20963000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236THU2
        
          
          
        
        200000.00000000
        PA
        USD
        198129.85000000
        0.023336392383
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-11
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AS6
        
          
          
        
        1330000.00000000
        PA
        USD
        1320853.54000000
        0.155574520901
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRP LLC
        N/A
        TRP 2021 LLC
        87267CAA6
        
          
        
        923651.30000000
        PA
        USD
        915906.58000000
        0.107878521773
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-06-19
          Fixed
          2.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAB7
        
          
          
        
        1955000.00000000
        PA
        USD
        1902535.74000000
        0.224086984124
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-07-31
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOCKHEED MARTIN CORP
        DPRBOZP0K5RM2YE8UU08
        Lockheed Martin Corp
        539830BG3
        
          
          
        
        900000.00000000
        PA
        USD
        921858.19000000
        0.108579522184
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KREF 2021-FL2 Ltd
        54930083ELM2GCMVTQ91
        KREF 2021-FL2 Ltd
        48275RAA5
        
          
        
        1300000.00000000
        PA
        USD
        1302169.64000000
        0.153373869048
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2039-02-15
          Floating
          1.15888000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAJ9
        
          
          
        
        50000.00000000
        PA
        USD
        54748.28000000
        0.006448434420
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBL5
        
          
          
        
        1440000.00000000
        PA
        USD
        1458527.37000000
        0.171790202273
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          1.57100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAW0
        
          
          
        
        1130000.00000000
        PA
        USD
        1178213.31000000
        0.138773880428
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-28
          Fixed
          3.21600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        N/A
        SMB Private Education Loan Trust 2021-A
        78448YAJ0
        
          
        
        580340.92000000
        PA
        USD
        565462.26000000
        0.066602024769
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NESTLE HOLDINGS INC
        549300EAEU8YV8MQXP30
        Nestle Holdings Inc
        641062AD6
        
          
          
        
        500000.00000000
        PA
        USD
        523057.77000000
        0.061607482970
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-24
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLSTATE CORP
        OBT0W1ED8G0NWVOLOJ77
        Allstate Corp/The
        020002BH3
        
          
          
        
        200000.00000000
        PA
        USD
        195679.23000000
        0.023047750212
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        OHA Credit Funding 7 Ltd
        67098WAA9
        
          
        
        150000.00000000
        PA
        USD
        150267.07000000
        0.017698955042
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2032-10-19
          Floating
          1.37363000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNION PACIFIC CORP
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818DK1
        
          
          
        
        1040000.00000000
        PA
        USD
        1053517.72000000
        0.124086819308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          4.16300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MRCD Mortgage Trust
        N/A
        MRCD 2019-MARK Mortgage Trust
        55348UAG3
        
          
        
        1520000.00000000
        PA
        USD
        1547383.10000000
        0.182255925538
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Fixed
          2.71752000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HGI CRE CLO Ltd
        N/A
        HGI CRE CLO 2021-FL2 Ltd
        40390JAA0
        
          
        
        1440000.00000000
        PA
        USD
        1440705.32000000
        0.169691061977
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-09-17
          Floating
          1.08913000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Novastar Home Equity Loan
        N/A
        NovaStar Mortgage Funding Trust Series 2003-3
        66987XCQ6
        
          
        
        1277997.59000000
        PA
        USD
        1266932.56000000
        0.149223528626
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-12-25
          Floating
          0.80163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARBOR FREIGHT TOOLS
        549300Y48HLCFTTB4249
        Harbor Freight Tools USA Inc
        41151PAP0
        
          
          
        
        496240.60720000
        PA
        USD
        492645.34000000
        0.058025405863
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-10-19
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AQ1
        
          
          
        
        2390000.00000000
        PA
        USD
        2413573.86000000
        0.284278752760
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-06-05
          Fixed
          2.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CATERPILLAR FINL SERVICE
        EDBQKYOPJUCJKLOJDE72
        Caterpillar Financial Services Corp
        14913Q2M0
        
          
          
        
        500000.00000000
        PA
        USD
        503163.96000000
        0.059264323894
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Floating
          0.66600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Black Diamond CLO Ltd
        54930069GUF2V1O4MD77
        Black Diamond Clo 2017-1 Ltd
        09202VAY4
        
          
        
        940246.51000000
        PA
        USD
        940478.75000000
        0.110772713642
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-24
          Floating
          1.17388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2019-2R
        69345WAA6
        
          
        
        241207.81000000
        PA
        USD
        239168.01000000
        0.028170003292
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-05-27
          Floating
          2.84038000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGG3
        
          
          
        
        1510000.00000000
        PA
        USD
        1500251.09000000
        0.176704560718
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-20
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 MONTH EURODOLLAR
        000000000
        
          
          
        
        182.00000000
        NC
        USD
        -70932.20000000
        -0.00835463031
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2022-12-19
            45150057.20000000
            USD
            -70932.20000000
          
        
        
          N
          N
          N
        
      
      
        Ford Credit Floorplan Master O
        5493001DTG5N7T8BG747
        Ford Credit Floorplan Master Owner Trust A
        34528QHQ0
        
          
        
        850000.00000000
        PA
        USD
        837707.98000000
        0.098668030706
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEY BANK NA
        HUX2X73FUCYHUVH1BK78
        KeyBank NA/Cleveland OH
        49327M3A0
        
          
          
        
        1720000.00000000
        PA
        USD
        1715151.37000000
        0.202016230097
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-03
          Fixed
          0.42300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GILEAD SCIENCES INC
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558BW2
        
          
          
        
        728000.00000000
        PA
        USD
        725904.60000000
        0.085499456938
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-29
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2017-ASHF
        61691KAA9
        
          
        
        187606.51000000
        PA
        USD
        187444.70000000
        0.022077859895
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-15
          Floating
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AREIT CRE Trust
        N/A
        AREIT 2021-CRE5 Trust
        04002PAA2
        
          
        
        1090000.00000000
        PA
        USD
        1088611.34000000
        0.128220262534
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-07-17
          Floating
          1.16950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2010-3R Ltd
        12643HAL4
        
          
        
        75990.25000000
        PA
        USD
        76414.72000000
        0.009000379749
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2036-12-26
          Variable
          4.13598000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        5493009UJ1T6R11V4458
        BlueMountain CLO 2015-3 Ltd
        09628JAL5
        
          
        
        650000.00000000
        PA
        USD
        650765.51000000
        0.076649325130
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.13150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDD1
        
          
          
        
        1000000.00000000
        PA
        USD
        1016672.65000000
        0.119747084478
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA BANK ABP
        6SCPQ280AIY8EP3XFW53
        Nordea Bank Abp
        65559CAC5
        
          
          
        
        2680000.00000000
        PA
        USD
        2652875.72000000
        0.312464521351
        Long
        DBT
        CORP
        FI
        N
        
        2
        
          2024-05-24
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co
        N/A
        Sierra Timeshare 2018-2 Receivables Funding LLC
        82653DAA7
        
          
        
        1123872.44000000
        PA
        USD
        1153861.40000000
        0.135905631514
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        Onslow Bay Mortgage Loan Trust
        67115DAA0
        
          
        
        1110000.00000000
        PA
        USD
        1112519.59000000
        0.131036255698
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-10-25
          Variable
          1.95700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAM7
        
          
          
        
        330000.00000000
        PA
        USD
        315117.00000000
        0.037115527814
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-03-08
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLLAR TREE INC
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AF5
        
          
          
        
        800000.00000000
        PA
        USD
        831211.50000000
        0.097902853696
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-RPL6 Trust
        12657GAA3
        
          
        
        1138259.30000000
        PA
        USD
        1141565.94000000
        0.134457431361
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-10-25
          Variable
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 35
        549300EBYXJ9QVMC7X31
        OCTAGON INVESTMENT PARTNERS 35 LTD
        67591TAA8
        
          
        
        370000.00000000
        PA
        USD
        370365.50000000
        0.043622879809
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          1.19150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GEORGIA-PACIFIC LLC
        L2EVHWFHVAQK72TMH265
        Georgia-Pacific LLC
        37331NAN1
        
          
          
        
        1250000.00000000
        PA
        USD
        1210282.69000000
        0.142551118614
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2019-AFC1 Trust
        12596XAB8
        
          
        
        427365.46000000
        PA
        USD
        433252.21000000
        0.051029885569
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          2.77600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHK8
        
          
          
        
        1000000.00000000
        PA
        USD
        1012675.03000000
        0.119276231505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Floating
          1.08388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ACDW6
        
          
        
        27027.03000000
        PA
        USD
        27060.09000000
        0.003187227357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-15
          Floating
          0.43925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAG0
        
          
          
        
        1250000.00000000
        PA
        USD
        1323548.46000000
        0.155891937538
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON CORP
        N/A
        Chevron Corp
        166764AU4
        
          
          
        
        800000.00000000
        PA
        USD
        800732.66000000
        0.094312954599
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-03
          Floating
          0.64888000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSMC ARIZONA CORP
        2549005GOBWLCSY63Q97
        TSMC Arizona Corp
        872898AA9
        
          
          
        
        1090000.00000000
        PA
        USD
        1094979.52000000
        0.128970327945
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-10-25
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        21684AAA4
        
          
          
        
        1750000.00000000
        PA
        USD
        1873227.95000000
        0.220635015189
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2023-12-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMBAC ASSURANCE CORP
        549300RYYRVPPB8NC636
        Ambac Assurance Corp
        023138AA8
        
          
          
        
        1626.77000000
        PA
        USD
        2201.24000000
        0.000259269364
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RRL2
        
          
        
        2143858.07000000
        PA
        USD
        2186069.78000000
        0.257482565918
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-03-20
          Floating
          1.07525000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        Structured Asset Securities Corp
        86359DME4
        
          
          
        
        444631.42000000
        PA
        USD
        423347.18000000
        0.049863238208
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Variable
          3.39840000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPBT9
        
          
          
        
        700000.00000000
        PA
        USD
        721700.00000000
        0.085004225173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        3M COMPANY
        LUZQVYP4VS22CLWDAR65
        3M Co
        88579YBB6
        
          
          
        
        1240000.00000000
        PA
        USD
        1302161.92000000
        0.153372959761
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKYT6
        
          
        
        281195.14000000
        PA
        USD
        298453.42000000
        0.035152835966
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Floating
          2.44800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBH4
        
          
          
        
        190000.00000000
        PA
        USD
        200187.44000000
        0.023578742173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-19
          Fixed
          2.99200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        718172CD9
        
          
          
        
        500000.00000000
        PA
        USD
        508073.89000000
        0.059842631772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-02
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JM4
        
          
          
        
        400000.00000000
        PA
        USD
        426380.00000000
        0.050220453830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Halcyon Loan Advisors Funding
        5493006GMMSBMRMTK635
        Halcyon Loan Advisors Funding 2015-2 Ltd
        40538KAL6
        
          
        
        34146.20000000
        PA
        USD
        34146.17000000
        0.004021849415
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-07-25
          Floating
          1.20388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABPCI Direct Lending Fund CLO
        N/A
        ABPCI Direct Lending Fund CLO X LP
        000848AA9
        
          
        
        450000.00000000
        PA
        USD
        450342.25000000
        0.053042807293
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          2.08150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Novastar Home Equity Loan
        N/A
        NovaStar Mortgage Funding Trust Series 2003-1
        66987XCF0
        
          
        
        147439.00000000
        PA
        USD
        149803.41000000
        0.017644343626
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-25
          Floating
          1.51663000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
          
        
        500000.00000000
        PA
        USD
        534507.92000000
        0.062956119701
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAD6
        
          
          
        
        230227.43000000
        PA
        USD
        239698.89000000
        0.028232532103
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.49200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90351DAB3
        
          
          
        
        600000.00000000
        PA
        USD
        653795.95000000
        0.077006260428
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-24
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DCERT BUYER INC
        549300EF826JEEUCHZ67
        Dcert Buyer Inc
        24022KAB5
        
          
          
        
        497474.74360000
        PA
        USD
        496263.39000000
        0.058451551820
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-10-16
          Floating
          4.12360000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2016-4
        64829LAA6
        
          
        
        131840.88000000
        PA
        USD
        140030.97000000
        0.016493313156
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-11-25
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitizati
        N/A
        Residential Asset Securitization Trust 2003-A11
        45660NUU7
        
          
        
        47509.03000000
        PA
        USD
        47072.73000000
        0.005544382624
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-25
          Floating
          0.54200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCX2
        
          
          
        
        910000.00000000
        PA
        USD
        941033.93000000
        0.110838104588
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-20
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAG3
        
          
          
        
        750000.00000000
        PA
        USD
        760414.22000000
        0.089564114703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-08
          Floating
          1.36438000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2R3
        
          
          
        
        5860000.00000000
        PA
        USD
        5922675.57000000
        0.697592417596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-02
          Fixed
          1.65400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6PH8
        
          
        
        140520.66000000
        PA
        USD
        145419.74000000
        0.017128020401
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        549300VE70J453FXBE45
        Madison Park Funding X Ltd
        55818HBQ0
        
          
        
        597386.51000000
        PA
        USD
        597684.02000000
        0.070397210777
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-01-20
          Floating
          1.14150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corportation Trust 2021-IP
        36262MAA6
        
          
        
        1110000.00000000
        PA
        USD
        1112089.91000000
        0.130985646560
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        N/A
        Golub Capital Partners CLO 54M L.P
        381743AA1
        
          
        
        1040000.00000000
        PA
        USD
        1039932.64000000
        0.122486723424
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-08-05
          Floating
          1.65065000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAESARS RESORT COLLECTIO
        549300V3UCT773B1KR38
        Caesars Resort Collection LLC
        12769LAB5
        
          
          
        
        519072.27030000
        PA
        USD
        514595.27000000
        0.060610741588
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-12-22
          Floating
          2.87930000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CME ULTRA LONG TERM US TREASURY BOND
        000000000
        
          
          
        
        -5.00000000
        NC
        USD
        -42833.15000000
        -0.00504503079
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-03-22
            -959979.35000000
            USD
            -42833.15000000
          
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RDY7
        
          
        
        600000.00000000
        PA
        USD
        608439.72000000
        0.071664052879
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-20
          Fixed
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        2 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -685.00000000
        NC
        USD
        -236653.80000000
        -0.02787387128
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-03-31
            -149596393.76000000
            USD
            -236653.80000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        N/A
        SLM Student Loan Trust 2013-1
        78447MAC2
        
          
        
        931285.40000000
        PA
        USD
        921003.26000000
        0.108478825686
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-05-26
          Floating
          0.64200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KX8
        
          
          
        
        2050000.00000000
        PA
        USD
        2068296.68000000
        0.243610858683
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Floating
          1.54988000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust
        05609RAA2
        
          
        
        1930000.00000000
        PA
        USD
        1917807.61000000
        0.225885755742
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-10-15
          Floating
          0.72593000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage T
        N/A
        Ellington Financial Mortgage Trust 2021-2
        31572LAA4
        
          
        
        895343.35000000
        PA
        USD
        888037.17000000
        0.104595970016
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-06-25
          Variable
          0.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        254900AE5FEFIJOXWL19
        Level 3 Financing Inc
        52729KAP1
        
          
          
        
        41558.79000000
        PA
        USD
        40630.37000000
        0.004785580047
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-03-01
          Floating
          1.84930000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAC5
        
          
          
        
        6660000.00000000
        PA
        USD
        6660176.96000000
        0.784457783013
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-07-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        N/A
        Voya CLO 2018-2 Ltd
        92917JAA5
        
          
        
        1650000.00000000
        PA
        USD
        1649597.86000000
        0.194295119767
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          1.12375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HONEYWELL INTERNATIONAL
        ISRPG12PN4EIEOEMW547
        Honeywell International Inc
        438516CE4
        
          
          
        
        2530000.00000000
        PA
        USD
        2464574.25000000
        0.290285748237
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-4
        89173UAA5
        
          
        
        237869.52000000
        PA
        USD
        242671.34000000
        0.028582637146
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-06-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2014-11R
        12649FDY1
        
          
        
        555262.95000000
        PA
        USD
        556552.83000000
        0.065552642485
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-27
          Variable
          2.79134000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBH3
        
          
          
        
        3380000.00000000
        PA
        USD
        3282032.80000000
        0.386568733762
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-01-31
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac Residential Asset Back
        N/A
        Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C
        456606HV7
        
          
        
        798860.00000000
        PA
        USD
        798331.63000000
        0.094030153303
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.84163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 47
        N/A
        Octagon Investment Partners 47 Ltd
        67576XAL4
        
          
        
        750000.00000000
        PA
        USD
        751591.84000000
        0.088524985458
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.29150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2020-RPL1
        52474HAA8
        
          
        
        1333013.49000000
        PA
        USD
        1372946.04000000
        0.161710148724
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-09-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        5493007758ACJK074H95
        SLM Student Loan Trust 2006-2
        78442GRX6
        
          
        
        926500.72000000
        PA
        USD
        907015.30000000
        0.106831277257
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-01-25
          Floating
          0.29388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2005-9
        41161PSL8
        
          
          
        
        290063.08000000
        PA
        USD
        290072.19000000
        0.034165666835
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-20
          Floating
          0.83113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BT6
        
          
          
        
        1600000.00000000
        PA
        USD
        1578123.74000000
        0.185876660310
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-12
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHN DEERE CAPITAL CORP
        E0KSF7PFQ210NWI8Z391
        John Deere Capital Corp
        24422EVJ5
        
          
          
        
        140000.00000000
        PA
        USD
        139412.04000000
        0.016420413523
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-10
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FannieMae Grantor Trust
        N/A
        Fannie Mae Grantor Trust 2002-T19
        31392GVT9
        
          
          
        
        803442.54000000
        PA
        USD
        876852.12000000
        0.103278557644
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Variable
          3.96770000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        254900NUVOJAHAT10W61
        Golub Capital Partners Clo 49M Ltd
        38178GAA8
        
          
        
        690000.00000000
        PA
        USD
        690039.27000000
        0.081275119142
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-08-26
          Floating
          1.62988000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -67619.93000000
        -0.00796450014
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2023-11-18
            0.00000000
            USD
            -16669.32000000
            USD
            -8020000.00000000
            USD
            -50950.61000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MT5
        
          
          
        
        2570000.00000000
        PA
        USD
        2554789.56000000
        0.300911607355
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          0.77600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allegro CLO Ltd
        635400R1GOVCHJ4SNX58
        Allegro CLO II-S Ltd
        01751EAC2
        
          
        
        1454758.25000000
        PA
        USD
        1455384.02000000
        0.171419968060
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-21
          Floating
          1.20950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        549300ZUZB9UCBWEBN39
        Navient Private Education Refi Loan Trust 2019-A
        63941BAC9
        
          
        
        349993.22000000
        PA
        USD
        351116.94000000
        0.041355720423
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-01-15
          Floating
          0.98925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO 3, Ltd.
        N/A
        HalseyPoint CLO 3 Ltd
        40638UAA7
        
          
        
        1130000.00000000
        PA
        USD
        1132614.06000000
        0.133403049176
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-11-30
          Floating
          1.57850000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        N/A
        SMB Private Education Loan Trust 2021-A
        78448YAC5
        
          
        
        690000.00000000
        PA
        USD
        684031.64000000
        0.080567520510
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          1.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KAH1
        
          
        
        924191.59000000
        PA
        USD
        929347.01000000
        0.109461580299
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Floating
          1.94200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL
        NQQ6HPCNCCU6TUTQYE16
        Bank of Montreal
        06367TQW3
        
          
          
        
        2280000.00000000
        PA
        USD
        2251658.39000000
        0.265207810442
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-07-09
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        N/A
        SMB Private Education Loan Trust 2021-B
        78449YAA8
        
          
        
        827333.61000000
        PA
        USD
        825322.36000000
        0.097209211209
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-07-17
          Fixed
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAL5
        
          
          
        
        4870000.00000000
        PA
        USD
        4632016.78000000
        0.545574334727
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-09-30
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        32822.97000000
        0.003865998521
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2028-08-15
            146241.99000000
            USD
            0.00000000
            USD
            -18989000.00000000
            USD
            -113419.02000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        5493005BBCF84ICNQ550
        GS Mortgage Securities Corp II
        36228FCU8
        
          
        
        110825.35000000
        PA
        USD
        110877.57000000
        0.013059528788
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-03-20
          Floating
          0.44113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley Capital I Inc Trust 2006-NC2
        617451EF2
        
          
          
        
        359290.69000000
        PA
        USD
        359367.00000000
        0.042327439916
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.67163000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Evergreen Credit Card Trust
        5493002G9KVV6J3CNU15
        Evergreen Credit Card Trust
        30023JBS6
        
          
        
        1700000.00000000
        PA
        USD
        1687531.52000000
        0.198763072346
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2026-10-15
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        969457BW9
        
          
          
        
        280000.00000000
        PA
        USD
        300970.29000000
        0.035449281282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-24
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300Y43K78UTRMTN21
        Palmer Square CLO 2019-1 Ltd
        69700GAJ1
        
          
        
        1000000.00000000
        PA
        USD
        1000000.00000000
        0.117783324335
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-11-14
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REYNOLDS CONSUMER PRODUC
        549300DWNZYMOSR1X343
        Reynolds Consumer Products LLC
        76171JAB7
        
          
          
        
        8488.21890000
        PA
        USD
        8449.17000000
        0.000995171330
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-02-04
          Floating
          1.84400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cedar Funding Ltd
        635400NWFWJ92O7QGD64
        Cedar Funding V CLO Ltd
        15032AAY3
        
          
        
        2570000.00000000
        PA
        USD
        2572485.64000000
        0.302995910485
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-17
          Fixed
          1.93700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-C
        64035GAA7
        
          
        
        1848010.27000000
        PA
        USD
        1849486.46000000
        0.217838663572
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Floating
          0.83113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SFO Commerical Mortgage Trust
        N/A
        SFO Commercial Mortgage Trust 2021-555
        78432WAA1
        
          
        
        920000.00000000
        PA
        USD
        921581.02000000
        0.108546876180
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-05-15
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2G8
        
          
          
        
        400000.00000000
        PA
        USD
        427996.96000000
        0.050410904754
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-10
          Fixed
          4.70500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XAQ7
        
          
          
        
        840000.00000000
        PA
        USD
        840000.00000000
        0.098937992442
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-02-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-01-21
      Legg Mason Partners Income Trust
      Christopher Berarducci
      Christopher Berarducci
      Principal Financial Officer
    
  





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