Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 6:04 AM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000009306
        C000202037
        C000025406
        C000058955
        C000025408
        C000025404
        C000025405
        C000161289
        C000058956
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Core Fixed Income Fund
      S000009306
      2NJKQB9WFS0RLSFC6S95
      2021-03-31
      2020-09-30
      N
    
    
      2619177078.06
      782751901.49
      1836425176.57
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      353482951.46000000
      0.00000000
      0.00000000
      39382807.11000000
      
        
          NZD
          
          
        
        
          USD
          
          
        
        
          GBP
          
          
        
        
          AUD
          
          
        
        
          CAD
          
          
        
        
          CHF
          
          
        
        
          EUR
          
          
        
        
          NOK
          
          
        
        
          SEK
          
          
        
        
          JPY
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        EQM MIDSTREAM PARTNERS L
        549300NELT611CL6XM83
        EQM Midstream Partners LP
        26885BAD2
        
          
        
        925000.00000000
        PA
        USD
        918062.50000000
        0.049991827149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAW1
        
          
        
        1125000.00000000
        PA
        USD
        1176558.75000000
        0.064067883898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Colombia
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DQ5
        
          
        
        470000.00000000
        PA
        USD
        567818.75000000
        0.030919786836
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2049-05-15
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214855  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214855  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        21360000.00000000
        OU
        Notional Amount
        
        88779.31000000
        0.004834354872
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-12-16
            136582.59000000
            EUR
            0.00000000
            EUR
            21360000.00000000
            EUR
            -48248.08000000
          
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAB6
        
          
        
        240000.00000000
        PA
        USD
        301875.00000000
        0.016438186747
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2047-10-11
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780BT2
        
          
        
        420000.00000000
        PA
        USD
        469218.75000000
        0.025550659835
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-01-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017BS7
        
          
        
        800000.00000000
        PA
        USD
        1124872.00000000
        0.061253353218
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAV0
        
          
        
        225000.00000000
        PA
        USD
        246332.25000000
        0.013413682906
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2023-06-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAV5
        
          
        
        514000.00000000
        PA
        USD
        575443.56000000
        0.031334985347
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIT Group Inc
        N8O96ZZJQRFYQUJY7K79
        CIT Group Inc
        125581GY8
        
          
        
        224000.00000000
        PA
        USD
        230720.00000000
        0.012563539366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-16
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02772A SWAPTION EUR006M JAN21 0.0001 PUT
        000000000
        
          
        
        -3100000.00000000
        NC
        
        -9385.25000000
        -0.00051106084
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9385.25000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3100000.00000000
                  EUR
                
              
            
            1.00000000
            0.00010000
            EUR
            2021-01-14
            XXXX
            346.13000000
          
        
        
          N
          N
          N
        
      
      
        JM SMUCKER CO
        5493000WDH6A0LHDJD55
        J M Smucker Co/The
        832696AS7
        
          
        
        700000.00000000
        PA
        USD
        730373.00000000
        0.039771454307
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AG3
        
          
        
        975000.00000000
        PA
        USD
        1098776.25000000
        0.059832345146
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00772BAR2
        
          
        
        1125000.00000000
        PA
        USD
        1138601.25000000
        0.062000960590
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-02-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MAY6
        
          
        
        4585.71000000
        PA
        USD
        5058.62000000
        0.000275460174
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBA5
        
          
        
        2100000.00000000
        PA
        USD
        2099622.00000000
        0.114332019991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-11-15
          Floating
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arch Capital Finance LLC
        549300XG4URFY0200M65
        Arch Capital Finance LLC
        03939CAA1
        
          
        
        1200000.00000000
        PA
        USD
        1391616.00000000
        0.075778529817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABC8
        
          
        
        5025000.00000000
        PA
        USD
        5624778.98000000
        0.306289581071
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AD9
        
          
        
        1550000.00000000
        PA
        USD
        1667164.50000000
        0.090783143319
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-05-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773CY4
        
          
        
        1235000.00000000
        PA
        USD
        1307642.70000000
        0.071205879590
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-28
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Colombia
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DP7
        
          
        
        350000.00000000
        PA
        USD
        392109.38000000
        0.021351775449
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2029-03-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620A7LX1
        
          
        
        50615.67000000
        PA
        USD
        53425.41000000
        0.002909207011
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLUESTAR FIN HOLDINGS
        300300294ZKDSAV43I87
        Bluestar Finance Holdings Ltd
        000000000
        
          
        
        1200000.00000000
        PA
        USD
        1212000.00000000
        0.065997788282
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2023-06-24
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ecolab Inc
        82DYEISM090VG8LTLS26
        Ecolab Inc
        278865AM2
        
          
        
        133000.00000000
        PA
        USD
        190578.36000000
        0.010377681728
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-12-08
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397VU4
        
          
        
        1200000.00000000
        PA
        USD
        1222472.40000000
        0.066568048379
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-08-02
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENSKE TRUCK LEASING/PTL
        N/A
        Penske Truck Leasing Co Lp / PTL Finance Corp
        709599AN4
        
          
        
        1425000.00000000
        PA
        USD
        1531960.50000000
        0.083420795986
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-17
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BD0
        
          
        
        1900000.00000000
        PA
        USD
        1900038.00000000
        0.103463948558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-01-15
          Floating
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFR0
        
          
        
        425000.00000000
        PA
        USD
        517998.50000000
        0.028206893839
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742BE4
        
          
        
        900000.00000000
        PA
        USD
        941607.00000000
        0.051273910421
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-07-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MQQ6
        
          
        
        2736.76000000
        PA
        USD
        3010.44000000
        0.000163929357
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAL8
        
          
        
        1100000.00000000
        PA
        USD
        1153174.00000000
        0.062794499591
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        7855091.17000000
        PA
        USD
        8470092.97000000
        0.461227229841
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate Lending
        N/A
        Cantor Commercial Real Estate Lending 2019-CF2
        12528YAV5
        
          
        
        2024000.00000000
        PA
        USD
        1310150.34000000
        0.071342429668
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-11-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Corp
        I1BZKREC126H0VB1BL91
        Duke Energy Corp
        26441CAX3
        
          
        
        2100000.00000000
        PA
        USD
        2325246.00000000
        0.126618063706
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVN49
        
          
        
        54807.48000000
        PA
        USD
        60108.58000000
        0.003273129815
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        3343416.03000000
        PA
        USD
        3628953.12000000
        0.197609636717
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLIED MATERIALS INC
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222AN5
        
          
        
        975000.00000000
        PA
        USD
        1003138.50000000
        0.054624523383
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAQ5
        
          
        
        825000.00000000
        PA
        USD
        972213.00000000
        0.052940517936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTUIT INC
        VI90HBPH7XSFMB9E4M29
        Intuit Inc
        46124HAC0
        
          
        
        675000.00000000
        PA
        USD
        684720.00000000
        0.037285483162
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NYAR6
        
          
        
        32981.32000000
        PA
        USD
        36130.12000000
        0.001967415850
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02782A SWAPTION US0003M OCT20 0.703 PUT
        000000000
        
          
        
        -5070000.00000000
        NC
        USD
        -29502.33000000
        -0.00160650868
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    5070000.00000000
                    OU
                    Notional Amount
                    N/A
                    -29502.33000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5070000.00000000
                  USD
                
              
            
            1.00000000
            0.70300000
            USD
            2020-10-28
            XXXX
            -4405.83000000
          
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063A5G5
        
          
        
        1650000.00000000
        PA
        USD
        2886873.00000000
        0.157200687337
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-04-01
          Fixed
          7.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAE4
        
          
        
        2590000.00000000
        PA
        USD
        2623100.20000000
        0.142837303336
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2021-04-23
          Fixed
          3.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAC3
        
          
        
        445000.00000000
        PA
        USD
        485343.70000000
        0.026428721746
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAH7
        
          
        
        3375000.00000000
        PA
        USD
        3533760.00000000
        0.192426026667
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7R98
        
          
        
        433820.13000000
        PA
        USD
        477492.85000000
        0.026001214538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214051  IRS USD R F  1.75000 2 CCPVANILLA / Short: SR214051  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        17340000.00000000
        OU
        Notional Amount
        USD
        593652.24000000
        0.032326513901
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-06-18
            604221.54000000
            USD
            0.00000000
            USD
            17340000.00000000
            USD
            -10569.30000000
          
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        American Express Co
        025816BY4
        
          
        
        425000.00000000
        PA
        USD
        439131.25000000
        0.023912286522
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-11-05
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AU4
        
          
        
        1650000.00000000
        PA
        USD
        1756194.00000000
        0.095631121943
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boston Properties LP
        BVHHEFJI6SHNOKQT2572
        Boston Properties LP
        10112RAS3
        
          
        
        325000.00000000
        PA
        USD
        329241.25000000
        0.017928378144
        Long
        DBT
        
        US
        N
        
        2
        
          2021-05-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BURLINGTN NORTH SANTA FE
        N/A
        Burlington Northern Santa Fe LLC
        12189LBC4
        
          
        
        800000.00000000
        PA
        USD
        994216.00000000
        0.054138660953
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-06-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128E3TE4
        
          
        
        20701.56000000
        PA
        USD
        23033.22000000
        0.001254242225
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTSMAN INTERNATIONAL L
        3YTEJFW18LGIUQ2N5J61
        Huntsman International LLC
        44701QBE1
        
          
        
        850000.00000000
        PA
        USD
        954147.95000000
        0.051956810556
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CA1
        
          
        
        1575000.00000000
        PA
        USD
        1577142.00000000
        0.085881092250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416NFG2
        
          
        
        7518.47000000
        PA
        USD
        8430.83000000
        0.000459089218
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBE8
        
          
        
        2325000.00000000
        PA
        USD
        2399865.00000000
        0.130681338429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-11-14
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        4000000.00000000
        PA
        USD
        4136647.60000000
        0.225255439359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        17308CC53
        
          
        
        1375000.00000000
        PA
        USD
        1482703.75000000
        0.080738587605
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-05
          Fixed
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        05565AHN6
        
          
        
        650000.00000000
        PA
        USD
        688226.50000000
        0.037476424783
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-03-25
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2897.05000000
        0.000157754861
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            2350627.24000000
            USD
            1823000.00000000
            GBP
            2020-12-16
            2897.05000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -893.97000000
        -0.00004867990
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            9269702.82000000
            NOK
            993128.00000000
            USD
            2020-12-16
            -893.97000000
          
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAG8
        
          
        
        3825000.00000000
        PA
        USD
        3960481.50000000
        0.215662557371
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        Southern Co/The
        842587CV7
        
          
        
        1730000.00000000
        PA
        USD
        1928984.60000000
        0.105040195735
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAQ3
        
          
        
        2151000.00000000
        PA
        USD
        2266121.52000000
        0.123398521699
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BJ9
        
          
        
        2100000.00000000
        PA
        USD
        2264472.00000000
        0.123308699362
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MUL4
        
          
        
        278666.77000000
        PA
        USD
        315883.25000000
        0.017200986679
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABJ3
        
          
        
        1950000.00000000
        PA
        USD
        2008757.40000000
        0.109384113528
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRXV8
        
          
        
        51707.50000000
        PA
        USD
        56644.13000000
        0.003084477969
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominion Energy Inc
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDG1
        
          
        
        725000.00000000
        PA
        USD
        816850.25000000
        0.044480453678
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B4PT7
        
          
        
        171986.05000000
        PA
        USD
        204695.10000000
        0.011146389333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBE8
        
          
        
        2400000.00000000
        PA
        USD
        2475816.00000000
        0.134817145375
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02735A SWAPTION US0003M OCT20 0.6975 CALL
        000000000
        
          
        
        -5070000.00000000
        NC
        USD
        -12632.41000000
        -0.00068788046
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    5070000.00000000
                    OU
                    Notional Amount
                    N/A
                    -12632.41000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5070000.00000000
                  USD
                
              
            
            1.00000000
            0.69750000
            USD
            2020-10-13
            XXXX
            18801.59000000
          
        
        
          N
          N
          N
        
      
      
        Educational Funding of the South, Inc.
        N/A
        Educational Funding of the South Inc
        28148WAB9
        
          
        
        1471804.58000000
        PA
        USD
        1462606.83000000
        0.079644237546
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-04-25
          Floating
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTUIT INC
        VI90HBPH7XSFMB9E4M29
        Intuit Inc
        46124HAD8
        
          
        
        450000.00000000
        PA
        USD
        457902.00000000
        0.024934421823
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        7672.32000000
        PA
        USD
        8790.71000000
        0.000478685987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ENQF9
        
          
        
        736369.82000000
        PA
        USD
        830426.15000000
        0.045219710587
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941Z42
        
          
        
        9433.06000000
        PA
        USD
        10816.12000000
        0.000588976895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9CT8
        
          
        
        1320686.47000000
        PA
        USD
        1452814.68000000
        0.079111019525
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAG0
        
          
        
        1725000.00000000
        PA
        USD
        1822600.50000000
        0.099247196305
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Agricole SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        225313AL9
        
          
        
        600000.00000000
        PA
        USD
        646146.00000000
        0.035184989197
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-09-23
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBN1
        
          
        
        875000.00000000
        PA
        USD
        849441.25000000
        0.046255151630
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G0Q22
        
          
        
        3700000.00000000
        PA
        USD
        4003437.00000000
        0.218001639875
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2026-09-24
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRYKER CORP
        5493002F0SC4JTBU5137
        Stryker Corp
        863667AY7
        
          
        
        2825000.00000000
        PA
        USD
        2879098.75000000
        0.156777351276
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WXWH6
        
          
        
        29134.47000000
        PA
        USD
        31952.42000000
        0.001739924958
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBA3
        
          
        
        2275000.00000000
        PA
        USD
        2592112.25000000
        0.141149897260
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-29
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAA0
        
          
        
        875000.00000000
        PA
        USD
        927972.50000000
        0.050531462530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVANGRID INC
        549300OX0Q38NLSKPB49
        Avangrid Inc
        05351WAC7
        
          
        
        925000.00000000
        PA
        USD
        1017925.50000000
        0.055429729072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCHER-DANIELS-MIDLAND C
        549300LO13MQ9HYSTR83
        Archer-Daniels-Midland Co
        039482AB0
        
          
        
        525000.00000000
        PA
        USD
        599665.50000000
        0.032653957680
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-27
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AL1
        
          
        
        2175000.00000000
        PA
        USD
        2206080.75000000
        0.120129084383
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEB4
        
          
        
        3945658.44000000
        PA
        USD
        4290326.30000000
        0.233623800998
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENSKE TRUCK LEASING/PTL
        N/A
        Penske Truck Leasing Co Lp / PTL Finance Corp
        709599AS3
        
          
        
        1225000.00000000
        PA
        USD
        1265057.50000000
        0.068886961262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-02-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAB4
        
          
        
        1375000.00000000
        PA
        USD
        1420168.75000000
        0.077333330435
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-05-25
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7CE4
        
          
        
        382918.43000000
        PA
        USD
        438832.36000000
        0.023896010880
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BM3
        
          
        
        1925000.00000000
        PA
        USD
        2094053.50000000
        0.114028795004
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
        
        1300000.00000000
        PA
        USD
        1406327.00000000
        0.076579597031
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        190072.17000000
        PA
        USD
        208218.78000000
        0.011338266467
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MN5G1
        
          
        
        84348.02000000
        PA
        USD
        92400.91000000
        0.005031564105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VES9
        
          
        
        625000.00000000
        PA
        USD
        739712.50000000
        0.040280023898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-08
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAJ4
        
          
        
        600000.00000000
        PA
        USD
        800004.00000000
        0.043563114370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-01-25
          Fixed
          5.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JM SMUCKER CO
        5493000WDH6A0LHDJD55
        J M Smucker Co/The
        832696AH1
        
          
        
        475000.00000000
        PA
        USD
        491857.75000000
        0.026783435354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371K7L9
        
          
        
        12219.34000000
        PA
        USD
        13356.30000000
        0.000727298894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBW4
        
          
        
        1325000.00000000
        PA
        USD
        1509678.50000000
        0.082207460410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCM1
        
          
        
        275000.00000000
        PA
        USD
        364889.25000000
        0.019869540815
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-10-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312946ZH2
        
          
        
        2253.07000000
        PA
        USD
        2578.57000000
        0.000140412472
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AT5
        
          
        
        1825000.00000000
        PA
        USD
        2027374.25000000
        0.110397868416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LSR85
        
          
        
        33875.44000000
        PA
        USD
        37109.60000000
        0.002020752082
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DL1
        
          
        
        725000.00000000
        PA
        USD
        849497.00000000
        0.046258187419
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96949LAA3
        
          
        
        785000.00000000
        PA
        USD
        812027.55000000
        0.044217840201
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214904  IRS SEK R F   .00000 2 CCPVANILLA / Short: SR214904  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        191430000.00000000
        OU
        Notional Amount
        
        -81934.10000000
        -0.00446160840
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            0.00000000
            SEK
            -629438.20000000
            SEK
            191430000.00000000
            SEK
            -10206.95000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GQ0
        
          
        
        1075000.00000000
        PA
        USD
        1237755.00000000
        0.067400241283
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AT7
        
          
        
        925000.00000000
        PA
        USD
        1107234.25000000
        0.060292913870
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2050-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAM2
        
          
        
        275000.00000000
        PA
        USD
        280170.00000000
        0.015256270910
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202F2M7
        
          
        
        1432.11000000
        PA
        USD
        1579.80000000
        0.000086025829
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CK4
        
          
        
        3475000.00000000
        PA
        USD
        3626266.75000000
        0.197463354144
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B66C0
        
          
        
        840555.25000000
        PA
        USD
        1019466.34000000
        0.055513633389
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        230125.00000000
        0.012531139462
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-01-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBD3
        
          
        
        1100000.00000000
        PA
        USD
        1150611.00000000
        0.062654934961
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GT2
        
          
        
        2595000.00000000
        PA
        USD
        2763415.50000000
        0.150477979460
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02771A SWAPTION EUR006M JAN21 0.0001 PUT
        000000000
        
          
        
        -3090000.00000000
        NC
        
        -9354.98000000
        -0.00050941253
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3090000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9354.98000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3090000.00000000
                  EUR
                
              
            
            1.00000000
            0.00010000
            EUR
            2021-01-14
            XXXX
            345.01000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29273RBL2
        
          
        
        575000.00000000
        PA
        USD
        535250.25000000
        0.029146314090
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-04-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBE4
        
          
        
        2725000.00000000
        PA
        USD
        2852121.25000000
        0.155308328724
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-02-15
          Fixed
          4.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        54930035ESY1D7J97S77
        Nelnet Student Loan Trust 2006-1
        64031QCS8
        
          
        
        101146.38000000
        PA
        USD
        100797.47000000
        0.005488787198
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-08-23
          Floating
          0.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JVL0
        
          
        
        3300000.00000000
        PA
        USD
        3657588.00000000
        0.199168909611
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214875  IRS USD R F  1.00000 2 CCPVANILLA / Short: SR214875  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        2330000.00000000
        OU
        Notional Amount
        USD
        60780.85000000
        0.003309737351
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            68060.63000000
            USD
            0.00000000
            USD
            2330000.00000000
            USD
            -7279.78000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9TW3
        
          
        
        1341790.40000000
        PA
        USD
        1498765.65000000
        0.081613216216
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAH4
        
          
        
        2125000.00000000
        PA
        USD
        1946053.75000000
        0.105969672754
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXBH2
        
          
        
        11477.96000000
        PA
        USD
        13219.62000000
        0.000719856173
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAR0
        
          
        
        161000.00000000
        PA
        USD
        174166.58000000
        0.009484000885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RU4
        
          
        
        15240000.00000000
        PA
        USD
        20142993.75000000
        1.096858941327
        Long
        DBT
        UST
        US
        N
        
        1
        
          2046-11-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMZQ7
        
          
        
        22530.52000000
        PA
        USD
        24681.56000000
        0.001344000306
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERH60
        
          
        
        136166.29000000
        PA
        USD
        147283.27000000
        0.008020107319
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAE9
        
          
        
        2400000.00000000
        PA
        USD
        2518152.00000000
        0.137122493860
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-05-28
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        20887.24000000
        0.001137385844
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            2013515.37000000
            EUR
            2385868.73000000
            USD
            2020-12-16
            20887.24000000
          
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2016-7
        63940GAA3
        
          
        
        1785431.96000000
        PA
        USD
        1785431.60000000
        0.097223215123
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-03-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DT9
        
          
        
        830000.00000000
        PA
        USD
        865275.00000000
        0.047117356647
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2051-05-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Florida Power & Light Co
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081FF9
        
          
        
        832000.00000000
        PA
        USD
        1035357.44000000
        0.056378961321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-02-01
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAH3
        
          
        
        240000.00000000
        PA
        USD
        246240.00000000
        0.013408659559
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2030-04-16
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292MA78
        
          
        
        8813.74000000
        PA
        USD
        9747.36000000
        0.000530779044
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        JPN 10Y BOND(OSE) DEC20 XOSE 20201214
        000000000
        
          
        
        -13.00000000
        NC
        
        -21192.65000000
        -0.00115401652
        N/A
        DIR
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Short
            
              
                Japan Government Ten Year Bond
                JBZ0 Comdty
              
            
            2020-12-14
            -1974934917.00000000
            JPY
            -21192.65000000
          
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBR5
        
          
        
        2550000.00000000
        PA
        USD
        2558976.00000000
        0.139345508472
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Fixed
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Simon Property Group LP
        MR92GTD0MJTTTTQDVG45
        Simon Property Group LP
        828807DD6
        
          
        
        1223000.00000000
        PA
        USD
        1277900.47000000
        0.069586307479
        Long
        DBT
        
        US
        N
        
        2
        
          2023-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE REALTY LP
        2549009GZDBNY1KE9O81
        Duke Realty LP
        26441YBE6
        
          
        
        1075000.00000000
        PA
        USD
        1072699.50000000
        0.058412371692
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AQ1
        
          
        
        700000.00000000
        PA
        USD
        763014.00000000
        0.041548874941
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9HK2
        
          
        
        589844.21000000
        PA
        USD
        641297.85000000
        0.034920989876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ventas Realty LP
        32SXKSJ72K64GM3HOU64
        Ventas Realty LP
        92277GAE7
        
          
        
        975000.00000000
        PA
        USD
        1054404.00000000
        0.057416115475
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LQ2
        
          
        
        2575000.00000000
        PA
        USD
        2684592.00000000
        0.146185754489
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-27
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348AW6
        
          
        
        1900000.00000000
        PA
        USD
        2138659.00000000
        0.116457725982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MR5R8
        
          
        
        19779.23000000
        PA
        USD
        21667.60000000
        0.001179879271
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02752A SWAPTION US0003M OCT20 0.70 CALL
        000000000
        
          
        
        -5070000.00000000
        NC
        USD
        -16284.84000000
        -0.00088676850
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    5070000.00000000
                    OU
                    Notional Amount
                    N/A
                    -16284.84000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5070000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-19
            XXXX
            9889.03000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417JSB7
        
          
        
        6669.58000000
        PA
        USD
        7560.32000000
        0.000411686797
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397S7M0
        
          
        
        768774.03000000
        PA
        USD
        882630.77000000
        0.048062441163
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076BW1
        
          
        
        625000.00000000
        PA
        USD
        748118.75000000
        0.040737774647
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-06
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371JY81
        
          
        
        14690.65000000
        PA
        USD
        16053.48000000
        0.000874170110
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-03-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elanco Animal Health Inc
        549300SHPNDCE059M934
        Elanco Animal Health Inc
        28414HAF0
        
          
        
        1675000.00000000
        PA
        USD
        1718948.65000000
        0.093602977781
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-08-27
          Fixed
          4.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arbor Realty Collateralized Loan Obligation Ltd
        N/A
        Arbor Realty Commercial Real Estate Notes 2018-FL1 Ltd
        03879XAA7
        
          
        
        5700000.00000000
        PA
        USD
        5628924.99000000
        0.306515346327
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-06-15
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128E2V60
        
          
        
        17608.16000000
        PA
        USD
        19247.77000000
        0.001048110766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        84505.46000000
        0.004601628265
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3352082.96000000
            GBP
            4412102.10000000
            USD
            2020-12-16
            84505.46000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FP67
        
          
        
        5609.50000000
        PA
        USD
        6196.76000000
        0.000337436018
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        635400C39IXGGYE6DH05
        Apidos CLO XXIII
        03765YAU8
        
          
        
        4000000.00000000
        PA
        USD
        3965264.00000000
        0.215922981812
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        280000.00000000
        PA
        
        343776.93000000
        0.018719898549
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-07-18
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02736A SWAPTION US0003M OCT20 0.6975 PUT
        000000000
        
          
        
        -5070000.00000000
        NC
        USD
        -21475.51000000
        -0.00116941927
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    5070000.00000000
                    OU
                    Notional Amount
                    N/A
                    -21475.51000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5070000.00000000
                  USD
                
              
            
            1.00000000
            0.69750000
            USD
            2020-10-13
            XXXX
            9958.49000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U6X5
        
          
        
        3756560.80000000
        PA
        USD
        4031776.77000000
        0.219544842961
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005898  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005898  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        -2421.80000000
        -0.00013187577
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Russian Foreign Bond - Eurobond
                Russian Foreign Bond - Eurobond
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            3348.98000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            -5770.78000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BK6
        
          
        
        400000.00000000
        PA
        USD
        434716.00000000
        0.023671860174
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          4.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAB3
        
          
        
        723000.00000000
        PA
        USD
        861259.29000000
        0.046898686697
        Long
        DBT
        
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYMOND JAMES FINANCIAL
        RGUZHJ05YTITL6D76949
        Raymond James Financial Inc
        754730AG4
        
          
        
        275000.00000000
        PA
        USD
        334559.50000000
        0.018217976112
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX002964  CDS USD R F  3.00000 2 CMBX / Short: CX002964  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1100000.00000000
        OU
        Notional Amount
        USD
        -252085.90000000
        -0.01372698998
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -313233.83000000
            USD
            1100000.00000000
            USD
            61147.93000000
          
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAK3
        
          
        
        4000000.00000000
        PA
        USD
        4295000.00000000
        0.233878300885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RD71
        
          
        
        795334.40000000
        PA
        USD
        836482.06000000
        0.045549476813
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Floating
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CR7
        
          
        
        350000.00000000
        PA
        USD
        460141.50000000
        0.025056370707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-26
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAA2
        
          
        
        4900000.00000000
        PA
        USD
        5116923.00000000
        0.278634984168
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416MVP6
        
          
        
        18307.69000000
        PA
        USD
        20592.64000000
        0.001121343807
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMP47
        
          
        
        6396.37000000
        PA
        USD
        7015.04000000
        0.000381994327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29273RAQ2
        
          
        
        775000.00000000
        PA
        USD
        802528.00000000
        0.043700555309
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-02-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP Transmission Co LLC
        549300X123Z1I0LA3Y84
        AEP Transmission Co LLC
        00115AAM1
        
          
        
        225000.00000000
        PA
        USD
        264926.25000000
        0.014426193529
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAB6
        
          
        
        925000.00000000
        PA
        USD
        1016547.25000000
        0.055354678370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAB8
        
          
        
        2200000.00000000
        PA
        USD
        2235794.00000000
        0.121747078428
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214903  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214903  IRS EUR P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        15160000.00000000
        OU
        Notional Amount
        
        -39894.50000000
        -0.00217239997
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-09-08
            5005.18000000
            EUR
            0.00000000
            EUR
            15160000.00000000
            EUR
            -45796.72000000
          
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962G6S8
        
          
        
        625000.00000000
        PA
        USD
        655706.25000000
        0.035705579424
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-09
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDB2
        
          
        
        1650000.00000000
        PA
        USD
        1775499.00000000
        0.096682349090
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Variable
          3.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAH5
        
          
        
        1675000.00000000
        PA
        USD
        1676909.50000000
        0.091313793853
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-10-06
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government International Bond
        46513JB59
        
          
        
        200000.00000000
        PA
        USD
        272500.00000000
        0.014838611639
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2120-04-03
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02686A SWAPTION EUR006M NOV20 0.10 PUT
        000000000
        
          
        
        -6740000.00000000
        NC
        
        -4745.34000000
        -0.00025840094
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                  
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                    IRS Swap
                    N/A
                    
                      
                    
                    6740000.00000000
                    OU
                    Notional Amount
                    N/A
                    -4745.34000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-12-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6740000.00000000
                  EUR
                
              
            
            1.00000000
            0.10000000
            EUR
            2020-11-30
            XXXX
            16907.55000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y1WP9
        
          
        
        2691125.56000000
        PA
        USD
        3010079.38000000
        0.163909720820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02699A SWAPTION EUR006M DEC20 0.10 PUT
        000000000
        
          
        
        -1430000.00000000
        NC
        
        -1087.61000000
        -0.00005922430
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1430000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1087.61000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-12-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1430000.00000000
                  EUR
                
              
            
            1.00000000
            0.10000000
            EUR
            2020-12-02
            XXXX
            2130.81000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214902  IRS AUD R F   .92000 2 CCPVANILLA / Short: SR214902  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        21790000.00000000
        OU
        Notional Amount
        
        52141.71000000
        0.002839304898
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-09-04
            0.00000000
            AUD
            -7046.02000000
            AUD
            21790000.00000000
            AUD
            57186.30000000
          
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AJ3
        
          
        
        165000.00000000
        PA
        USD
        133650.00000000
        0.007277726405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206B6
        
          
        
        89000000.00000000
        PA
        USD
        92300983.30000000
        5.026122734409
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02766A SWAPTION US0003M OCT20 0.7 CALL
        000000000
        
          
        
        -5070000.00000000
        NC
        USD
        -19449.03000000
        -0.00105907010
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    5070000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19449.03000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-28
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5070000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-26
            XXXX
            6661.47000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -150030.63000000
        -0.00816971101
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            58411583.23000000
            NOK
            6113643.41000000
            USD
            2020-12-16
            -150030.63000000
          
        
        
          N
          N
          N
        
      
      
        Regions Financial Corp
        CW05CS5KW59QTC0DG824
        Regions Financial Corp
        7591EPAP5
        
          
        
        447000.00000000
        PA
        USD
        485164.86000000
        0.026418983261
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-14
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDN0
        
          
        
        2935.14000000
        PA
        USD
        3074.82000000
        0.000167435081
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Floating
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAR2
        
          
        
        225000.00000000
        PA
        USD
        246415.50000000
        0.013418216170
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        000000000
        
          
        
        450000.00000000
        PA
        USD
        566015.63000000
        0.030821600423
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2047-10-11
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
        
        925000.00000000
        PA
        USD
        990268.00000000
        0.053923678058
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DC9
        
          
        
        3240000.00000000
        PA
        USD
        3696418.80000000
        0.201283387265
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAT7
        
          
        
        2100000.00000000
        PA
        USD
        2274237.00000000
        0.123840438968
        Long
        DBT
        
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AE4
        
          
        
        900000.00000000
        PA
        USD
        848628.00000000
        0.046210867223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MMKP6
        
          
        
        21355.31000000
        PA
        USD
        23394.15000000
        0.001273896170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38373T5Q4
        
          
        
        19782.85000000
        PA
        USD
        27502.42000000
        0.001497606346
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-02-16
          Floating
          36.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CF4
        
          
        
        600000.00000000
        PA
        USD
        723036.00000000
        0.039371928092
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-03-31
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IHS Markit Ltd
        549300HLPTRASHS0E726
        IHS Markit Ltd
        44962LAJ6
        
          
        
        1775000.00000000
        PA
        USD
        2058130.25000000
        0.112072643974
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2029-05-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWCREST FINANCE PTY LTD
        549300I0XDZ4K7PDSS04
        Newcrest Finance Pty Ltd
        65120FAD6
        
          
        
        525000.00000000
        PA
        USD
        572691.00000000
        0.031185098489
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-05-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9HH9
        
          
        
        1315590.10000000
        PA
        USD
        1447208.44000000
        0.078805739458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H36T8
        
          
        
        242718.21000000
        PA
        USD
        265940.57000000
        0.014481426926
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAD6
        
          
        
        340000.00000000
        PA
        USD
        276341.80000000
        0.015047811559
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214858  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214858  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        820000.00000000
        OU
        Notional Amount
        
        -77693.75000000
        -0.00423070599
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-12-16
            0.00000000
            EUR
            -50314.83000000
            EUR
            820000.00000000
            EUR
            -18254.33000000
          
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BK9
        
          
        
        1700000.00000000
        PA
        USD
        1957312.00000000
        0.106582725230
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2039-07-18
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFH7
        
          
        
        4810000.00000000
        PA
        USD
        5353626.20000000
        0.291524330438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-26
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP World PLC
        549300M3U2DNF4QVSS04
        DP World PLC
        000000000
        
          
        
        200000.00000000
        PA
        USD
        227875.00000000
        0.012408618815
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2048-09-25
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST BANK
        JJKC32MCHWDI71265Z06
        Truist Bank
        89788KAA4
        
          
        
        1250000.00000000
        PA
        USD
        1288400.00000000
        0.070158044903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-11
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214841  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214841  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        49970000.00000000
        OU
        Notional Amount
        
        -500909.83000000
        -0.02727635388
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-12-16
            0.00000000
            EUR
            -400482.90000000
            EUR
            49970000.00000000
            EUR
            -10774.82000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBJ4
        
          
        
        275000.00000000
        PA
        USD
        335365.25000000
        0.018261852117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-24
          Fixed
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006023  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006023  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        2110000.00000000
        OU
        Notional Amount
        USD
        35245.86000000
        0.001919264691
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Chile Government International Bond
                Chile Government International Bond
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            30938.44000000
            USD
            0.00000000
            USD
            2110000.00000000
            USD
            4307.42000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005922  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005922  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1225000.00000000
        OU
        Notional Amount
        USD
        -21374.66000000
        -0.00116392762
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                General Electric Co
                General Electric Co
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            USD
            -16460.12000000
            USD
            1225000.00000000
            USD
            -4914.54000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABK0
        
          
        
        1200000.00000000
        PA
        USD
        1183740.00000000
        0.064458928961
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214905  IRS CHF R F   .00000 CCPVANILLA / Short: SR214905  IRS CHF P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        21640000.00000000
        OU
        Notional Amount
        
        -42203.93000000
        -0.00229815679
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-12-16
            0.00000000
            CHF
            -79989.32000000
            CHF
            21640000.00000000
            CHF
            45095.71000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02348A SWAPTION MAY21 0.49 PUT
        000000000
        
          
        
        -3200000.00000000
        NC
        USD
        -14561.28000000
        -0.00079291441
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3200000.00000000
                    OU
                    Notional Amount
                    N/A
                    -14561.28000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3200000.00000000
                  USD
                
              
            
            1.00000000
            0.49000000
            USD
            2021-05-18
            XXXX
            17758.72000000
          
        
        
          N
          N
          N
        
      
      
        KREF 2018--FL1 Ltd.
        549300N45646UZ8P3S07
        KREF 2018-FL1 Ltd
        48275PAA9
        
          
        
        4200000.00000000
        PA
        USD
        4170350.94000000
        0.227090708252
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-06-15
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        23200000.00000000
        OU
        Notional Amount
        USD
        14172.88000000
        0.000771764631
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            376.15000000
            USD
            0.00000000
            USD
            23200000.00000000
            USD
            13796.73000000
          
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AR0
        
          
        
        800000.00000000
        PA
        USD
        902184.00000000
        0.049127185333
        Long
        DBT
        
        US
        N
        
        2
        
          2031-08-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBE2
        
          
        
        85000.00000000
        PA
        USD
        94560.80000000
        0.005149177935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mars Inc
        54930073HKEO6GZBSS03
        Mars Inc
        571676AA3
        
          
        
        525000.00000000
        PA
        USD
        566674.50000000
        0.030857478280
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHROP GRUMMAN CORP
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BU5
        
          
        
        2275000.00000000
        PA
        USD
        3248063.00000000
        0.176868790596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8G58
        
          
        
        2147512.37000000
        PA
        USD
        2353636.19000000
        0.128164012344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02353A SWAPTION MAY21 0.48 CALL
        000000000
        
          
        
        -3300000.00000000
        NC
        USD
        -26270.64000000
        -0.00143053146
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -26270.64000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3300000.00000000
                  USD
                
              
            
            1.00000000
            0.48000000
            USD
            2021-05-19
            XXXX
            7282.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468J1
        
          
        
        1050000.00000000
        PA
        USD
        1115656.50000000
        0.060751535877
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-22
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBK0
        
          
        
        425000.00000000
        PA
        USD
        462769.75000000
        0.025199488435
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2049-09-06
          Fixed
          4.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHL6
        
          
        
        5550000.00000000
        PA
        USD
        6011538.00000000
        0.327350010046
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAH3
        
          
        
        850000.00000000
        PA
        USD
        1024182.00000000
        0.055770418150
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828TE0
        
          
        
        439342.80000000
        PA
        USD
        450578.72000000
        0.024535642712
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BV4
        
          
        
        450000.00000000
        PA
        USD
        475555.50000000
        0.025895718816
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CL2
        
          
        
        4050000.00000000
        PA
        USD
        4564633.50000000
        0.248560821221
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-20
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRD24
        
          
        
        18073.69000000
        PA
        USD
        19799.22000000
        0.001078139215
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        MET TRANSPRTN AUTH NY REVENUE
        59261AG76
        
          
        
        2670000.00000000
        PA
        USD
        2915132.70000000
        0.158739530321
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-11-15
          Fixed
          5.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        DBJPM 16-C1 Mortgage Trust
        23312LAG3
        
          
        
        1500000.00000000
        PA
        USD
        1051403.51000000
        0.057252727931
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-10
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AG5
        
          
        
        400000.00000000
        PA
        USD
        492164.00000000
        0.026800111775
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2042-01-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371LSH3
        
          
        
        15203.56000000
        PA
        USD
        16646.23000000
        0.000906447494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0326A7
        
          
        
        51000000.00000000
        PA
        USD
        53773114.80000000
        2.928140796916
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCA7
        
          
        
        1550000.00000000
        PA
        USD
        1741022.00000000
        0.094804951609
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAE0
        
          
        
        475000.00000000
        PA
        USD
        562338.25000000
        0.030621353767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-06
          Fixed
          4.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YG9
        
          
        
        39030000.00000000
        PA
        USD
        41923708.79000000
        2.282897736585
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-09-30
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4AP6
        
          
        
        47346.98000000
        PA
        USD
        51926.48000000
        0.002827584845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PAW1
        
          
        
        210000.00000000
        PA
        USD
        225225.00000000
        0.012264316721
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2023-04-23
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        31394PP72
        
          
        
        385924.56000000
        PA
        USD
        436092.05000000
        0.023746791078
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CAY0
        
          
        
        24434.36000000
        PA
        USD
        26429.25000000
        0.001439168354
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CC1
        
          
        
        1075000.00000000
        PA
        USD
        1081976.75000000
        0.058917551545
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TV77
        
          
        
        1197265.56000000
        PA
        USD
        1299515.39000000
        0.070763318134
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226A4
        
          
        
        56000000.00000000
        PA
        USD
        58803931.20000000
        3.202086964949
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUWAIT INTL BOND
        549300FSC1YD0D9XX589
        Kuwait International Government Bond
        000000000
        
          
        
        4120000.00000000
        PA
        USD
        4631137.50000000
        0.252182204812
        Long
        DBT
        NUSS
        KW
        N
        
        2
        
          2027-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MFW52
        
          
        
        26380.12000000
        PA
        USD
        28898.69000000
        0.001573638303
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02222A SWAPTION APR21 0.506 CALL
        000000000
        
          
        
        -3900000.00000000
        NC
        USD
        -33337.59000000
        -0.00181535248
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -33337.59000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3900000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            9757.41000000
          
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
        
        1328237.79000000
        PA
        
        1706947.63000000
        0.092949478790
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAB9
        
          
        
        1475000.00000000
        PA
        USD
        1470427.50000000
        0.080070101344
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-09-02
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDU5
        
          
        
        500000.00000000
        PA
        USD
        692425.00000000
        0.037705048309
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-16
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8QW8
        
          
        
        2789686.25000000
        PA
        USD
        3057447.59000000
        0.166489091361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        68081.89000000
        PA
        USD
        74581.82000000
        0.004061250137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90351DAB3
        
          
        
        2550000.00000000
        PA
        USD
        2905750.50000000
        0.158228635561
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-24
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIS NORTH AMERICA INC
        5493004KVU1HWZCP0C66
        Willis North America Inc
        970648AJ0
        
          
        
        700000.00000000
        PA
        USD
        756014.00000000
        0.041167699596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214961  IRS NZD R F   .50000 2 CCPVANILLA / Short: SR214961  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        1820000.00000000
        OU
        Notional Amount
        
        -3992.05000000
        -0.00021738157
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            0.00000000
            NZD
            -9344.24000000
            NZD
            1820000.00000000
            NZD
            2284.93000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        American Campus Communities Operating Partnership LP
        024836AA6
        
          
        
        2575000.00000000
        PA
        USD
        2707715.50000000
        0.147444912787
        Long
        DBT
        
        US
        N
        
        2
        
          2023-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386PGT4
        
          
        
        15240.46000000
        PA
        USD
        17831.06000000
        0.000970965777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468C6
        
          
        
        700000.00000000
        PA
        USD
        791042.00000000
        0.043075101021
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2017 CO
        5493006V07LYI3HE6G83
        Huarong Finance 2017 Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        213062.50000000
        0.011602024559
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2027-11-07
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAM4
        
          
        
        325000.00000000
        PA
        USD
        347811.75000000
        0.018939609107
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AC1
        
          
        
        775000.00000000
        PA
        USD
        812672.75000000
        0.044252973677
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00772BAP6
        
          
        
        2075000.00000000
        PA
        USD
        2124986.75000000
        0.115713222466
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-07-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGC7
        
          
        
        5000000.00000000
        PA
        USD
        5731650.00000000
        0.312109095057
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-25
          Fixed
          4.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAY7
        
          
        
        125000.00000000
        PA
        USD
        159525.00000000
        0.008686713841
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NiSource Inc
        549300D8GOWWH0SJB189
        NiSource Inc
        65473QBE2
        
          
        
        2500000.00000000
        PA
        USD
        2787950.00000000
        0.151813971817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAY6
        
          
        
        1125000.00000000
        PA
        USD
        1212187.50000000
        0.066007998336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-14
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3133XV5J6
        
          
        
        2400000.00000000
        PA
        USD
        3196752.00000000
        0.174074720864
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-09-28
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOOKING HOLDINGS INC
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        09857LAP3
        
          
        
        575000.00000000
        PA
        USD
        647639.75000000
        0.035266329293
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-13
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital One NA
        207ALC1P1YM0OVDV0K75
        Capital One NA
        14042RHC8
        
          
        
        1700000.00000000
        PA
        USD
        1759177.00000000
        0.095793557093
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-08
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006024  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006024  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        4490000.00000000
        OU
        Notional Amount
        USD
        -111891.25000000
        -0.00609288368
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Mexico Government International Bond
                Mexico Government International Bond
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            0.00000000
            USD
            -149129.00000000
            USD
            4490000.00000000
            USD
            37237.75000000
          
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CQ9
        
          
        
        1200000.00000000
        PA
        USD
        1516776.00000000
        0.082593944983
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-06-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128K6NY2
        
          
        
        1892.06000000
        PA
        USD
        2167.86000000
        0.000118047826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KG9
        
          
        
        282199.01000000
        PA
        USD
        312989.07000000
        0.017043388099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAW9
        
          
        
        1782000.00000000
        PA
        USD
        2042884.80000000
        0.111242474023
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AF5
        
          
        
        1675000.00000000
        PA
        USD
        1866352.00000000
        0.101629623891
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2029-01-12
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CY1
        
          
        
        300000.00000000
        PA
        USD
        332508.00000000
        0.018106264510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        420000.00000000
        PA
        USD
        341363.40000000
        0.018588473102
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        8043011.70000000
        PA
        USD
        9071017.98000000
        0.493949772401
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLATION BRANDS INC
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBE7
        
          
        
        1425000.00000000
        PA
        USD
        1558508.25000000
        0.084866417095
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAA4
        
          
        
        825000.00000000
        PA
        USD
        885439.50000000
        0.048215386681
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAG0
        
          
        
        700000.00000000
        PA
        USD
        770378.00000000
        0.041949871403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CRED SUIS GP FUN LTD
        549300PXR5FKNXF0OH19
        Credit Suisse Group Funding Guernsey Ltd
        225433AR2
        
          
        
        683000.00000000
        PA
        USD
        795845.26000000
        0.043336655920
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2026-04-17
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAB8
        
          
        
        550000.00000000
        PA
        USD
        600127.00000000
        0.032679088026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WN5M7
        
          
        
        187686.05000000
        PA
        USD
        205839.46000000
        0.011208703878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EWUP8
        
          
        
        84158.10000000
        PA
        USD
        91029.00000000
        0.004956858638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABH7
        
          
        
        4175000.00000000
        PA
        USD
        4271985.25000000
        0.232625064418
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133KGF45
        
          
        
        318445.82000000
        PA
        USD
        347662.54000000
        0.018931484083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        OPS02258A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -8410000.00000000
        NC
        
        -27742.73000000
        -0.00151069209
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    IRS Swap
                    N/A
                    
                      
                    
                    8410000.00000000
                    OU
                    Notional Amount
                    N/A
                    -27742.73000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8410000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-21
            XXXX
            59400.77000000
          
        
        
          N
          N
          N
        
      
      
        AGREE LP
        549300DXY3G299V1BO77
        Agree LP
        008513AA1
        
          
        
        600000.00000000
        PA
        USD
        618150.00000000
        0.033660505632
        Long
        DBT
        
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAA8
        
          
        
        420000.00000000
        PA
        USD
        465150.00000000
        0.025329101666
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2027-10-11
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IHS Markit Ltd
        549300HLPTRASHS0E726
        IHS Markit Ltd
        44962LAC1
        
          
        
        2800000.00000000
        PA
        USD
        3122812.00000000
        0.170048420150
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335HYP2
        
          
        
        58242.26000000
        PA
        USD
        62896.11000000
        0.003424920917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        1570000.00000000
        PA
        USD
        1775817.19000000
        0.096699675688
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TCW Gem Ltd
        N/A
        TCW CLO 2020-1 Ltd
        87190CAG5
        
          
        
        4500000.00000000
        PA
        USD
        4504158.00000000
        0.245267711283
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-04-20
          Floating
          5.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        03523TBV9
        
          
        
        475000.00000000
        PA
        USD
        638813.25000000
        0.034785694410
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2049-01-23
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCU3
        
          
        
        1325000.00000000
        PA
        USD
        1626609.75000000
        0.088574790345
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REGENCY CENTERS LP
        5493008PTR2GAOYBXW28
        Regency Centers LP
        75884RAZ6
        
          
        
        1950000.00000000
        PA
        USD
        2017236.00000000
        0.109845803996
        Long
        DBT
        
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JJ7
        
          
        
        1025000.00000000
        PA
        USD
        921526.25000000
        0.050180440878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0506A9
        
          
        
        5000000.00000000
        PA
        USD
        5477751.50000000
        0.298283402443
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADOBE INC
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724PAC3
        
          
        
        1400000.00000000
        PA
        USD
        1500156.00000000
        0.081688925807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJX1
        
          
        
        6700000.00000000
        PA
        USD
        7030109.00000000
        0.382814888931
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY51
        
          
        
        5311.13000000
        PA
        USD
        5502.40000000
        0.000299625602
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBY0
        
          
        
        1425000.00000000
        PA
        USD
        1665126.75000000
        0.090672180453
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2060-04-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAE3
        
          
        
        850000.00000000
        PA
        USD
        927877.00000000
        0.050526262209
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCR0
        
          
        
        1275000.00000000
        PA
        USD
        1407243.00000000
        0.076629476547
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -5913.04000000
        -0.00032198643
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1426785.57000000
            CAD
            1066000.00000000
            USD
            2020-12-16
            -5913.04000000
          
        
        
          N
          N
          N
        
      
      
        BSPRT 2018-FL4 Issuer, Ltd.
        N/A
        BSPRT 2018-FL4 Issuer Ltd
        05586AAA6
        
          
        
        3100000.00000000
        PA
        USD
        3077591.03000000
        0.167585974602
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-09-15
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CV0
        
          
        
        805000.00000000
        PA
        USD
        862420.65000000
        0.046961926954
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-09
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBL8
        
          
        
        2600000.00000000
        PA
        USD
        2699814.00000000
        0.147014647503
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-07
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BM2
        
          
        
        500000.00000000
        PA
        USD
        516250.00000000
        0.028111681683
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-11-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPA4
        
          
        
        7332789.66000000
        PA
        USD
        7803710.94000000
        0.424940315541
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAQ1
        
          
        
        625000.00000000
        PA
        USD
        714087.50000000
        0.038884649868
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214356  IRS USD R F   .84500 2 CCPVANILLA / Short: SR214356  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        3200000.00000000
        OU
        Notional Amount
        USD
        -51862.40000000
        -0.00282409545
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-04-10
            115.20000000
            USD
            0.00000000
            USD
            3200000.00000000
            USD
            -51977.60000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214395  IRS AUD R F   .96000 2 CCPVANILLA / Short: SR214395  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        6450000.00000000
        OU
        Notional Amount
        
        55461.30000000
        0.003020068593
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-21
            1862.69000000
            AUD
            0.00000000
            AUD
            6450000.00000000
            AUD
            54284.17000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780BX3
        
          
        
        1380000.00000000
        PA
        USD
        1580531.25000000
        0.086065649184
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2027-01-08
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN ELECTRIC POWER
        1B4S6S7G0TW5EE83BO58
        American Electric Power Co Inc
        025537AN1
        
          
        
        850000.00000000
        PA
        USD
        876222.50000000
        0.047713487659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        American Campus Communities Operating Partnership LP
        024836AG3
        
          
        
        650000.00000000
        PA
        USD
        708487.00000000
        0.038579682365
        Long
        DBT
        
        US
        N
        
        2
        
          2031-01-30
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RQ36
        
          
        
        62595.20000000
        PA
        USD
        68307.17000000
        0.003719572725
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BM1
        
          
        
        3008000.00000000
        PA
        USD
        3118513.92000000
        0.169814374132
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-01-20
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DE5
        
          
        
        700000.00000000
        PA
        USD
        827806.00000000
        0.045077033933
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-20
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UDR INC
        P3CH2EG5X6Z1XWU1OO74
        UDR Inc
        90265EAT7
        
          
        
        475000.00000000
        PA
        USD
        471599.00000000
        0.025680273066
        Long
        DBT
        
        US
        N
        
        2
        
          2032-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        80765.12000000
        PA
        USD
        90213.78000000
        0.004912466957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417MFB4
        
          
        
        31104.76000000
        PA
        USD
        35258.86000000
        0.001919972588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAD2
        
          
        
        4025000.00000000
        PA
        USD
        4044803.00000000
        0.220254168348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02762A SWAPTION EUR006M OCT20 NEG0.23 CALL
        000000000
        
          
        
        -4000000.00000000
        NC
        
        -13583.07000000
        -0.00073964734
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    4000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -13583.07000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4000000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23000000
            EUR
            2020-10-21
            XXXX
            6418.27000000
          
        
        
          N
          N
          N
        
      
      
        CONCHO RESOURCES INC
        SYHS7HRDXLL4I0IQ8776
        Concho Resources Inc
        20605PAM3
        
          
        
        650000.00000000
        PA
        USD
        622531.00000000
        0.033899066944
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        2161587.30000000
        PA
        USD
        2327954.52000000
        0.126765552427
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY36
        
          
        
        8097.01000000
        PA
        USD
        8388.60000000
        0.000456789642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABD3
        
          
        
        375000.00000000
        PA
        USD
        406578.75000000
        0.022139685035
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET CORP
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BK8
        
          
        
        100000.00000000
        PA
        USD
        113782.00000000
        0.006195841869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-30
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED PARCEL SERVICE
        D01LMJZU09ULLNCY6Z23
        United Parcel Service Inc
        911312BW5
        
          
        
        1950000.00000000
        PA
        USD
        2874553.50000000
        0.156529845956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAC7
        
          
        
        1950000.00000000
        PA
        USD
        2054695.50000000
        0.111885609401
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JF5
        
          
        
        850000.00000000
        PA
        USD
        823497.00000000
        0.044842393281
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152BM2
        
          
        
        160000.00000000
        PA
        USD
        176424.00000000
        0.009606925577
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-02-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAE0
        
          
        
        950000.00000000
        PA
        USD
        959025.00000000
        0.052222383587
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          3.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BE0
        
          
        
        1883000.00000000
        PA
        USD
        1949921.82000000
        0.106180303171
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX002999  CDS USD R F  3.00000 2 CMBX / Short: CX002999  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2450000.00000000
        OU
        Notional Amount
        USD
        -687531.25000000
        -0.03743856590
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -677431.81000000
            USD
            2450000.00000000
            USD
            -10099.44000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPGT5
        
          
        
        76828.42000000
        PA
        USD
        84259.43000000
        0.004588231041
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417G4E3
        
          
        
        721727.86000000
        PA
        USD
        791534.97000000
        0.043101945023
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAG5
        
          
        
        550000.00000000
        PA
        USD
        591057.50000000
        0.032185220914
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02695A SWAPTION EUR006M DEC20 NEG0.15 CALL
        000000000
        
          
        
        -2110000.00000000
        NC
        
        -27090.85000000
        -0.00147519487
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2110000.00000000
                    OU
                    Notional Amount
                    N/A
                    -27090.85000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2110000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-12-01
            XXXX
            -5350.58000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        5287886.89000000
        PA
        USD
        5719657.66000000
        0.311456068723
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HEAL6
        
          
        
        725628.00000000
        PA
        USD
        798223.53000000
        0.043466161332
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        100000.00000000
        PA
        
        115522.94000000
        0.006290642356
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415RBP8
        
          
        
        916.44000000
        PA
        USD
        1019.35000000
        0.000055507298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
        
        990000.00000000
        PA
        USD
        1103540.63000000
        0.060091782887
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-02-11
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DD8
        
          
        
        1775000.00000000
        PA
        USD
        2016684.00000000
        0.109815745598
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-16
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214480  IRS USD R F   .98000 2 CCPVANILLA / Short: SR214480  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        11100000.00000000
        OU
        Notional Amount
        USD
        -30536.10000000
        -0.00166280120
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            0.00000000
            USD
            -16145.35000000
            USD
            11100000.00000000
            USD
            -14390.75000000
          
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        OHA Credit Funding 3 LTD
        67112RAC8
        
          
        
        2150000.00000000
        PA
        USD
        2154687.00000000
        0.117330508614
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-20
          Floating
          1.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -57748.14000000
        -0.00314459531
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1847114.37000000
            USD
            16686646.52000000
            NOK
            2020-12-16
            -57748.14000000
          
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAX8
        
          
        
        2175000.00000000
        PA
        USD
        2253778.50000000
        0.122726399569
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        American Express Co
        025816BM0
        
          
        
        650000.00000000
        PA
        USD
        672483.50000000
        0.036619161432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BN1
        
          
        
        2750000.00000000
        PA
        USD
        3086435.00000000
        0.168067560790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BJ7
        
          
        
        1200000.00000000
        PA
        USD
        1240836.00000000
        0.067568012888
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-03-13
          Fixed
          3.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAM8
        
          
        
        1400000.00000000
        PA
        USD
        1575938.00000000
        0.085815530091
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-23
          Fixed
          3.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2E3
        
          
        
        3825000.00000000
        PA
        USD
        4062073.50000000
        0.221194609604
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FU63
        
          
        
        474757.54000000
        PA
        USD
        520083.69000000
        0.028320439985
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174824M3
        
          
        
        2200000.00000000
        PA
        USD
        2381918.00000000
        0.129704059298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPK94
        
          
        
        2693177.63000000
        PA
        USD
        3065480.89000000
        0.166926533632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EJX1
        
          
        
        2400000.00000000
        PA
        USD
        2836824.00000000
        0.154475338074
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2024-04-26
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RD2
        
          
        
        13000000.00000000
        PA
        USD
        19311093.75000000
        1.051558974271
        Long
        DBT
        UST
        US
        N
        
        1
        
          2043-11-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Recette CLO LLC
        549300392I5L5XOJ0016
        Recette Clo Ltd
        75620TAR9
        
          
        
        4462659.32000000
        PA
        USD
        4441363.51000000
        0.241848323942
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-10-20
          Floating
          1.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02352A SWAPTION MAY21 0.48 PUT
        000000000
        
          
        
        -3300000.00000000
        NC
        USD
        -15747.27000000
        -0.00085749586
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15747.27000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3300000.00000000
                  USD
                
              
            
            1.00000000
            0.48000000
            USD
            2021-05-19
            XXXX
            17805.48000000
          
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        313383YJ4
        
          
        
        3500000.00000000
        PA
        USD
        3817275.00000000
        0.207864444939
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-09-08
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telefonica Emisiones SAU
        549300Y5MFC4SW5Z3K71
        Telefonica Emisiones SA
        87938WAV5
        
          
        
        1200000.00000000
        PA
        USD
        1371540.00000000
        0.074685318928
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2038-03-06
          Fixed
          4.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348AU0
        
          
        
        20000.00000000
        PA
        USD
        20681.00000000
        0.001126155329
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005871  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005871  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        2160000.00000000
        OU
        Notional Amount
        USD
        13394.59000000
        0.000729383923
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            9510.76000000
            USD
            0.00000000
            USD
            2160000.00000000
            USD
            3883.83000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAG5
        
          
        
        640000.00000000
        PA
        USD
        673600.00000000
        0.036679958900
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2050-01-31
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAG8
        
          
        
        1625000.00000000
        PA
        USD
        1781097.50000000
        0.096987207686
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Mexican States
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAE0
        
          
        
        1350000.00000000
        PA
        USD
        1452093.75000000
        0.079071762276
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2028-01-11
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        OPS02214A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -3930000.00000000
        NC
        
        -1939.69000000
        -0.00010562314
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    IRS Swap
                    N/A
                    
                      
                    
                    3930000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1939.69000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3930000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-02
            XXXX
            41912.88000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AU5
        
          
        
        1275000.00000000
        PA
        USD
        1497793.50000000
        0.081560279128
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371LZN2
        
          
        
        16982.60000000
        PA
        USD
        18594.09000000
        0.001012515524
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2019-BNK21
        06540BBD0
        
          
        
        950000.00000000
        PA
        USD
        1050337.10000000
        0.057194658045
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-10-17
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRNS5
        
          
        
        74360.83000000
        PA
        USD
        81553.17000000
        0.004440865385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214058  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214058  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        13110000.00000000
        OU
        Notional Amount
        
        -251647.94000000
        -0.01370314147
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-18
            0.00000000
            EUR
            -137977.79000000
            EUR
            13110000.00000000
            EUR
            306933.89000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAF0
        
          
        
        50000.00000000
        PA
        USD
        52932.50000000
        0.002882366277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANLEY BLACK & DECKER I
        549300DJ09SMTO561131
        Stanley Black & Decker Inc
        854502AH4
        
          
        
        1400000.00000000
        PA
        USD
        1697052.00000000
        0.092410625907
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W3FS7
        
          
        
        103597.35000000
        PA
        USD
        113488.02000000
        0.006179833594
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR PRODUCTS & CHEMICALS
        7QEON6Y1RL5XR3R1W237
        Air Products and Chemicals Inc
        009158BC9
        
          
        
        625000.00000000
        PA
        USD
        658312.50000000
        0.035847499173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AG1
        
          
        
        790000.00000000
        PA
        USD
        853437.00000000
        0.046472734685
        Long
        DBT
        
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214699  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR214699  IRS CAD P F  1.14000 2 CCPVANILLA
        000000000
        
          
        
        12770000.00000000
        OU
        Notional Amount
        
        10754.59000000
        0.000585626364
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-24
            0.00000000
            CAD
            -17811.41000000
            CAD
            12770000.00000000
            CAD
            23811.04000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BJ2
        
          
        
        6675000.00000000
        PA
        USD
        7376542.50000000
        0.401679447336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206A8
        
          
        
        82000000.00000000
        PA
        USD
        85204715.80000000
        4.639705275612
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP World PLC
        549300M3U2DNF4QVSS04
        DP World PLC
        23330JAA9
        
          
        
        100000.00000000
        PA
        USD
        124875.00000000
        0.006799895884
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2037-07-02
          Fixed
          6.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96949LAB1
        
          
        
        800000.00000000
        PA
        USD
        886632.00000000
        0.048280322624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410FXS9
        
          
        
        737384.16000000
        PA
        USD
        768211.32000000
        0.041831887833
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Floating
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214891  IRS CHF R F   .00000 CCPVANILLA / Short: SR214891  IRS CHF P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        13260000.00000000
        OU
        Notional Amount
        
        119697.76000000
        0.006517976421
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            67022.82000000
            CHF
            0.00000000
            CHF
            13260000.00000000
            CHF
            46684.16000000
          
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        N/A
        Access Group Inc 2015-1
        00435TAA9
        
          
        
        1136156.80000000
        PA
        USD
        1112598.48000000
        0.060585015615
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2056-07-25
          Floating
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214698  IRS CAD R F   .84000 2 CCPVANILLA / Short: SR214698  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        61850000.00000000
        OU
        Notional Amount
        
        59492.68000000
        0.003239591830
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-24
            34831.24000000
            CAD
            0.00000000
            CAD
            61850000.00000000
            CAD
            33917.86000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NXRK5
        
          
        
        32178.17000000
        PA
        USD
        35250.29000000
        0.001919505921
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAF7
        
          
        
        75000.00000000
        PA
        USD
        99978.75000000
        0.005444204930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-15
          Fixed
          5.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006016  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006016  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        4350000.00000000
        OU
        Notional Amount
        USD
        108807.42000000
        0.005924957977
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Qatar Government International Bond
                Qatar Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            101761.48000000
            USD
            0.00000000
            USD
            4350000.00000000
            USD
            7045.94000000
          
        
        
          N
          N
          N
        
      
      
        Harben Finance
        213800J7WLPUU61CJY65
        Harben Finance 2017-1 PLC
        000000000
        
          
        
        1650368.77000000
        PA
        
        2125493.13000000
        0.115740796691
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-08-20
          Floating
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214054  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214054  IRS EUR P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        3940000.00000000
        OU
        Notional Amount
        
        -275137.81000000
        -0.01498224994
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-06-20
            0.00000000
            EUR
            -235953.56000000
            EUR
            3940000.00000000
            EUR
            34814.98000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02740A SWAPTION EUR006M OCT20 NEG0.211 PUT
        000000000
        
          
        
        -4000000.00000000
        NC
        
        -8457.58000000
        -0.00046054585
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    4000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -8457.58000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4000000.00000000
                  EUR
                
              
            
            1.00000000
            -0.21100000
            EUR
            2020-10-14
            XXXX
            12661.22000000
          
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BM7
        
          
        
        4500000.00000000
        PA
        USD
        4728375.00000000
        0.257477138754
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        OHA Credit Funding 5 Ltd
        67113GAE7
        
          
        
        2000000.00000000
        PA
        USD
        1990152.00000000
        0.108370982133
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-18
          Floating
          2.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AP3
        
          
        
        1925000.00000000
        PA
        USD
        2223182.50000000
        0.121060336591
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2031-04-01
          Fixed
          4.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAD9
        
          
        
        1050000.00000000
        PA
        USD
        1133244.00000000
        0.061709238931
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-10-04
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214053  IRS USD R F  1.75000 2 CCPVANILLA / Short: SR214053  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        3190000.00000000
        OU
        Notional Amount
        USD
        114166.27000000
        0.006216766762
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-06-20
            139986.59000000
            USD
            0.00000000
            USD
            3190000.00000000
            USD
            -25820.32000000
          
        
        
          N
          N
          N
        
      
      
        PRINCIPAL FINANCIAL GRP
        CUMYEZJOAF02RYZ1JJ85
        Principal Financial Group Inc
        74251VAS1
        
          
        
        2250000.00000000
        PA
        USD
        2328592.50000000
        0.126800292748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132ADWG9
        
          
        
        703644.62000000
        PA
        USD
        770994.91000000
        0.041983464387
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARIZONA PUBLIC SERVICE
        YG6VT0TPHRH4TFVAQV64
        Arizona Public Service Co
        040555CW2
        
          
        
        1175000.00000000
        PA
        USD
        1287494.50000000
        0.070108737150
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SE9
        
          
        
        1820000.00000000
        PA
        USD
        2648100.00000000
        0.144198632962
        Long
        DBT
        UST
        US
        N
        
        1
        
          2048-11-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JZN2
        
          
        
        4000000.00000000
        PA
        USD
        4521520.00000000
        0.246213135045
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-23
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MEU3
        
          
        
        4200000.00000000
        PA
        USD
        6075762.00000000
        0.330847239382
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-05-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063A5E0
        
          
        
        950000.00000000
        PA
        USD
        1578852.50000000
        0.085974235168
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-04-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FY69
        
          
        
        150451.40000000
        PA
        USD
        165003.39000000
        0.008985032012
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286H8
        
          
        
        69420000.00000000
        PA
        USD
        71678861.55000000
        3.903173538705
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-03-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2C6
        
          
        
        1135000.00000000
        PA
        USD
        1234346.55000000
        0.067214638840
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENN VALLEY AUTHORITY
        549300HE1ISW43LNKM54
        Tennessee Valley Authority
        880591EL2
        
          
        
        5400000.00000000
        PA
        USD
        5474574.00000000
        0.298110376063
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2021-02-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VAZ6
        
          
        
        215000.00000000
        PA
        USD
        227523.75000000
        0.012389491981
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arch Capital Group Ltd
        549300AYR4P8AFKDCE43
        Arch Capital Group Ltd
        03937LAA3
        
          
        
        1125000.00000000
        PA
        USD
        1704037.50000000
        0.092791011675
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2034-05-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2005-16
        41161PYW7
        
          
        
        188325.86000000
        PA
        USD
        175019.60000000
        0.009530450912
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-19
          Floating
          0.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AH9
        
          
        
        1475000.00000000
        PA
        USD
        1563824.50000000
        0.085155906156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Catamaran CLO Ltd
        549300MB476AHX5W1918
        Catamaran CLO 2013-1 Ltd
        14889EAL0
        
          
        
        4384377.97000000
        PA
        USD
        4321203.47000000
        0.235305174702
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-27
          Floating
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitehorse Ltd
        549300GKZTMG24SVKU49
        WhiteHorse VIII Ltd
        96524WAS3
        
          
        
        759942.23000000
        PA
        USD
        758275.68000000
        0.041290856261
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-05-01
          Floating
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -287827.33000000
        -0.01567324025
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2130307945.00000000
            JPY
            19913328.27000000
            USD
            2020-10-09
            -287827.33000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
        
        900000.00000000
        PA
        USD
        975123.00000000
        0.053098977973
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        5617133.30000000
        PA
        USD
        6046513.32000000
        0.329254542855
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT DEC20 XCBT 20201221
        000000000
        
          
        
        -34.00000000
        NC
        USD
        60645.14000000
        0.003302347450
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Ultra Long Bond
                WNZ0 Comdty
              
            
            2020-12-21
            -7588457.64000000
            USD
            60645.14000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        10774.38000000
        0.000586704001
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            938000.00000000
            USD
            8488506.04000000
            SEK
            2020-12-16
            10774.38000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214854  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214854  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        17500000.00000000
        OU
        Notional Amount
        
        -138979.85000000
        -0.00756795603
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-12-16
            0.00000000
            EUR
            -89076.78000000
            EUR
            17500000.00000000
            EUR
            -33748.97000000
          
        
        
          N
          N
          N
        
      
      
        Zoetis Inc
        549300HD9Q1LOC9KLJ48
        Zoetis Inc
        98978VAP8
        
          
        
        100000.00000000
        PA
        USD
        130886.00000000
        0.007127216598
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAL7
        
          
        
        280000.00000000
        PA
        USD
        282819.60000000
        0.015400551223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-07-15
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AG5
        
          
        
        5100000.00000000
        PA
        USD
        5841591.00000000
        0.318095780570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLC Student Loan Trust
        N/A
        SLC Student Loan Trust 2006-2
        784428AE4
        
          
        
        415459.09000000
        PA
        USD
        413310.25000000
        0.022506239582
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-15
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAJ2
        
          
        
        1475000.00000000
        PA
        USD
        1686264.25000000
        0.091823193861
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746SH5
        
          
        
        2700000.00000000
        PA
        USD
        2947158.00000000
        0.160483423860
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-23
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02184A SWAPTION MAR20 0.395 CALL
        000000000
        
          
        
        -9900000.00000000
        NC
        USD
        -0.99000000
        -0.00000005390
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    9900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.99000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9900000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-09-30
            XXXX
            125729.01000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214471  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214471  IRS EUR P F   .26000 2 CCPVANILLA
        000000000
        
          
        
        4370000.00000000
        OU
        Notional Amount
        
        9209.68000000
        0.000501500421
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-05-21
            1242.13000000
            EUR
            0.00000000
            EUR
            4370000.00000000
            EUR
            44170.89000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02698A SWAPTION EUR006M DEC20 NEG0.15 CALL
        000000000
        
          
        
        -1430000.00000000
        NC
        
        -18466.27000000
        -0.00100555526
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1430000.00000000
                    OU
                    Notional Amount
                    N/A
                    -18466.27000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1430000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-12-02
            XXXX
            -2204.76000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005848  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005848  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        3580000.00000000
        OU
        Notional Amount
        USD
        -15543.29000000
        -0.00084638841
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Colombia Government International Bond
                Colombia Government International Bond
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -11851.11000000
            USD
            3580000.00000000
            USD
            -3692.18000000
          
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAP0
        
          
        
        825000.00000000
        PA
        USD
        827722.50000000
        0.045072487055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON NATIONAL BANK
        2WHM8VNJH63UN14OL754
        Huntington National Bank/The
        44644MAA9
        
          
        
        675000.00000000
        PA
        USD
        692685.00000000
        0.037719206251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-03
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cutwater Ltd
        254900Z407FNBKBWKE10
        Cutwater 2014-I Ltd
        23222TAL4
        
          
        
        1746301.15000000
        PA
        USD
        1739766.49000000
        0.094736584544
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-07-15
          Floating
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAP8
        
          
        
        1700000.00000000
        PA
        USD
        1707310.00000000
        0.092969211149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        21513108.39000000
        PA
        USD
        23269713.93000000
        1.267120176029
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828P46
        
          
        
        12140000.00000000
        PA
        USD
        12984109.38000000
        0.707031767243
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-02-15
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -64341.02000000
        -0.00350360149
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            3667335.02000000
            USD
            4795818.01000000
            CAD
            2020-12-16
            -64341.02000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AV6
        
          
        
        375000.00000000
        PA
        USD
        416748.75000000
        0.022693478357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-09
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAD2
        
          
        
        225000.00000000
        PA
        USD
        301628.25000000
        0.016424750316
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-05-25
          Fixed
          5.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GMA1
        
          
        
        28232.14000000
        PA
        USD
        30962.81000000
        0.001686037111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAQ4
        
          
        
        125000.00000000
        PA
        USD
        143133.75000000
        0.007794150931
        Long
        DBT
        
        US
        N
        
        2
        
          2050-07-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312943UP6
        
          
        
        2724.51000000
        PA
        USD
        3059.66000000
        0.000166609565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AP4
        
          
        
        750000.00000000
        PA
        USD
        858337.50000000
        0.046739584653
        Long
        DBT
        
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        874060AX4
        
          
        
        2400000.00000000
        PA
        USD
        2440488.00000000
        0.132893407863
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-03-31
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAD0
        
          
        
        1900000.00000000
        PA
        USD
        1974252.00000000
        0.107505169564
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
        
        1650000.00000000
        PA
        USD
        1888029.00000000
        0.102810015027
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31298EPA7
        
          
        
        9452.26000000
        PA
        USD
        11115.28000000
        0.000605267241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-12-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO II, Ltd.
        549300RT6H1EOIYTDV62
        Halseypoint Clo 2 Ltd
        40638TAE2
        
          
        
        3900000.00000000
        PA
        USD
        3934928.40000000
        0.214271098556
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452151LF8
        
          
        
        1170000.00000000
        PA
        USD
        1182390.30000000
        0.064385432909
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CW3
        
          
        
        2625000.00000000
        PA
        USD
        3166380.00000000
        0.172420855496
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDJ7
        
          
        
        725000.00000000
        PA
        USD
        798609.25000000
        0.043487165183
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stratton Mortgage Funding PLC
        213800RHNWAD2QXB3483
        Stratton Mortgage Funding 2019-1 PLC
        000000000
        
          
        
        3744873.01000000
        PA
        
        4833967.39000000
        0.263227026707
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-05-25
          Floating
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -29915.40000000
        -0.00162900184
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            9264348.60000000
            GBP
            11933481.55000000
            USD
            2021-01-13
            -29915.40000000
          
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAZ8
        
          
        
        1025000.00000000
        PA
        USD
        1046781.25000000
        0.057001029138
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAA6
        
          
        
        420000.00000000
        PA
        USD
        451668.00000000
        0.024594957952
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -114164.13000000
        -0.00621665023
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            13444019.75000000
            USD
            11348870.69000000
            EUR
            2020-12-16
            -114164.13000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDR2
        
          
        
        2175000.00000000
        PA
        USD
        2872827.00000000
        0.156435831780
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-03-15
          Fixed
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBC4
        
          
        
        3950000.00000000
        PA
        USD
        4485738.50000000
        0.244264702816
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KJ9
        
          
        
        2500000.00000000
        PA
        USD
        2854825.00000000
        0.155455557701
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-09
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02706A SWAPTION EUR006M DEC20 NEG0.20 CALL
        000000000
        
          
        
        -4380000.00000000
        NC
        
        -40236.85000000
        -0.00219104216
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    4380000.00000000
                    OU
                    Notional Amount
                    N/A
                    -40236.85000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4380000.00000000
                  EUR
                
              
            
            1.00000000
            -0.20000000
            EUR
            2020-12-03
            XXXX
            3906.74000000
          
        
        
          N
          N
          N
        
      
      
        Galaxy CLO Ltd
        5493006XOQ2X0XSJ4F36
        Galaxy XVIII CLO Ltd
        36321JAE4
        
          
        
        6000000.00000000
        PA
        USD
        5939304.00000000
        0.323416607209
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAF9
        
          
        
        2250000.00000000
        PA
        USD
        2209477.50000000
        0.120314049719
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AU8
        
          
        
        1325000.00000000
        PA
        USD
        1419181.00000000
        0.077279543871
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AN0
        
          
        
        3275000.00000000
        PA
        USD
        3935272.75000000
        0.214289849660
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2048-04-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AH1
        
          
        
        1181000.00000000
        PA
        USD
        1301580.10000000
        0.070875749069
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-29
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AU7
        
          
        
        3400000.00000000
        PA
        USD
        3434680.00000000
        0.187030761929
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GYKA6
        
          
        
        1139249.16000000
        PA
        USD
        1253225.46000000
        0.068242663844
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESSEX PORTFOLIO LP
        5493003GN3O58H286O74
        Essex Portfolio LP
        29717PAU1
        
          
        
        875000.00000000
        PA
        USD
        941788.75000000
        0.051283807367
        Long
        DBT
        
        US
        N
        
        2
        
          2030-01-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAT7
        
          
        
        645000.00000000
        PA
        USD
        722716.05000000
        0.039354505657
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EP2E3
        
          
        
        305686.27000000
        PA
        USD
        348135.21000000
        0.018957222675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDS0
        
          
        
        1343000.00000000
        PA
        USD
        1921174.93000000
        0.104614930927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          5.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BZY5
        
          
        
        69873.75000000
        PA
        USD
        76257.03000000
        0.004152471386
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JG3
        
          
        
        1475000.00000000
        PA
        USD
        1397252.75000000
        0.076085471263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780BZ8
        
          
        
        790000.00000000
        PA
        USD
        818637.50000000
        0.044577775911
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2022-01-08
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Emera US Finance LP
        N/A
        Emera US Finance LP
        29103DAF3
        
          
        
        950000.00000000
        PA
        USD
        962967.50000000
        0.052437066986
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-06-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RFW7
        
          
        
        1165000.00000000
        PA
        USD
        1410174.25000000
        0.076789093723
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USU7
        
          
        
        6085951.19000000
        PA
        USD
        6471093.31000000
        0.352374460585
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELANCO ANIMAL HEALTH INC
        549300SHPNDCE059M934
        Elanco Animal Health Inc
        28414HAE3
        
          
        
        650000.00000000
        PA
        USD
        695901.05000000
        0.037894331818
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-28
          Fixed
          5.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABA2
        
          
        
        2025000.00000000
        PA
        USD
        2221587.00000000
        0.120973455839
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBC2
        
          
        
        1575000.00000000
        PA
        USD
        1717175.25000000
        0.093506409730
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9HJ5
        
          
        
        634481.68000000
        PA
        USD
        695380.88000000
        0.037866006678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EGV8
        
          
        
        1200000.00000000
        PA
        USD
        1392732.00000000
        0.075839300058
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2023-12-04
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        500000.00000000
        PA
        USD
        522500.00000000
        0.028452016813
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-29
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
        
        900000.00000000
        PA
        USD
        928692.00000000
        0.050570641910
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        59022CAJ2
        
          
        
        350000.00000000
        PA
        USD
        493276.00000000
        0.026860664202
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-01-29
          Fixed
          6.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SK5
        
          
        
        78590000.00000000
        PA
        USD
        95953478.13000000
        5.225014302473
        Long
        DBT
        UST
        US
        N
        
        1
        
          2049-11-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -48805.17000000
        -0.00265761821
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2913782.35000000
            USD
            25632412.18000000
            SEK
            2020-12-16
            -48805.17000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6P76
        
          
        
        32563.72000000
        PA
        USD
        35672.65000000
        0.001942504952
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02702A  SWAPTION EUR006M DEC20 NEG0.20 CALL
        000000000
        
          
        
        -5900000.00000000
        NC
        
        -53915.33000000
        -0.00293588492
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    5900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -53915.33000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5900000.00000000
                  EUR
                
              
            
            1.00000000
            -0.20000000
            EUR
            2020-12-02
            XXXX
            -220.01000000
          
        
        
          N
          N
          N
        
      
      
        ADOBE INC
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724PAD1
        
          
        
        1850000.00000000
        PA
        USD
        1995151.00000000
        0.108643195783
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNAC HK FINBRIDGE CO LTD
        549300US1UQ7R7WABI28
        CNAC HK Finbridge Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        211875.00000000
        0.011537360884
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2029-06-19
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAF9
        
          
        
        2250000.00000000
        PA
        USD
        2444715.00000000
        0.133123583317
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAD0
        
          
        
        825000.00000000
        PA
        USD
        902550.00000000
        0.049147115358
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NXMW4
        
          
        
        25251.82000000
        PA
        USD
        27662.67000000
        0.001506332539
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BZ2
        
          
        
        4050000.00000000
        PA
        USD
        4412920.50000000
        0.240299499064
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-04
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DF6
        
          
        
        90000.00000000
        PA
        USD
        97380.00000000
        0.005302693583
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2031-01-23
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02773A SWAPTION EUR006M JAN21 NEG0.25 CALL
        000000000
        
          
        
        -3100000.00000000
        NC
        
        -25443.61000000
        -0.00138549668
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -25443.61000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3100000.00000000
                  EUR
                
              
            
            1.00000000
            -0.25000000
            EUR
            2021-01-14
            XXXX
            2489.06000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFB0
        
          
        
        3050000.00000000
        PA
        USD
        3376929.50000000
        0.183886038107
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-22
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BV0
        
          
        
        2200000.00000000
        PA
        USD
        2379168.00000000
        0.129554311842
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-06
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PAX9
        
          
        
        230000.00000000
        PA
        USD
        274562.50000000
        0.014950922232
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2028-04-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002967  CDS USD R F  1.00000 2 CCPCDX / Short: SX002967  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        41800000.00000000
        OU
        Notional Amount
        USD
        351579.80000000
        0.019144793073
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S34.V1
                2I65BYDW2
              
            
            Y
            
            sell protection
            2023-06-20
            486203.46000000
            USD
            0.00000000
            USD
            41800000.00000000
            USD
            -134623.66000000
          
        
        
          N
          N
          N
        
      
      
        HUNTINGTON BANCSHARES
        549300XTVCVV9I7B5T19
        Huntington Bancshares Inc/OH
        446150AM6
        
          
        
        1625000.00000000
        PA
        USD
        1849835.00000000
        0.100730213438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        2629683.84000000
        PA
        USD
        2619917.19000000
        0.142663976917
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        38.00000000
        NC
        USD
        -656.83000000
        -0.00003576677
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                5 Year US Treasury Note
                FVZ0 Comdty
              
            
            2020-12-31
            4788656.83000000
            USD
            -656.83000000
          
        
        
          N
          N
          N
        
      
      
        CSX CORP
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408HS5
        
          
        
        2250000.00000000
        PA
        USD
        2671942.50000000
        0.145496943414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371LMT3
        
          
        
        13381.85000000
        PA
        USD
        14651.66000000
        0.000797835936
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        390000.00000000
        PA
        USD
        401212.50000000
        0.021847473293
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2029-11-13
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EFG2
        
          
        
        4700000.00000000
        PA
        USD
        7052820.00000000
        0.384051585111
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2033-09-18
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAS5
        
          
        
        1150000.00000000
        PA
        USD
        1174702.00000000
        0.063966777137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-18
          Fixed
          3.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDQ2
        
          
        
        1975000.00000000
        PA
        USD
        2286378.50000000
        0.124501587604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02208A SWAPTION OCT20 0.395 CALL
        000000000
        
          
        
        -9900000.00000000
        NC
        USD
        -0.99000000
        -0.00000005390
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    9900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.99000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9900000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-10-02
            XXXX
            89594.01000000
          
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348AV8
        
          
        
        325000.00000000
        PA
        USD
        351390.00000000
        0.019134457776
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005864  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005864  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        2950000.00000000
        OU
        Notional Amount
        USD
        67845.28000000
        0.003694421143
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Prudential Financial Inc
                Prudential Financial Inc
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            37020.26000000
            USD
            0.00000000
            USD
            2950000.00000000
            USD
            30825.02000000
          
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AA9
        
          
        
        2125000.00000000
        PA
        USD
        2153687.50000000
        0.117276082220
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-09-15
          Fixed
          3.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AS4
        
          
        
        775000.00000000
        PA
        USD
        804457.75000000
        0.043805637183
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-13
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 Ltd
        549300BTYXZYFTGVBO58
        Zais Clo 15 Ltd
        98888DAA0
        
          
        
        3250000.00000000
        PA
        USD
        3272139.00000000
        0.178179815967
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-28
          Floating
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starbucks Corp
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244AQ2
        
          
        
        1850000.00000000
        PA
        USD
        2091221.50000000
        0.113874582350
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        84713.90000000
        PA
        USD
        93553.46000000
        0.005094324625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135AP1
        
          
        
        1300000.00000000
        PA
        USD
        1790386.00000000
        0.097493000141
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-12-05
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        102867.09000000
        PA
        USD
        112816.62000000
        0.006143273433
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214846  IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214846  IRS GBP P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        7290000.00000000
        OU
        Notional Amount
        
        -136424.59000000
        -0.00742881287
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-12-16
            0.00000000
            GBP
            -101711.47000000
            GBP
            7290000.00000000
            GBP
            -2496.10000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296PDW9
        
          
        
        1118.55000000
        PA
        USD
        1278.41000000
        0.000069614053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
        
        440000.00000000
        PA
        USD
        374893.77000000
        0.020414323152
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAR2
        
          
        
        2850000.00000000
        PA
        USD
        2981356.50000000
        0.162345656008
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02710A SWAPTION EUR006M OCT20 NEG0.191 CALL
        000000000
        
          
        
        -4000000.00000000
        NC
        
        -19482.83000000
        -0.00106091063
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    4000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19482.83000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4000000.00000000
                  EUR
                
              
            
            1.00000000
            -0.19100000
            EUR
            2020-10-05
            XXXX
            2867.61000000
          
        
        
          N
          N
          N
        
      
      
        AMDOCS LTD
        N/A
        Amdocs Ltd
        02342TAE9
        
          
        
        1225000.00000000
        PA
        USD
        1269871.75000000
        0.069149114606
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2030-06-15
          Fixed
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXBF6
        
          
        
        1762.31000000
        PA
        USD
        2029.73000000
        0.000110526147
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREAT-WEST LIFECO FIN 18
        N/A
        Great-West Lifeco Finance 2018 LP
        39138QAA3
        
          
        
        1125000.00000000
        PA
        USD
        1312987.50000000
        0.071496923302
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-05-17
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8KU6
        
          
        
        28773.80000000
        PA
        USD
        31733.12000000
        0.001727983279
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CL2
        
          
        
        1650000.00000000
        PA
        USD
        1710043.50000000
        0.093118060121
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAB0
        
          
        
        200000.00000000
        PA
        USD
        160812.50000000
        0.008756822878
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2046-10-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SASOL Financing USA LLC
        549300XRB1PFMESFEL85
        SASOL Financing USA LLC
        80386WAA3
        
          
        
        200000.00000000
        PA
        USD
        191750.00000000
        0.010441481768
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-27
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKG6
        
          
        
        325000.00000000
        PA
        USD
        325165.75000000
        0.017706452413
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAK6
        
          
        
        200000.00000000
        PA
        USD
        226437.50000000
        0.012330341736
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2032-04-27
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
        
        4325000.00000000
        PA
        USD
        4753607.50000000
        0.258851139738
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -38881.75000000
        -0.00211725206
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            34668139.32000000
            NOK
            3132000.00000000
            EUR
            2020-12-16
            -38881.75000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAK9
        
          
        
        2200000.00000000
        PA
        USD
        2587420.00000000
        0.140894387259
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RCT7
        
          
        
        400000.00000000
        PA
        USD
        457984.00000000
        0.024938887020
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-17
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164QNA2
        
          
        
        800000.00000000
        PA
        USD
        842880.00000000
        0.045897867811
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJZ6
        
          
        
        1325000.00000000
        PA
        USD
        1394218.00000000
        0.075920218138
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371K4S7
        
          
        
        6781.79000000
        PA
        USD
        7412.81000000
        0.000403654344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMWQ0
        
          
        
        218542.28000000
        PA
        USD
        239680.17000000
        0.013051453065
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBR9
        
          
        
        3250000.00000000
        PA
        USD
        3724305.00000000
        0.202801891823
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-11-21
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JAY4
        
          
        
        275000.00000000
        PA
        USD
        345914.25000000
        0.018836283362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AP2
        
          
        
        1125000.00000000
        PA
        USD
        1101735.00000000
        0.059993459796
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQHG1
        
          
        
        43805.28000000
        PA
        USD
        47987.47000000
        0.002613091489
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAD7
        
          
        
        1450000.00000000
        PA
        USD
        1450130.50000000
        0.078964856205
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-01-23
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAB1
        
          
        
        400000.00000000
        PA
        USD
        451648.00000000
        0.024593868879
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-04-11
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418PC86
        
          
        
        656183.28000000
        PA
        USD
        736870.50000000
        0.040125266708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY28
        
          
        
        8210.93000000
        PA
        USD
        8506.47000000
        0.000463208090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY FIN
        549300RLHFT5RU20WM87
        Berkshire Hathaway Finance Corp
        084664CU3
        
          
        
        2075000.00000000
        PA
        USD
        2157854.75000000
        0.117503004071
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-12
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285F3
        
          
        
        1500000.00000000
        PA
        USD
        1542656.25000000
        0.084003218300
        Long
        DBT
        UST
        US
        N
        
        1
        
          2021-10-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        46613.68000000
        PA
        USD
        51063.99000000
        0.002780619142
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust
        929227ZT6
        
          
        
        16992.50000000
        PA
        USD
        16733.41000000
        0.000911194761
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-02-25
          Variable
          3.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214873  IRS USD R F  1.00000 2 CCPVANILLA / Short: SR214873  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1270000.00000000
        OU
        Notional Amount
        USD
        39999.54000000
        0.002178119779
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            40505.56000000
            USD
            0.00000000
            USD
            1270000.00000000
            USD
            -506.02000000
          
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152GS4
        
          
        
        1595000.00000000
        PA
        USD
        1807055.25000000
        0.098400701158
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-07-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAW0
        
          
        
        1425000.00000000
        PA
        USD
        1570492.50000000
        0.085519002899
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L5TH6
        
          
        
        53783.59000000
        PA
        USD
        59276.52000000
        0.003227821136
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSJ5
        
          
        
        431796.55000000
        PA
        USD
        470022.55000000
        0.025594429655
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTHCARE REALTY TRUST
        549300CB86LH2IOKHH22
        Healthcare Realty Trust Inc
        421946AM6
        
          
        
        625000.00000000
        PA
        USD
        617768.75000000
        0.033639745189
        Long
        DBT
        
        US
        N
        
        2
        
          2031-03-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556BY7
        
          
        
        400000.00000000
        PA
        USD
        509076.00000000
        0.027721031409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-08-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02747A SWAPTION US0003M MAR21 0.70 CALL
        000000000
        
          
        
        -26000000.00000000
        NC
        USD
        -101649.60000000
        -0.00553518876
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    26000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -101649.60000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  26000000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2021-03-17
            XXXX
            17040.40000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        166326154.19000000
        NS
        USD
        166326154.19000000
        9.057061311948
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        8247499.86000000
        PA
        USD
        8786830.27000000
        0.478474722635
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZOETIS INC
        549300HD9Q1LOC9KLJ48
        Zoetis Inc
        98978VAS2
        
          
        
        3850000.00000000
        PA
        USD
        3975356.00000000
        0.216472527752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02746A SWAPTION US0003M MAR21 0.90 CALL
        000000000
        
          
        
        -26000000.00000000
        NC
        USD
        -171108.60000000
        -0.00931748280
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    26000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -171108.60000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  26000000.00000000
                  USD
                
              
            
            1.00000000
            0.90000000
            USD
            2021-03-17
            XXXX
            36891.40000000
          
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK CORP
        MP3J6QPYPGN75NVW2S34
        Kimberly-Clark Corp
        494368CB7
        
          
        
        350000.00000000
        PA
        USD
        400291.50000000
        0.021797321508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-26
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QDZ1
        
          
        
        5660.28000000
        PA
        USD
        6205.10000000
        0.000337890161
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02739A SWAPTION EUR006M OCT20 NEG0.211 CALL
        000000000
        
          
        
        -4000000.00000000
        NC
        
        -16151.20000000
        -0.00087949131
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    4000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -16151.20000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4000000.00000000
                  EUR
                
              
            
            1.00000000
            -0.21100000
            EUR
            2020-10-14
            XXXX
            4967.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAU0
        
          
        
        650000.00000000
        PA
        USD
        704522.00000000
        0.038363773759
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCT6
        
          
        
        1775000.00000000
        PA
        USD
        2135555.75000000
        0.116288742783
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JH1
        
          
        
        500000.00000000
        PA
        USD
        458205.00000000
        0.024950921270
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Municipal Power Inc
        EARKGGZJJEMVD66XQ486
        AMERICAN MUNI PWR-OHIO INC OH REVENUE
        02765UEQ3
        
          
        
        1700000.00000000
        PA
        USD
        2462739.00000000
        0.134105055377
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-02-15
          Fixed
          6.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A1MA0
        
          
        
        754711.46000000
        PA
        USD
        864225.90000000
        0.047060229353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        635400C9RW3TYNTIJP57
        AccessLex Institute
        00432CBN0
        
          
        
        1078028.18000000
        PA
        USD
        1041195.95000000
        0.056696889330
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-09-26
          Floating
          0.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179NLE6
        
          
        
        47449.35000000
        PA
        USD
        52105.44000000
        0.002837329865
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AH9
        
          
        
        1150000.00000000
        PA
        USD
        1273349.00000000
        0.069338463458
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USV5
        
          
        
        2547737.38000000
        PA
        USD
        2740640.08000000
        0.149237775378
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02776A SWAPTION EUR006M OCT20 NEG0.234 CALL
        000000000
        
          
        
        -4000000.00000000
        NC
        
        -15132.57000000
        -0.00082402322
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    4000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15132.57000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4000000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23400000
            EUR
            2020-10-28
            XXXX
            4122.93000000
          
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBB3
        
          
        
        1375000.00000000
        PA
        USD
        1599785.00000000
        0.087114085583
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCS3
        
          
        
        300000.00000000
        PA
        USD
        350109.00000000
        0.019064702687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-17
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BW8
        
          
        
        1000000.00000000
        PA
        USD
        1133640.00000000
        0.061730802564
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DV6
        
          
        
        1050000.00000000
        PA
        USD
        1381044.00000000
        0.075202846139
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CJ6
        
          
        
        3625000.00000000
        PA
        USD
        3610318.75000000
        0.196594927801
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-18
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameren Corp
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AJ1
        
          
        
        400000.00000000
        PA
        USD
        457140.00000000
        0.024892928164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tower Bridge Funding
        213800PP6P7OPYHE7T05
        Tower Bridge Funding No.1 PLC
        000000000
        
          
        
        649487.66000000
        PA
        
        838035.73000000
        0.045634079770
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-03-20
          Floating
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747WAL3
        
          
        
        550000.00000000
        PA
        USD
        572984.50000000
        0.031201080627
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-07-28
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBB0
        
          
        
        475000.00000000
        PA
        USD
        498279.75000000
        0.027133136506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TD AMERITRADE HOLDING CO
        ZI85ER3E6RXD4HPHW309
        TD Ameritrade Holding Corp
        87236YAE8
        
          
        
        1950000.00000000
        PA
        USD
        2014954.50000000
        0.109721568061
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIZENS BANK NA/RI
        DRMSV1Q0EKMEXLAU1P80
        Citizens Bank NA/Providence RI
        17401QAS0
        
          
        
        545000.00000000
        PA
        USD
        564538.25000000
        0.030741151733
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-02-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BP6
        
          
        
        105000.00000000
        PA
        USD
        128049.60000000
        0.006972764348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-15
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CK6
        
          
        
        1625000.00000000
        PA
        USD
        1737840.00000000
        0.094631680188
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAF6
        
          
        
        875000.00000000
        PA
        USD
        912520.00000000
        0.049690017956
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8MQ3
        
          
        
        762142.70000000
        PA
        USD
        838391.34000000
        0.045653444022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Entergy Corp
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364GAJ2
        
          
        
        1025000.00000000
        PA
        USD
        1131702.50000000
        0.061625298674
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NTU9
        
          
        
        20509.10000000
        PA
        USD
        22618.41000000
        0.001231654318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBS7
        
          
        
        4900000.00000000
        PA
        USD
        5789938.00000000
        0.315283087700
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZIMMER BIOMET HOLDINGS
        2P2YLDVPES3BXQ1FRB91
        Zimmer Biomet Holdings Inc
        98956PAT9
        
          
        
        2475000.00000000
        PA
        USD
        2767545.00000000
        0.150702845686
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-20
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WTT97
        
          
        
        94667.78000000
        PA
        USD
        103824.26000000
        0.005653606872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130A0F70
        
          
        
        750000.00000000
        PA
        USD
        824137.50000000
        0.044877270825
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-12-08
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RJF7
        
          
        
        3753836.81000000
        PA
        USD
        4096384.18000000
        0.223062950359
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EAST OHIO GAS CO/THE
        BC95Y6MXLT75BGO7UM71
        East Ohio Gas Co/The
        27409LAA1
        
          
        
        525000.00000000
        PA
        USD
        536093.25000000
        0.029192218492
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBE0
        
          
        
        340000.00000000
        PA
        USD
        438175.00000000
        0.023860215248
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2050-04-16
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CP2
        
          
        
        350000.00000000
        PA
        USD
        420196.00000000
        0.022881193601
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-04
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31329J6T9
        
          
        
        8062.36000000
        PA
        USD
        8835.85000000
        0.000481144024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXFW5
        
          
        
        75188.94000000
        PA
        USD
        86377.26000000
        0.004703554552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        235.16000000
        0.000012805313
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            865000.00000000
            USD
            91151970.00000000
            JPY
            2020-12-16
            235.16000000
          
        
        
          N
          N
          N
        
      
      
        MID-AMERICA APARTMENTS
        549300FXWGE3QSYCUJ38
        Mid-America Apartments LP
        59523UAS6
        
          
        
        1125000.00000000
        PA
        USD
        1104277.50000000
        0.060131908127
        Long
        DBT
        
        US
        N
        
        2
        
          2031-02-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJ3T5
        
          
        
        3286459.27000000
        PA
        USD
        3498939.58000000
        0.190529928724
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBD2
        
          
        
        280000.00000000
        PA
        USD
        324275.00000000
        0.017657947850
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2030-04-16
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005907  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005907  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1080000.00000000
        OU
        Notional Amount
        USD
        12182.62000000
        0.000663387768
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Saudi Government International Bond
                Saudi Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            12080.50000000
            USD
            0.00000000
            USD
            1080000.00000000
            USD
            102.12000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005911  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005911  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        2825000.00000000
        OU
        Notional Amount
        USD
        -27295.15000000
        -0.00148631974
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                General Electric Co
                General Electric Co
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -35900.86000000
            USD
            2825000.00000000
            USD
            8605.71000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BW2
        
          
        
        625000.00000000
        PA
        USD
        647150.00000000
        0.035239660632
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCS8
        
          
        
        1300000.00000000
        PA
        USD
        1490788.00000000
        0.081178804288
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132DMC60
        
          
        
        27723537.23000000
        PA
        USD
        30377132.75000000
        1.654144864575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W0FU8
        
          
        
        48281.47000000
        PA
        USD
        52891.01000000
        0.002880106996
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214052  IRS USD R F  1.75000 2 CCPVANILLA / Short: SR214052  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        4600000.00000000
        OU
        Notional Amount
        USD
        130392.52000000
        0.007100344825
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2040-06-19
            179455.69000000
            USD
            0.00000000
            USD
            4600000.00000000
            USD
            -49063.17000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KK0
        
          
        
        1040039.04000000
        PA
        USD
        1139864.69000000
        0.062069759473
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214055  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214055  IRS EUR P F   .75000 2 CCPVANILLA
        000000000
        
          
        
        4680000.00000000
        OU
        Notional Amount
        
        -268691.15000000
        -0.01463120596
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-06-19
            0.00000000
            EUR
            -221584.99000000
            EUR
            4680000.00000000
            EUR
            58966.78000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WLCY7
        
          
        
        1779810.22000000
        PA
        USD
        1969674.86000000
        0.107255927719
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214396  IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR214396  IRS AUD P F  1.36350 2 CCPVANILLA
        000000000
        
          
        
        1870000.00000000
        OU
        Notional Amount
        
        31008.82000000
        0.001688542522
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-04-21
            0.00000000
            AUD
            -1284.18000000
            AUD
            1870000.00000000
            AUD
            31820.48000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDC5
        
          
        
        25000.00000000
        PA
        USD
        30952.75000000
        0.001685489307
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Mexican States
        254900EGTWEU67VP6075
        Mexico Government International Bond
        000000000
        
          
        
        760000.00000000
        PA
        
        896074.05000000
        0.048794476433
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2026-04-08
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CX5
        
          
        
        200000.00000000
        PA
        USD
        260762.00000000
        0.014199435039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-16
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAG6
        
          
        
        2350000.00000000
        PA
        USD
        2283401.00000000
        0.124339451948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DTE ENERGY CO
        549300IX8SD6XXD71I78
        DTE Energy Co
        233331BE6
        
          
        
        1087000.00000000
        PA
        USD
        1122436.20000000
        0.061120715089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585AAG7
        
          
        
        600000.00000000
        PA
        USD
        642180.00000000
        0.034969026138
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NS63
        
          
        
        81601.47000000
        PA
        USD
        92478.79000000
        0.005035804953
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02770A SWAPTION EUR006M JAN21 NEG0.25 CALL
        000000000
        
          
        
        -3090000.00000000
        NC
        
        -25361.54000000
        -0.00138102767
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3090000.00000000
                    OU
                    Notional Amount
                    N/A
                    -25361.54000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3090000.00000000
                  EUR
                
              
            
            1.00000000
            -0.25000000
            EUR
            2021-01-14
            XXXX
            2660.65000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02767A SWAPTION US0003M OCT20 0.7 PUT
        000000000
        
          
        
        -5070000.00000000
        NC
        USD
        -28919.79000000
        -0.00157478727
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    5070000.00000000
                    OU
                    Notional Amount
                    N/A
                    -28919.79000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-28
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5070000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-26
            XXXX
            -2809.29000000
          
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        N/A
        Mountain View CLO 2016-1 LLC
        62432FAM6
        
          
        
        3500000.00000000
        PA
        USD
        3422419.00000000
        0.186363106085
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-14
          Floating
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HKK5
        
          
        
        2250000.00000000
        PA
        USD
        2221627.50000000
        0.120975661210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-11-01
          Variable
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCD2
        
          
        
        1264028.27000000
        PA
        USD
        1377210.88000000
        0.074994118876
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GULV7
        
          
        
        952650.03000000
        PA
        USD
        1056657.41000000
        0.057538821808
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02334A SWAPTION MAY21 0.448 PUT
        000000000
        
          
        
        -5200000.00000000
        NC
        USD
        -27404.00000000
        -0.00149224702
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    5200000.00000000
                    OU
                    Notional Amount
                    N/A
                    -27404.00000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5200000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            27170.00000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHZ5
        
          
        
        225000.00000000
        PA
        USD
        235215.00000000
        0.012808308391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-13
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAK6
        
          
        
        350000.00000000
        PA
        USD
        400932.00000000
        0.021832199052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHX0
        
          
        
        1325000.00000000
        PA
        USD
        1424255.75000000
        0.077555882383
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-22
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCW2
        
          
        
        29003.72000000
        PA
        USD
        31371.66000000
        0.001708300474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mars Inc
        54930073HKEO6GZBSS03
        Mars Inc
        571676AB1
        
          
        
        925000.00000000
        PA
        USD
        1056636.75000000
        0.057537696797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kilroy Realty LP
        5493008CT3N3JR7P1552
        Kilroy Realty LP
        49427RAN2
        
          
        
        1025000.00000000
        PA
        USD
        1192690.00000000
        0.064946288866
        Long
        DBT
        
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002829  CDS USD R F  1.00000 2I65BYDN2 / Short: SX002829  CDS USD P V 03MEVENT 2I65BYDN2
        000000000
        
          
        
        33100000.00000000
        OU
        Notional Amount
        USD
        97489.43000000
        0.005308652443
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S28.V1
                2I65BYDN2
              
            
            Y
            
            sell protection
            2022-06-20
            393031.40000000
            USD
            0.00000000
            USD
            33100000.00000000
            USD
            -295541.97000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M5R36
        
          
        
        162021.74000000
        PA
        USD
        185639.78000000
        0.010108758166
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -19522.44000000
        -0.00106306754
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            994983.60000000
            USD
            755575.67000000
            GBP
            2020-12-16
            -19522.44000000
          
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DAZ8
        
          
        
        1685000.00000000
        PA
        USD
        1800473.05000000
        0.098042276536
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-15
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214893  IRS NOK R F   .75000 2 CCPVANILLA / Short: SR214893  IRS NOK P V 06MNIBOR 1 CCPVANILLA
        000000000
        
          
        
        336790000.00000000
        OU
        Notional Amount
        
        215830.85000000
        0.011752771240
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            1288197.85000000
            NOK
            0.00000000
            NOK
            336790000.00000000
            NOK
            74735.02000000
          
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3137EAEX3
        
          
        
        31620000.00000000
        PA
        USD
        31535258.40000000
        1.717208999437
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-09-23
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DW4
        
          
        
        1550000.00000000
        PA
        USD
        2134117.50000000
        0.116210424863
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR PRODUCTS & CHEMICALS
        7QEON6Y1RL5XR3R1W237
        Air Products and Chemicals Inc
        009158BA3
        
          
        
        175000.00000000
        PA
        USD
        184058.00000000
        0.010022624517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Mexican States
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAF7
        
          
        
        450000.00000000
        PA
        USD
        504421.88000000
        0.027467597723
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2029-04-22
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306A1
        
          
        
        34000000.00000000
        PA
        USD
        35620304.00000000
        1.939654523062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W1LY1
        
          
        
        24028.33000000
        PA
        USD
        26352.40000000
        0.001434983594
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02204A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -4140000.00000000
        NC
        
        -1589.79000000
        -0.00008656982
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    4140000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1589.79000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4140000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-02
            XXXX
            44854.29000000
          
        
        
          N
          N
          N
        
      
      
        The Bancorp Commercial Mortgage Trust
        5493007HKNHP2VEB5M24
        Bancorp Commercial Mortgage 2018 CRE4 Trust
        05972LAA4
        
          
        
        473843.85000000
        PA
        USD
        469004.25000000
        0.025538979533
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-15
          Floating
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        34339.43000000
        0.001869906296
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            2587444.53000000
            AUD
            1887991.00000000
            USD
            2020-12-16
            34339.43000000
          
        
        
          N
          N
          N
        
      
      
        EAST OHIO GAS CO/THE
        BC95Y6MXLT75BGO7UM71
        East Ohio Gas Co/The
        27409LAC7
        
          
        
        525000.00000000
        PA
        USD
        540750.00000000
        0.029445795390
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02777A SWAPTION EUR006M OCT20 NEG0.234 PUT
        000000000
        
          
        
        -4000000.00000000
        NC
        
        -19852.39000000
        -0.00108103451
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    4000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19852.39000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4000000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23400000
            EUR
            2020-10-28
            XXXX
            -596.89000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WQQ39
        
          
        
        31009.26000000
        PA
        USD
        34008.54000000
        0.001851888137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elmwood CLO IV Ltd
        N/A
        Elmwood CLO IV Ltd
        29002GAB7
        
          
        
        14600000.00000000
        PA
        USD
        14483900.80000000
        0.788700840349
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BY8
        
          
        
        1925000.00000000
        PA
        USD
        1958822.25000000
        0.106664963810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2017-2
        59980AAQ0
        
          
        
        786052.96000000
        PA
        USD
        821661.16000000
        0.044742425146
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31298FT36
        
          
        
        4754.00000000
        PA
        USD
        5585.58000000
        0.000304155054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BN6
        
          
        
        875000.00000000
        PA
        USD
        1225988.75000000
        0.066759526369
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        13004739.66000000
        PA
        USD
        14140751.79000000
        0.770015134317
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK PLC
        PTCQB104N23FMNK2RZ28
        Santander UK PLC
        80283LAX1
        
          
        
        2325000.00000000
        PA
        USD
        2481054.00000000
        0.135102373440
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-18
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQTN3
        
          
        
        71158.60000000
        PA
        USD
        77952.27000000
        0.004244783342
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAG2
        
          
        
        1275000.00000000
        PA
        USD
        1299645.75000000
        0.070770416708
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RG5
        
          
        
        210000.00000000
        PA
        USD
        296362.50000000
        0.016138011163
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-05-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006012  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006012  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        4500000.00000000
        OU
        Notional Amount
        USD
        52182.90000000
        0.002841547843
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Peruvian Government International Bond
                Peruvian Government International Bond
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            39236.12000000
            USD
            0.00000000
            USD
            4500000.00000000
            USD
            12946.78000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        117598.23000000
        PA
        USD
        145379.07000000
        0.007916416734
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005903  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005903  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        20317.80000000
        0.001106377774
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Chile Government International Bond
                Chile Government International Bond
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            17870.62000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            2447.18000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVH46
        
          
        
        36600.57000000
        PA
        USD
        40140.66000000
        0.002185804274
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CY4
        
          
        
        675000.00000000
        PA
        USD
        818896.50000000
        0.044591879399
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-25
          Fixed
          4.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MNJQ4
        
          
        
        20118.06000000
        PA
        USD
        22038.78000000
        0.001200091366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AD6
        
          
        
        225000.00000000
        PA
        USD
        192937.50000000
        0.010506145442
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        400000.00000000
        PA
        USD
        354000.00000000
        0.019276581726
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-10-31
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAE7
        
          
        
        975000.00000000
        PA
        USD
        1100736.00000000
        0.059939060629
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-18
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213542  IRS NZD R V 03MNZDBB 1 CCPVANILLA / Short: BR213542  IRS NZD P F  1.75000 2 CCPVANILLA
        000000000
        
          
        
        8640000.00000000
        OU
        Notional Amount
        
        -258605.21000000
        -0.01408199001
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-03-19
            0.00000000
            NZD
            -379955.87000000
            NZD
            8640000.00000000
            NZD
            -9987.82000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGR4
        
          
        
        1550000.00000000
        PA
        USD
        1736899.00000000
        0.094580439331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-21
          Fixed
          3.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tyson Foods Inc
        WD6L6041MNRW1JE49D58
        Tyson Foods Inc
        902494BG7
        
          
        
        1250000.00000000
        PA
        USD
        1364200.00000000
        0.074285629352
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-28
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7M1
        
          
        
        3044271.00000000
        PA
        USD
        3316858.68000000
        0.180614964460
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAE9
        
          
        
        2900000.00000000
        PA
        USD
        2864907.10000000
        0.156004564550
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          3.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402AED4
        
          
        
        9724.89000000
        PA
        USD
        10629.75000000
        0.000578828374
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAG5
        
          
        
        1400000.00000000
        PA
        USD
        1521912.00000000
        0.082873618779
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-25
          Fixed
          4.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214463  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214463  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        37550000.00000000
        OU
        Notional Amount
        
        -140168.35000000
        -0.00763267416
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-05-18
            31076.24000000
            EUR
            0.00000000
            EUR
            37550000.00000000
            EUR
            -175143.90000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        220.00000000
        NC
        USD
        -24608.53000000
        -0.00134002355
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            30714608.53000000
            USD
            -24608.53000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAZ4
        
          
        
        1300000.00000000
        PA
        USD
        1464424.00000000
        0.079743189032
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT CPI LINKED
        353800WZS8AXZXFUC241
        Japanese Government CPI Linked Bond
        000000000
        
          
        
        2062054260.00000000
        PA
        
        19536187.32000000
        1.063816134153
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2029-03-10
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GL20
        
          
        
        329203.91000000
        PA
        USD
        361045.24000000
        0.019660220552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAJ4
        
          
        
        1225000.00000000
        PA
        USD
        1360276.75000000
        0.074071994184
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2039-11-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DC6
        
          
        
        475000.00000000
        PA
        USD
        430468.75000000
        0.023440582033
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAX9
        
          
        
        1000000.00000000
        PA
        USD
        1169690.00000000
        0.063693855590
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BGL8
        
          
        
        4150000.00000000
        PA
        USD
        4749924.00000000
        0.258650559826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VBJ8
        
          
        
        14675737.89000000
        PA
        USD
        15750922.81000000
        0.857694776294
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02709A SWAPTION EUR006M OCT20 NEG0.191 PUT
        000000000
        
          
        
        -4000000.00000000
        NC
        
        -1313.61000000
        -0.00007153082
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    4000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1313.61000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4000000.00000000
                  EUR
                
              
            
            1.00000000
            -0.19100000
            EUR
            2020-10-05
            XXXX
            21036.83000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2B6
        
          
        
        1550000.00000000
        PA
        USD
        1604870.00000000
        0.087390982245
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-04-08
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29273RAN9
        
          
        
        1375000.00000000
        PA
        USD
        1396505.00000000
        0.076044753568
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAF5
        
          
        
        1200000.00000000
        PA
        USD
        1192164.00000000
        0.064917646262
        Long
        DBT
        
        US
        N
        
        2
        
          2030-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2013-5
        64033GAA9
        
          
        
        389558.68000000
        PA
        USD
        377736.66000000
        0.020569128806
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLY FINANCIAL INC
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        02005NBL3
        
          
        
        975000.00000000
        PA
        USD
        973176.75000000
        0.052992997613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -37210.39000000
        -0.00202624046
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5998000.00000000
            NZD
            3930489.40000000
            USD
            2020-12-16
            -37210.39000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LZ2
        
          
        
        1795000.00000000
        PA
        USD
        1941956.65000000
        0.105746570825
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          4.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NASDAQ INC
        549300L8X1Q78ERXFD06
        Nasdaq Inc
        63111XAB7
        
          
        
        350000.00000000
        PA
        USD
        365750.00000000
        0.019916411769
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-28
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COSTAR GROUP INC
        N/A
        CoStar Group Inc
        22160NAA7
        
          
        
        2225000.00000000
        PA
        USD
        2297968.88000000
        0.125132725760
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DE7
        
          
        
        650000.00000000
        PA
        USD
        692542.50000000
        0.037711446610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIG GLOBAL FUNDING
        54930057MDZ7KOVOTV71
        AIG Global Funding
        00138CAK4
        
          
        
        474000.00000000
        PA
        USD
        488741.40000000
        0.026613738813
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICENOW INC
        549300HJTQM36M0E1G39
        ServiceNow Inc
        81762PAE2
        
          
        
        3400000.00000000
        PA
        USD
        3310648.00000000
        0.180276770447
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005852  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005852  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1225000.00000000
        OU
        Notional Amount
        USD
        -84503.81000000
        -0.00460153841
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Boeing Co/The
                Boeing Co/The
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            19783.93000000
            USD
            0.00000000
            USD
            1225000.00000000
            USD
            -104287.74000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAC3
        
          
        
        800000.00000000
        PA
        USD
        870680.00000000
        0.047411678466
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-06-27
          Fixed
          3.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2M4
        
          
        
        325000.00000000
        PA
        USD
        444918.50000000
        0.024227423239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-04-04
          Fixed
          5.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAC3
        
          
        
        4600000.00000000
        PA
        USD
        4614885.60000000
        0.251297230013
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAD5
        
          
        
        3000000.00000000
        PA
        USD
        3270870.00000000
        0.178110714323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFH2
        
          
        
        200000.00000000
        PA
        USD
        249034.00000000
        0.013560802976
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0406B8
        
          
        
        -2000000.00000000
        PA
        USD
        -2135234.80000000
        -0.11627126589
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        Impac CMB Trust Series 2004-8
        45254NKQ9
        
          
        
        154746.97000000
        PA
        USD
        147517.78000000
        0.008032877237
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGK2
        
          
        
        95310.53000000
        PA
        USD
        103091.94000000
        0.005613729397
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02687A SWAPTION EUR006M NOV20 NEG0.15 CALL
        000000000
        
          
        
        -6740000.00000000
        NC
        
        -86035.63000000
        -0.00468495156
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                  
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                    IRS Swap
                    N/A
                    
                      
                    
                    6740000.00000000
                    OU
                    Notional Amount
                    N/A
                    -86035.63000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6740000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-11-30
            XXXX
            -17869.12000000
          
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAC3
        
          
        
        400000.00000000
        PA
        USD
        426484.00000000
        0.023223597968
        Long
        DBT
        
        US
        N
        
        2
        
          2027-08-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BR9
        
          
        
        850000.00000000
        PA
        USD
        848929.00000000
        0.046227257763
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-18
          Floating
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAQ1
        
          
        
        550000.00000000
        PA
        USD
        590887.00000000
        0.032175936571
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-24
          Fixed
          3.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAN3
        
          
        
        1000000.00000000
        PA
        USD
        1311520.00000000
        0.071417012614
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          8.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAC4
        
          
        
        460000.00000000
        PA
        USD
        475525.00000000
        0.025894057981
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2022-10-11
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006022  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006022  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        4530000.00000000
        OU
        Notional Amount
        USD
        104132.92000000
        0.005670414527
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Philippine Government International Bond
                Philippine Government International Bond
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            100132.88000000
            USD
            0.00000000
            USD
            4530000.00000000
            USD
            4000.04000000
          
        
        
          N
          N
          N
        
      
      
        PFIZER INC
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081EW9
        
          
        
        675000.00000000
        PA
        USD
        749763.00000000
        0.040827310013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDK4
        
          
        
        1775000.00000000
        PA
        USD
        2006903.75000000
        0.109283175574
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        DBJPM 17-C6 Mortgage Trust
        23312JAQ6
        
          
        
        1757000.00000000
        PA
        USD
        1527079.86000000
        0.083155027467
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-06-10
          Variable
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VER1
        
          
        
        5066000.00000000
        PA
        USD
        6148097.60000000
        0.334786174707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214885  IRS AUD R F  1.00000 2 CCPVANILLA / Short: SR214885  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        7650000.00000000
        OU
        Notional Amount
        
        99972.21000000
        0.005443848803
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            102605.71000000
            AUD
            0.00000000
            AUD
            7650000.00000000
            AUD
            25259.84000000
          
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        Marsh & McLennan Cos Inc
        571748BG6
        
          
        
        1325000.00000000
        PA
        USD
        1602985.00000000
        0.087288337170
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XAZ9
        
          
        
        675000.00000000
        PA
        USD
        732678.75000000
        0.039897010743
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALGREENS BOOTS ALLIANCE
        549300RPTUOIXG4LIH86
        Walgreens Boots Alliance Inc
        931427AT5
        
          
        
        3050000.00000000
        PA
        USD
        3040911.00000000
        0.165588614161
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02751A SWAPTION US0003M OCT20 0.70 PUT
        000000000
        
          
        
        -5070000.00000000
        NC
        USD
        -24743.63000000
        -0.00134738024
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    5070000.00000000
                    OU
                    Notional Amount
                    N/A
                    -24743.63000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5070000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-19
            XXXX
            1430.24000000
          
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EF6
        
          
        
        700000.00000000
        PA
        USD
        787675.00000000
        0.042891755681
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2034-07-24
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        3238.90000000
        0.000176369832
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            862253.46000000
            EUR
            1015023.22000000
            USD
            2020-11-09
            3238.90000000
          
        
        
          N
          N
          N
        
      
      
        LAM RESEARCH CORP
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AV0
        
          
        
        1175000.00000000
        PA
        USD
        1216818.25000000
        0.066260159440
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285M8
        
          
        
        5560000.00000000
        PA
        USD
        6696325.00000000
        0.364639141601
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-11-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT DEC20 XCBT 20201221
        000000000
        
          
        
        -380.00000000
        NC
        USD
        94104.77000000
        0.005124345451
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US 10 Year Ultra Bond
                UXYZ0 Comdty
              
            
            2020-12-21
            -60816917.27000000
            USD
            94104.77000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214855  IRS EUR R F   .00000 CCPVANILLA / Short: SR214855  IRS EUR P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        5630000.00000000
        OU
        Notional Amount
        
        -23400.16000000
        -0.00127422343
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            0.00000000
            EUR
            -13534.61000000
            EUR
            5630000.00000000
            EUR
            37660.64000000
          
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAD4
        
          
        
        3350000.00000000
        PA
        USD
        3551000.00000000
        0.193364807088
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2019-3 Trust
        949831AA9
        
          
        
        772840.50000000
        PA
        USD
        791466.50000000
        0.043098216583
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CY3
        
          
        
        775000.00000000
        PA
        USD
        916918.00000000
        0.049929504980
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-16
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHT2
        
          
        
        2975000.00000000
        PA
        USD
        3370020.50000000
        0.183509818041
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBH2
        
          
        
        2275000.00000000
        PA
        USD
        2483936.00000000
        0.135259308775
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-01-16
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HRY8
        
          
        
        2150000.00000000
        PA
        USD
        2433864.50000000
        0.132532734306
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          3.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAJ5
        
          
        
        800000.00000000
        PA
        USD
        941328.00000000
        0.051258717861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-07-24
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAY7
        
          
        
        2350000.00000000
        PA
        USD
        2564437.50000000
        0.139642906921
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02763A SWAPTION EUR006M OCT20 NEG0.23 PUT
        000000000
        
          
        
        -4000000.00000000
        NC
        
        -15706.61000000
        -0.00085528178
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    4000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15706.61000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4000000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23000000
            EUR
            2020-10-21
            XXXX
            4294.73000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006017  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006017  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        3620000.00000000
        OU
        Notional Amount
        USD
        16005.47000000
        0.000871555792
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Saudi Government International Bond
                Saudi Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            5667.24000000
            USD
            0.00000000
            USD
            3620000.00000000
            USD
            10338.23000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02221A SWAPTION APR21 0.506 PUT
        000000000
        
          
        
        -3900000.00000000
        NC
        USD
        -13019.76000000
        -0.00070897307
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -13019.76000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3900000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            30075.24000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RD89
        
          
        
        25873.34000000
        PA
        USD
        28315.20000000
        0.001541865160
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214479  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214479  IRS USD P F  1.16000 2 CCPVANILLA
        000000000
        
          
        
        11970000.00000000
        OU
        Notional Amount
        USD
        143106.14000000
        0.007792647466
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-05-21
            17079.79000000
            USD
            0.00000000
            USD
            11970000.00000000
            USD
            126026.35000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WLA60
        
          
        
        2239604.32000000
        PA
        USD
        2478518.37000000
        0.134964299205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        423327.03000000
        PA
        USD
        534818.12000000
        0.029122783047
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214470  IRS EUR R F   .05000 2 CCPVANILLA / Short: SR214470  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        9160000.00000000
        OU
        Notional Amount
        
        68264.38000000
        0.003717242655
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            19632.21000000
            EUR
            0.00000000
            EUR
            9160000.00000000
            EUR
            121880.03000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABE4
        
          
        
        2650000.00000000
        PA
        USD
        3016333.35000000
        0.164250272131
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214462  IRS AUD R F   .55300 2 CCPVANILLA / Short: SR214462  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        50950000.00000000
        OU
        Notional Amount
        
        217446.75000000
        0.011840762845
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-05-16
            0.00000000
            AUD
            -45111.49000000
            AUD
            50950000.00000000
            AUD
            249239.00000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W7WP5
        
          
        
        60645.41000000
        PA
        USD
        66511.17000000
        0.003621774023
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Smithfield Foods Inc
        CVTIPZRZJC0JQEZLL598
        Smithfield Foods Inc
        832248BA5
        
          
        
        2350000.00000000
        PA
        USD
        2364875.50000000
        0.128776033468
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-10-03
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        8999732.21000000
        PA
        USD
        9780267.28000000
        0.532570964762
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AQ3
        
          
        
        2000000.00000000
        PA
        USD
        2432740.00000000
        0.132471501209
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-01-23
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ecolab Inc
        82DYEISM090VG8LTLS26
        Ecolab Inc
        278865BA7
        
          
        
        231000.00000000
        PA
        USD
        288431.22000000
        0.015706124250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAA7
        
          
        
        505000.00000000
        PA
        USD
        559666.25000000
        0.030475853693
        Long
        DBT
        
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NVU6
        
          
        
        1456.87000000
        PA
        USD
        1641.88000000
        0.000089406310
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W02A6
        
          
        
        20955.34000000
        PA
        USD
        22955.99000000
        0.001250036772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W0YR4
        
          
        
        15357.29000000
        PA
        USD
        16823.48000000
        0.000916099398
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -135837.72000000
        -0.00739685568
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            3118619.57000000
            USD
            27815785.01000000
            NOK
            2020-12-16
            -135837.72000000
          
        
        
          N
          N
          N
        
      
      
        NEW YORK LIFE INSURANCE
        TAE73CY392TBWJ3O3305
        New York Life Insurance Co
        64952GAT5
        
          
        
        925000.00000000
        PA
        USD
        1041836.75000000
        0.056731783210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0426A6
        
          
        
        -12000000.00000000
        PA
        USD
        -12981559.20000000
        -0.70689290070
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAH2
        
          
        
        2775000.00000000
        PA
        USD
        3073257.00000000
        0.167349970976
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX002981  CDS USD R F  3.00000 2 CMBX / Short: CX002981  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        900000.00000000
        OU
        Notional Amount
        USD
        -221460.30000000
        -0.01205931517
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -158442.02000000
            USD
            900000.00000000
            USD
            -63018.28000000
          
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13648TAA5
        
          
        
        575000.00000000
        PA
        USD
        600334.50000000
        0.032690387153
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-03-05
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MP3
        
          
        
        1425000.00000000
        PA
        USD
        1707192.75000000
        0.092962826462
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-31
          Fixed
          4.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468P7
        
          
        
        1325000.00000000
        PA
        USD
        1519390.75000000
        0.082736327588
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMKE0
        
          
        
        64058.16000000
        PA
        USD
        70173.93000000
        0.003821224566
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bacardi Ltd
        549300R32WTQNHNN5055
        Bacardi Ltd
        067316AH2
        
          
        
        1500000.00000000
        PA
        USD
        1899360.00000000
        0.103427029003
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2048-05-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468G7
        
          
        
        1150000.00000000
        PA
        USD
        1372076.50000000
        0.074714533295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-23
          Fixed
          4.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AB3
        
          
        
        1125000.00000000
        PA
        USD
        1070628.75000000
        0.058299611857
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
        
        8750000.00000000
        PA
        USD
        10101000.00000000
        0.550036022641
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MHKP7
        
          
        
        17524.88000000
        PA
        USD
        19198.02000000
        0.001045401699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKF83
        
          
        
        237687.46000000
        PA
        USD
        255477.70000000
        0.013911685771
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        98.00000000
        NC
        USD
        1500.04000000
        0.000081682609
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUZ0 Comdty
              
            
            2020-12-31
            21651140.54000000
            USD
            1500.04000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286U9
        
          
        
        8880000.00000000
        PA
        USD
        9166171.85000000
        0.499131245146
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-05-15
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GAX4
        
          
        
        581162.36000000
        PA
        USD
        637373.66000000
        0.034707303522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBB8
        
          
        
        1775000.00000000
        PA
        USD
        1937199.50000000
        0.105487526783
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-14
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BF2
        
          
        
        525000.00000000
        PA
        USD
        653614.50000000
        0.035591676063
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-22
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CU9
        
          
        
        474000.00000000
        PA
        USD
        508170.66000000
        0.027671732368
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBQ7
        
          
        
        225000.00000000
        PA
        USD
        264307.50000000
        0.014392500351
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2050-04-02
          Fixed
          5.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBD6
        
          
        
        1050000.00000000
        PA
        USD
        1122639.00000000
        0.061131758283
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BX6
        
          
        
        1100000.00000000
        PA
        USD
        1358192.00000000
        0.073958471999
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-06
          Fixed
          4.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BT5
        
          
        
        1600000.00000000
        PA
        USD
        1655056.00000000
        0.090123791653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-06
          Fixed
          2.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CG2
        
          
        
        555000.00000000
        PA
        USD
        589781.85000000
        0.032115757152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6A9
        
          
        
        1040266.90000000
        PA
        USD
        1158330.75000000
        0.063075303300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CW3
        
          
        
        4075000.00000000
        PA
        USD
        3458248.75000000
        0.188314165702
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QT50
        
          
        
        394451.14000000
        PA
        USD
        432418.09000000
        0.023546730654
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON AND CO
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887CJ6
        
          
        
        2225000.00000000
        PA
        USD
        2399729.25000000
        0.130673946350
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-20
          Fixed
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBL2
        
          
        
        1270000.00000000
        PA
        USD
        1313802.30000000
        0.071541292112
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-21
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DH7
        
          
        
        3875000.00000000
        PA
        USD
        4409672.50000000
        0.240122633704
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAJ9
        
          
        
        6675000.00000000
        PA
        USD
        8178343.50000000
        0.445340414863
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        American Express Co
        025816BK4
        
          
        
        700000.00000000
        PA
        USD
        773997.00000000
        0.042146939057
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164Q6M5
        
          
        
        3500000.00000000
        PA
        USD
        3741150.00000000
        0.203719163063
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2025-11-15
          Fixed
          3.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAY5
        
          
        
        410000.00000000
        PA
        USD
        519084.60000000
        0.028266035917
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OHIO POWER COMPANY
        06ZODLC132CY1O2Y7D77
        Ohio Power Co
        677415CS8
        
          
        
        675000.00000000
        PA
        USD
        740657.25000000
        0.040331468956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DA85
        
          
        
        963302.35000000
        PA
        USD
        1056132.67000000
        0.057510247815
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTERCARD INC
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636QAR5
        
          
        
        850000.00000000
        PA
        USD
        972017.50000000
        0.052929872254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-26
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM PJSC (GAZ FN)
        213800UNP9N6BPNYMQ45
        Gazprom PJSC via Gaz Finance PLC
        000000000
        
          
        
        1210000.00000000
        PA
        USD
        1212722.50000000
        0.066037131023
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2030-02-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAJ6
        
          
        
        625000.00000000
        PA
        USD
        664668.75000000
        0.036193620000
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-05
          Fixed
          2.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        N/A
        Higher Education Funding I
        429827AY4
        
          
        
        3292771.40000000
        PA
        USD
        3292762.51000000
        0.179302840758
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Orix Credit Alliance Owner Trust
        N/A
        Orec 2018-CRE1 Ltd
        685785AA5
        
          
        
        2450000.00000000
        PA
        USD
        2414103.34000000
        0.131456667595
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-06-15
          Floating
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300Y43K78UTRMTN21
        Palmer Square CLO 2019-1 Ltd
        69700GAA0
        
          
        
        6000000.00000000
        PA
        USD
        5993646.00000000
        0.326375725865
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-11-14
          Floating
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walmart Inc
        Y87794H0US1R65VBXU25
        Walmart Inc
        931142EC3
        
          
        
        800000.00000000
        PA
        USD
        1041376.00000000
        0.056706693705
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-06-29
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468L6
        
          
        
        8575000.00000000
        PA
        USD
        9154155.50000000
        0.498476911381
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-22
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CG5
        
          
        
        775000.00000000
        PA
        USD
        956295.75000000
        0.052073766042
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stryker Corp
        5493002F0SC4JTBU5137
        Stryker Corp
        863667AH4
        
          
        
        475000.00000000
        PA
        USD
        530632.00000000
        0.028894833656
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687FW1
        
          
        
        1800000.00000000
        PA
        USD
        1894464.00000000
        0.103160424076
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-13
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAY4
        
          
        
        1075000.00000000
        PA
        USD
        1209977.00000000
        0.065887628607
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAQ7
        
          
        
        850000.00000000
        PA
        USD
        927681.50000000
        0.050515616526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEU4
        
          
        
        2251000.00000000
        PA
        USD
        2696495.41000000
        0.146833938262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-03
          Fixed
          4.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31376KEV4
        
          
        
        8454.63000000
        PA
        USD
        9256.89000000
        0.000504071176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0426A2
        
          
        
        17000000.00000000
        PA
        USD
        18214898.20000000
        0.991867157583
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBQ2
        
          
        
        2225000.00000000
        PA
        USD
        2170621.00000000
        0.118198172606
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        380000.00000000
        PA
        USD
        424531.25000000
        0.023117263660
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-01-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2017 CO
        5493006V07LYI3HE6G83
        Huarong Finance 2017 Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        218500.00000000
        0.011898116121
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2027-04-27
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWMONT CORP
        549300VSP3RIX7FGDZ51
        Newmont Corp
        651639AY2
        
          
        
        2050000.00000000
        PA
        USD
        2118552.00000000
        0.115362827030
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02333A SWAPTION MAY21 0.448 CALL
        000000000
        
          
        
        -5200000.00000000
        NC
        USD
        -36320.44000000
        -0.00197777946
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    5200000.00000000
                    OU
                    Notional Amount
                    N/A
                    -36320.44000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5200000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            18253.56000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02748A SWAPTION US0003M MAR21 1.10 CALL
        000000000
        
          
        
        26000000.00000000
        NC
        USD
        276114.80000000
        0.015035450587
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    26000000.00000000
                    OU
                    Notional Amount
                    N/A
                    276114.80000000
                    0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  26000000.00000000
                  USD
                
              
            
            1.00000000
            1.10000000
            USD
            2021-03-17
            XXXX
            -35885.20000000
          
        
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AR9
        
          
        
        1075000.00000000
        PA
        USD
        1271961.50000000
        0.069262909059
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296RE37
        
          
        
        6112.02000000
        PA
        USD
        7260.93000000
        0.000395383928
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-11-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tower Bridge Funding
        21380047RBYCB9KTR712
        Tower Bridge Funding NO 2 PLC
        000000000
        
          
        
        1599305.10000000
        PA
        
        2061540.64000000
        0.112258352058
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-03-20
          Floating
          0.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISOURCE INC
        549300D8GOWWH0SJB189
        NiSource Inc
        65473PAJ4
        
          
        
        325000.00000000
        PA
        USD
        370360.25000000
        0.020167456574
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VCK8
        
          
        
        2750000.00000000
        PA
        USD
        3742007.50000000
        0.203765857043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-21
          Fixed
          4.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WK2U8
        
          
        
        327482.04000000
        PA
        USD
        359323.97000000
        0.019566491169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        12327006.10000000
        PA
        USD
        13396111.31000000
        0.729466764064
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300VI1BOFEK7C6D74
        Venture 39 CLO Ltd
        92332TAB8
        
          
        
        6900000.00000000
        PA
        USD
        6749000.40000000
        0.367507507853
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WAH5
        
          
        
        2310000.00000000
        PA
        USD
        2316450.68000000
        0.126139126687
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02694A SWAPTION EUR006M DEC20 0.10 PUT
        000000000
        
          
        
        -2110000.00000000
        NC
        
        -1544.94000000
        -0.00008412757
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2110000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1544.94000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-12-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2110000.00000000
                  EUR
                
              
            
            1.00000000
            0.10000000
            EUR
            2020-12-01
            XXXX
            4487.04000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NYHT5
        
          
        
        30642.55000000
        PA
        USD
        33568.06000000
        0.001827902406
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAY6
        
          
        
        1150000.00000000
        PA
        USD
        1206005.00000000
        0.065671338826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAN5
        
          
        
        965000.00000000
        PA
        USD
        1040327.90000000
        0.056649620865
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BL3
        
          
        
        490000.00000000
        PA
        USD
        512981.00000000
        0.027933672797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BD4
        
          
        
        225000.00000000
        PA
        USD
        233860.50000000
        0.012734550962
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-09
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAY2
        
          
        
        7500000.00000000
        PA
        USD
        8243100.00000000
        0.448866640752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          4.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BD2
        
          
        
        1336000.00000000
        PA
        USD
        1434650.24000000
        0.078121899999
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-12
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962G3P7
        
          
        
        700000.00000000
        PA
        USD
        815808.00000000
        0.044423699392
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-01-14
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAD1
        
          
        
        1675000.00000000
        PA
        USD
        1848128.00000000
        0.100637261108
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAF6
        
          
        
        1000000.00000000
        PA
        USD
        1077500.00000000
        0.058673776299
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIA Group Ltd
        ZP5ILWVSYE4LJGMMVD57
        AIA Group Ltd
        00131LAF2
        
          
        
        875000.00000000
        PA
        USD
        993965.00000000
        0.054124993094
        Long
        DBT
        CORP
        HK
        N
        
        2
        
          2028-04-06
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VDP2
        
          
        
        5000003.75000000
        PA
        USD
        5266604.45000000
        0.286785681071
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FY67
        
          
        
        8668.53000000
        PA
        USD
        9562.49000000
        0.000520712203
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBC3
        
          
        
        1750000.00000000
        PA
        USD
        1766555.00000000
        0.096195315907
        Long
        DBT
        
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        N/A
        CSAIL 2020-C19 Commercial Mortgage Trust
        12597NAE3
        
          
        
        1304000.00000000
        PA
        USD
        875289.12000000
        0.047662661739
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-03-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833DF4
        
          
        
        1925000.00000000
        PA
        USD
        2086507.50000000
        0.113617887982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-13
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BM8
        
          
        
        225000.00000000
        PA
        USD
        305194.50000000
        0.016618945541
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
        
        1110000.00000000
        PA
        USD
        1202196.60000000
        0.065463957657
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAP4
        
          
        
        975000.00000000
        PA
        USD
        1040500.50000000
        0.056659019560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KN0
        
          
        
        3175000.00000000
        PA
        USD
        3530790.50000000
        0.192264326641
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214872  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214872  IRS USD P F   .75000 2 CCPVANILLA
        000000000
        
          
        
        73460000.00000000
        OU
        Notional Amount
        USD
        -1104625.37000000
        -0.06015085090
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-12-16
            0.00000000
            USD
            -1111590.85000000
            USD
            73460000.00000000
            USD
            6965.48000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
        
        640000.00000000
        PA
        USD
        685644.80000000
        0.037335841870
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kilroy Realty LP
        5493008CT3N3JR7P1552
        Kilroy Realty LP
        49427RAJ1
        
          
        
        1500000.00000000
        PA
        USD
        1561275.00000000
        0.085017076650
        Long
        DBT
        
        US
        N
        
        2
        
          2023-01-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214363  IRS CAD R F  1.75000 2 CCPVANILLA / Short: SR214363  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        1070000.00000000
        OU
        Notional Amount
        
        56281.73000000
        0.003064743977
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-06-17
            46912.38000000
            CAD
            0.00000000
            CAD
            1070000.00000000
            CAD
            25804.28000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAN1
        
          
        
        4565000.00000000
        PA
        USD
        4999268.45000000
        0.272228267929
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAJ0
        
          
        
        2150000.00000000
        PA
        USD
        2285815.50000000
        0.124470930216
        Long
        DBT
        
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063BFV9
        
          
        
        172.72000000
        PA
        USD
        160.34000000
        0.000008731093
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-03-01
          Fixed
          7.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BZ1
        
          
        
        1625000.00000000
        PA
        USD
        1748873.75000000
        0.095232507826
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-11
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AS7
        
          
        
        2775000.00000000
        PA
        USD
        2966391.75000000
        0.161530771187
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206B0
        
          
        
        25000000.00000000
        PA
        USD
        25801312.50000000
        1.404974884312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        -24000000.00000000
        PA
        USD
        -24819885.60000000
        -1.35153263615
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAH8
        
          
        
        625000.00000000
        PA
        USD
        678931.25000000
        0.036970264765
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2029-11-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJY9
        
          
        
        3075000.00000000
        PA
        USD
        3235361.25000000
        0.176177134319
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN PENERBIT SBSN
        254900G208H6Q0L5B953
        Perusahaan Penerbit SBSN Indonesia III
        71567RAF3
        
          
        
        2030000.00000000
        PA
        USD
        2334500.00000000
        0.127121977512
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2026-03-29
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Newfield Exploration Co
        T8W3X1PFLPW2YE0UIP44
        Newfield Exploration Co
        651290AQ1
        
          
        
        1649000.00000000
        PA
        USD
        1595407.50000000
        0.086875714859
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        203247.42000000
        0.011067557915
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2030-09-30
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306B9
        
          
        
        26000000.00000000
        PA
        USD
        27244133.80000000
        1.483541728113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3133834G3
        
          
        
        6800000.00000000
        PA
        USD
        7147208.00000000
        0.389191353461
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-06-09
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02781A SWAPTION US0003M OCT20 0.703 CALL
        000000000
        
          
        
        -5070000.00000000
        NC
        USD
        -21354.84000000
        -0.00116284835
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    5070000.00000000
                    OU
                    Notional Amount
                    N/A
                    -21354.84000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5070000.00000000
                  USD
                
              
            
            1.00000000
            0.70300000
            USD
            2020-10-28
            XXXX
            3741.66000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        19665.81000000
        0.001070874558
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            2697130.00000000
            USD
            2104383.96000000
            GBP
            2020-12-16
            19665.81000000
          
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        549300FFTJ3WPTJK8589
        Madison Park Funding XXX LTD
        55821TAA5
        
          
        
        6900000.00000000
        PA
        USD
        6803883.00000000
        0.370496064136
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-15
          Floating
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAT7
        
          
        
        200000.00000000
        PA
        USD
        234124.00000000
        0.012748899491
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHK1
        
          
        
        1100000.00000000
        PA
        USD
        1319802.00000000
        0.071867997500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MCT46
        
          
        
        11923.67000000
        PA
        USD
        13062.05000000
        0.000711275916
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AH4
        
          
        
        599000.00000000
        PA
        USD
        602564.05000000
        0.032811794223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-01-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BX0
        
          
        
        550000.00000000
        PA
        USD
        558261.00000000
        0.030399332742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI CRUDE OIL
        549300DONDFW2383FV66
        Abu Dhabi Crude Oil Pipeline LLC
        00401MAB2
        
          
        
        1190000.00000000
        PA
        USD
        1457378.13000000
        0.079359515900
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2047-11-02
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2003-4
        81743PBJ4
        
          
        
        338944.76000000
        PA
        USD
        315745.86000000
        0.017193505296
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-07-20
          Floating
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358W4V3
        
          
        
        3320000.00000000
        PA
        USD
        3367575.60000000
        0.183376684384
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAZ3
        
          
        
        1750000.00000000
        PA
        USD
        1852305.00000000
        0.100864713881
        Long
        DBT
        
        US
        N
        
        2
        
          2025-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBD0
        
          
        
        125000.00000000
        PA
        USD
        158251.25000000
        0.008617353542
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-14
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAB2
        
          
        
        225000.00000000
        PA
        USD
        259929.00000000
        0.014154075173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9ME0
        
          
        
        4776717.17000000
        PA
        USD
        5235198.90000000
        0.285075535164
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJB6
        
          
        
        11075000.00000000
        PA
        USD
        11716796.25000000
        0.638021978760
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AH1
        
          
        
        1999000.00000000
        PA
        USD
        2349844.49000000
        0.127957540551
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295WVH7
        
          
        
        77687.87000000
        PA
        USD
        84750.82000000
        0.004614989005
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -26881.01000000
        -0.00146376832
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            1700065.39000000
            USD
            2335536.97000000
            AUD
            2020-12-16
            -26881.01000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBY6
        
          
        
        1173000.00000000
        PA
        USD
        1322686.53000000
        0.072025070603
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406VSY3
        
          
        
        150607.79000000
        PA
        USD
        155907.14000000
        0.008489708265
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Floating
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAE2
        
          
        
        1150000.00000000
        PA
        USD
        1366614.00000000
        0.074417080392
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-12
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 76 CLO Ltd
        26252WAA7
        
          
        
        6000000.00000000
        PA
        USD
        5962044.00000000
        0.324654882543
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2032-10-20
          Floating
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        American Express Co
        025816BL2
        
          
        
        1010000.00000000
        PA
        USD
        912787.50000000
        0.049704584300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-12-15
          Variable
          3.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GFQ4
        
          
        
        300429.34000000
        PA
        USD
        329487.53000000
        0.017941788982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON PETROLEUM CORP
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABG6
        
          
        
        2050000.00000000
        PA
        USD
        2212606.00000000
        0.120484407871
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02349A SWAPTION MAY21 0.49 CALL
        000000000
        
          
        
        -3200000.00000000
        NC
        USD
        -26423.04000000
        -0.00143883019
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3200000.00000000
                    OU
                    Notional Amount
                    N/A
                    -26423.04000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3200000.00000000
                  USD
                
              
            
            1.00000000
            0.49000000
            USD
            2021-05-18
            XXXX
            5896.96000000
          
        
        
          N
          N
          N
        
      
      
        Digital Realty Trust LP
        CD4SPTZ3YBTHY0C1AH38
        Digital Realty Trust LP
        25389JAS5
        
          
        
        1525000.00000000
        PA
        USD
        1595378.75000000
        0.086874149317
        Long
        DBT
        
        US
        N
        
        2
        
          2023-02-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAG8
        
          
        
        1225000.00000000
        PA
        USD
        1317414.00000000
        0.071737962254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AM3
        
          
        
        400000.00000000
        PA
        USD
        451756.00000000
        0.024599749870
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AC2
        
          
        
        1400000.00000000
        PA
        USD
        1588524.00000000
        0.086500883361
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2028-01-09
          Fixed
          4.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFE9
        
          
        
        1750000.00000000
        PA
        USD
        1974857.50000000
        0.107538141232
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-22
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        400.00000000
        NC
        USD
        -180399.17000000
        -0.00982338797
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            70630399.17000000
            USD
            -180399.17000000
          
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002956  CDS USD R F  3.00000 2 CMBX / Short: CX002956  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1100000.00000000
        OU
        Notional Amount
        USD
        -252085.90000000
        -0.01372698998
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                Markit CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -341216.81000000
            USD
            1100000.00000000
            USD
            89130.91000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402DDE7
        
          
        
        294892.24000000
        PA
        USD
        308385.42000000
        0.016792702688
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Floating
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
        
        1175000.00000000
        PA
        USD
        1280949.75000000
        0.069752351816
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AS5
        
          
        
        1025000.00000000
        PA
        USD
        1153381.25000000
        0.062805785104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEV56
        
          
        
        10075.06000000
        PA
        USD
        11530.21000000
        0.000627861681
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S2P1
        
          
        
        1856360.58000000
        PA
        USD
        1986035.91000000
        0.108146846130
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAD0
        
          
        
        230000.00000000
        PA
        USD
        234887.50000000
        0.012790474831
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-08-03
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390WL42
        
          
        
        11834.41000000
        PA
        USD
        12935.55000000
        0.000704387533
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAH5
        
          
        
        1625000.00000000
        PA
        USD
        1658881.25000000
        0.090332090365
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WWKV0
        
          
        
        38067.85000000
        PA
        USD
        41749.86000000
        0.002273431040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAC4
        
          
        
        975000.00000000
        PA
        USD
        1121025.75000000
        0.061043910980
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MP2W4
        
          
        
        18946.27000000
        PA
        USD
        20755.11000000
        0.001130190887
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226B2
        
          
        
        45000000.00000000
        PA
        USD
        47168784.00000000
        2.568511072588
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HBH76
        
          
        
        1427313.72000000
        PA
        USD
        1570109.46000000
        0.085498144984
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDH1
        
          
        
        325000.00000000
        PA
        USD
        381631.25000000
        0.020781203332
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L5TJ2
        
          
        
        15944.57000000
        PA
        USD
        17574.46000000
        0.000956992978
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABG9
        
          
        
        1350000.00000000
        PA
        USD
        1355157.00000000
        0.073793205260
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAC4
        
          
        
        2300000.00000000
        PA
        USD
        2309568.00000000
        0.125764339841
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
        
        1325000.00000000
        PA
        USD
        1366234.00000000
        0.074396388016
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DR5
        
          
        
        2075000.00000000
        PA
        USD
        2295738.50000000
        0.125011273494
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-30
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RAZ5
        
          
        
        525000.00000000
        PA
        USD
        537573.75000000
        0.029272837078
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING INT
        N/A
        Sasol Financing International Ltd
        803865AA2
        
          
        
        400000.00000000
        PA
        USD
        387000.00000000
        0.021073551209
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2022-11-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        20241.88000000
        0.001102243655
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2664121.84000000
            USD
            282796000.00000000
            JPY
            2020-12-16
            20241.88000000
          
        
        
          N
          N
          N
        
      
      
        CIT BANK NA
        FVPV0TNOIM6NUIE59530
        CIT Bank NA
        12556LBJ4
        
          
        
        1500000.00000000
        PA
        USD
        1487145.00000000
        0.080980429748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-27
          Fixed
          2.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBF5
        
          
        
        1775000.00000000
        PA
        USD
        2002910.00000000
        0.109065701426
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        360000.00000000
        PA
        
        429995.96000000
        0.023414836906
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        78013XKH0
        
          
        
        250000.00000000
        PA
        USD
        250525.00000000
        0.013641993324
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2021-04-30
          Floating
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DENTSPLY SIRONA INC
        9NHEHR1SOZCYXDO8HO28
        DENTSPLY SIRONA Inc
        24906PAA7
        
          
        
        1125000.00000000
        PA
        USD
        1222458.75000000
        0.066567305087
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGL CLO 3 Ltd.
        549300LS0REDUXQSHW18
        AGL CLO 3 LTD
        00119MAA7
        
          
        
        4100000.00000000
        PA
        USD
        4052952.50000000
        0.220697938130
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQM MIDSTREAM PARTNERS L
        549300NELT611CL6XM83
        EQM Midstream Partners LP
        26885BAC4
        
          
        
        775000.00000000
        PA
        USD
        778875.00000000
        0.042412563818
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
        
        975000.00000000
        PA
        USD
        931934.25000000
        0.050747194162
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stryker Corp
        5493002F0SC4JTBU5137
        Stryker Corp
        863667AM3
        
          
        
        575000.00000000
        PA
        USD
        579761.00000000
        0.031570085587
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-03-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NJM8
        
          
        
        22796.03000000
        PA
        USD
        25570.01000000
        0.001392379625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        5651030.54000000
        PA
        USD
        6141137.07000000
        0.334407148646
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KU4
        
          
        
        4925000.00000000
        PA
        USD
        5654441.75000000
        0.307904826297
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-25
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556BN1
        
          
        
        450000.00000000
        PA
        USD
        475789.50000000
        0.025908460963
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933VG6
        
          
        
        107851.35000000
        PA
        USD
        123213.65000000
        0.006709429361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214879  IRS CAD R F  1.25000 2 CCPVANILLA / Short: SR214879  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        115370000.00000000
        OU
        Notional Amount
        
        1614131.61000000
        0.087895310443
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-12-16
            2105464.99000000
            CAD
            0.00000000
            CAD
            115370000.00000000
            CAD
            18477.96000000
          
        
        
          N
          N
          N
        
      
      
        CNAC HK FINBRIDGE CO LTD
        549300US1UQ7R7WABI28
        CNAC HK Finbridge Co Ltd
        000000000
        
          
        
        260000.00000000
        PA
        USD
        256245.63000000
        0.013953502340
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2030-09-22
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002944  CDS USD R F  1.00000 2 CCPCDX / Short: SX002944  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        29800000.00000000
        OU
        Notional Amount
        USD
        207837.12000000
        0.011317483698
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S34.V1
                2I65BYDW2
              
            
            Y
            
            sell protection
            2025-06-20
            361490.46000000
            USD
            0.00000000
            USD
            29800000.00000000
            USD
            -153653.34000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179N5W4
        
          
        
        4728.16000000
        PA
        USD
        5183.26000000
        0.000282247274
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUKOIL SECURITIES BV
        724500IVNQ6LF8OFIO42
        Lukoil Securities BV
        54988LAB2
        
          
        
        790000.00000000
        PA
        USD
        834927.30000000
        0.045464814502
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-06
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Scholar Funding Trust
        N/A
        Scholar Funding Trust 2010-A
        80705RAA8
        
          
        
        998603.47000000
        PA
        USD
        971174.43000000
        0.052883964040
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-10-28
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BN5
        
          
        
        2300000.00000000
        PA
        USD
        2797605.00000000
        0.152339721524
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-03
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VAN3
        
          
        
        2460000.00000000
        PA
        USD
        1905245.40000000
        0.103747510342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2067-06-01
          Variable
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214324  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214324  IRS USD P F   .85500 2 CCPVANILLA
        000000000
        
          
        
        3190000.00000000
        OU
        Notional Amount
        USD
        61903.23000000
        0.003370855006
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2045-04-09
            114.84000000
            USD
            0.00000000
            USD
            3190000.00000000
            USD
            61788.39000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AW1
        
          
        
        250000.00000000
        PA
        USD
        313520.00000000
        0.017072299160
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telefonica Emisiones SAU
        549300Y5MFC4SW5Z3K71
        Telefonica Emisiones SA
        87938WAR4
        
          
        
        1375000.00000000
        PA
        USD
        1507467.50000000
        0.082087063455
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-04-27
          Fixed
          4.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CubeSmart LP
        549300MPHKO3I3FJRA97
        CubeSmart LP
        22966RAC0
        
          
        
        1500000.00000000
        PA
        USD
        1678635.00000000
        0.091407753575
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005905  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005905  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        170000.00000000
        OU
        Notional Amount
        USD
        4409.00000000
        0.000240086013
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Qatar Government International Bond
                Qatar Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            3031.78000000
            USD
            0.00000000
            USD
            170000.00000000
            USD
            1377.22000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0406A6
        
          
        
        -10000000.00000000
        PA
        USD
        -10625530.00000000
        -0.57859858030
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-18
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJ3P3
        
          
        
        3035659.67000000
        PA
        USD
        3255524.36000000
        0.177275088663
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W02X6
        
          
        
        18229.60000000
        PA
        USD
        19970.02000000
        0.001087439894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8DN2
        
          
        
        1732456.52000000
        PA
        USD
        1906321.70000000
        0.103806118774
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AN4
        
          
        
        1025000.00000000
        PA
        USD
        1047318.35000000
        0.057030276177
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-01
          Fixed
          3.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2020-10-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
StreetInsider

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Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

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