0001752724-24-147171.txt : 20240627
0001752724-24-147171.hdr.sgml : 20240627
20240627090913
ACCESSION NUMBER: 0001752724-24-147171
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240430
FILED AS OF DATE: 20240627
DATE AS OF CHANGE: 20240627
PERIOD START: 20241031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: HARTFORD MUTUAL FUNDS INC/CT
CENTRAL INDEX KEY: 0001006415
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07589
FILM NUMBER: 241075769
BUSINESS ADDRESS:
STREET 1: 690 LEE ROAD
CITY: WAYNE
STATE: PA
ZIP: 19087
BUSINESS PHONE: 610-386-4068
MAIL ADDRESS:
STREET 1: 690 LEE ROAD
CITY: WAYNE
STATE: PA
ZIP: 19087
FORMER COMPANY:
FORMER CONFORMED NAME: Hartford Multi-Asset Income & Growth Fund
DATE OF NAME CHANGE: 20190501
FORMER COMPANY:
FORMER CONFORMED NAME: HARTFORD MUTUAL FUNDS INC/CT
DATE OF NAME CHANGE: 19970613
FORMER COMPANY:
FORMER CONFORMED NAME: ITT HARTFORD MUTUAL FUNDS INC
DATE OF NAME CHANGE: 19960226
0001006415
S000003605
THE HARTFORD TOTAL RETURN BOND FUND
C000010042
Class A
ITBAX
C000010044
Class C
HABCX
C000010045
Class Y
HABYX
C000035179
Class I
ITBIX
C000040987
Class R3
ITBRX
C000040988
Class R4
ITBUX
C000040989
Class R5
ITBTX
C000148296
Class R6
ITBVX
C000185727
Class F
ITBFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001006415
XXXXXXXX
S000003605
C000010044
C000035179
C000010042
C000040987
C000010045
C000148296
C000040988
C000040989
C000185727
HARTFORD MUTUAL FUNDS INC/CT
811-07589
0001006415
549300FJ4Q3QXIS6ZN84
690 LEE ROAD
WAYNE
19087
610-386-4068
THE HARTFORD TOTAL RETURN BOND FUND
S000003605
SIKSVC7SX72QP7S0HI49
2024-10-31
2024-04-30
N
4207646349.69
994866477.72
3212779871.97
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
147911158.52000000
0.00000000
0.00000000
120844504.04000000
EUR
GBP
USD
N
Barclays US Aggregate
LBUSTRUU
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKP3
1420000.00000000
PA
USD
1372065.80000000
0.042706498878
Long
DBT
CORP
US
N
2
2028-04-27
Fixed
4.38000000
N
N
N
N
N
N
VERALTO CORP
635400FJE6GSOJUSNY27
Veralto Corp
92338CAC7
2005000.00000000
PA
USD
1989409.84000000
0.061921759948
Long
DBT
CORP
US
N
2
2028-09-18
Fixed
5.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418QMU4
868.82000000
PA
USD
861.94000000
0.000026828479
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Elmwood CLO 19 Ltd
N/A
Elmwood CLO 19 Ltd
29004JAN3
5245000.00000000
PA
USD
5281395.06000000
0.164387081296
Long
ABS-CBDO
CORP
KY
N
2
2036-10-17
Floating
7.72000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRJ8RDHSNEL96
Freddie Mac STACR REMIC Trust 2022-HQA3
35564KE47
1040000.00000000
PA
USD
1093300.00000000
0.034029720166
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Floating
8.88000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B22 Mortgage Trust
08163BBF7
14157247.90000000
PA
USD
1062992.71000000
0.033086384762
Long
ABS-MBS
CORP
US
N
2
2054-01-15
Variable
1.62000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBC6
2456560.38000000
PA
USD
1960738.65000000
0.061029349290
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B12 Mortgage Trust
08162FAK9
8095961.66000000
PA
USD
261218.63000000
0.008130610885
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
1.16000000
N
N
N
N
N
N
EVERGY INC
549300PGTHDQY6PSUI61
Evergy Inc
30034WAB2
1380000.00000000
PA
USD
1208995.91000000
0.037630835543
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WTZ1
10719238.58000000
PA
USD
9131759.97000000
0.284232357456
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200JMK3
113093.72000000
PA
USD
115844.33000000
0.003605735052
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
6.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-2
12669GPT2
271072.47000000
PA
USD
243369.73000000
0.007575051503
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.11000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GET2
4090000.00000000
PA
USD
3278735.08000000
0.102052901557
Long
DBT
CORP
US
N
2
2032-01-11
Fixed
2.40000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AE8
1265000.00000000
PA
USD
987613.15000000
0.030740143718
Long
DBT
CORP
CH
N
2
2032-02-11
Fixed
2.10000000
N
N
N
N
N
N
ENERGEAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energean Israel Finance Ltd
000000000
1180000.00000000
PA
USD
1004534.00000000
0.031266816900
Long
DBT
CORP
IL
N
2
2031-03-30
Fixed
5.88000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-R1
034651AA7
1026540.62000000
PA
USD
932379.85000000
0.029020968978
Long
ABS-MBS
CORP
US
N
2
2053-04-25
Variable
0.99000000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332BH4
1180000.00000000
PA
USD
1252718.95000000
0.038991745464
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
6.55000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NCB9
1410000.00000000
PA
USD
1393856.49000000
0.043384749206
Long
DBT
CORP
CA
N
2
2029-04-05
Fixed
5.30000000
N
N
N
N
N
N
Colombia Government International Bonds
549300MHDRBVRF6B9117
Colombia Government International Bonds
195325CU7
3900000.00000000
PA
USD
2685834.45000000
0.083598458563
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UXV9
1122845.73000000
PA
USD
1054316.69000000
0.032816337627
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
4.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CU1
1740000.00000000
PA
USD
1697165.31000000
0.052825446424
Long
DBT
CORP
US
N
2
2034-04-01
Fixed
5.60000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SN9
100845000.00000000
PA
USD
47590173.38000000
1.481277126864
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523CT5
3600000.00000000
PA
USD
3526437.82000000
0.109762821000
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CQD9
51494.45000000
PA
USD
46914.89000000
0.001460258463
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
3.00000000
N
N
N
N
N
N
BRAVO Residential Funding Trust
N/A
BRAVO Residential Funding Trust 2021-NQM1
10569TAA6
987470.86000000
PA
USD
860684.54000000
0.026789402769
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
0.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDJP7
84969.20000000
PA
USD
77868.19000000
0.002423701377
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738ECN3
1760000.00000000
PA
USD
1839291.52000000
0.057249223205
Long
DBT
CORP
GB
N
2
2029-12-15
Fixed
9.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: B9D0UTL09 IRS USD R V 12MSOFR 99D0UTL17 CCPOIS / Short: B9D0UTL09 IRS USD P F 2.88000 99D0UTL09 CCPOIS
000000000
7545000.00000000
OU
Notional Amount
USD
1503754.19000000
0.046805391278
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-03-15
84664.75000000
USD
0.00000000
USD
7545000.00000000
USD
1419089.44000000
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2021-MH1
14731QAA7
1531693.33000000
PA
USD
1300285.10000000
0.040472274846
Long
ABS-O
CORP
US
N
2
2046-02-25
Fixed
1.75000000
N
N
N
N
N
N
OHIO EDISON CO
N/A
Ohio Edison Co
677347CH7
1265000.00000000
PA
USD
1227969.54000000
0.038221402926
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
5.50000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
225458RW0
6933.04000000
PA
USD
6850.97000000
0.000213241189
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Fixed
4.88000000
N
N
N
N
N
N
TYSN 2023-CRNR Mortgage Trust
N/A
TYSN 2023-CRNR Mortgage Trust
87332PAA8
6345000.00000000
PA
USD
6500347.17000000
0.202327810464
Long
ABS-MBS
CORP
US
N
2
2033-12-10
Variable
6.80000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BP2
3040000.00000000
PA
USD
3118786.59000000
0.097074393960
Long
DBT
CORP
US
N
2
2030-10-06
Fixed
6.38000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040651
2300000.00000000
PA
USD
2057421.88000000
0.064038681826
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNK77
2024838.35000000
PA
USD
1843728.95000000
0.057387341289
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7T48
746016.43000000
PA
USD
743665.73000000
0.023147111213
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RBW6
1495000.00000000
PA
USD
1441282.50000000
0.044860916634
Long
DBT
CORP
US
N
2
2035-03-14
Fixed
5.19000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396UCL2
162029.85000000
PA
USD
164402.76000000
0.005117149837
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo Inc
74736KAJ0
1610000.00000000
PA
USD
1357358.00000000
0.042248708411
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.38000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAQ8
1935000.00000000
PA
USD
1854221.88000000
0.057713941007
Long
DBT
CORP
US
N
2
2034-04-01
Fixed
5.35000000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
254900SVG14IYL7QTZ56
Benefit Street Partners CLO XXXI Ltd
08183DAE3
4255000.00000000
PA
USD
4277334.50000000
0.133135000543
Long
ABS-CBDO
CORP
JE
N
2
2036-04-25
Floating
7.67000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DR5
2625000.00000000
PA
USD
2531130.13000000
0.078783179391
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
5.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGLE7
3173236.04000000
PA
USD
2446675.73000000
0.076154477664
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LBS33
17435.48000000
PA
USD
17436.63000000
0.000542727192
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172DE6
2090000.00000000
PA
USD
2071202.81000000
0.064467622823
Long
DBT
CORP
US
N
2
2033-09-07
Fixed
5.63000000
N
N
N
N
N
N
NiSource Inc
549300D8GOWWH0SJB189
NiSource Inc
65473QBE2
345000.00000000
PA
USD
325163.72000000
0.010120946126
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.49000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N56C3
672052.62000000
PA
USD
637251.33000000
0.019834889267
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.00000000
N
N
N
N
N
N
HTL Commercial Mortgage Trust
N/A
HTL Commercial Mortgage Trust 2024-T53
404300AC9
1990000.00000000
PA
USD
1973920.00000000
0.061439627944
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
6.56000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379XH52
380164.14000000
PA
USD
6727.00000000
0.000209382536
Long
ABS-MBS
USGA
US
N
2
2029-05-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379LS49
681240.95000000
PA
USD
129932.88000000
0.004044250934
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CJ6
3130000.00000000
PA
USD
2818391.54000000
0.087724389852
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A5SN0
5093.85000000
PA
USD
5157.09000000
0.000160518000
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-1
35563PNN5
2145309.01000000
PA
USD
1717115.41000000
0.053446407112
Long
ABS-MBS
USGSE
US
N
2
2059-08-25
Fixed
2.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B8 Mortgage Trust
08162UAY6
30765217.20000000
PA
USD
661289.11000000
0.020583081827
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Variable
0.78000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140CJ7
670000.00000000
PA
USD
639356.10000000
0.019900401691
Long
DBT
CORP
US
N
2
2053-02-10
Fixed
5.70000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AG2
4965000.00000000
PA
USD
4398417.04000000
0.136903778512
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.38000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LLC
N/A
Domino's Pizza Master Issuer LLC
25755TAH3
2505100.00000000
PA
USD
2368050.24000000
0.073707204799
Long
ABS-O
CORP
US
N
2
2047-07-25
Fixed
4.12000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQA9
10499141.88000000
PA
USD
8614200.49000000
0.268122959968
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-1F
3622MPBG2
1538754.19000000
PA
USD
352631.22000000
0.010975891099
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.73000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNE4
3145003.89000000
PA
USD
2581679.79000000
0.080356572590
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
SS&C Technologies Inc
549300KY09TR3J12JU49
SS&C Technologies Inc
78466CAC0
7900000.00000000
PA
USD
7678942.83000000
0.239012417159
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.50000000
N
N
N
N
N
N
Stack Infrastructure Issuer LLC
N/A
Stack Infrastructure Issuer LLC
85236KAH5
3545000.00000000
PA
USD
3436810.15000000
0.106973097658
Long
ABS-O
CORP
US
N
2
2048-07-25
Fixed
5.90000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325YRN0
6311262.36000000
PA
USD
784493.00000000
0.024417888285
Long
ABS-MBS
USGSE
US
N
2
2052-06-15
Fixed
2.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R1
92538BAA1
509444.83000000
PA
USD
457366.63000000
0.014235853317
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
0.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LKWY5
2011524.00000000
PA
USD
1920336.55000000
0.059771805929
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
4.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NQDL9
52182.97000000
PA
USD
50673.82000000
0.001577257764
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-1 Trust
05951FAK0
34715.77000000
PA
USD
29964.98000000
0.000932680768
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
6.35000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMN9
1529000.00000000
PA
USD
1033292.01000000
0.032161929891
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
REGAL REXNORD CORP
QH78R09VCJGQKPBPYU33
Regal Rexnord Corp
758750AD5
5350000.00000000
PA
USD
5340029.37000000
0.166212114828
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
6.05000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3E9
3495000.00000000
PA
USD
2793906.95000000
0.086962290021
Long
DBT
CORP
US
N
2
2031-10-04
Fixed
2.65000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISOMSKCX2AW62
Freddie Mac STACR REMIC Trust 2021-DNA7
35564KND7
3019000.00000000
PA
USD
3139964.08000000
0.097733558012
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
8.98000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Bonds
912810SM1
41525988.00000000
PA
USD
24274499.23000000
0.755560610976
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCB9
1228000.00000000
PA
USD
1189383.33000000
0.037020380399
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.30000000
N
N
N
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAB1
2405000.00000000
PA
USD
2074312.50000000
0.064564414079
Long
DBT
CORP
KY
N
2
2028-11-29
Fixed
6.25000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAB1
940000.00000000
PA
USD
872111.98000000
0.027145089758
Long
DBT
US
N
2
2029-12-01
Fixed
4.63000000
N
N
N
N
N
N
CONSTELLATION SOFTWARE
549300B6PYHMCTDWQV29
Constellation Software Inc/Canada
21037XAC4
180000.00000000
PA
USD
176019.32000000
0.005478723317
Long
DBT
CORP
CA
N
2
2029-02-16
Fixed
5.16000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F060659
193140000.00000000
PA
USD
191344925.94000000
5.955743423612
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAM8
1785000.00000000
PA
USD
1662958.53000000
0.051760736691
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.51000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140CK4
885000.00000000
PA
USD
861624.37000000
0.026818655629
Long
DBT
CORP
US
N
2
2063-02-10
Fixed
5.90000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442RAB7
1035000.00000000
PA
USD
845751.60000000
0.026324604663
Long
DBT
CORP
US
N
2
2044-03-30
Fixed
4.38000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QS17 Trust
761118PY8
465997.81000000
PA
USD
386155.52000000
0.012019358169
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
55037AAA6
2018000.00000000
PA
USD
1859649.34000000
0.057882874460
Long
DBT
CORP
NO
N
2
2026-07-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQJD9
1848890.04000000
PA
USD
1763989.12000000
0.054905383820
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BG8
1825000.00000000
PA
USD
1795833.53000000
0.055896563149
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LKFG3
760000.00000000
PA
USD
745147.62000000
0.023193236066
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N0BD6
739601.54000000
PA
USD
701091.34000000
0.021821953820
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QFZ3
24828.84000000
PA
USD
84.15000000
0.000002619227
Long
ABS-MBS
USGA
US
N
2
2026-12-16
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LB3Q9
85926.67000000
PA
USD
86940.76000000
0.002706091405
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2017-4
64829NAA2
1081952.92000000
PA
USD
1000665.36000000
0.031146402799
Long
ABS-MBS
CORP
US
N
2
2057-05-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDR42
4934559.71000000
PA
USD
801452.93000000
0.024945777860
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K69 Mortgage Trust
30305KAG9
440000.00000000
PA
USD
410518.72000000
0.012777679653
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Variable
3.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378MSZ9
146386.14000000
PA
USD
3952.89000000
0.000123036440
Long
ABS-MBS
USGA
US
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-AR9
45669YAC6
851430.98000000
PA
USD
517649.69000000
0.016112205337
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
3.86000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A2
46630PAE5
45220.27000000
PA
USD
32573.38000000
0.001013869026
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
5.31000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJJH4
13660.47000000
PA
USD
13617.40000000
0.000423851011
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-1
03465CAA3
1711848.60000000
PA
USD
1415578.96000000
0.044060876138
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
0.91000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300MNOMKDMDFI8J66
Hertz Vehicle Financing III LLC
42806MCA5
6805000.00000000
PA
USD
6774356.40000000
0.210856537639
Long
ABS-O
CORP
US
N
2
2028-02-25
Fixed
5.94000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2022-PSB
05606DAS7
3393565.43000000
PA
USD
3408317.94000000
0.106086257877
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Floating
7.77000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FGE0
1543859.50000000
PA
USD
1517188.08000000
0.047223530414
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC29
17323VBF1
11751176.16000000
PA
USD
71289.69000000
0.002218941005
Long
ABS-MBS
CORP
US
N
2
2048-04-10
Variable
1.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WLUG9
50581.41000000
PA
USD
48852.97000000
0.001520582546
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P76P3
635920.72000000
PA
USD
593876.29000000
0.018484811087
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AKXK4
673208.61000000
PA
USD
30272.37000000
0.000942248495
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Variable
0.04000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AZ1
5175000.00000000
PA
USD
5294198.62000000
0.164785600974
Long
DBT
CORP
CH
N
2
2033-08-12
Fixed
6.54000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWF57
1093950.44000000
PA
USD
1037119.05000000
0.032281049163
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ASAD8
1209790.18000000
PA
USD
234706.55000000
0.007305404022
Long
ABS-MBS
USGSE
US
N
2
2043-12-25
Fixed
5.00000000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
000000000
7085000.00000000
PA
6110326.80000000
0.190188156160
Long
DBT
NUSS
HU
N
2
2032-04-28
Fixed
1.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FMM7
182222.00000000
PA
USD
149769.55000000
0.004661681035
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-6 LLC
69360FAA3
2314283.21000000
PA
USD
2218485.77000000
0.069051907021
Long
ABS-O
CORP
US
N
2
2026-07-25
Variable
1.79000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKZB7
464801.54000000
PA
USD
386309.40000000
0.012024147790
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
3.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-1
92538WAA5
4432950.32000000
PA
USD
3925163.84000000
0.122173444693
Long
ABS-MBS
CORP
US
N
2
2067-01-25
Variable
2.72000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176HQ56
110121.43000000
PA
USD
99952.58000000
0.003111093320
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F82T9
5705114.16000000
PA
USD
251369.61000000
0.007824053312
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
0.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XH3G0
2320790.13000000
PA
USD
1938025.09000000
0.060322373994
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312935NT2
54725.46000000
PA
USD
52672.34000000
0.001639463084
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212D4K2
2938.58000000
PA
USD
3018.76000000
0.000093960997
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172DB2
1740000.00000000
PA
USD
1706434.13000000
0.053113944870
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
5.38000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BT8
1260000.00000000
PA
USD
1182490.75000000
0.036805844070
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.15000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AZ9
490000.00000000
PA
USD
476857.17000000
0.014842509882
Long
DBT
CORP
US
N
2
2034-04-01
Fixed
5.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178DR29
468904.64000000
PA
USD
424122.31000000
0.013201100819
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DUQ8
403076.79000000
PA
USD
364332.75000000
0.011340109329
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RBT3
1950000.00000000
PA
USD
2014308.93000000
0.062696761380
Long
DBT
CORP
US
N
2
2029-10-25
Fixed
6.32000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAF59
966924.98000000
PA
USD
827200.74000000
0.025747196289
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291LHT5
11170.72000000
PA
USD
11246.53000000
0.000350056040
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
5.50000000
N
N
N
N
N
N
RR Ltd
N/A
RR 23 Ltd
75000GAV8
7555000.00000000
PA
USD
7609176.91000000
0.236840904550
Long
ABS-CBDO
CORP
BM
N
2
2035-10-15
Floating
7.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQ3J2
7567162.05000000
PA
USD
7367706.79000000
0.229324979724
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032658
18345000.00000000
PA
USD
15827039.23000000
0.492627564312
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: B9D0V4P66 IRS USD R V 12MSOFR 99D0V4P74 CCPOIS / Short: B9D0V4P66 IRS USD P F 3.25000 99D0V4P66 CCPOIS
000000000
7880000.00000000
OU
Notional Amount
USD
1197963.19000000
0.037287434487
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-06-21
0.00000000
USD
-83348.09000000
USD
7880000.00000000
USD
1281311.28000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020653
53347000.00000000
PA
USD
40284519.73000000
1.253883594125
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
2.00000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2022-6
30168AAD4
1058000.00000000
PA
USD
1057880.34000000
0.032927258702
Long
ABS-O
CORP
US
N
2
2027-08-16
Fixed
6.03000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDS7
2390000.00000000
PA
USD
1447938.62000000
0.045068092981
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.89000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
2620000.00000000
PA
USD
2097464.37000000
0.065285032077
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE JUN24
000000000
-527.00000000
NC
1933869.86000000
0.060193039581
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
ICF Long Gilt Futures
G M4 Comdty
2024-06-26
-52023712.84000000
GBP
1933869.86000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N7RW2
55561.51000000
PA
USD
52671.60000000
0.001639440051
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6DE1
18547.39000000
PA
USD
1336.08000000
0.000041586415
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Variable
5.54000000
N
N
N
N
N
N
Panama Government International Bonds
549300SHS4T08CL0LP14
Panama Government International Bonds
698299BW3
1025000.00000000
PA
USD
965397.57000000
0.030048668395
Long
DBT
NUSS
PA
N
2
2036-01-31
Fixed
6.88000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3D3
150000.00000000
PA
USD
144615.15000000
0.004501246763
Long
DBT
CORP
US
N
2
2034-04-24
Fixed
5.39000000
N
N
N
N
N
N
Chicago Transit Authority Sales Tax Receipts Fund
N/A
CHICAGO IL TRANSIT AUTH SALES TAX RECPTS REVENUE
16772PCX2
965000.00000000
PA
USD
794677.89000000
0.024734900045
Long
DBT
MUN
US
N
2
2040-12-01
Fixed
3.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMV68
1205824.18000000
PA
USD
1005171.84000000
0.031286670112
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BSMR1
299018.77000000
PA
USD
55023.79000000
0.001712653595
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
2630000.00000000
PA
USD
2210556.13000000
0.068805091481
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3G4
1980000.00000000
PA
USD
1724153.92000000
0.053665485613
Long
DBT
CORP
US
N
2
2029-01-07
Fixed
2.72000000
N
N
N
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding Inc
05352TAA7
4835000.00000000
PA
USD
4513918.53000000
0.140498842431
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.63000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DL6
1885000.00000000
PA
USD
1896602.34000000
0.059033062194
Long
DBT
CORP
US
N
2
2034-05-01
Fixed
6.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397UKE8
516299.03000000
PA
USD
375448.63000000
0.011686098797
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382E5F0
2868344.93000000
PA
USD
157867.97000000
0.004913749970
Long
ABS-MBS
USGA
US
N
2
2035-05-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMW27
498135.65000000
PA
USD
415987.12000000
0.012947887392
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GMA4
1400000.00000000
PA
USD
1361154.10000000
0.042366864654
Long
DBT
CORP
US
N
2
2035-01-23
Fixed
5.47000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAR2
75000.00000000
PA
USD
70774.38000000
0.002202901624
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
Equitable Holdings Inc
054561AJ4
2285000.00000000
PA
USD
2176941.16000000
0.067758802244
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
4.35000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-4 Trust
05953YAK7
865881.82000000
PA
USD
715543.00000000
0.022271771752
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
5.77000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RLB3
1336943.78000000
PA
USD
203040.58000000
0.006319778761
Long
ABS-MBS
USGA
US
N
2
2046-12-16
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
2005000.00000000
PA
USD
1716892.39000000
0.053439465460
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.70000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDR7
6116000.00000000
PA
USD
5948250.47000000
0.185143418069
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDLL8
594146.77000000
PA
USD
494896.95000000
0.015404010536
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FHY5
479735.79000000
PA
USD
471447.78000000
0.014674138869
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAW2
2025000.00000000
PA
USD
1458673.68000000
0.045402229163
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.25000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust 2023-A
98164JAF1
1845000.00000000
PA
USD
1814949.38000000
0.056491557228
Long
ABS-O
CORP
US
N
2
2029-05-15
Fixed
5.03000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B3 Mortgage Trust
08161BBD4
48270071.11000000
PA
USD
792985.56000000
0.024682225101
Long
ABS-MBS
CORP
US
N
2
2051-04-10
Variable
0.72000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG41
73211.84000000
PA
USD
65197.49000000
0.002029317058
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PEC6
4575000.00000000
PA
USD
4433922.42000000
0.138008908070
Long
DBT
CORP
US
N
2
2035-01-23
Fixed
5.34000000
N
N
N
N
N
N
CLEAN HARBORS INC
5493000SJVZVZJKHJF48
Clean Harbors Inc
184496AN7
7645000.00000000
PA
USD
7371558.99000000
0.229444882119
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNTS2
1654617.83000000
PA
USD
1383761.19000000
0.043070525997
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
207942AB9
2105000.00000000
PA
USD
2211037.90000000
0.068820086906
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Floating
8.43000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-2
92538FAA2
1152353.92000000
PA
USD
983478.87000000
0.030611461388
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.03000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L83D7
1172935.90000000
PA
USD
1033695.76000000
0.032174496890
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXHP0
1105209.41000000
PA
USD
1027728.20000000
0.031988752449
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179N5V6
1818040.75000000
PA
USD
1635678.35000000
0.050911622183
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
3.50000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCB9
900000.00000000
PA
USD
626787.37000000
0.019509191260
Long
DBT
CORP
US
N
2
2061-03-25
Fixed
4.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296XYZ1
19456.75000000
PA
USD
19196.39000000
0.000597500942
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGYT0
828706.11000000
PA
USD
630297.86000000
0.019618457694
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HCB1
295000.00000000
PA
USD
302432.01000000
0.009413405899
Long
DBT
CORP
IT
N
2
2054-06-20
Fixed
7.78000000
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust 2021-2
85573HAA8
769812.79000000
PA
USD
697758.31000000
0.021718210951
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2CY6
1487955.85000000
PA
USD
1197264.87000000
0.037265698793
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137HC2C5
3901000.00000000
PA
USD
3923510.33000000
0.122121978048
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Variable
5.36000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2023-1 LLC
29375CAC3
2710000.00000000
PA
USD
2684730.88000000
0.083564109182
Long
ABS-O
CORP
US
N
2
2029-10-22
Fixed
5.42000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLG2
2790000.00000000
PA
USD
2748721.53000000
0.085555862509
Long
DBT
CORP
US
N
2
2029-04-25
Fixed
5.20000000
N
N
N
N
N
N
MFRA TRUST
N/A
MFA 2021-NQM2 Trust
55283WAA9
1616689.12000000
PA
USD
1374034.59000000
0.042767778831
Long
ABS-MBS
CORP
US
N
2
2064-11-25
Variable
1.03000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300D5DIOOMKWXVZ20
Csail 2015-C2 Commercial Mortgage Trust
12634NAV0
22881539.47000000
PA
USD
77991.73000000
0.002427546645
Long
ABS-MBS
CORP
US
N
2
2057-06-15
Variable
0.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36186NLA5
29211.84000000
PA
USD
25450.76000000
0.000792172542
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKSC5
4205118.29000000
PA
USD
3880465.92000000
0.120782190957
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
4.50000000
N
N
N
N
N
N
WEA FINANCE LLC
3CYEJKBUJZO3UW777J80
WEA Finance LLC
92928QAF5
70000.00000000
PA
USD
61107.31000000
0.001902007371
Long
DBT
US
N
2
2029-06-15
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
8825000.00000000
PA
USD
7272801.20000000
0.226370977465
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.69000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBD9
2482000.00000000
PA
USD
1745581.04000000
0.054332419573
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KYEH3
2569680.96000000
PA
USD
1951343.20000000
0.060736909398
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032654
25313000.00000000
PA
USD
22314247.11000000
0.694546405269
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CV9
2300000.00000000
PA
USD
1983887.63000000
0.061749877335
Long
DBT
CORP
GB
N
2
2029-08-17
Fixed
2.21000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TM0
19765000.00000000
PA
USD
17596254.54000000
0.547695616917
Long
DBT
UST
US
N
2
2042-11-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183RD91
118526.79000000
PA
USD
101799.63000000
0.003168584031
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31422M2A3
6208118.81000000
PA
USD
819957.72000000
0.025521752272
Long
ABS-MBS
USGSE
US
N
2
2052-03-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BTFN6
580130.04000000
PA
USD
88524.83000000
0.002755396682
Long
ABS-MBS
USGSE
US
N
2
2046-12-15
Fixed
5.50000000
N
N
N
N
N
N
NMLT Trust
N/A
NMLT 2021-INV1 Trust
62923JAA0
4578473.91000000
PA
USD
3717629.25000000
0.115713786756
Long
ABS-MBS
CORP
US
N
2
2056-05-25
Variable
1.19000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180MV53
13191.99000000
PA
USD
11525.82000000
0.000358749134
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M5VP1
126938.96000000
PA
USD
116585.18000000
0.003628794522
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B0Q64
115182.82000000
PA
USD
2572.68000000
0.000080076447
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDT3
1010000.00000000
PA
USD
990664.20000000
0.030835109764
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
4.95000000
N
N
N
N
N
N
MANUF & TRADERS TRUST CO
WWB2V0FCW3A0EE3ZJN75
Manufacturers & Traders Trust Co
55279HAW0
2620000.00000000
PA
USD
2479771.02000000
0.077184591500
Long
DBT
CORP
US
N
2
2028-01-27
Fixed
4.70000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAJ3
5510000.00000000
PA
USD
5440710.10000000
0.169345872322
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBZ7
1200000.00000000
PA
USD
1192807.30000000
0.037126953838
Long
DBT
CORP
US
N
2
2034-02-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHNB9
2320482.14000000
PA
USD
2084934.06000000
0.064895017495
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust 2015-NXS1
94989HAZ3
7996597.88000000
PA
USD
36298.16000000
0.001129805384
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
1.17000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJ3W0
2866557.61000000
PA
USD
2299970.26000000
0.071588168242
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Stack Infrastructure Issuer LLC
N/A
Stack Infrastructure Issuer LLC
85236KAM4
1870000.00000000
PA
USD
1828842.42000000
0.056923987726
Long
ABS-O
CORP
US
N
2
2049-03-25
Fixed
5.90000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-20
362351AA6
17132.90000000
PA
USD
5130.89000000
0.000159702507
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
5.57000000
N
N
N
N
N
N
BANCA TRANSILVANIA
549300RG3H390KEL8896
Banca Transilvania SA
000000000
2655000.00000000
PA
2992712.19000000
0.093150240889
Long
DBT
CORP
RO
N
2
2027-04-27
Fixed
8.88000000
N
N
N
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAB8
3847000.00000000
PA
USD
3753141.66000000
0.116819135127
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XR63
450860.27000000
PA
USD
465496.28000000
0.014488894308
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Floating
7.99000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BJ3
965000.00000000
PA
USD
973877.33000000
0.030312606801
Long
DBT
CORP
US
N
2
2033-10-28
Fixed
6.04000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBF9
660000.00000000
PA
USD
505682.03000000
0.015739703625
Long
DBT
CORP
US
N
2
2062-03-15
Fixed
5.39000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT XCIV LLC
92873AAA6
1999301.54000000
PA
USD
1959809.34000000
0.061000423872
Long
ABS-O
CORP
US
N
2
2051-02-27
Variable
5.24000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BMM5
561861.32000000
PA
USD
498720.86000000
0.015523032385
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KP7D9
8346706.83000000
PA
USD
6350119.05000000
0.197651856120
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
ENERGO PRO AS
315700IQCL9IX158RO36
Energo-Pro AS
000000000
3875000.00000000
PA
USD
3875581.25000000
0.120630152218
Long
DBT
CORP
CZ
N
2
2027-02-04
Fixed
8.50000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAT2
1095000.00000000
PA
USD
780847.53000000
0.024304420505
Long
DBT
CORP
US
N
2
2046-09-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AZ68
3299122.03000000
PA
USD
2805414.79000000
0.087320479516
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2006-3
83612HAD0
806343.74000000
PA
USD
753384.70000000
0.023449620889
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.93000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300C2HE5FJAWYZL57
CSAIL 2016-C6 Commercial Mortgage Trust
12636MAG3
6195909.13000000
PA
USD
157372.99000000
0.004898343374
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
2.02000000
N
N
N
N
N
N
AGCO CORP
LYOM0B2GCF1JWXK5ZG04
AGCO Corp
001084AR3
385000.00000000
PA
USD
383716.13000000
0.011943430464
Long
DBT
CORP
US
N
2
2027-03-21
Fixed
5.45000000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KW0
960000.00000000
PA
USD
933271.03000000
0.029048707573
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EXU9
4027381.80000000
PA
USD
3909552.41000000
0.121687528115
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DWR9
4583676.22000000
PA
USD
3489835.38000000
0.108623544689
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DZ9
2850000.00000000
PA
USD
2851991.58000000
0.088770214382
Long
DBT
CORP
GB
N
2
2027-08-14
Fixed
5.89000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KC0
530000.00000000
PA
USD
476373.65000000
0.014827459987
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
4.40000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401BE7
3320000.00000000
PA
USD
3367977.32000000
0.104830628123
Long
DBT
CORP
CH
N
2
2029-09-22
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRHY5YZIPQD14
Freddie Mac STACR REMIC Trust 2023-HQA1
35564KX87
6410000.00000000
PA
USD
6770090.08000000
0.210723745472
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Floating
8.83000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2019-BPR
05492PAA6
3475000.00000000
PA
USD
3162298.30000000
0.098428726088
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
3.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6GM3
895374.22000000
PA
USD
819267.64000000
0.025500273054
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWKN2
1291124.70000000
PA
USD
1253411.36000000
0.039013297205
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
5.50000000
N
N
N
N
N
N
ALCON FINANCE CORP
549300CUZUI9VU7XNK42
Alcon Finance Corp
01400EAA1
2130000.00000000
PA
USD
1993717.10000000
0.062055826401
Long
DBT
CORP
US
N
2
2026-09-23
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKP28
11281972.56000000
PA
USD
9062329.86000000
0.282071297167
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RK6
5160000.00000000
PA
USD
3537825.00000000
0.110117254869
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AUDY1
3384354.29000000
PA
USD
2831822.34000000
0.088142432810
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B16D9
281156.12000000
PA
USD
10704.49000000
0.000333184669
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
3.00000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610BG9
315000.00000000
PA
USD
316026.80000000
0.009836553159
Long
DBT
CORP
US
N
2
2035-04-25
Fixed
6.65000000
N
N
N
N
N
N
ALCON FINANCE CORP
549300CUZUI9VU7XNK42
Alcon Finance Corp
01400EAB9
540000.00000000
PA
USD
478273.78000000
0.014886602850
Long
DBT
CORP
US
N
2
2029-09-23
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RU4
23034000.00000000
PA
USD
16650162.83000000
0.518247856794
Long
DBT
UST
US
N
2
2046-11-15
Fixed
2.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B0WS9
121292.04000000
PA
USD
3976.69000000
0.000123777232
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AH92
317262.16000000
PA
USD
302256.48000000
0.009407942406
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AG5K4
157915.92000000
PA
USD
148356.53000000
0.004617699808
Long
ABS-MBS
USGSE
US
N
2
2043-11-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LUFN6
2631951.42000000
PA
USD
2198042.20000000
0.068415586737
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MBB0
3412416.26000000
PA
USD
3165382.23000000
0.098524715546
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.46000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGCK3
987931.55000000
PA
USD
835421.04000000
0.026003058824
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AJUU6
1991456.86000000
PA
USD
1860011.55000000
0.057894148498
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617GGRM9
258287.90000000
PA
USD
235256.52000000
0.007322522219
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2016-2
64829GAA7
937824.66000000
PA
USD
862647.04000000
0.026850486942
Long
ABS-MBS
CORP
US
N
2
2035-11-26
Variable
3.75000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 17-K68 Mortgage Trust
30305EAE8
230000.00000000
PA
USD
215653.22000000
0.006712355922
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Variable
3.97000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJJT8
13961.95000000
PA
USD
13917.93000000
0.000433205216
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQLJ3
231723.24000000
PA
USD
212600.05000000
0.006617323889
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200WCW9
14785.77000000
PA
USD
14989.92000000
0.000466571648
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
CLECO CORPORATE HOLDINGS
5493002H80P81B3HXL31
Cleco Corporate Holdings LLC
18551PAE9
1595000.00000000
PA
USD
1361603.46000000
0.042380851295
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
3.38000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM5 Trust
22946DAA0
2345035.14000000
PA
USD
1841836.33000000
0.057328432180
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
0.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AADL6
73268.24000000
PA
USD
2676.56000000
0.000083309784
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VS21
152735.45000000
PA
USD
154736.94000000
0.004816294491
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJX4
90428.40000000
PA
USD
80670.23000000
0.002510916813
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
Panama Government International Bonds
549300SHS4T08CL0LP14
Panama Government International Bonds
698299BV5
301000.00000000
PA
USD
261675.19000000
0.008144821631
Long
DBT
NUSS
PA
N
2
2054-03-28
Fixed
6.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJAD2
49887.72000000
PA
USD
50610.79000000
0.001575295912
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KD8
820000.00000000
PA
USD
689480.81000000
0.021460568027
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6GA3
1422080.57000000
PA
USD
1253151.56000000
0.039005210750
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
TOTALENERGIES CAPITAL SA
529900QI55ZLJVCMPA71
TotalEnergies Capital SA
89157XAC5
1885000.00000000
PA
USD
1842365.09000000
0.057344890201
Long
DBT
CORP
FR
N
2
2064-04-05
Fixed
5.64000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust 2006-AR3
07400HAA1
225185.20000000
PA
USD
185422.88000000
0.005771415639
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.79000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEK0
12101.52000000
PA
USD
12268.61000000
0.000381868988
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC23
17322VAY2
4090955.61000000
PA
USD
75.27000000
0.000002342830
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Variable
0.97000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC19 Mortgage Trust
200474BC7
3895000.00000000
PA
USD
3819582.67000000
0.118887157608
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.18000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7K40
915356.30000000
PA
USD
807334.65000000
0.025128850471
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
12803RAG9
775000.00000000
PA
USD
761562.48000000
0.023704159959
Long
DBT
CORP
ES
N
2
2030-03-15
Fixed
5.67000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133USHY0
2781244.68000000
PA
USD
2231091.70000000
0.069444275328
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2023-A
638961AA0
3890450.18000000
PA
USD
3854249.15000000
0.119966175822
Long
ABS-O
CORP
US
N
2
2071-10-15
Fixed
5.51000000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE
635400B4JJBON4TCHF02
Equitable Financial Life Global Funding
29449WAF4
4285000.00000000
PA
USD
3721275.64000000
0.115827283172
Long
DBT
CORP
US
N
2
2028-03-08
Fixed
1.80000000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2023-BRK2
05610WAC4
7425000.00000000
PA
USD
7516977.19000000
0.233971124370
Long
ABS-MBS
CORP
US
N
2
2028-11-05
Variable
7.89000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAG2
845000.00000000
PA
USD
679535.78000000
0.021151022076
Long
DBT
CORP
DE
N
2
2033-01-07
Fixed
3.74000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC20
36252WAE8
1310000.00000000
PA
USD
1022553.25000000
0.031827678544
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
5.11000000
N
N
N
N
N
N
Ellington Financial Mortgage Trust
N/A
Ellington Financial Mortgage Trust 2017-1
31574XAA6
385976.15000000
PA
USD
318831.43000000
0.009923849211
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
0.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A9T64
2913233.88000000
PA
USD
2714120.43000000
0.084478879293
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAL2
9449765.68000000
PA
USD
7722859.75000000
0.240379361729
Long
ABS-O
CORP
US
N
2
2051-06-15
Fixed
2.78000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BRH1
279118.93000000
PA
USD
253653.35000000
0.007895136302
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
3.00000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT XCVII LLC
91835EAA7
2103002.75000000
PA
USD
2038604.60000000
0.063452980946
Long
ABS-O
CORP
US
N
2
2051-04-25
Variable
5.24000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UAN9
115000.00000000
PA
USD
117542.14000000
0.003658580565
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
6.30000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B10 Mortgage Trust
08162VAF5
19259771.07000000
PA
USD
944886.29000000
0.029410240590
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Variable
1.39000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAZ2
455000.00000000
PA
USD
442352.32000000
0.013768522514
Long
DBT
CORP
US
N
2
2034-04-18
Fixed
5.40000000
N
N
N
N
N
N
Residential Mortgage Loan Trust
N/A
Residential Mortgage Loan Trust 2021-1R
76090NAA8
778542.15000000
PA
USD
716928.48000000
0.022314895777
Long
ABS-MBS
CORP
US
N
2
2065-01-25
Variable
0.86000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295YZF3
18566.73000000
PA
USD
18693.17000000
0.000581837870
Long
ABS-MBS
USGA
US
N
2
2038-04-15
Fixed
5.50000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822DF8
2685000.00000000
PA
USD
2615380.69000000
0.081405536458
Long
DBT
CORP
JP
N
2
2035-04-17
Fixed
5.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419FVT0
967174.74000000
PA
USD
888569.13000000
0.027657329957
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAZ4
1435000.00000000
PA
USD
1352302.40000000
0.042091349357
Long
DBT
CORP
DK
N
2
2026-09-11
Fixed
1.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384HLW1
1292.80000000
PA
USD
1289.60000000
0.000040139693
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
7.50000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AM9
590000.00000000
PA
USD
555089.94000000
0.017277559064
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y4D89
49211.94000000
PA
USD
45089.95000000
0.001403455941
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ADC6
1440000.00000000
PA
USD
1451899.07000000
0.045191364732
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFSY6
2420821.50000000
PA
USD
1924492.31000000
0.059901156838
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8HK6
5627511.45000000
PA
USD
5124482.55000000
0.159503070680
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCH6
755000.00000000
PA
USD
684969.14000000
0.021320139172
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
1.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ANMB0
249616.13000000
PA
USD
14546.40000000
0.000452766780
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Fixed
3.50000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RBV8
1135000.00000000
PA
USD
1110516.44000000
0.034565593792
Long
DBT
CORP
US
N
2
2030-03-14
Fixed
4.98000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAE0
1400227.62000000
PA
USD
1072013.17000000
0.033367152830
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQVF9
2821622.20000000
PA
USD
2747545.39000000
0.085519254337
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
BROOKLYN UNION GAS CO
83BQ1DXS6VA5GZFK8S35
Brooklyn Union Gas Co/The
114259AX2
2500000.00000000
PA
USD
2514685.03000000
0.078271314257
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
6.39000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN24
000000000
1393.00000000
NC
USD
-3163212.46000000
-0.09845717995
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYM4 Comdty
2024-06-18
152823649.96000000
USD
-3163212.46000000
N
N
N
INVEST ENERGY RES LTD
254900A71Y7WHN7L5K89
Investment Energy Resources Ltd
46143NAB6
1180000.00000000
PA
USD
1129850.00000000
0.035167364246
Long
DBT
CORP
BM
N
2
2029-04-26
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36230L3K3
114162.06000000
PA
USD
105632.08000000
0.003287871693
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-8
92538GAA0
3055842.13000000
PA
USD
2625565.20000000
0.081722536389
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
1.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1F66
500000.00000000
PA
USD
399252.35000000
0.012427006079
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Fixed
3.50000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2021-NQM7 Trust
36167YAA6
1998439.06000000
PA
USD
1714518.02000000
0.053365561548
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
1.92000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHUL9
2252909.08000000
PA
USD
1744825.61000000
0.054308906290
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133GDCU2
2524222.15000000
PA
USD
2193050.14000000
0.068260205410
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
2.00000000
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AR1
435000.00000000
PA
USD
427483.20000000
0.013305710849
Long
DBT
CORP
US
N
2
2034-03-11
Fixed
5.61000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AU2
1765000.00000000
PA
USD
1461180.54000000
0.045480256918
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09000000
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494BM4
1115000.00000000
PA
USD
1094112.54000000
0.034055011037
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.70000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISONLNOUKGB71
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLU1
3165000.00000000
PA
USD
3265365.63000000
0.101636768161
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
8.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N0RZ0
966043.88000000
PA
USD
915929.99000000
0.028508955686
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
GEN DIGITAL INC
YF6ZV0M6AU4FY94MK914
Gen Digital Inc
668771AK4
3970000.00000000
PA
USD
3982997.78000000
0.123973566155
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397LTB5
63448.71000000
PA
USD
60503.96000000
0.001883227684
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJEV9
443943.90000000
PA
USD
377739.32000000
0.011757398111
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SC3
43015000.00000000
PA
USD
32197399.39000000
1.002166369096
Long
DBT
UST
US
N
2
2048-05-15
Fixed
3.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UV82
1491183.43000000
PA
USD
1329871.37000000
0.041393168003
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKND7
3206454.42000000
PA
USD
2567866.74000000
0.079926631836
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK17
065403BD8
1759376.17000000
PA
USD
70532.69000000
0.002195378856
Long
ABS-MBS
CORP
US
N
2
2052-04-15
Variable
1.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382CT84
1196066.43000000
PA
USD
153898.59000000
0.004790200266
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
4.50000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAH3
145000.00000000
PA
USD
145191.84000000
0.004519196639
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
6.50000000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAE4
275000.00000000
PA
USD
266111.58000000
0.008282907345
Long
DBT
CORP
IE
N
2
2035-03-28
Fixed
5.87000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129412S5
31598.56000000
PA
USD
30541.21000000
0.000950616326
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BY9
890000.00000000
PA
USD
497661.75000000
0.015490066852
Long
DBT
CORP
US
N
2
2061-04-01
Fixed
3.85000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2024-PAT
05612FAC9
601000.00000000
PA
USD
600624.38000000
0.018694850065
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Floating
8.36000000
N
N
N
N
N
N
Wingstop Funding LLC
N/A
Wingstop Funding LLC
974153AB4
2053725.00000000
PA
USD
1840391.44000000
0.057283458977
Long
ABS-O
CORP
US
N
2
2050-12-05
Fixed
2.84000000
N
N
N
N
N
N
TBW Mortgage Backed Pass Through Certificates
N/A
TBW Mortgage-Backed Trust Series 2006-3
87804AAA0
473248.06000000
PA
USD
191741.04000000
0.005968072748
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2022-NQM1 Trust
67114VAA1
5841538.64000000
PA
USD
4965283.31000000
0.154547884009
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Variable
2.31000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QVVE8
248894.34000000
PA
USD
228401.60000000
0.007109158084
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAM2
2876000.00000000
PA
USD
2454326.92000000
0.076392626255
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
3.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N5AC8
724802.32000000
PA
USD
686933.96000000
0.021381295556
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26
61690VBA5
3399238.21000000
PA
USD
21500.18000000
0.000669208002
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
1.11000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK28
06540YAN9
36736071.40000000
PA
USD
3130850.05000000
0.097449877513
Long
ABS-MBS
CORP
US
N
2
2063-03-15
Variable
1.88000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BU1
3760000.00000000
PA
USD
3638270.11000000
0.113243678527
Long
DBT
CORP
US
N
2
2034-04-04
Fixed
5.63000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BZ4
425000.00000000
PA
USD
426662.56000000
0.013280167860
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y2HF6
107650.06000000
PA
USD
98463.50000000
0.003064744673
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
NORTH MACEDONIA
635400RD1N6RVNCE4958
North Macedonia Government International Bond
000000000
3645000.00000000
PA
3812683.90000000
0.118672428611
Long
DBT
NUSS
MK
N
2
2025-01-18
Fixed
2.75000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAK7
210000.00000000
PA
USD
195809.63000000
0.006094710431
Long
DBT
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AD8
8750000.00000000
PA
USD
7658945.00000000
0.238389970841
Long
DBT
CORP
CA
N
2
2029-12-01
Fixed
3.88000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DQ0
765000.00000000
PA
USD
758182.80000000
0.023598965077
Long
DBT
CORP
US
N
2
2030-03-02
Fixed
5.25000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2019-NQM4
64828EAA3
303527.41000000
PA
USD
276691.94000000
0.008612228382
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.49000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ANHJ9
824092.62000000
PA
USD
29715.46000000
0.000924914285
Long
ABS-MBS
USGSE
US
N
2
2055-04-25
Floating
0.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFXT6
117022.75000000
PA
USD
3863.74000000
0.000120261585
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WTRL2
32930.28000000
PA
USD
27137.83000000
0.000844683765
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FREK3
11601744.26000000
PA
USD
577964.09000000
0.017989532835
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Variable
1.24000000
N
N
N
N
N
N
Luminent Mortgage Trust
N/A
Luminent Mortgage Trust 2006-4
55027BAA6
1411665.66000000
PA
USD
1138569.20000000
0.035438755388
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
5.81000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BRRK2
985665.61000000
PA
USD
934280.36000000
0.029080123669
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMYL3
1794100.52000000
PA
USD
1431089.27000000
0.044543645286
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAZ3
10815000.00000000
PA
USD
10425578.02000000
0.324503340890
Long
DBT
NUSS
MX
N
2
2036-05-07
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394GXJ7
15209.12000000
PA
USD
15208.69000000
0.000473381016
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300DT2BKPLXAJ4C66
Wells Fargo Commercial Mortgage Trust 2015-C26
94989CAX9
10000.00000000
PA
USD
9796.65000000
0.000304927520
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.17000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210FC38
269.09000000
PA
USD
273.95000000
0.000008526883
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
Cantor Commercial Real Estate Lending
N/A
Cantor Commercial Real Estate Lending 2019-CF1
12529MAG3
2457928.70000000
PA
USD
92797.13000000
0.002888374980
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
1.29000000
N
N
N
N
N
N
FIRSTCASH INC
549300V2X3UU7K0DG350
FirstCash Inc
31944TAA8
3955000.00000000
PA
USD
3732341.01000000
0.116171700481
Long
DBT
CORP
US
N
2
2030-01-01
Fixed
5.63000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAC4
135000.00000000
PA
USD
131480.60000000
0.004092424792
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.50000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
000000000
2245000.00000000
PA
1304550.20000000
0.040605029039
Long
DBT
NUSS
CL
N
2
2051-01-22
Fixed
1.25000000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AM4
1835000.00000000
PA
USD
1612850.20000000
0.050201080194
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
2.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M8VW0
337904.04000000
PA
USD
310419.01000000
0.009662006809
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBU8
895000.00000000
PA
USD
763583.10000000
0.023767053157
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335A7C6
125878.51000000
PA
USD
122401.62000000
0.003809835247
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLS2
429571.95000000
PA
USD
383360.33000000
0.011932355943
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MABU2
656543.78000000
PA
USD
603995.14000000
0.018799767306
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 2016-C3 Mortgage Trust
23312VAF3
3600000.00000000
PA
USD
3375373.68000000
0.105060844953
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.89000000
N
N
N
N
N
N
Chicago Board of Education
54930099NR6T9V7LVB43
CHICAGO IL BRD OF EDU
167505KH8
1145000.00000000
PA
USD
1074457.92000000
0.033443247368
Long
DBT
MUN
US
N
2
2039-12-01
Fixed
6.14000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030658
-19324000.00000000
PA
USD
-16444159.35000000
-0.51183585571
Short
ABS-MBS
USGA
US
N
2
2054-05-20
Fixed
3.00000000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
445545AR7
2005000.00000000
PA
USD
2024697.12000000
0.063020100993
Long
DBT
NUSS
HU
N
2
2028-05-22
Fixed
6.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWKV4
288779.07000000
PA
USD
280343.87000000
0.008725897234
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H54D6
4018554.61000000
PA
USD
706313.62000000
0.021984500904
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Fixed
4.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2018-4
64828FCQ3
1263318.30000000
PA
USD
1224671.75000000
0.038118756927
Long
ABS-MBS
CORP
US
N
2
2048-01-25
Floating
6.18000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020659
29375000.00000000
PA
USD
23136961.43000000
0.720153958628
Long
ABS-MBS
USGA
US
N
2
2054-05-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FFLC3
532391.67000000
PA
USD
469913.11000000
0.014626371202
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
2850000.00000000
PA
2533587.47000000
0.078859665802
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.88000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
22534PAH6
1730000.00000000
PA
USD
1713945.50000000
0.053347741466
Long
DBT
CORP
FR
N
2
2027-03-11
Fixed
5.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8GS7
31182.80000000
PA
USD
31084.53000000
0.000967527538
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE JUN24
000000000
-945.00000000
NC
1655808.13000000
0.051538175535
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 10 Year Euro BUND Futures
RXM4 Comdty
2024-06-06
-124477143.55000000
EUR
1655808.13000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C0YM4
9928.99000000
PA
USD
10017.49000000
0.000311801318
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137HBP99
10218113.30000000
PA
USD
316147.40000000
0.009840306917
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Variable
0.57000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312936CE5
5076.50000000
PA
USD
4931.36000000
0.000153491997
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Education
54930099NR6T9V7LVB43
CHICAGO IL BRD OF EDU
167505NG7
2965000.00000000
PA
USD
2896441.49000000
0.090153748635
Long
DBT
MUN
US
N
2
2029-11-01
Fixed
6.32000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV7K5
2712777.91000000
PA
USD
2066809.82000000
0.064330887965
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381TR23
1481027.27000000
PA
USD
235049.99000000
0.007316093830
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Ellington Financial Mortgage Trust
N/A
Ellington Financial Mortgage Trust 2022-1
31573CAA3
3286828.87000000
PA
USD
2742684.49000000
0.085367955455
Long
ABS-MBS
CORP
US
N
2
2067-01-25
Variable
2.21000000
N
N
N
N
N
N
Panama Government International Bonds
549300SHS4T08CL0LP14
Panama Government International Bonds
698299BH6
299000.00000000
PA
USD
191492.69000000
0.005960342682
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
COLUMBIA PIPELINE HOLDCO
N/A
Columbia Pipelines Holding Co LLC
19828AAC1
2025000.00000000
PA
USD
1946751.53000000
0.060593990487
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.68000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBE2
695000.00000000
PA
USD
532004.98000000
0.016559023686
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14000000
N
N
N
N
N
N
Firstkey Homes Trust
N/A
FirstKey Homes 2022-SFR2 Trust
33767PAA6
7902970.25000000
PA
USD
7530516.70000000
0.234392551002
Long
ABS-O
CORP
US
N
2
2039-07-17
Fixed
4.25000000
N
N
N
N
N
N
M&T BANK CORPORATION
549300WYXDDBYRASEG81
M&T Bank Corp
55261FAS3
3790000.00000000
PA
USD
3930335.51000000
0.122334416506
Long
DBT
CORP
US
N
2
2029-10-30
Fixed
7.41000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300FU8TZDHFLQZL50
CSAIL 2016-C5 Commercial Mortgage Trust
12636LBA7
3259980.02000000
PA
USD
34008.76000000
0.001058546223
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
1.04000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AY3
1985000.00000000
PA
USD
1943916.44000000
0.060505746346
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.25000000
N
N
N
N
N
N
DLLAA LLC
N/A
DLLAA 2023-1 LLC
23292HAC5
1940000.00000000
PA
USD
1937498.95000000
0.060305997522
Long
ABS-O
CORP
US
N
2
2028-02-22
Fixed
5.64000000
N
N
N
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co
842434DA7
4015000.00000000
PA
USD
3813861.47000000
0.118709081293
Long
DBT
CORP
US
N
2
2054-04-01
Fixed
5.60000000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2021-BMR Mortgage Trust
53218CAG5
1307350.30000000
PA
USD
1288163.63000000
0.040094985692
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
6.84000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CU7
575000.00000000
PA
USD
558019.58000000
0.017368746140
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.04000000
N
N
N
N
N
N
Enact Mortgage Insurance Corporation
N/A
Triangle Re 2021-3 Ltd
89600HAA7
94930.39000000
PA
USD
94964.79000000
0.002955844900
Long
ABS-MBS
CORP
BM
N
2
2034-02-25
Floating
7.23000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKFM7
1886909.16000000
PA
USD
1840984.38000000
0.057301914645
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBM1
420000.00000000
PA
USD
346882.87000000
0.010796969721
Long
DBT
US
N
2
2031-04-15
Fixed
2.70000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDW6
450000.00000000
PA
USD
436234.33000000
0.013578095835
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
5.40000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-4
92538HAA8
1954612.11000000
PA
USD
1633199.60000000
0.050834469371
Long
ABS-MBS
CORP
US
N
2
2066-07-25
Variable
0.94000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BJ2
2650000.00000000
PA
USD
2589313.75000000
0.080594184886
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACY39
420000.00000000
PA
USD
318164.20000000
0.009903081215
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLQ6
978929.12000000
PA
USD
793850.50000000
0.024709146957
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2024-1 LLC
29375PAC4
1115000.00000000
PA
USD
1097224.45000000
0.034151871392
Long
ABS-O
CORP
US
N
2
2030-09-20
Fixed
5.16000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBR0
2645000.00000000
PA
USD
2194263.06000000
0.068297958386
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.25000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BBA7
1075000.00000000
PA
USD
1012076.12000000
0.031501570612
Long
DBT
NUSS
MX
N
2
2054-05-07
Fixed
6.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDH74
1671726.79000000
PA
USD
1355136.06000000
0.042179548988
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6MP6
364220.82000000
PA
USD
76535.40000000
0.002382217364
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5PK5
1062055.15000000
PA
USD
918737.50000000
0.028596341380
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Fixed
3.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2022-SFR5 Trust
74332YAA7
1423962.47000000
PA
USD
1370058.66000000
0.042644025255
Long
ABS-O
CORP
US
N
2
2039-06-17
Fixed
4.45000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK25
06539WBC9
36072075.71000000
PA
USD
1374750.09000000
0.042790049265
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Variable
0.99000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GP3
2940000.00000000
PA
USD
2793574.12000000
0.086951930456
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.00000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AL3
2155000.00000000
PA
USD
2092701.32000000
0.065136778845
Long
DBT
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SEH6
1869658.87000000
PA
USD
1675234.88000000
0.052142846592
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYB2
10765818.25000000
PA
USD
8188306.85000000
0.254866725275
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
KAISER FOUNDATION HOSPIT
DW4Z57L3G4IRMHYZYK62
Kaiser Foundation Hospitals
48305QAG8
1515000.00000000
PA
USD
979224.22000000
0.030479032458
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
3.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-HYB3
12669GE49
68810.81000000
PA
USD
63123.56000000
0.001964764550
Long
ABS-MBS
CORP
US
N
2
2035-06-20
Variable
4.89000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RC4
14635000.00000000
PA
USD
12265959.38000000
0.381786486121
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.63000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R2
92538DAA7
1361888.21000000
PA
USD
1191723.27000000
0.037093212653
Long
ABS-MBS
CORP
US
N
2
2064-02-25
Variable
0.92000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2022-4 Mortgage Loan Trust
19685GAA4
1051547.45000000
PA
USD
1003672.60000000
0.031240005229
Long
ABS-MBS
CORP
US
N
2
2067-03-25
Variable
4.30000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAN4
2090000.00000000
PA
USD
2119112.01000000
0.065958829874
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
6.33000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2004-AR4
23332UBV5
68140.26000000
PA
USD
51084.34000000
0.001590035484
Long
ABS-MBS
CORP
US
N
2
2045-01-19
Floating
6.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGGN1
560259.15000000
PA
USD
458502.79000000
0.014271217085
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DUR6
49908.75000000
PA
USD
45319.81000000
0.001410610493
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172DA4
3740000.00000000
PA
USD
3675811.61000000
0.114412183731
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
5.13000000
N
N
N
N
N
N
FAIR ISAAC CORP
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250AF1
5909000.00000000
PA
USD
5443714.70000000
0.169439392580
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.00000000
N
N
N
N
N
N
CISCO SYSTEMS INC
549300LKFJ962MZ46593
Cisco Systems Inc
17275RBV3
1050000.00000000
PA
USD
999693.21000000
0.031116143957
Long
DBT
CORP
US
N
2
2064-02-26
Fixed
5.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEP22
2440577.99000000
PA
USD
2039773.29000000
0.063489357232
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EJF8
45314093.51000000
PA
USD
42971101.57000000
1.337505315720
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383RAP2
940785.28000000
PA
USD
865012.83000000
0.026924123795
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050650
-80660000.00000000
PA
USD
-76411884.62000000
-2.37837286291
Short
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFBM2
2183567.81000000
PA
USD
1846459.59000000
0.057472334351
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRD8
924549.30000000
PA
USD
843287.49000000
0.026247907531
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2023-3
301989AD1
1069000.00000000
PA
USD
1069325.83000000
0.033283507511
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
6.11000000
N
N
N
N
N
N
Starwood Residential Mortgage Trust
N/A
STAR 2021-1 Trust
85573GAA0
2203279.67000000
PA
USD
1906472.78000000
0.059340286480
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.22000000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-5 LLC
69358DAA2
2889276.82000000
PA
USD
2792095.99000000
0.086905922636
Long
ABS-O
CORP
US
N
2
2026-06-25
Variable
1.79000000
N
N
N
N
N
N
Fannie Mae - CAS
549300Z5THZ1JXIHVK60
Fannie Mae Connecticut Avenue Securities
20754PAC4
328741.19000000
PA
USD
330369.54000000
0.010282980881
Long
ABS-MBS
USGSE
US
N
2
2039-11-25
Floating
7.59000000
N
N
N
N
N
N
PES Holdings LLC
N/A
PES Holdings LLC 2018 Term Loan C
71571EAD1
337580.30000000
PA
USD
3375.80000000
0.000105074114
Long
LON
CORP
US
N
2
2024-12-31
Floating
3.00000000
N
N
Y
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132LQA80
1396449.04000000
PA
USD
1259478.21000000
0.039202132115
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
200000.00000000
PA
USD
161087.54000000
0.005013961317
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: B9D0UXBE1 IRS USD R V 12MSOFR 99D0UXBF8 CCPOIS / Short: B9D0UXBE1 IRS USD P F 2.97000 99D0UXBE1 CCPOIS
000000000
16045000.00000000
OU
Notional Amount
USD
2955430.51000000
0.091989822763
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-03-15
9354.33000000
USD
0.00000000
USD
16045000.00000000
USD
2946076.18000000
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2023-1 LLC
784024AB7
4070000.00000000
PA
USD
4084774.10000000
0.127141424647
Long
ABS-O
CORP
US
N
2
2030-01-22
Fixed
6.56000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWCM3
2556530.74000000
PA
USD
1836640.98000000
0.057166723310
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
1.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-72
12668A3N3
846600.38000000
PA
USD
732427.01000000
0.022797298264
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.97000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VBB6
3305000.00000000
PA
USD
3182380.96000000
0.099053812798
Long
DBT
US
N
2
2028-09-01
Fixed
4.80000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRI80KQJUNK40
Freddie Mac STACR REMIC Trust 2023-DNA2
35564KT66
2220000.00000000
PA
USD
2340111.32000000
0.072837586552
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Floating
8.58000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRBW7
442118.43000000
PA
USD
384100.49000000
0.011955393936
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
2.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
549300SZXFEQICAU3R39
HarborView Mortgage Loan Trust 2006-12
41162DAD1
727594.46000000
PA
USD
678638.41000000
0.021123090813
Long
ABS-MBS
CORP
US
N
2
2036-12-19
Floating
5.91000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
4820000.00000000
PA
4087965.50000000
0.127240759183
Long
DBT
NUSS
PH
N
2
2033-04-28
Fixed
1.20000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040651
-4228000.00000000
PA
USD
-3782078.13000000
-0.11771980280
Short
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WEDN9
236108.37000000
PA
USD
208332.28000000
0.006484486591
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3SL5
2510557.03000000
PA
USD
2169714.27000000
0.067533860284
Long
ABS-MBS
USGSE
US
N
2
2058-12-25
Fixed
3.50000000
N
N
N
N
N
N
Bank5
N/A
BANK5 2023-5YR4
06211FBR8
6760960.00000000
PA
USD
251366.41000000
0.007823953710
Long
ABS-MBS
CORP
US
N
2
2056-12-15
Variable
1.20000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2021-NQM2 Trust
36166XAA9
2111227.07000000
PA
USD
1695412.45000000
0.052770887442
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
1.04000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN24
000000000
741.00000000
NC
USD
-2364498.93000000
-0.07359666781
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year U.S. Treasury Notes Futures
UXYM4 Comdty
2024-06-18
84036592.68000000
USD
-2364498.93000000
N
N
N
GREENKO POWER II LTD
254900YYA4B6O2O4JM12
Greenko Power II Ltd
000000000
2394000.00000000
PA
USD
2131054.77000000
0.066330556556
Long
DBT
CORP
MU
N
2
2028-12-13
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B4J2
192889.19000000
PA
USD
177220.40000000
0.005516107765
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2017-6
64830BAA5
1580083.00000000
PA
USD
1469992.14000000
0.045754524075
Long
ABS-MBS
CORP
US
N
2
2057-08-27
Variable
4.00000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AK5
1155000.00000000
PA
USD
1141133.42000000
0.035518568513
Long
DBT
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
Colombia Government International Bonds
549300MHDRBVRF6B9117
Colombia Government International Bonds
195325DQ5
2740000.00000000
PA
USD
1888688.00000000
0.058786722877
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK24
06540VBC8
10394906.22000000
PA
USD
314331.57000000
0.009783787950
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Variable
0.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN24
000000000
1664.00000000
NC
USD
-2379705.98000000
-0.07406999778
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVM4 Comdty
2024-06-28
176670706.81000000
USD
-2379705.98000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XMDB9
623181.90000000
PA
USD
571591.26000000
0.017791174085
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKVB1
5537240.63000000
PA
USD
4437078.18000000
0.138107133287
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
ATHENE HOLDING LTD
549300H316CT32FQXI76
Athene Holding Ltd
04686JAG6
2390000.00000000
PA
USD
2331199.02000000
0.072560185039
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.88000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR3
45660L5S4
257539.51000000
PA
USD
176640.40000000
0.005498054863
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
3.93000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183HRE7
36839.58000000
PA
USD
31777.34000000
0.000989091729
Long
ABS-MBS
USGA
US
N
2
2044-10-15
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395Q3D0
2162465.08000000
PA
USD
200852.46000000
0.006251672010
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297EL87
6851.99000000
PA
USD
6951.34000000
0.000216365274
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YR6D5
466146.43000000
PA
USD
427235.71000000
0.013298007551
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-56
12668AHE8
244941.75000000
PA
USD
194229.52000000
0.006045528412
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.07000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XNB8
2667704.57000000
PA
USD
2275012.43000000
0.070811338487
Long
ABS-MBS
USGA
US
N
2
2052-12-20
Fixed
3.00000000
N
N
N
N
N
N
RBSGC Mortgage Pass Through Certificates
N/A
RBSGC Mortgage Loan Trust 2007-A
74927WAE4
444076.19000000
PA
USD
397395.70000000
0.012369216561
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BSCE1
1169046.57000000
PA
USD
240676.88000000
0.007491234681
Long
ABS-MBS
USGSE
US
N
2
2046-10-15
Fixed
5.50000000
N
N
N
N
N
N
INTL AIRPORT FINANCE SA
959800M9M5LP0KXUP789
International Airport Finance SA
000000000
599992.47000000
PA
USD
636922.01000000
0.019824638953
Long
DBT
CORP
ES
N
2
2033-03-15
Fixed
12.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H6C80
294175.94000000
PA
USD
261233.44000000
0.008131071857
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNF1
4584655.04000000
PA
USD
3908052.80000000
0.121640851715
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7DV8
509252.84000000
PA
USD
481889.61000000
0.014999148065
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJED1
482890.96000000
PA
USD
442724.68000000
0.013780112477
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AP2P6
94112.47000000
PA
USD
4338.04000000
0.000135024501
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Fixed
3.50000000
N
N
N
N
N
N
MARVELL TECHNOLOGY INC
N/A
Marvell Technology Inc
573874AF1
2740000.00000000
PA
USD
2431004.69000000
0.075666705684
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QM40
1655310.40000000
PA
USD
1508479.68000000
0.046952475429
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
Pretium Mortgage Credit Partners LLC
69362NAA4
4683263.35000000
PA
USD
4474874.99000000
0.139283585191
Long
ABS-O
CORP
US
N
2
2052-01-25
Variable
2.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFX71
2083866.20000000
PA
USD
1740319.98000000
0.054168665434
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust
93363CAB5
146409.03000000
PA
USD
125159.09000000
0.003895663412
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
6.07000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DJ1
945000.00000000
PA
USD
948235.27000000
0.029514479914
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
6.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQPB5
2404367.95000000
PA
USD
2343000.71000000
0.072927520819
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325YCL0
5509397.43000000
PA
USD
824066.58000000
0.025649643387
Long
ABS-MBS
USGSE
US
N
2
2052-03-15
Fixed
2.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACY9
1205000.00000000
PA
USD
1154392.04000000
0.035931252248
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ARFZ6
99311.90000000
PA
USD
2181.97000000
0.000067915328
Long
ABS-MBS
USGSE
US
N
2
2031-02-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AP2M3
287816.18000000
PA
USD
26095.54000000
0.000812241766
Long
ABS-MBS
USGSE
US
N
2
2035-09-25
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F062655
23510000.00000000
PA
USD
23698020.28000000
0.737617304153
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379BCS5
362991.58000000
PA
USD
327867.06000000
0.010205089457
Long
ABS-MBS
USGA
US
N
2
2039-12-16
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617YRUD1
4872956.50000000
PA
USD
4671217.37000000
0.145394877836
Long
ABS-MBS
USGA
US
N
2
2052-06-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Bonds
912810RL4
10725019.80000000
PA
USD
7763387.84000000
0.241640826616
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-2R Mortgage Loan Trust
12656YAA5
700536.32000000
PA
USD
599804.45000000
0.018669329176
Long
ABS-MBS
CORP
US
N
2
2054-07-27
Fixed
0.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375QGF0
150767.82000000
PA
USD
150875.80000000
0.004696113833
Long
ABS-MBS
USGA
US
N
2
2038-05-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380XBA4
190705.70000000
PA
USD
26799.24000000
0.000834144917
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
5.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RHY3
2265000.00000000
PA
USD
2226352.53000000
0.069296765378
Long
ABS-O
CORP
US
N
2
2030-06-20
Fixed
5.36000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380TE93
837540.72000000
PA
USD
136135.79000000
0.004237320807
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
4.00000000
N
N
N
N
N
N
NIAGARA MOHAWK POWER
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp
65364UAT3
3070000.00000000
PA
USD
2935121.76000000
0.091357698845
Long
DBT
CORP
US
N
2
2034-01-17
Fixed
5.29000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JCS1
1775000.00000000
PA
USD
1782754.39000000
0.055489465853
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
5.65000000
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
Bayer US Finance LLC
07274EAK9
1675000.00000000
PA
USD
1678977.39000000
0.052259334809
Long
DBT
CORP
US
N
2
2030-11-21
Fixed
6.38000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2023-1
80287GAD2
1945000.00000000
PA
USD
1928383.67000000
0.060022278115
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
4.98000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36186NLS6
635783.56000000
PA
USD
546031.57000000
0.016995611020
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
3.00000000
N
N
N
N
N
N
VCAT Asset Securitization, LLC
N/A
VCAT 2021-NPL3 LLC
91824MAA2
2065162.56000000
PA
USD
1975076.04000000
0.061475610490
Long
ABS-O
CORP
US
N
2
2051-05-25
Variable
1.74000000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAK4
7190288.65000000
PA
USD
6135988.13000000
0.190986882840
Long
ABS-O
CORP
US
N
2
2051-06-15
Fixed
2.37000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK22
06540XBH3
20456786.03000000
PA
USD
555004.88000000
0.017274911513
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Variable
0.71000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJZB9
7193.39000000
PA
USD
6111.29000000
0.000190218136
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A85P4
63876.75000000
PA
USD
64564.02000000
0.002009599865
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
6.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAV1
1085000.00000000
PA
USD
1121136.92000000
0.034896163592
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
6.25000000
N
N
N
N
N
N
Mexico Government International Bonds
254900EGTWEU67VP6075
Mexico Government International Bonds
91087BAR1
940000.00000000
PA
USD
755090.27000000
0.023502707938
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379V5S9
714480.23000000
PA
USD
116045.81000000
0.003612006257
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EMS6
6750162.43000000
PA
USD
6400096.04000000
0.199207424568
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.00000000
N
N
N
N
N
N
VIPER ENERGY INC
5299009LINL232255G03
Viper Energy Inc
92763MAA3
3306000.00000000
PA
USD
3225499.56000000
0.100395909104
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.38000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKJ7
1014957.37000000
PA
USD
883552.46000000
0.027501182627
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
VCAT Asset Securitization, LLC
N/A
VCAT 2021-NPL2 LLC
91822YAA8
556772.80000000
PA
USD
545057.02000000
0.016965277476
Long
ABS-O
CORP
US
N
2
2051-03-27
Variable
5.12000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGGS2
1520500.12000000
PA
USD
1213039.75000000
0.037756702866
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
GEN DIGITAL INC
YF6ZV0M6AU4FY94MK914
Gen Digital Inc
871503AU2
4065000.00000000
PA
USD
4016229.23000000
0.125007918066
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200KVD6
64940.35000000
PA
USD
65453.57000000
0.002037287726
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
5.50000000
N
N
N
N
N
N
Rio Tinto Alcan Inc
2138007ZSQ7B17SKOX77
Rio Tinto Alcan Inc
013716AU9
1515000.00000000
PA
USD
1582772.43000000
0.049264888759
Long
DBT
CORP
CA
N
2
2033-12-15
Fixed
6.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A5P34
281776.69000000
PA
USD
8814.43000000
0.000274355242
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BJQK2
332726.17000000
PA
USD
21300.50000000
0.000662992823
Long
ABS-MBS
USGSE
US
N
2
2030-07-15
Fixed
4.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
8035000.00000000
PA
USD
7490360.38000000
0.233142657713
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.63000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBG2
5995000.00000000
PA
USD
5089993.00000000
0.158429559535
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B2JF8
71694.27000000
PA
USD
1838.02000000
0.000057209646
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380WH28
2205581.29000000
PA
USD
404551.69000000
0.012591951709
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DK3
1105000.00000000
PA
USD
881957.35000000
0.027451533723
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.13000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2007-OPT2
83613DAD8
1658144.27000000
PA
USD
1445300.56000000
0.044985981536
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.61000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK18
065402BD0
20970730.69000000
PA
USD
739541.21000000
0.023018732669
Long
ABS-MBS
CORP
US
N
2
2062-05-15
Variable
1.03000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JM0
3530000.00000000
PA
USD
3274596.88000000
0.101924097214
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.55000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBL2
620000.00000000
PA
USD
388553.40000000
0.012093993845
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
4.00000000
N
N
N
N
N
N
M&T BANK CORPORATION
549300WYXDDBYRASEG81
M&T Bank Corp
55261FAR5
4832000.00000000
PA
USD
4350368.85000000
0.135408245300
Long
DBT
CORP
US
N
2
2034-01-27
Fixed
5.05000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2006-OPT5
83612CAE9
830000.00000000
PA
USD
717534.83000000
0.022333768841
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.91000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust 2015-NXS1
94989HBM1
255000.00000000
PA
USD
220665.12000000
0.006868354782
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.25000000
N
N
N
N
N
N
MINERVA LUXEMBOURG SA
222100NM3G3RCPGZ2Z17
Minerva Luxembourg SA
000000000
3785000.00000000
PA
USD
3079481.68000000
0.095851001398
Long
DBT
CORP
LU
N
2
2031-03-18
Fixed
4.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NUBN8
3515000.00000000
PA
USD
3492534.55000000
0.108707558226
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
5.07000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378PE79
3563246.93000000
PA
USD
3072101.80000000
0.095621297518
Long
ABS-MBS
USGA
US
N
2
2044-01-16
Fixed
3.00000000
N
Y
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B05Q3
256912.55000000
PA
USD
20465.29000000
0.000636996333
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FL2N3
10069330.82000000
PA
USD
324565.75000000
0.010102333895
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Variable
0.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGGR4
2308101.05000000
PA
USD
1857514.07000000
0.057816412702
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BG7
1220000.00000000
PA
USD
1237994.59000000
0.038533439554
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
6.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CF81
681050.80000000
PA
USD
105280.99000000
0.003276943774
Long
ABS-MBS
USGA
US
N
2
2047-02-16
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLEM6
2277038.80000000
PA
USD
2281618.81000000
0.071016966643
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fixed Income Clearing Corp.
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
30658133.00000000
PA
USD
30658133.00000000
0.954255635982
Long
RA
CORP
US
N
2
Repurchase
N
5.31000000
2024-05-01
35515500.00000000
USD
31271295.66000000
USD
UST
N
N
N
Texas Debt Capital CLO, Ltd
N/A
Texas Debt Capital CLO 2023-I Ltd
88238CAB8
4440000.00000000
PA
USD
4456694.40000000
0.138717701728
Long
ABS-CBDO
CORP
KY
N
2
2036-04-20
Floating
7.62000000
N
N
N
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAG7
895000.00000000
PA
USD
873019.29000000
0.027173330411
Long
DBT
CORP
US
N
2
2033-02-28
Fixed
5.35000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAJ4
1203000.00000000
PA
USD
1082811.06000000
0.033703244640
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213VCK2
3907.70000000
PA
USD
3969.19000000
0.000123543789
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M5E50
85914.15000000
PA
USD
65839.72000000
0.002049306912
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
TAPESTRY INC
549300LJNVY5SW3VTN33
Tapestry Inc
876030AB3
635000.00000000
PA
USD
643874.84000000
0.020041050605
Long
DBT
CORP
US
N
2
2025-11-27
Fixed
7.05000000
N
N
N
N
N
N
CISCO SYSTEMS INC
549300LKFJ962MZ46593
Cisco Systems Inc
17275RBS0
1575000.00000000
PA
USD
1548515.82000000
0.048198628032
Long
DBT
CORP
US
N
2
2031-02-26
Fixed
4.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWJF1
36103.20000000
PA
USD
35046.83000000
0.001090856871
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129383F8
160984.50000000
PA
USD
155665.16000000
0.004845185982
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAY5
1770000.00000000
PA
USD
1504500.00000000
0.046828605131
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Fixed
2.81000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR8 Trust
74333TAA7
5369486.14000000
PA
USD
4838070.78000000
0.150588305853
Long
ABS-O
CORP
US
N
2
2038-10-17
Fixed
1.51000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-1 Mortgage Loan Trust
19688EAA6
2598442.77000000
PA
USD
2087967.25000000
0.064989427636
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
0.91000000
N
N
N
N
N
N
BANK OF IRELAND GROUP
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC
06279JAD1
4855000.00000000
PA
USD
4758614.17000000
0.148115163803
Long
DBT
CORP
IE
N
2
2030-03-20
Fixed
5.60000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2023-SFR1 Trust
74334FAA6
3043252.65000000
PA
USD
2886406.45000000
0.089841401061
Long
ABS-O
CORP
US
N
2
2040-03-17
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A7GL0
70052.00000000
PA
USD
439.54000000
0.000013680987
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N2AJ0
3107452.29000000
PA
USD
2945132.81000000
0.091669299714
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJAR4
3874839.12000000
PA
USD
3389816.25000000
0.105510379953
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust 2019-LIFE
12482HAQ7
2535000.00000000
PA
USD
2514403.13000000
0.078262539924
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
8.17000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391NMW8
71447.01000000
PA
USD
72882.53000000
0.002268519254
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7CL8
160982.42000000
PA
USD
153026.33000000
0.004763050569
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Toorak Mortgage Corp.
N/A
Toorak Mortgage Corp 2021-1 Ltd
89053BAA2
1527157.95000000
PA
USD
1511311.55000000
0.047040619346
Long
ABS-MBS
CORP
US
N
2
2024-06-25
Variable
3.24000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31423YVK2
5467391.78000000
PA
USD
865570.35000000
0.026941476991
Long
ABS-MBS
USGSE
US
N
2
2052-09-25
Fixed
2.50000000
N
N
N
N
N
N
NRZ Excess Spread Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes Series 2020-PLS1
433674AA6
409388.07000000
PA
USD
392873.81000000
0.012228469601
Long
ABS-O
CORP
US
N
2
2025-12-25
Fixed
3.84000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L9PZ0
66536.42000000
PA
USD
64691.10000000
0.002013555319
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.00000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2021-NQM4 Trust
36168HAA2
3974514.78000000
PA
USD
3127265.48000000
0.097338305287
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
1.09000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382WYH4
2318715.63000000
PA
USD
1894095.50000000
0.058955035062
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.00000000
N
N
N
N
N
N
Goldman Sachs Financial Square Funds - Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Funds - Government Fund
38141W273
810581.33000000
NS
USD
810581.33000000
0.025229905636
Long
STIV
RF
US
N
1
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FBF2
645000.00000000
PA
USD
627855.31000000
0.019542431633
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398SBC6
1252216.88000000
PA
USD
155733.96000000
0.004847327430
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-4
35563PHE2
3732986.76000000
PA
USD
3221729.96000000
0.100278577692
Long
ABS-MBS
USGSE
US
N
2
2058-03-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RXF1
327875.87000000
PA
USD
311952.82000000
0.009709747708
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
4.50000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAL5
995000.00000000
PA
USD
934910.88000000
0.029099749041
Long
DBT
US
N
2
2029-02-15
Fixed
4.30000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF12
32027GAE6
741932.79000000
PA
USD
687171.47000000
0.021388688219
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
5.74000000
N
N
N
N
N
N
Ashtead Capital Inc
213800J1134IW58IC398
Ashtead Capital Inc
045054AF0
3790000.00000000
PA
USD
3604762.88000000
0.112200742772
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382QM72
575176.89000000
PA
USD
431993.10000000
0.013446084612
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRODEKU3J3Q16
Freddie Mac STACR REMIC Trust 2022-HQA1
35564KTB5
785000.00000000
PA
USD
821641.60000000
0.025574164204
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
8.83000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20755DAA4
904591.14000000
PA
USD
929467.40000000
0.028930316954
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
7.88000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
95000.00000000
PA
USD
90484.78000000
0.002816401484
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.38000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
5720000.00000000
PA
4784313.43000000
0.148915071080
Long
DBT
NUSS
ID
N
2
2033-03-12
Fixed
1.10000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325YB31
4798338.19000000
PA
USD
657443.54000000
0.020463385796
Long
ABS-MBS
USGSE
US
N
2
2052-03-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140A4VY4
53950.80000000
PA
USD
52392.89000000
0.001630765009
Long
ABS-MBS
USGSE
US
N
2
2053-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJJQ6
1217336.63000000
PA
USD
1020321.08000000
0.031758200706
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2006-6AR
61749CAG6
329307.30000000
PA
USD
132217.64000000
0.004115365672
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
4.74000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK23
06541RBC6
17942108.91000000
PA
USD
555749.65000000
0.017298092995
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Variable
0.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030658
500000.00000000
PA
USD
425485.39000000
0.013243527628
Long
ABS-MBS
USGA
US
N
2
2054-05-20
Fixed
3.00000000
N
N
N
N
N
N
Toyota Auto Loan Extended Note Trust 2019-1
549300R73PIC25YY4X12
Toyota Auto Loan Extended Note Trust 2019-1
89231XAA9
385000.00000000
PA
USD
384231.31000000
0.011959465799
Long
ABS-O
CORP
US
N
2
2031-11-25
Fixed
2.56000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBL5
7845000.00000000
PA
USD
7661207.26000000
0.238460385252
Long
DBT
CORP
FR
N
2
2033-06-15
Fixed
6.22000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQNQ4
129962.80000000
PA
USD
123429.14000000
0.003841817519
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L22Y8
4251622.55000000
PA
USD
3234598.59000000
0.100679122719
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N2RJ2
124106.95000000
PA
USD
117640.03000000
0.003661627459
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.00000000
N
N
N
N
N
N
Invesco Government & Agency Portfolio
5493007T1J7WZ5QI1A47
Invesco Government & Agency Portfolio
825252885
810581.33000000
NS
USD
810581.33000000
0.025229905636
Long
STIV
RF
US
N
1
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBS0
320000.00000000
PA
USD
300031.33000000
0.009338683070
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.88000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59261A2M8
5415000.00000000
PA
USD
5414892.24000000
0.168542273538
Long
DBT
MUN
US
N
2
2049-11-15
Fixed
5.18000000
N
N
N
N
N
N
SOLVENTUM CORP
254900I70403OSGY4M28
Solventum Corp
83444MAC5
2745000.00000000
PA
USD
2691914.55000000
0.083787705889
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
5.40000000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST 2018-1
59166DAA5
1272024.91000000
PA
USD
1176416.97000000
0.036616793458
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AWSV0
43358.96000000
PA
USD
41166.26000000
0.001281328371
Long
ABS-MBS
USGSE
US
N
2
2044-07-25
Fixed
2.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RLQ0
1192530.74000000
PA
USD
1106553.01000000
0.034442229287
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL86
1298300.51000000
PA
USD
1091058.01000000
0.033959936674
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Texas Natural Gas Securitization Finance Corp
N/A
TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE
88258MAA3
4030516.93000000
PA
USD
3987913.56000000
0.124126573214
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
5.10000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BJ2
190000.00000000
PA
USD
173840.06000000
0.005410892340
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2011-C3
61760RAS1
885000.00000000
PA
USD
765703.59000000
0.023833054878
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Variable
5.11000000
N
N
N
N
N
N
NBM US Holdings Inc
5493008K1QMSP0J8UC24
NBM US Holdings Inc
62877VAA9
2745000.00000000
PA
USD
2728425.69000000
0.084924140424
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
7.00000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDG1
1652000.00000000
PA
USD
1463560.82000000
0.045554344783
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380BAQ8
141742.36000000
PA
USD
4392.37000000
0.000136715560
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8
46638UAX4
819539.12000000
PA
USD
717902.34000000
0.022345207845
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
2.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XMW51
627562.13000000
PA
USD
576100.06000000
0.017931513609
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAP7
1190000.00000000
PA
USD
787282.84000000
0.024504723988
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.38000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2021-NQM1 Trust
67114BAA5
3000298.90000000
PA
USD
2512170.37000000
0.078193043722
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.07000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KM8
3760000.00000000
PA
USD
3827829.80000000
0.119143855244
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
6.40000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CA0
1790000.00000000
PA
USD
1076755.78000000
0.033514769853
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GQ1
1005000.00000000
PA
USD
931143.59000000
0.028982489529
Long
DBT
CORP
US
N
2
2054-01-15
Fixed
5.35000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AZ9
10760000.00000000
PA
USD
10706512.04000000
0.333247606952
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
6.00000000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FAV8
763000.00000000
PA
USD
560778.88000000
0.017454631264
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8GE4
112374.13000000
PA
USD
3432.77000000
0.000106847345
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8FN0
982775.62000000
PA
USD
864977.31000000
0.026923018210
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Battalion CLO LTD
5493006S0D1X0TK7V334
Battalion CLO XXV Ltd
07134FAC4
5800000.00000000
PA
USD
5791561.00000000
0.180266349728
Long
ABS-CBDO
CORP
KY
N
2
2037-03-13
Floating
7.47000000
N
N
N
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co
842434CZ3
1830000.00000000
PA
USD
1781311.51000000
0.055444555213
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKF86
837319.56000000
PA
USD
699299.17000000
0.021766171286
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
3.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS MORTGAGE TRUST 2017-C1
07332VBJ3
19648537.76000000
PA
USD
624801.89000000
0.019447391819
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
1.62000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XYTF6
561971.53000000
PA
USD
494565.71000000
0.015393700462
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS4
52475WAA4
1084485.93000000
PA
USD
1022214.75000000
0.031817142497
Long
ABS-MBS
CORP
US
N
2
2060-11-25
Variable
1.65000000
N
N
N
N
N
N
Willis North America Inc
5493004KVU1HWZCP0C66
Willis North America Inc
970648AF8
795000.00000000
PA
USD
794343.52000000
0.024724492547
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLHH2
2390079.42000000
PA
USD
1914518.60000000
0.059590718203
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7GK9
2872268.03000000
PA
USD
2578040.19000000
0.080243287518
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2016-4
64829LAA6
1073326.60000000
PA
USD
976207.93000000
0.030385148341
Long
ABS-MBS
CORP
US
N
2
2056-11-25
Variable
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407NQM8
247190.68000000
PA
USD
235498.56000000
0.007330055882
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQ2P9
136053.30000000
PA
USD
129089.40000000
0.004017997035
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.00000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2020-3
96042QAL4
1350785.48000000
PA
USD
1339284.62000000
0.041686161933
Long
ABS-O
CORP
US
N
2
2026-02-17
Fixed
1.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SWX1
1890982.76000000
PA
USD
1691125.36000000
0.052637448794
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.50000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAP9
825000.00000000
PA
USD
616851.23000000
0.019199922017
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YUH8
263942.29000000
PA
USD
242482.08000000
0.007547422782
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2022-STAR
055980AA4
3770000.00000000
PA
USD
3779425.00000000
0.117637222300
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Floating
8.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AYYN5
122010.54000000
PA
USD
1925.44000000
0.000059930654
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
3445000.00000000
PA
USD
2746359.17000000
0.085482332417
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.30000000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-3 LLC
69357PAA6
1598684.29000000
PA
USD
1551043.50000000
0.048277303824
Long
ABS-O
CORP
US
N
2
2026-04-25
Variable
4.87000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVC0
2870951.82000000
PA
USD
2349217.22000000
0.073121014000
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RM2
6035000.00000000
PA
USD
4517763.28000000
0.140618512940
Long
DBT
UST
US
N
2
2045-05-15
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFH3
7960000.00000000
PA
USD
8205920.94000000
0.255414976033
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
6.41000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CD4
1105000.00000000
PA
USD
921966.85000000
0.028696857137
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWJL8
989388.83000000
PA
USD
960439.32000000
0.029894339427
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
5.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust
92927XAA2
485137.19000000
PA
USD
406137.60000000
0.012641314256
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
3.79000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307VYC4
110355.26000000
PA
USD
102763.82000000
0.003198595113
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
3.00000000
N
N
N
N
N
N
OCP CLO Ltd
N/A
OCP CLO 2024-32 Ltd
67570CAA0
7885000.00000000
PA
USD
7889644.27000000
0.245570645497
Long
ABS-CBDO
CORP
JE
N
2
2037-04-23
Floating
6.85000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN24
000000000
-517.00000000
NC
USD
3446761.17000000
0.107282830052
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term U.S. Treasury Bond Futures
WNM4 Comdty
2024-06-18
-65260573.67000000
USD
3446761.17000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5Z63
140606.40000000
PA
USD
128584.33000000
0.004002276381
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TBH1
6495000.00000000
PA
USD
6056587.50000000
0.188515483206
Long
DBT
NUSS
SA
N
2
2054-01-16
Fixed
5.75000000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AK8
1500000.00000000
PA
USD
1355227.50000000
0.042182395122
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.10000000
N
N
N
N
N
N
Bunker Hill Loan Depositary Trust 2020-1
N/A
Bunker Hill Loan Depositary Trust 2020-1
12062RAA8
674023.03000000
PA
USD
641329.27000000
0.019961817975
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
1.72000000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAL9
961496.37000000
PA
USD
937406.46000000
0.029177425698
Long
ABS-O
CORP
US
N
2
2062-08-15
Fixed
5.97000000
N
N
N
N
N
N
Elmwood CLO 23 Ltd
N/A
Elmwood CLO 23 Ltd
29003YAC5
3720000.00000000
PA
USD
3740720.40000000
0.116432514802
Long
ABS-CBDO
CORP
KY
N
2
2036-04-16
Floating
7.58000000
N
N
N
N
N
N
REGAL REXNORD CORP
QH78R09VCJGQKPBPYU33
Regal Rexnord Corp
758750AE3
745000.00000000
PA
USD
748047.10000000
0.023283484390
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.30000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJF7
2210000.00000000
PA
USD
1767636.79000000
0.055018920076
Long
DBT
CORP
US
N
2
2031-07-23
Fixed
1.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAUM2
6569085.25000000
PA
USD
5282725.99000000
0.164428507414
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TK4
16225000.00000000
PA
USD
13226543.90000000
0.411685344999
Long
DBT
UST
US
N
2
2042-08-15
Fixed
3.38000000
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAY8
495000.00000000
PA
USD
486198.69000000
0.015133271166
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
5.00000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBJ7
1245000.00000000
PA
USD
1084201.96000000
0.033746537366
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.63000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
Pretium Mortgage Credit Partners LLC
74140QAA6
4054634.89000000
PA
USD
3904978.32000000
0.121545156394
Long
ABS-O
CORP
US
N
2
2061-02-25
Variable
1.99000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AAN26
1150405.61000000
PA
USD
1061478.00000000
0.033039238363
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
3.88000000
N
N
N
N
N
N
RR Ltd
N/A
RR 26 Ltd
74989MAC5
3660000.00000000
PA
USD
3668015.40000000
0.114169521292
Long
ABS-CBDO
CORP
KY
N
2
2038-04-15
Floating
7.58000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2022-4
30166BAD4
1482448.22000000
PA
USD
1478733.35000000
0.046026600294
Long
ABS-O
CORP
US
N
2
2027-01-15
Fixed
4.57000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213SYK5
1783.26000000
PA
USD
1838.46000000
0.000057223341
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
893000.00000000
PA
USD
702380.46000000
0.021862078573
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUA1
388256.26000000
PA
USD
346522.92000000
0.010785766028
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XHY5
6875447.28000000
PA
USD
6409237.50000000
0.199491958845
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2006-AR13 Trust
94984DAB0
66291.65000000
PA
USD
61837.61000000
0.001924738465
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
6.27000000
N
N
N
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust 2007-1
75970JAH9
486737.48000000
PA
USD
126994.14000000
0.003952780615
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
5.91000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AT8
2000000.00000000
PA
USD
1718542.18000000
0.053490816317
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
2.70000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CP2
1070000.00000000
PA
USD
973145.26000000
0.030289820615
Long
DBT
CORP
DE
N
2
2027-11-16
Fixed
2.31000000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
Open Text Holdings Inc
683720AC0
310000.00000000
PA
USD
265728.45000000
0.008270982158
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
4.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371JDS0
4289.74000000
PA
USD
4361.21000000
0.000135745683
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132E0N32
996339.46000000
PA
USD
914741.37000000
0.028471959065
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FVNJ7
16972176.19000000
PA
USD
918167.58000000
0.028578602225
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.21000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAX6
1285000.00000000
PA
USD
1236610.47000000
0.038490357860
Long
DBT
CORP
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JAW4
2174207.95000000
PA
USD
53293.97000000
0.001658811749
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
1.46000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBA3
1920000.00000000
PA
USD
1863814.21000000
0.058012508926
Long
DBT
CORP
US
N
2
2027-01-29
Fixed
3.96000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VZQ6
5118385.76000000
PA
USD
4038844.81000000
0.125711843666
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7QD2
1466734.94000000
PA
USD
1290946.92000000
0.040181617522
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738ECR4
3710000.00000000
PA
USD
3661615.44000000
0.113970318101
Long
DBT
CORP
GB
N
2
2030-03-12
Fixed
5.69000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AE7
1715000.00000000
PA
USD
1713980.26000000
0.053348823396
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
6.15000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863BE9
1610000.00000000
PA
USD
1590285.78000000
0.049498746984
Long
DBT
CORP
GB
N
2
2034-04-05
Fixed
5.75000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-9T1
12668BVA8
188560.42000000
PA
USD
69666.06000000
0.002168404396
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
5.75000000
N
N
N
N
N
N
BINOM Securitization Trust
N/A
BINOM Securitization Trust 2021-INV1
05552UAA2
1793736.15000000
PA
USD
1518085.36000000
0.047251458876
Long
ABS-MBS
CORP
US
N
2
2056-06-25
Variable
2.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4TQ9
700181.47000000
PA
USD
656682.33000000
0.020439692607
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CT4
300000.00000000
PA
USD
293782.97000000
0.009144198535
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
5.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BPGR3
892534.53000000
PA
USD
846054.82000000
0.026334042595
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
3585000.00000000
PA
USD
2907095.00000000
0.090485346517
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-9 LLC
69360XAA4
4961059.91000000
PA
USD
4790439.14000000
0.149105738049
Long
ABS-O
CORP
US
N
2
2026-10-25
Variable
2.36000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2005-12
07387AFV2
94261.34000000
PA
USD
81661.18000000
0.002541760819
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
6.27000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBJ6
2440000.00000000
PA
USD
2178651.60000000
0.067812040874
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.00000000
N
N
N
N
N
N
GARTNER INC
PP55B5R38BFB8O8HH686
Gartner Inc
366651AC1
3991000.00000000
PA
USD
3753288.06000000
0.116823691929
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374CSS6
3525168.23000000
PA
USD
3166014.54000000
0.098544396633
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8CC2
824368.80000000
PA
USD
64749.47000000
0.002015372125
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYY2
7380812.73000000
PA
USD
5876813.45000000
0.182919891315
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AY7
1205000.00000000
PA
USD
829890.51000000
0.025830917245
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
3.48000000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAC0
525000.00000000
PA
USD
308776.24000000
0.009610874454
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
2.75000000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXIV Ltd
09609NAL9
5235000.00000000
PA
USD
5208139.22000000
0.162106942509
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
6.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VV56
32033.18000000
PA
USD
27013.48000000
0.000840813285
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
None
0.00000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
00973RAM5
2755000.00000000
PA
USD
2748386.90000000
0.085545446918
Long
DBT
CORP
NO
N
2
2033-06-13
Fixed
6.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31424UPE0
5263921.89000000
PA
USD
803383.97000000
0.025005882818
Long
ABS-MBS
USGSE
US
N
2
2052-06-25
Fixed
2.50000000
N
N
N
N
N
N
TAPESTRY INC
549300LJNVY5SW3VTN33
Tapestry Inc
876030AE7
431000.00000000
PA
USD
446285.67000000
0.013890950758
Long
DBT
CORP
US
N
2
2030-11-27
Fixed
7.70000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05571AAV7
1690000.00000000
PA
USD
1670196.60000000
0.051986026636
Long
DBT
CORP
FR
N
2
2030-01-18
Fixed
5.72000000
N
N
N
N
N
N
Puget Energy Inc
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AH5
1925000.00000000
PA
USD
1877930.86000000
0.058451899440
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617GCKE3
111536.79000000
PA
USD
103418.90000000
0.003218984932
Long
ABS-MBS
USGA
US
N
2
2048-03-20
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
62954HAX6
40000.00000000
PA
USD
37378.02000000
0.001163416775
Long
DBT
CORP
XX
N
2
2027-05-01
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MSKZ7
4778995.17000000
PA
USD
4532266.83000000
0.141069945984
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
EVERGY INC
549300PGTHDQY6PSUI61
Evergy Inc
30034WAA4
710000.00000000
PA
USD
700717.61000000
0.021810321214
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.45000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QA3 Trust
75114RAE5
1223579.55000000
PA
USD
1019436.80000000
0.031730676878
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
6.03000000
N
N
N
N
N
N
New York Transportation Development Corp
N/A
NEW YORK TRANSPRTN DEV CORP LEASE REVENUE
650117AA2
5390000.00000000
PA
USD
5154437.60000000
0.160435442370
Long
DBT
MUN
US
N
2
2035-09-01
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378HTS5
311557.19000000
PA
USD
241202.31000000
0.007507589054
Long
ABS-MBS
USGA
US
N
2
2042-09-16
Fixed
3.00000000
N
Y
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAKA2
77012.73000000
PA
USD
7154.75000000
0.000222696552
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDW3
1695000.00000000
PA
USD
1714803.91000000
0.053374460073
Long
DBT
CORP
US
N
2
2027-10-22
Fixed
6.07000000
N
N
N
N
N
N
Bank
N/A
BANK 2023-BNK45
06541BBQ0
9519373.48000000
PA
USD
581138.71000000
0.018088345083
Long
ABS-MBS
CORP
US
N
2
2056-02-15
Variable
1.20000000
N
N
N
N
N
N
FIRSTCASH INC
549300V2X3UU7K0DG350
FirstCash Inc
33767DAB1
4533000.00000000
PA
USD
4188034.17000000
0.130355465886
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
4.63000000
N
N
N
N
N
N
OTP BANK NYRT
529900W3MOO00A18X956
OTP Bank Nyrt
000000000
1525000.00000000
PA
USD
1556110.00000000
0.048435002148
Long
DBT
CORP
HU
N
2
2027-05-25
Fixed
7.50000000
N
N
N
N
N
N
ALABAMA POWER CO
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FT0
2120000.00000000
PA
USD
1475676.39000000
0.045931450295
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJUT8
1223381.39000000
PA
USD
1190588.20000000
0.037057882813
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Bonds
912810RA8
8171161.95000000
PA
USD
5942444.93000000
0.184962716613
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMKX8
527388.11000000
PA
USD
435328.24000000
0.013549893156
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KL2S5
1158136.16000000
PA
USD
926152.63000000
0.028827142440
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HBB0
3000000.00000000
PA
USD
2940704.34000000
0.091531460516
Long
DBT
CORP
ES
N
2
2030-03-14
Fixed
5.54000000
N
N
N
N
N
N
ONSLOW BAY FINANCIAL LLC
N/A
OBX 2021-NQM3 Trust
67114JAA8
2863572.60000000
PA
USD
2158975.38000000
0.067199604891
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Variable
1.05000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2022-C15
05552FBA4
1640000.00000000
PA
USD
1429057.46000000
0.044480403791
Long
ABS-MBS
CORP
US
N
2
2055-04-15
Variable
3.66000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179Q3K5
1561955.01000000
PA
USD
1453799.06000000
0.045250503238
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NUVD8
4474128.00000000
PA
USD
4322787.53000000
0.134549757601
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
4.39000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCV5
1410000.00000000
PA
USD
1356701.96000000
0.042228288711
Long
DBT
CORP
US
N
2
2030-07-26
Fixed
5.25000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BN3
755000.00000000
PA
USD
725692.67000000
0.022587687265
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
4.40000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBW9
2290000.00000000
PA
USD
2212003.20000000
0.068850132537
Long
DBT
CORP
US
N
2
2034-04-10
Fixed
4.99000000
N
N
N
N
N
N
HPS Loan Management Ltd
N/A
HPS Loan Management 2024-19 Ltd
442924AA4
8840000.00000000
PA
USD
8847522.84000000
0.275385279806
Long
ABS-CBDO
CORP
KY
N
2
2037-04-15
Floating
8.27000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLK3
868582.47000000
PA
USD
762589.09000000
0.023736113907
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6QS3
317620.80000000
PA
USD
279553.91000000
0.008701309182
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR13 Trust
93363RAA4
247941.69000000
PA
USD
201190.60000000
0.006262196851
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
5.97000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H6KN4
3085375.71000000
PA
USD
2614702.26000000
0.081384419854
Long
ABS-MBS
USGSE
US
N
2
2052-03-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XF3N9
1537919.32000000
PA
USD
1258772.97000000
0.039180181032
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KL0
2955000.00000000
PA
USD
2979163.24000000
0.092728520431
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N12A0
736965.94000000
PA
USD
698919.23000000
0.021754345390
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLW3
2604363.29000000
PA
USD
2008258.47000000
0.062508436619
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B06E9
112413.40000000
PA
USD
3310.48000000
0.000103040984
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMDN1
9684921.42000000
PA
USD
7722833.43000000
0.240378542500
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDQ27
5488210.64000000
PA
USD
787962.16000000
0.024525868294
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3E1
7050000.00000000
PA
USD
7025999.97000000
0.218689118146
Long
DBT
CORP
US
N
2
2029-07-25
Fixed
5.57000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380GZW7
163460.79000000
PA
USD
29409.13000000
0.000915379552
Long
ABS-MBS
USGA
US
N
2
2047-09-16
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
140000.00000000
PA
USD
129723.33000000
0.004037728545
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.42000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GK4
1980000.00000000
PA
USD
1887939.23000000
0.058763416892
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283H7E9
12519.64000000
PA
USD
12700.13000000
0.000395300347
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
6.00000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
902973866
469.00000000
NS
USD
404278.00000000
0.012583432918
Long
EP
CORP
US
N
1
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-19
362244AA3
747701.07000000
PA
USD
196787.74000000
0.006125154783
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.61000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-3
03465EAA9
2948660.15000000
PA
USD
2432994.33000000
0.075728634607
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
1.07000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AV0
1265000.00000000
PA
USD
1284313.84000000
0.039975158310
Long
DBT
CORP
CH
N
2
2028-08-11
Fixed
6.44000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FF40
21221.25000000
PA
USD
21506.67000000
0.000669410008
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHHK6
3819221.70000000
PA
USD
3322864.27000000
0.103426453178
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
2.00000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2005-SA3 Trust
76111XVZ3
258554.67000000
PA
USD
110863.72000000
0.003450710114
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209KKS6
4318.14000000
PA
USD
4409.54000000
0.000137249988
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
6.50000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAS8
2725000.00000000
PA
USD
2676027.80000000
0.083293219785
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5SH7
371725.16000000
PA
USD
326558.80000000
0.010164368958
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XEC4
503650.81000000
PA
USD
527261.96000000
0.016411393902
Long
ABS-MBS
USGSE
US
N
2
2029-05-25
Floating
9.79000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2021-NQM1 Trust
36167TAA7
1931485.81000000
PA
USD
1558245.49000000
0.048501470754
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
0.87000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LHG53
2570000.00000000
PA
USD
2284584.13000000
0.071109264283
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.52000000
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2022-NQM2
45276PAA4
7042768.29000000
PA
USD
6355053.94000000
0.197805457991
Long
ABS-MBS
CORP
US
N
2
2067-03-25
Variable
3.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QD2M5
4073732.82000000
PA
USD
3454222.63000000
0.107515073165
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377EG73
178533.19000000
PA
USD
36092.84000000
0.001123414657
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
5.00000000
N
N
N
N
N
N
IndyMac INDA Mortgage Loan Trust
N/A
IndyMac INDA Mortgage Loan Trust 2005-AR2
45660LY86
136801.44000000
PA
USD
125236.42000000
0.003898070362
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
5.43000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWJR5
51132.77000000
PA
USD
49636.63000000
0.001544974507
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
5.50000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAL7
250000.00000000
PA
USD
176187.00000000
0.005483942474
Long
DBT
CORP
GB
N
2
2040-09-02
Fixed
3.30000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042657
119421000.00000000
PA
USD
110147088.77000000
3.428404470875
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D5Q0
51450.10000000
PA
USD
50531.04000000
0.001572813638
Long
ABS-MBS
USGA
US
N
2
2034-05-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYX4
5257251.87000000
PA
USD
3997487.15000000
0.124424557837
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XC6T0
626398.66000000
PA
USD
519642.66000000
0.016174237909
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
SBA Tower Trust
N/A
SBA Tower Trust
78403DAN0
2245000.00000000
PA
USD
2194794.39000000
0.068314496400
Long
DBT
US
N
2
2025-01-15
Fixed
2.84000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122EK0
1180000.00000000
PA
USD
1139385.20000000
0.035464153954
Long
DBT
CORP
US
N
2
2054-02-22
Fixed
5.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052652
10950000.00000000
PA
USD
10737508.57000000
0.334212395429
Long
ABS-MBS
USGA
US
N
2
2054-05-20
Fixed
5.50000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AX4
2000000.00000000
PA
USD
2036416.66000000
0.063384879797
Long
DBT
CORP
US
N
2
2033-10-15
Fixed
6.13000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2023-3
80285XAD7
3355000.00000000
PA
USD
3339781.72000000
0.103953020533
Long
ABS-O
CORP
US
N
2
2028-07-17
Fixed
5.61000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2023-1
337955AG3
962000.00000000
PA
USD
947034.17000000
0.029477094844
Long
ABS-O
CORP
US
N
2
2028-01-18
Fixed
5.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
4464.90000000
PA
USD
4115.10000000
0.000128085339
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177PPS8
58070.96000000
PA
USD
52528.16000000
0.001634975382
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
3.50000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-10N
525229AE0
232896.23000000
PA
USD
208274.58000000
0.006482690638
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
5.85000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-NQM1
126416AA4
7250062.32000000
PA
USD
6176734.82000000
0.192255151804
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
2.27000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP5
46647TAS7
8715000.00000000
PA
USD
8200645.06000000
0.255250760612
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QG4T1
2579925.14000000
PA
USD
1976255.09000000
0.061512309238
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431AU3
2250000.00000000
PA
USD
2174887.76000000
0.067694888746
Long
DBT
CORP
US
N
2
2034-06-01
Fixed
5.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G1SM1
341057.79000000
PA
USD
310646.59000000
0.009669090394
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M84A9
8251.95000000
PA
USD
8225.94000000
0.000256038083
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3G6
1628000.00000000
PA
USD
1667180.80000000
0.051892157771
Long
DBT
CORP
US
N
2
2029-10-23
Fixed
6.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MHUW7
1790733.03000000
PA
USD
1496556.21000000
0.046581349162
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBT1
1840000.00000000
PA
USD
1696336.66000000
0.052799654118
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
4.50000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LLC
N/A
Domino's Pizza Master Issuer LLC
25755TAJ9
3122012.50000000
PA
USD
3032886.54000000
0.094400695374
Long
ABS-O
CORP
US
N
2
2048-07-25
Fixed
4.12000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAF6
715000.00000000
PA
USD
656111.13000000
0.020421913612
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.85000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust 2021-2
24381WAA6
1025593.24000000
PA
USD
870661.07000000
0.027099929179
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
0.90000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BH4
790000.00000000
PA
USD
717515.05000000
0.022333153175
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XUR98
19450.67000000
PA
USD
18849.71000000
0.000586710286
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWH22
175456.66000000
PA
USD
170354.49000000
0.005302401558
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.50000000
N
N
N
N
N
N
Summit Issuer, LLC
N/A
Summit Issuer LLC
86613XAA3
1895000.00000000
PA
USD
1765077.47000000
0.054939259468
Long
ABS-O
CORP
US
N
2
2050-12-20
Fixed
2.29000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TR9
14320000.00000000
PA
USD
11691496.84000000
0.363905941455
Long
DBT
UST
US
N
2
2053-05-15
Fixed
3.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHM77
12388911.08000000
PA
USD
9402323.84000000
0.292653845413
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFB32
3930206.51000000
PA
USD
3172133.82000000
0.098734863464
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAW8
2475000.00000000
PA
USD
2502081.38000000
0.077879016917
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.95000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CU1
1360000.00000000
PA
USD
1396714.83000000
0.043473717019
Long
DBT
CORP
DE
N
2
2029-11-20
Fixed
6.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FJB36
497567.98000000
PA
USD
442770.33000000
0.013781533365
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176HJS4
204305.11000000
PA
USD
195335.21000000
0.006079943780
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M9X51
2514833.49000000
PA
USD
2023443.55000000
0.062981082758
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
ALCON FINANCE CORP
549300CUZUI9VU7XNK42
Alcon Finance Corp
01400EAE3
745000.00000000
PA
USD
729789.18000000
0.022715193977
Long
DBT
CORP
US
N
2
2032-12-06
Fixed
5.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KTYL8
3234644.95000000
PA
USD
2617329.94000000
0.081466208215
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCZ6
925000.00000000
PA
USD
934321.84000000
0.029081414763
Long
DBT
CORP
US
N
2
2029-06-08
Fixed
6.31000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM8
12659FAA3
3016385.93000000
PA
USD
2542976.22000000
0.079151897152
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.84000000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591ES7
700000.00000000
PA
USD
568567.34000000
0.017697052479
Long
DBT
USGA
US
N
2
2065-09-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QSF22
4069251.34000000
PA
USD
3957317.51000000
0.123174249954
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BBT1
128058.56000000
PA
USD
117651.40000000
0.003661981358
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
36179UZV7
1851904.60000000
PA
USD
1740474.22000000
0.054173466261
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380VEM9
278396.53000000
PA
USD
241955.40000000
0.007531029502
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-8
03465MAA1
2714584.87000000
PA
USD
2296996.48000000
0.071495607278
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
1.82000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBV1
2160000.00000000
PA
USD
2074820.92000000
0.064580239004
Long
DBT
CORP
US
N
2
2033-09-11
Fixed
4.89000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNA94
1094258.86000000
PA
USD
837884.63000000
0.026079739770
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
2480000.00000000
PA
USD
1815601.58000000
0.056511857405
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VRH9
464644.96000000
PA
USD
16944.49000000
0.000527408993
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
3.50000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BB8
370000.00000000
PA
USD
322683.04000000
0.010043733242
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
3.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XALY6
975950.92000000
PA
USD
781591.22000000
0.024327568372
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A3M7
691168.11000000
PA
USD
657558.66000000
0.020466968986
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HLE25
194624.13000000
PA
USD
179039.03000000
0.005572713884
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV7A7
1753115.05000000
PA
USD
1401719.95000000
0.043629504848
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS3
52474XAA3
2100302.54000000
PA
USD
1994377.98000000
0.062076396749
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Variable
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LBZA4
1350388.00000000
PA
USD
1081319.18000000
0.033656808841
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GT7A2
427426.80000000
PA
USD
379571.44000000
0.011814424116
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KQ3
465000.00000000
PA
USD
440058.95000000
0.013697139783
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.70000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PER9
650000.00000000
PA
USD
648981.67000000
0.020200004228
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
5.35000000
N
N
N
N
N
N
MONONGAHELA POWER CO
N/A
Monongahela Power Co
609935AA9
1125000.00000000
PA
USD
1121301.20000000
0.034901276921
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.85000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F062663
-23510000.00000000
PA
USD
-23683326.53000000
-0.73715995100
Short
ABS-MBS
USGSE
US
N
2
2054-06-01
Fixed
6.50000000
N
N
N
N
N
N
Hologic Inc
549300DYP6F5ZJL0LB74
Hologic Inc
436440AM3
4133000.00000000
PA
USD
3929855.20000000
0.122319466524
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.63000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
700000.00000000
PA
USD
577041.05000000
0.017960802575
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DVA7
4917259.96000000
PA
USD
3744939.70000000
0.116563843438
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AQ8
3295000.00000000
PA
USD
3259589.59000000
0.101456984913
Long
DBT
CORP
FR
N
2
2035-01-10
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLDK1
1917935.96000000
PA
USD
1554176.47000000
0.048374819686
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8W45
2591814.65000000
PA
USD
2168851.42000000
0.067507003480
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213UME7
2830.25000000
PA
USD
2910.05000000
0.000090577322
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W2S7
65122.19000000
PA
USD
66103.60000000
0.002057520360
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-4
03464LAA4
417202.86000000
PA
USD
385803.84000000
0.012008411885
Long
ABS-MBS
CORP
US
N
2
2065-06-25
Variable
1.47000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BGVT2
1380268.45000000
PA
USD
1308731.46000000
0.040735173655
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEYR7
2963110.58000000
PA
USD
2266559.23000000
0.070548226779
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
TAPESTRY INC
549300LJNVY5SW3VTN33
Tapestry Inc
876030AD9
1690000.00000000
PA
USD
1740415.93000000
0.054171651944
Long
DBT
CORP
US
N
2
2028-11-27
Fixed
7.35000000
N
N
N
N
N
N
NORTH MACEDONIA
635400RD1N6RVNCE4958
North Macedonia Government International Bond
000000000
3615000.00000000
PA
3746255.34000000
0.116604793645
Long
DBT
NUSS
MK
N
2
2026-06-03
Fixed
3.68000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBF1
685000.00000000
PA
USD
529855.80000000
0.016492128969
Long
DBT
CORP
CA
N
2
2033-08-01
Fixed
2.50000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2022-3
38014QAC0
600000.00000000
PA
USD
596200.80000000
0.018557163072
Long
ABS-O
CORP
US
N
2
2027-01-15
Fixed
4.92000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding LXVII Ltd
55821YAA4
7960000.00000000
PA
USD
7968039.60000000
0.248010754472
Long
ABS-CBDO
CORP
KY
N
2
2037-04-25
Floating
6.80000000
N
N
N
N
N
N
Sabey Data Center Issuer LLC
N/A
Sabey Data Center Issuer LLC
78520EAG1
970000.00000000
PA
USD
955795.27000000
0.029749790153
Long
ABS-O
CORP
US
N
2
2049-04-20
Fixed
6.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDU2
1901000.00000000
PA
USD
1108385.29000000
0.034499260272
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.94000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-5
03465HAA2
3747494.95000000
PA
USD
3046657.18000000
0.094829316087
Long
ABS-MBS
CORP
US
N
2
2066-07-25
Variable
0.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCJT6
2472557.21000000
PA
USD
2148105.48000000
0.066861271721
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QD24
9039.37000000
PA
USD
8655.82000000
0.000269418396
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
4.50000000
N
N
N
N
N
N
Cox Communications Inc
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CH8
662000.00000000
PA
USD
656825.72000000
0.020444155721
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AMVN4
51866.08000000
PA
USD
947.79000000
0.000029500620
Long
ABS-MBS
USGSE
US
N
2
2027-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8QX8
1487362.27000000
PA
USD
1140470.18000000
0.035497924708
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VBD2
1375000.00000000
PA
USD
1366818.86000000
0.042543184235
Long
DBT
US
N
2
2029-06-01
Fixed
5.60000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2005-9
07387AEG6
132974.70000000
PA
USD
122712.02000000
0.003819496663
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
7.67000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
4885000.00000000
PA
USD
3811155.36000000
0.118624851744
Long
DBT
CORP
US
N
2
2032-02-13
Fixed
1.79000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ARZH2
45115.31000000
PA
USD
1360.15000000
0.000042335611
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
4.00000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KAV0
67018.39000000
PA
USD
2718.94000000
0.000084628891
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NQB80
95830.87000000
PA
USD
93037.22000000
0.002895847948
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754RAF3
1212400.00000000
PA
USD
1244460.22000000
0.038734686769
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
8.43000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2J1
745000.00000000
PA
USD
629670.15000000
0.019598919785
Long
DBT
CORP
US
N
2
2031-02-11
Fixed
2.57000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4
225458PR3
417093.45000000
PA
USD
297489.65000000
0.009259571519
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412TXK4
35813.15000000
PA
USD
36269.58000000
0.001128915812
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEBR2
311036.13000000
PA
USD
248431.09000000
0.007732589841
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419FFW1
304447.88000000
PA
USD
279692.64000000
0.008705627249
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TJ40
61587.52000000
PA
USD
62438.66000000
0.001943446563
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAE7
2990000.00000000
PA
USD
2724769.06000000
0.084810325281
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
4.02000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFD2
3800000.00000000
PA
USD
3737210.51000000
0.116323267043
Long
DBT
CORP
US
N
2
2029-04-20
Fixed
5.16000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLTH0
4695409.43000000
PA
USD
3568450.64000000
0.111070499137
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F83S0
10313841.53000000
PA
USD
513708.72000000
0.015989539914
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.12000000
N
N
N
N
N
N
OGLETHORPE POWER CORP
3EERXCUSWMS9GV5D9M98
Oglethorpe Power Corp
677050AS5
1100000.00000000
PA
USD
864620.39000000
0.026911908828
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213UB33
12407.30000000
PA
USD
12578.61000000
0.000391517953
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111GC1
1500000.00000000
PA
USD
969989.01000000
0.030191580147
Long
DBT
CORP
US
N
2
2051-12-01
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDGU4
743330.40000000
PA
USD
619272.30000000
0.019275279498
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DK8
1035000.00000000
PA
USD
1040456.28000000
0.032384922760
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
6.39000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GPSA7
465982.01000000
PA
USD
427088.99000000
0.013293440790
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
SG Commercial Mortgage Securities Trust
N/A
SG Commercial Mortgage Securities Trust 2020-COVE
78397FAA1
5770000.00000000
PA
USD
5311784.11000000
0.165332961537
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Fixed
2.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9GA0
206584.35000000
PA
USD
7768.21000000
0.000241790919
Long
ABS-MBS
USGSE
US
N
2
2027-10-25
Fixed
3.50000000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2023-A
00834JAE0
2745000.00000000
PA
USD
2756109.02000000
0.085785803255
Long
ABS-O
CORP
US
N
2
2028-01-18
Fixed
6.61000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419CSC8
17164.70000000
PA
USD
16329.71000000
0.000508273540
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B4 Mortgage Trust
08161HAG5
10676115.54000000
PA
USD
146579.86000000
0.004562399723
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Variable
0.61000000
N
N
N
N
N
N
Hanesbrands Inc
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AL6
940000.00000000
PA
USD
906758.78000000
0.028223495419
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WM90
21412.00000000
PA
USD
20370.15000000
0.000634035035
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HZ9
3010000.00000000
PA
USD
2872081.17000000
0.089395516793
Long
DBT
CORP
US
N
2
2034-06-01
Fixed
5.20000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF5
32027EAF8
2250478.00000000
PA
USD
1990048.41000000
0.061941635882
Long
ABS-O
CORP
US
N
2
2036-04-25
Floating
5.91000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-1
35563PJH3
4973019.22000000
PA
USD
4362868.55000000
0.135797307125
Long
ABS-MBS
USGSE
US
N
2
2058-07-25
Fixed
3.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CN8
1415000.00000000
PA
USD
1492762.47000000
0.046463266376
Long
DBT
CORP
GB
N
2
2028-11-16
Fixed
7.77000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000KIGZAWUOW4E32
Freddie Mac STACR REMIC Trust 2023-HQA2
35564K2G3
7475000.00000000
PA
USD
7904812.50000000
0.246042767167
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Floating
8.68000000
N
N
N
N
N
N
510 Assets Backed Trust
N/A
510 Asset Backed 2021-NPL2 Trust
33835JAA8
3015547.59000000
PA
USD
2898304.00000000
0.090211720550
Long
ABS-O
CORP
US
N
2
2061-06-25
Variable
2.12000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XWCG4
1737537.71000000
PA
USD
1531277.09000000
0.047662060614
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
92933BAR5
1135000.00000000
PA
USD
942512.97000000
0.029336369361
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KLH47
562569.88000000
PA
USD
453612.22000000
0.014118994704
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180KJY8
508941.14000000
PA
USD
460031.17000000
0.014318788971
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U6T4
3307892.16000000
PA
USD
2732652.69000000
0.085055708728
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
2.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KG1
1285000.00000000
PA
USD
1268911.65000000
0.039495754473
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
5.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378P4B1
100625.69000000
PA
USD
18051.42000000
0.000561862957
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F8BQ9
117073.35000000
PA
USD
107195.49000000
0.003336533913
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBF5
281000.00000000
PA
USD
256829.09000000
0.007993983411
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.13000000
N
N
N
N
N
N
BAE SYSTEMS PLC
8SVCSVKSGDWMW2QHOH83
BAE Systems PLC
05523RAJ6
1870000.00000000
PA
USD
1835935.00000000
0.057144749194
Long
DBT
CORP
GB
N
2
2029-03-26
Fixed
5.13000000
N
N
N
N
N
N
AGCO CORP
LYOM0B2GCF1JWXK5ZG04
AGCO Corp
001084AS1
520000.00000000
PA
USD
508754.90000000
0.015835348834
Long
DBT
CORP
US
N
2
2034-03-21
Fixed
5.80000000
N
N
N
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AF3
3320000.00000000
PA
USD
3390344.16000000
0.105526811518
Long
DBT
CORP
CA
N
2
2027-12-01
Fixed
6.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AG68
726152.13000000
PA
USD
722867.95000000
0.022499765897
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CV7
995000.00000000
PA
USD
948555.25000000
0.029524439513
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CK6
640000.00000000
PA
USD
448392.19000000
0.013956517653
Long
DBT
CORP
NL
N
2
2041-11-26
Fixed
2.88000000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-7 LLC
69360LAA0
3913139.75000000
PA
USD
3720875.45000000
0.115814826980
Long
ABS-O
CORP
US
N
2
2026-08-25
Variable
1.87000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXJJ2
1980429.72000000
PA
USD
1704599.47000000
0.053056839806
Long
ABS-MBS
USGSE
US
N
2
2058-05-01
Fixed
3.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DP2
1715000.00000000
PA
USD
1122191.11000000
0.034928975987
Long
DBT
CORP
US
N
2
2040-08-21
Fixed
2.70000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAM6
2010000.00000000
PA
USD
2021357.16000000
0.062916142423
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.17000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXK3
4392256.41000000
PA
USD
3333743.26000000
0.103765069281
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300UFJ8EKD81Y8R30
CSAIL 2015-C1 Commercial Mortgage Trust
126281BB9
1207462.61000000
PA
USD
2426.28000000
0.000075519646
Long
ABS-MBS
CORP
US
N
2
2050-04-15
Variable
0.94000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBT7
295000.00000000
PA
USD
232090.34000000
0.007223972673
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754BAF8
3055000.00000000
PA
USD
3211568.75000000
0.099962302989
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Floating
9.83000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X5QA8
94085.46000000
PA
USD
84125.94000000
0.002618478182
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDX4
167271.50000000
PA
USD
166514.87000000
0.005182890725
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS30HKV5IAS29
Freddie Mac STACR REMIC Trust 2022-DNA6
35564KH44
2890000.00000000
PA
USD
3071320.62000000
0.095596982749
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Floating
9.03000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
2180000.00000000
PA
USD
1684315.89000000
0.052425499322
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2021-NQM1 Trust
55283FAA6
1116174.23000000
PA
USD
986288.38000000
0.030698909334
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGPK7
1202525.09000000
PA
USD
963264.75000000
0.029982282894
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXFR8
3324983.83000000
PA
USD
2632755.91000000
0.081946352221
Long
ABS-MBS
USGSE
US
N
2
2057-01-01
Fixed
2.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2021-R1
89179TAA2
7148542.40000000
PA
USD
5839429.83000000
0.181756300235
Long
ABS-MBS
CORP
US
N
2
2060-11-30
Variable
2.92000000
N
N
N
N
N
N
HSBC U.S. Government Money Market Fund
213800MK2OTSN7TSAV83
HSBC U.S. Government Money Market Fund
40428X107
2701937.75000000
NS
USD
2701937.75000000
0.084099684935
Long
STIV
RF
US
N
1
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHV4
879000.00000000
PA
USD
780713.76000000
0.024300256821
Long
DBT
CORP
US
N
2
2030-07-23
Fixed
3.19000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BGWY1
3298813.77000000
PA
USD
717222.15000000
0.022324036460
Long
ABS-MBS
USGSE
US
N
2
2045-03-15
Fixed
5.00000000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAL4
935000.00000000
PA
USD
883388.65000000
0.027496083927
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
5.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CP80
803228.24000000
PA
USD
139655.61000000
0.004346877643
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
6.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2021-NQM1R
64828BAA9
1452444.47000000
PA
USD
1252405.10000000
0.038981976665
Long
ABS-MBS
CORP
US
N
2
2055-07-25
Variable
0.94000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300ZVNWG0TX42H716
Wells Fargo Commercial Mortgage Trust 2015-NXS3
94989VAG4
15947572.60000000
PA
USD
146122.82000000
0.004548174036
Long
ABS-MBS
CORP
US
N
2
2057-09-15
Variable
1.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N7H60
913232.42000000
PA
USD
876084.94000000
0.027268750892
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AP3
870000.00000000
PA
USD
792136.58000000
0.024655800010
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQB7
3146669.11000000
PA
USD
2682266.38000000
0.083487399911
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
3.00000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CV9
720000.00000000
PA
USD
713248.00000000
0.022200338287
Long
DBT
CORP
US
N
2
2027-11-17
Fixed
5.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQFE7
291052.82000000
PA
USD
276904.55000000
0.008618846016
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCYW0
1214747.43000000
PA
USD
1025525.28000000
0.031920185038
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NAK51
2451305.75000000
PA
USD
2323682.78000000
0.072326236860
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
5.00000000
N
N
N
N
N
N
New Economy Assets Phase 1 Issuer LLC
N/A
New Economy Assets Phase 1 Sponsor LLC
643821AA9
5335000.00000000
PA
USD
4647138.71000000
0.144645412857
Long
ABS-O
CORP
US
N
2
2061-10-20
Fixed
1.91000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030652
12840000.00000000
PA
USD
10605464.82000000
0.330102442203
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Union Electric Co
QMPJLLDULY5C1M8PNY21
Union Electric Co
906548CN0
370000.00000000
PA
USD
280382.14000000
0.008727088414
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-2
35563PFJ3
1848685.51000000
PA
USD
1644838.54000000
0.051196739445
Long
ABS-MBS
USGSE
US
N
2
2057-11-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383DY69
4439424.14000000
PA
USD
3752148.90000000
0.116788234784
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202X4X2
8219.72000000
PA
USD
8324.50000000
0.000259105831
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
6.00000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2011-C4
92936CBA6
345000.00000000
PA
USD
210484.50000000
0.006551475930
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
5.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust
939346AA0
340044.96000000
PA
USD
270165.69000000
0.008409094328
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
5.92000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754LAF6
2866000.00000000
PA
USD
2953608.46000000
0.091933110194
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
8.48000000
N
N
N
N
N
N
DC Commercial Mortgage Trust
N/A
DC Trust 2024-HLTN
24022FAG5
705000.00000000
PA
USD
698589.29000000
0.021744075779
Long
ABS-MBS
CORP
US
N
2
2028-04-13
Variable
7.04000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
530000.00000000
PA
USD
503878.62000000
0.015683571239
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
3427000.00000000
PA
USD
3032096.27000000
0.094376097673
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGQX0
3605768.00000000
PA
USD
3276503.11000000
0.101983429944
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2024-C24
07336VAZ4
14112211.42000000
PA
USD
1504869.78000000
0.046840114790
Long
ABS-MBS
CORP
US
N
2
2057-02-15
Variable
1.86000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BVST5
366946.27000000
PA
USD
333511.65000000
0.010380781232
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2023-B39 Mortgage Trust
081925AF6
32942849.78000000
PA
USD
1313210.70000000
0.040874593104
Long
ABS-MBS
CORP
US
N
2
2056-07-15
Variable
0.72000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46514BRM1
1390000.00000000
PA
USD
1253240.68000000
0.039007984671
Long
DBT
NUSS
IL
N
2
2054-03-12
Fixed
5.75000000
N
N
N
N
N
N
ARI Fleet Lease Trust
N/A
ARI Fleet Lease Trust 2023-A
00218GAB8
4093205.47000000
PA
USD
4079649.18000000
0.126981907960
Long
ABS-O
CORP
US
N
2
2032-02-17
Fixed
5.41000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2021-NQM2R
64831EAA8
886503.93000000
PA
USD
812460.46000000
0.025288394859
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
0.94000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2023-B40 Mortgage Trust
08163WAH8
10213403.05000000
PA
USD
661706.98000000
0.020596088321
Long
ABS-MBS
CORP
US
N
2
2056-12-15
Variable
1.41000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AWF91
604469.17000000
PA
USD
499319.64000000
0.015541669827
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
1.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RV2
12500000.00000000
PA
USD
9217285.13000000
0.286894387331
Long
DBT
UST
US
N
2
2047-02-15
Fixed
3.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
6683000.00000000
PA
USD
5648162.18000000
0.175802962078
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2019-1 Trust
95001TAA3
8256.57000000
PA
USD
7567.16000000
0.000235533099
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
3.93000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK20
06540AAE1
19221071.45000000
PA
USD
664443.61000000
0.020681267826
Long
ABS-MBS
CORP
US
N
2
2062-09-15
Variable
0.93000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2LL4
285665.38000000
PA
USD
285136.81000000
0.008875080813
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F9YZ8
24019788.75000000
PA
USD
899512.26000000
0.027997942462
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Variable
0.81000000
N
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust 2023-A
12664QAD6
1230000.00000000
PA
USD
1203680.95000000
0.037465403730
Long
ABS-O
CORP
US
N
2
2030-10-15
Fixed
4.77000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2018-1
64830GAB2
232096.70000000
PA
USD
215970.13000000
0.006722219965
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.00000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAU2
3815000.00000000
PA
USD
3599664.73000000
0.112042059320
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
5.13000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2022-3
33845PAE4
3303000.00000000
PA
USD
3247291.93000000
0.101074211723
Long
ABS-O
CORP
US
N
2
2028-07-17
Fixed
4.69000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HT3
835000.00000000
PA
USD
849305.65000000
0.026435226932
Long
DBT
CORP
US
N
2
2032-11-01
Fixed
5.95000000
N
N
N
N
N
N
INTL AIRPORT FINANCE SA
959800M9M5LP0KXUP789
International Airport Finance SA
45900TAA0
3447577.51000000
PA
USD
3659775.91000000
0.113913061455
Long
DBT
CORP
ES
N
2
2033-03-15
Fixed
12.00000000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAG0
706835.67000000
PA
USD
621430.13000000
0.019342443452
Long
ABS-O
CORP
US
N
2
2061-03-15
Fixed
1.98000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Mortgage Loan Trust 2006-AR1
36185MDN9
43288.79000000
PA
USD
33504.54000000
0.001042852026
Long
ABS-MBS
CORP
US
N
2
2036-04-19
Variable
3.64000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-9
007036SE7
19007.17000000
PA
USD
18776.90000000
0.000584444025
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.97000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-17
362257AB3
1072013.78000000
PA
USD
248156.07000000
0.007724029653
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.79000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DL1
370000.00000000
PA
USD
359669.07000000
0.011194949057
Long
DBT
CORP
US
N
2
2032-01-29
Fixed
5.63000000
N
N
N
N
N
N
Municipal Electric Authority of Georgia
JA0WNILDDF2KUPS83B16
MUNI ELEC AUTH OF GEORGIA
626207YF5
1269000.00000000
PA
USD
1360515.97000000
0.042347002415
Long
DBT
MUN
US
N
2
2057-04-01
Fixed
6.64000000
N
N
N
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corp International/US
817565CF9
7045000.00000000
PA
USD
5972535.42000000
0.185899303967
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDDV5
811170.55000000
PA
USD
657213.58000000
0.020456228132
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B18 Mortgage Trust
08163AAF0
6720347.72000000
PA
USD
407574.30000000
0.012686032540
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Variable
1.91000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
713000.00000000
PA
USD
450710.34000000
0.014028671678
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
KEYSPAN GAS EAST CORP
K8TS3HOE1568DUBUJL44
KeySpan Gas East Corp
49338CAD5
1775000.00000000
PA
USD
1750940.18000000
0.054499226519
Long
DBT
CORP
US
N
2
2033-03-06
Fixed
5.99000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967PF2
3025000.00000000
PA
USD
2958296.84000000
0.092079039270
Long
DBT
CORP
US
N
2
2030-02-13
Fixed
5.17000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BL7E2
4212818.54000000
PA
USD
3796936.26000000
0.118182272402
Long
ABS-MBS
USGSE
US
N
2
2045-08-15
Fixed
3.50000000
N
N
N
N
N
N
CONSTELLATION SOFTWARE
549300B6PYHMCTDWQV29
Constellation Software Inc/Canada
21037XAD2
1135000.00000000
PA
USD
1106206.42000000
0.034431441433
Long
DBT
CORP
CA
N
2
2034-02-16
Fixed
5.46000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D5G3
1444080.46000000
PA
USD
1170001.27000000
0.036417100350
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
NJ Trust 2023-GSP
N/A
NJ Trust 2023-GSP
65486XAA1
3410000.00000000
PA
USD
3459308.60000000
0.107673377506
Long
ABS-MBS
CORP
US
N
2
2029-01-06
Variable
6.70000000
N
N
N
N
N
N
BLACK KNIGHT INFOSERV LL
549300H5PS5C68DAUX66
Black Knight InfoServ LLC
092174AA9
7110000.00000000
PA
USD
6576441.43000000
0.204696297040
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.63000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEL2
385000.00000000
PA
USD
336233.55000000
0.010465502256
Long
DBT
CORP
US
N
2
2062-05-15
Fixed
4.95000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59261A2P1
460000.00000000
PA
USD
398433.88000000
0.012401530633
Long
DBT
MUN
US
N
2
2049-11-15
Fixed
5.18000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754EAB1
4060000.00000000
PA
USD
4202251.44000000
0.130797988267
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Floating
8.03000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2017-2
64829KBV1
1936776.16000000
PA
USD
1797091.60000000
0.055935721450
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CG23
356666.69000000
PA
USD
60577.41000000
0.001885513866
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
5.50000000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAN7
4890000.00000000
PA
USD
4579495.27000000
0.142539963909
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.00000000
N
N
N
N
N
N
BRAVO Residential Funding Trust
N/A
BRAVO Residential Funding Trust 2021-NQM2
10569EAA9
738096.20000000
PA
USD
687444.35000000
0.021397181798
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
0.97000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AP4
4129000.00000000
PA
USD
3335437.17000000
0.103817793403
Long
DBT
CORP
CO
N
2
2031-11-02
Fixed
4.63000000
N
N
N
N
N
N
COLUMBIA PIPELINE HOLDCO
N/A
Columbia Pipelines Holding Co LLC
19828AAB3
2375000.00000000
PA
USD
2396684.42000000
0.074598463496
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.04000000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KT7
455000.00000000
PA
USD
433049.12000000
0.013478953966
Long
DBT
CORP
US
N
2
2033-05-17
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHWM5
868645.07000000
PA
USD
795441.31000000
0.024758662021
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGE5
477156.46000000
PA
USD
455586.77000000
0.014180453941
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BPB6
53190.92000000
PA
USD
48739.81000000
0.001517060363
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
Aligned Data Centers Issuers LLC
N/A
Aligned Data Centers Issuer LLC
01627AAD0
3675000.00000000
PA
USD
3607527.74000000
0.112286800956
Long
ABS-O
CORP
US
N
2
2048-08-17
Fixed
6.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust
93934NAA3
564573.43000000
PA
USD
370895.95000000
0.011544393477
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MMXN8
1085283.66000000
PA
USD
1009700.19000000
0.031427618144
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
3.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-HYB2
126694C63
265106.38000000
PA
USD
225130.30000000
0.007007336604
Long
ABS-MBS
CORP
US
N
2
2036-04-20
Variable
5.16000000
N
N
N
N
N
N
LEVIATHAN BOND LTD
254900D9T8VKYVQNZ220
Leviathan Bond Ltd
000000000
3025000.00000000
PA
USD
2833063.75000000
0.088181072557
Long
DBT
CORP
IL
N
2
2027-06-30
Fixed
6.50000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBL8
4635000.00000000
PA
USD
3811347.06000000
0.118630818539
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.55000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA DDCA
000000000
270193.76000000
NS
USD
270193.76000000
0.008409968026
Long
STIV
RF
US
N
1
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FTC7
97996.78000000
PA
USD
97099.54000000
0.003022290473
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
5.50000000
N
N
N
N
N
N
County of Riverside CA
254900CB5HEOBAVTY629
RIVERSIDE CNTY CA PENSN OBLG
76913CBC2
5895000.00000000
PA
USD
5494493.70000000
0.171019924145
Long
DBT
MUN
US
N
2
2028-02-15
Fixed
3.07000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
55037AAB4
680000.00000000
PA
USD
565940.34000000
0.017615285284
Long
DBT
CORP
NO
N
2
2031-07-15
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNF73
4229108.20000000
PA
USD
3250995.19000000
0.101189478257
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.00000000
N
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAL3
1585000.00000000
PA
USD
1552649.52000000
0.048327292309
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
5.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VXX3
4985944.20000000
PA
USD
3935305.29000000
0.122489104352
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRLADKYZNON28
Freddie Mac STACR REMIC Trust 2022-HQA2
35564KB32
2585000.00000000
PA
USD
2744959.80000000
0.085438776056
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
9.33000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BW4
1180000.00000000
PA
USD
1155765.53000000
0.035974003077
Long
DBT
CORP
US
N
2
2035-01-22
Fixed
5.68000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DR8
4575000.00000000
PA
USD
4474165.26000000
0.139261494353
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
5.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDG8
960000.00000000
PA
USD
940246.69000000
0.029265829825
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.85000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAB6
910000.00000000
PA
USD
713739.58000000
0.022215639055
Long
DBT
CORP
JE
N
2
2036-03-31
Fixed
2.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H23B2
336405.76000000
PA
USD
299619.43000000
0.009325862397
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TRC6
548176.00000000
PA
USD
420877.14000000
0.013100092654
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
2.14000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQR65
4725587.09000000
PA
USD
3755067.28000000
0.116879071384
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6WG2
719339.59000000
PA
USD
635467.84000000
0.019779376904
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Retained Vantage Data Centers Issuer, LLC
254900N4NW6XZ9B4HM15
Retained Vantage Data Centers Issuer LLC
76134KAA2
6185000.00000000
PA
USD
5907163.62000000
0.183864561389
Long
ABS-O
CORP
US
N
2
2048-09-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AYCZ2
480770.52000000
PA
USD
13124.55000000
0.000408510714
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
3.50000000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AN2
612000.00000000
PA
USD
535210.10000000
0.016658785267
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DU67
5715581.98000000
PA
USD
4673975.58000000
0.145480729034
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B2AV2
179066.92000000
PA
USD
6015.27000000
0.000187229447
Long
ABS-MBS
USGSE
US
N
2
2028-05-15
Fixed
2.50000000
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital Inc
045054AS2
280000.00000000
PA
USD
272465.76000000
0.008480685601
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
5.80000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030652
-21085000.00000000
PA
USD
-17415593.90000000
-0.54207242929
Short
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HX4
1020000.00000000
PA
USD
997907.62000000
0.031060566231
Long
DBT
CORP
US
N
2
2053-12-01
Fixed
5.88000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBU3
2960000.00000000
PA
USD
2829864.46000000
0.088081492438
Long
DBT
CORP
US
N
2
2033-02-13
Fixed
4.81000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B16E7
115413.68000000
PA
USD
2276.30000000
0.000070851414
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
2065000.00000000
PA
USD
1675128.68000000
0.052139541044
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.55000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CX6
2250000.00000000
PA
USD
2340521.75000000
0.072850361471
Long
DBT
CORP
GB
N
2
2030-02-08
Fixed
7.02000000
N
N
N
N
N
N
Ovintiv Inc
2549003MEX7YMKLGI239
Ovintiv Inc
292505AE4
1365000.00000000
PA
USD
1375858.64000000
0.042824553652
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
6.63000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L6NA5
14414.07000000
PA
USD
13378.37000000
0.000416411037
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8JE5
2702.77000000
PA
USD
2624.37000000
0.000081685334
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AY2
790000.00000000
PA
USD
775430.50000000
0.024135811692
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
5.20000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-3
92538UAA9
1161345.10000000
PA
USD
1070048.05000000
0.033305987109
Long
ABS-MBS
CORP
US
N
2
2067-02-25
Variable
4.13000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172DH9
1305000.00000000
PA
USD
1268694.50000000
0.039488995529
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
5.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140A3H22
795517.03000000
PA
USD
772937.66000000
0.024058220320
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
5.50000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555DE1
1275000.00000000
PA
USD
1323179.19000000
0.041184869263
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
6.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201C6H2
3304.69000000
PA
USD
3406.82000000
0.000106039633
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust 2021-6
85573RAA6
4425793.16000000
PA
USD
3704777.90000000
0.115313779581
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
1.92000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183CU6
3648103.96000000
PA
USD
3639345.96000000
0.113277165104
Long
ABS-O
CORP
US
N
2
2035-05-15
Fixed
5.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FKM7
659207.89000000
PA
USD
614813.91000000
0.019136509020
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.00000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
1750000.00000000
PA
1410038.73000000
0.043888432640
Long
DBT
NUSS
SA
N
2
2039-07-09
Fixed
2.00000000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332BD3
500000.00000000
PA
USD
469064.72000000
0.014599964476
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.75000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR5
362341MC0
80204.66000000
PA
USD
42576.06000000
0.001325209373
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
4.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6YJ4
541358.16000000
PA
USD
480188.92000000
0.014946212910
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184HK37
29621.77000000
PA
USD
25441.02000000
0.000791869378
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RJL9
1185000.00000000
PA
USD
1157168.26000000
0.036017664020
Long
ABS-O
CORP
US
N
2
2030-12-20
Fixed
5.58000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111GF4
800000.00000000
PA
USD
797779.03000000
0.024831425176
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.50000000
N
N
N
N
N
N
AMEREN CORP
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608AQ5
3900000.00000000
PA
USD
3799615.25000000
0.118265657823
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAT7
3417000.00000000
PA
USD
3520299.33000000
0.109571756244
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
6.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WBY3
2611359.41000000
PA
USD
2145559.45000000
0.066782024772
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDDJ0
1630989.99000000
PA
USD
1303711.58000000
0.040578926411
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
2.50000000
N
N
N
N
N
N
GTP ACQUISITION PARTNERS
N/A
GTP Acquisition Partners I LLC
36246MAU3
4500000.00000000
PA
USD
4382282.25000000
0.136401571991
Long
DBT
CORP
US
N
2
2025-06-16
Fixed
3.48000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBD4
180000.00000000
PA
USD
144303.34000000
0.004491541460
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAA3
1530298.85000000
PA
USD
1434267.55000000
0.044642571453
Long
ABS-O
CORP
US
N
2
2060-07-15
Fixed
1.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BL79
207366.62000000
PA
USD
196484.66000000
0.006115721208
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395QCR9
224998.15000000
PA
USD
5100.38000000
0.000158752862
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CR59
206235.89000000
PA
USD
208791.81000000
0.006498789780
Long
ABS-MBS
USGSE
US
N
2
2039-05-15
Fixed
6.00000000
N
N
N
N
N
N
ALCON FINANCE CORP
549300CUZUI9VU7XNK42
Alcon Finance Corp
01400EAF0
805000.00000000
PA
USD
793006.64000000
0.024682881230
Long
DBT
CORP
US
N
2
2052-12-06
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BTKX8
1715658.54000000
PA
USD
1517566.72000000
0.047235315847
Long
ABS-MBS
USGSE
US
N
2
2046-12-15
Fixed
3.50000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBV6
690000.00000000
PA
USD
599222.51000000
0.018651215890
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288BPE7
2910.24000000
PA
USD
2947.91000000
0.000091755741
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2V2
590000.00000000
PA
USD
521054.88000000
0.016218194235
Long
DBT
CORP
US
N
2
2028-03-24
Fixed
2.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-6
03465JAA8
5700885.67000000
PA
USD
4548925.95000000
0.141588472639
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
1.46000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND JUN24
000000000
-68.00000000
NC
293813.55000000
0.009145150359
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 30 Year Euro BUXL Futures
UBM4 Comdty
2024-06-06
-9041872.40000000
EUR
293813.55000000
N
N
N
HALEON US CAPITAL LLC
549300N8C3A3L0UVQB07
Haleon US Capital LLC
36264FAL5
1710000.00000000
PA
USD
1558365.72000000
0.048505212996
Long
DBT
CORP
US
N
2
2029-03-24
Fixed
3.38000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DH9
4015000.00000000
PA
USD
3880161.97000000
0.120772730302
Long
DBT
CORP
GB
N
2
2033-08-11
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKN87
2696783.14000000
PA
USD
2156199.04000000
0.067113189385
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBC6
900000.00000000
PA
USD
775098.62000000
0.024125481697
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.28000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFF7
755000.00000000
PA
USD
749942.01000000
0.023342464777
Long
DBT
CORP
US
N
2
2029-07-20
Fixed
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B9YK7
1911453.19000000
PA
USD
118021.34000000
0.003673495997
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FGRW9
632128.14000000
PA
USD
533820.24000000
0.016615524912
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Fixed
2.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN24
000000000
-255.00000000
NC
USD
1342354.43000000
0.041781711897
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT U.S. Long Bond Futures
USM4 Comdty
2024-06-18
-30364541.93000000
USD
1342354.43000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020455
700000.00000000
PA
USD
603940.81000000
0.018798076247
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
2.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABH3
995000.00000000
PA
USD
983120.32000000
0.030600301271
Long
DBT
CORP
DK
N
2
2030-03-01
Fixed
5.71000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBQ7
780000.00000000
PA
USD
571951.14000000
0.017802375599
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBP4
271000.00000000
PA
USD
169654.44000000
0.005280612017
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.94000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05571AAS4
5310000.00000000
PA
USD
5587780.33000000
0.173923535152
Long
DBT
CORP
FR
N
2
2034-10-19
Fixed
7.00000000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CN5
1725000.00000000
PA
USD
1395371.23000000
0.043431896538
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.60000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36269JAE8
4285000.00000000
PA
USD
4151322.14000000
0.129212778510
Long
ABS-MBS
CORP
US
N
2
2041-03-10
Variable
5.89000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y3XN6
610844.03000000
PA
USD
545433.19000000
0.016976986028
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132KEUJ2
267819.04000000
PA
USD
254859.92000000
0.007932691630
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEK43
1090310.51000000
PA
USD
911253.86000000
0.028363407899
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XBB4
300000.00000000
PA
USD
286483.26000000
0.008916990002
Long
DBT
CORP
US
N
2
2064-04-18
Fixed
5.90000000
N
N
N
N
N
N
Angola Government International Bonds
549300QHR2R3J8JSGK83
Angola Government International Bonds
000000000
1000000.00000000
PA
USD
903300.00000000
0.028115838494
Long
DBT
NUSS
AO
N
2
2032-04-14
Fixed
8.75000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2014-1
64828AAA1
419633.06000000
PA
USD
385375.39000000
0.011995076082
Long
ABS-MBS
CORP
US
N
2
2054-01-25
Variable
3.75000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PFC1
2575000.00000000
PA
USD
2446593.61000000
0.076151921622
Long
DBT
CORP
US
N
2
2054-04-15
Fixed
5.38000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2006-AR1
3623414D8
451349.44000000
PA
USD
404619.65000000
0.012594067011
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
4.71000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VBA8
1460000.00000000
PA
USD
1423014.51000000
0.044292312785
Long
DBT
US
N
2
2028-01-11
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM1
126407AA3
723483.21000000
PA
USD
604206.66000000
0.018806351013
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140A5RL4
98176.17000000
PA
USD
95412.73000000
0.002969787343
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHCY1
1268818.84000000
PA
USD
1062422.46000000
0.033068635335
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FUSU9
4798218.75000000
PA
USD
683642.05000000
0.021278832576
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
2.50000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 20-C9 Mortgage Trust
233063AW6
5598772.29000000
PA
USD
293516.20000000
0.009135895134
Long
ABS-MBS
CORP
US
N
2
2053-09-15
Variable
1.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHLJ4
420143.09000000
PA
USD
369800.18000000
0.011510286877
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGRG6
3539980.20000000
PA
USD
2963669.12000000
0.092246255208
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QTHC6
4716598.52000000
PA
USD
4786783.49000000
0.148991953409
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
6.50000000
N
N
N
N
N
N
AON NORTH AMERICA INC
N/A
Aon North America Inc
03740MAD2
2955000.00000000
PA
USD
2891323.30000000
0.089994441425
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
5.45000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFQ3
2425000.00000000
PA
USD
2424195.89000000
0.075454777065
Long
DBT
CORP
US
N
2
2030-04-18
Fixed
5.66000000
N
N
N
N
N
N
Apollo Aviation Securitization Equity Trust
N/A
AASET 2020-1 Trust
00255UAA3
411224.60000000
PA
USD
378330.42000000
0.011775796508
Long
ABS-O
CORP
US
N
2
2040-01-16
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XSP84
45493.92000000
PA
USD
41691.82000000
0.001297686790
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BCVU1
4158595.39000000
PA
USD
849750.33000000
0.026449067905
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
4.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCX1
745000.00000000
PA
USD
731621.06000000
0.022772212512
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.47000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBF1
105000.00000000
PA
USD
80022.68000000
0.002490761371
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B5R96
302000.00000000
PA
USD
257868.77000000
0.008026344171
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Fixed
3.00000000
N
N
N
N
N
N
MBANK SA
259400DZXF7UJKK2AY35
mBank SA
000000000
2600000.00000000
PA
2492254.79000000
0.077573157493
Long
DBT
CORP
PL
N
2
2027-09-21
Fixed
0.97000000
N
N
N
N
N
N
PATTERSON-UTI ENERGY INC
254900XGFBKIXD6G0697
Patterson-UTI Energy Inc
703481AC5
1190000.00000000
PA
USD
1136408.67000000
0.035371507395
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCX1
261876.51000000
PA
USD
234449.05000000
0.007297389156
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
3.50000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
68742000.00000000
PA
12242122.00000000
0.381044531149
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NY4L6
761406.00000000
PA
USD
625805.03000000
0.019478615247
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-HY4
17025RAA3
400829.65000000
PA
USD
343633.98000000
0.010695845768
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Variable
4.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNR71
3179694.74000000
PA
USD
3086833.92000000
0.096079844963
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
5.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3B7
2070000.00000000
PA
USD
1943183.40000000
0.060482929968
Long
DBT
CORP
US
N
2
2033-07-25
Fixed
4.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L9XW0
426229.47000000
PA
USD
375182.16000000
0.011677804734
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RBB0
2157460.91000000
PA
USD
9620.98000000
0.000299459669
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
0.68000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W2RF4
158257.49000000
PA
USD
130086.27000000
0.004049025304
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-12CB
12668BXD0
158899.80000000
PA
USD
79289.49000000
0.002467940324
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AH0
640000.00000000
PA
USD
523973.08000000
0.016309025232
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.38000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
2945000.00000000
PA
USD
2555216.97000000
0.079532898979
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JGWZ4
632044.30000000
PA
USD
575112.55000000
0.017900776676
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FBH8
2030000.00000000
PA
USD
1994227.48000000
0.062071712332
Long
DBT
CORP
US
N
2
2063-09-15
Fixed
5.70000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UEE2
1602783.54000000
PA
USD
234766.15000000
0.007307259113
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Fixed
3.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK8
06650AAF4
24514797.04000000
PA
USD
494818.92000000
0.015401581798
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
0.85000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BVZA7
6745993.11000000
PA
USD
43164.91000000
0.001343537737
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Variable
0.41000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAK3
1985000.00000000
PA
USD
1700644.88000000
0.052933750451
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.57000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378HRW8
438622.28000000
PA
USD
353077.43000000
0.010989779694
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
3.00000000
N
Y
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2023-2
33843EAG6
2551000.00000000
PA
USD
2501588.92000000
0.077863688758
Long
ABS-O
CORP
US
N
2
2028-05-15
Fixed
5.21000000
N
N
N
N
N
N
PHILLIPS 66 CO
RVJMT2IZVVSKIRJJBH76
Phillips 66 Co
718547AR3
2490000.00000000
PA
USD
2417942.41000000
0.075260133166
Long
DBT
CORP
US
N
2
2033-06-30
Fixed
5.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401PDH4
153181.26000000
PA
USD
152488.69000000
0.004746316152
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCKG0
280993.70000000
PA
USD
236159.19000000
0.007350618449
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAW0
1585000.00000000
PA
USD
1449278.26000000
0.045109790205
Long
DBT
US
N
2
2029-08-15
Fixed
3.80000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT XCV LLC
92873BAA4
1830501.91000000
PA
USD
1777649.83000000
0.055330582885
Long
ABS-O
CORP
US
N
2
2051-03-27
Variable
5.24000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042653
-2770000.00000000
PA
USD
-2579537.24000000
-0.08028988423
Short
ABS-MBS
USGA
US
N
2
2054-05-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJNJ8
2326655.05000000
PA
USD
1855293.54000000
0.057747297167
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
CLECO CORPORATE HOLDINGS
5493002H80P81B3HXL31
Cleco Corporate Holdings LLC
18551PAD1
70000.00000000
PA
USD
54902.98000000
0.001708893300
Long
DBT
CORP
US
N
2
2046-05-01
Fixed
4.97000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Mortgage Loan Trust 2005-AR5
76112BYD6
152468.05000000
PA
USD
127439.14000000
0.003966631548
Long
ABS-MBS
CORP
US
N
2
2035-09-19
Variable
4.14000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BHZP4
2525008.36000000
PA
USD
2393911.14000000
0.074512143234
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCR75
4177556.02000000
PA
USD
3485739.29000000
0.108496051049
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
3.00000000
N
N
N
N
N
N
XCEL ENERGY INC
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98388MAD9
1085000.00000000
PA
USD
995597.55000000
0.030988663701
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5ED8
2966.75000000
PA
USD
2957.40000000
0.000092051124
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AL3J8
2831169.93000000
PA
USD
2400500.57000000
0.074717243809
Long
ABS-MBS
USGSE
US
N
2
2045-01-25
Fixed
3.00000000
N
Y
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6U85
17679.56000000
PA
USD
172.29000000
0.000005362645
Long
ABS-MBS
USGSE
US
N
2
2027-07-25
Fixed
4.50000000
N
N
N
N
N
N
BACARDI LTD / MARTINI BV
N/A
Bacardi Ltd / Bacardi-Martini BV
05635JAA8
250000.00000000
PA
USD
243249.08000000
0.007571296188
Long
DBT
CORP
XX
N
2
2029-01-15
Fixed
5.25000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBY5
2130000.00000000
PA
USD
1935818.76000000
0.060253700444
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.88000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CH3
1035000.00000000
PA
USD
701865.81000000
0.021846059735
Long
DBT
CORP
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
Philadelphia Authority for Industrial Development
549300DIY68KQZEW7M79
PHILADELPHIA PA AUTH FOR INDL DEV PENSION FUNDING
71781LBH1
5345000.00000000
PA
USD
5623306.67000000
0.175029317105
Long
DBT
MUN
US
N
2
2028-10-15
Fixed
6.55000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-2
03464XAL4
1020040.12000000
PA
USD
934834.43000000
0.029097369482
Long
ABS-MBS
CORP
US
N
2
2065-01-26
Variable
2.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMAF1
1372942.39000000
PA
USD
1108776.30000000
0.034511430729
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFFX2
1886024.55000000
PA
USD
1578237.77000000
0.049123744324
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
28249NAA9
2520000.00000000
PA
USD
2086998.48000000
0.064959273998
Long
DBT
CORP
LU
N
2
2036-08-31
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413YL82
125033.36000000
PA
USD
126418.75000000
0.003934871203
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AT6
3040000.00000000
PA
USD
3162317.44000000
0.098429321834
Long
DBT
CORP
CO
N
2
2029-01-19
Fixed
8.63000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020455
-925000.00000000
PA
USD
-798064.64000000
-0.02484031498
Short
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
2.00000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2023-B
12664WAA9
3730663.95000000
PA
USD
3731561.55000000
0.116147439248
Long
ABS-O
CORP
US
N
2
2027-08-16
Fixed
5.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCPV4
4766826.35000000
PA
USD
4361847.70000000
0.135765532461
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B6WW9
9615183.47000000
PA
USD
414278.83000000
0.012894715682
Long
ABS-MBS
USGSE
US
N
2
2029-05-25
Variable
1.58000000
N
N
N
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
023551AM6
2814000.00000000
PA
USD
3087510.87000000
0.096100915501
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
7.13000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300WF5YRKNHB1FX69
GS Mortgage Securities Trust 2013-GC13
36198EAG0
1361399.66000000
PA
USD
13.61000000
0.000000423620
Long
ABS-MBS
CORP
US
N
2
2046-07-10
Variable
0.37000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2022-1 Mortgage Loan Trust
19688HAA9
6503100.27000000
PA
USD
5548616.18000000
0.172704523842
Long
ABS-MBS
CORP
US
N
2
2066-12-27
Variable
2.28000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AETZ8
35922.12000000
PA
USD
559.89000000
0.000017426964
Long
ABS-MBS
USGSE
US
N
2
2026-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANYS6
32531.81000000
PA
USD
30947.81000000
0.000963272033
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F062655
-47020000.00000000
PA
USD
-47396040.57000000
-1.47523460861
Short
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
6.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3133Q5AA4
5262710.55000000
PA
USD
800900.66000000
0.024928588073
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Fixed
2.50000000
N
N
N
N
N
N
Invesco CLO LTD
2549000VWIHWVWECHQ22
Invesco US CLO 2023-2 Ltd
46147KAB8
2640000.00000000
PA
USD
2649174.00000000
0.082457376651
Long
ABS-CBDO
CORP
JE
N
2
2036-04-21
Floating
7.62000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-36T2
02146XAW8
124000.47000000
PA
USD
48981.19000000
0.001524573483
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQ6S9
3394809.62000000
PA
USD
3218758.53000000
0.100186089874
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHB89
1849967.77000000
PA
USD
1474140.93000000
0.045883658038
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2007-1
3622EQAA3
2246198.87000000
PA
USD
618958.97000000
0.019265526885
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.59000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AG7H6
3135055.56000000
PA
USD
2379037.26000000
0.074049183411
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378Y2A6
99028.03000000
PA
USD
274.45000000
0.000008542446
Long
ABS-MBS
USGA
US
N
2
2026-04-16
Fixed
4.00000000
N
N
N
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LEY1
2160000.00000000
PA
USD
2109788.47000000
0.065668628230
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
5.10000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT XCIII LLC
92873CAA2
2551469.40000000
PA
USD
2483547.75000000
0.077302144839
Long
ABS-O
CORP
US
N
2
2051-02-27
Variable
4.89000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2023-2
23346CAC2
2025000.00000000
PA
USD
2010628.98000000
0.062582220386
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
5.41000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJML1
180232.79000000
PA
USD
175098.61000000
0.005450065581
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VGY4
525716.74000000
PA
USD
27913.19000000
0.000868817382
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Variable
5.89000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LKE58
2550000.00000000
PA
USD
2454404.45000000
0.076395039430
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
4.19000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QGG4
40622.94000000
PA
USD
1203.04000000
0.000037445453
Long
ABS-MBS
USGA
US
N
2
2027-02-16
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9AZ8
1743334.85000000
PA
USD
1405445.72000000
0.043745472021
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F070658
32095000.00000000
PA
USD
32781626.31000000
1.020350836856
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2FC1
1488472.90000000
PA
USD
1179920.18000000
0.036725833297
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555DG6
815000.00000000
PA
USD
799246.76000000
0.024877109290
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WDS4
12389703.73000000
PA
USD
10582138.38000000
0.329376390593
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCP9
25000.00000000
PA
USD
22665.06000000
0.000705465699
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
1.47000000
N
N
N
N
N
N
Firstkey Homes Trust
N/A
FirstKey Homes 2022-SFR1 Trust
33768NAA0
1851483.54000000
PA
USD
1773046.92000000
0.055187314122
Long
ABS-O
CORP
US
N
2
2039-05-19
Fixed
4.15000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052656
129983000.00000000
PA
USD
126136257.10000000
3.926078415781
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
5.50000000
N
N
N
N
N
N
Chile Government International Bonds
549300FLZTJM5YJF8D34
Chile Government International Bonds
168863DZ8
875000.00000000
PA
USD
814221.71000000
0.025343214986
Long
DBT
NUSS
CL
N
2
2036-01-05
Fixed
4.95000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BT5
2970000.00000000
PA
USD
2830832.45000000
0.088111621798
Long
DBT
CORP
GB
N
2
2029-06-19
Fixed
4.58000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395Q3G3
1373321.74000000
PA
USD
258036.54000000
0.008031566129
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
4.50000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400JD6
800000.00000000
PA
USD
768198.07000000
0.023910697296
Long
DBT
CORP
US
N
2
2054-04-15
Fixed
5.75000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2022-SFR4 Trust
74332XAA9
4920092.44000000
PA
USD
4672565.05000000
0.145436825310
Long
ABS-O
CORP
US
N
2
2041-05-17
Fixed
4.44000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJEU1
245331.74000000
PA
USD
208682.98000000
0.006495402371
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-C Trust
059522AG7
226866.07000000
PA
USD
204344.08000000
0.006360351102
Long
ABS-MBS
CORP
US
N
2
2047-05-20
Floating
6.03000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2022-SFR7 Trust
74333CAA4
2293866.61000000
PA
USD
2215263.37000000
0.068951607588
Long
ABS-O
CORP
US
N
2
2039-10-27
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CEN9
614076.66000000
PA
USD
92264.59000000
0.002871799303
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A9CW2
354296.84000000
PA
USD
325485.96000000
0.010130976069
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2006-16AX
617487AC7
1056984.70000000
PA
USD
296531.03000000
0.009229733807
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.77000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-FHA1 Trust
12651RAA5
1105434.94000000
PA
USD
980574.41000000
0.030521058058
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Variable
3.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLV9
3780000.00000000
PA
USD
3796501.17000000
0.118168729925
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
5.93000000
N
N
N
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAJ1
2524000.00000000
PA
USD
2349909.62000000
0.073142565430
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
5.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TJ7
58725000.00000000
PA
USD
42362288.23000000
1.318555578600
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178DPE5
64430.25000000
PA
USD
56296.15000000
0.001752256682
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ANV61
630741.23000000
PA
USD
25370.43000000
0.000789672215
Long
ABS-MBS
USGSE
US
N
2
2055-06-25
Variable
0.21000000
N
N
N
N
N
N
1211 Avenue of the Americas Trust
N/A
1211 Avenue of the Americas Trust 2015-1211
90117PAC9
3215000.00000000
PA
USD
3085247.10000000
0.096030454091
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KQGQ3
2228262.27000000
PA
USD
2219916.20000000
0.069096430146
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133C9KN2
946673.60000000
PA
USD
918974.07000000
0.028603704785
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJAM2
11609.73000000
PA
USD
11778.00000000
0.000366598412
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-SOX
63874NAA8
1187000.00000000
PA
USD
1109099.45000000
0.034521488997
Long
ABS-MBS
CORP
US
N
2
2038-06-17
Fixed
4.40000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAB9
520000.00000000
PA
USD
468342.99000000
0.014577500129
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.35000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-27
12667GN33
568667.43000000
PA
USD
454372.33000000
0.014142653655
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
6.44000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DBA7
2400000.00000000
PA
USD
2420449.78000000
0.075338176795
Long
DBT
CORP
NL
N
2
2027-09-18
Fixed
6.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387WJX6
8129.32000000
PA
USD
8069.44000000
0.000251166912
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AX2G9
600000.00000000
PA
USD
412732.56000000
0.012846586957
Long
ABS-MBS
USGSE
US
N
2
2057-09-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379YRL4
625478.02000000
PA
USD
81143.64000000
0.002525652028
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
5.00000000
N
N
N
N
N
N
VCAT Asset Securitization, LLC
N/A
VCAT 2021-NPL4 LLC
91823DAA3
2788483.46000000
PA
USD
2673846.12000000
0.083225313484
Long
ABS-O
CORP
US
N
2
2051-08-25
Variable
1.87000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
951000.00000000
PA
USD
620333.96000000
0.019308324401
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2022-HC Mortgage Trust
12659DAA8
1291000.00000000
PA
USD
1159896.76000000
0.036102590473
Long
ABS-MBS
CORP
US
N
2
2039-01-10
Fixed
2.82000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F2LL8
11848051.27000000
PA
USD
220579.91000000
0.006865702562
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
0.88000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613BJ6
1475000.00000000
PA
USD
1450082.69000000
0.045134828646
Long
DBT
CORP
CH
N
2
2030-02-08
Fixed
5.43000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BR4
575000.00000000
PA
USD
542837.18000000
0.016896183418
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBB8
6243203.22000000
PA
USD
4749345.66000000
0.147826675006
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAB1
1260138.98000000
PA
USD
1080279.09000000
0.033624435319
Long
ABS-O
CORP
US
N
2
2060-07-15
Fixed
1.99000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D6D9
732288.30000000
PA
USD
608315.43000000
0.018934239326
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
MSWF Commercial Mortgage Trust
N/A
MSWF Commercial Mortgage Trust 2023-2
55361AAV6
4620811.70000000
PA
USD
297992.45000000
0.009275221517
Long
ABS-MBS
CORP
US
N
2
2056-12-15
Variable
1.14000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCH6
1495000.00000000
PA
USD
1542044.23000000
0.047997195309
Long
DBT
CORP
US
N
2
2029-11-09
Fixed
6.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040657
-10610000.00000000
PA
USD
-9615312.50000000
-0.29928326505
Short
ABS-MBS
USGA
US
N
2
2054-05-20
Fixed
4.00000000
N
N
N
N
N
N
Georgia Power Co
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334JW2
410000.00000000
PA
USD
338494.00000000
0.010535860329
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPR26
3762611.37000000
PA
USD
3662047.72000000
0.113983773116
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9BP6
179703.02000000
PA
USD
179136.69000000
0.005575753619
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-10
07386HYW5
640179.78000000
PA
USD
577305.80000000
0.017969043103
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.93000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2014-2
64828YAR2
20348.08000000
PA
USD
18646.91000000
0.000580397996
Long
ABS-MBS
CORP
US
N
2
2054-05-25
Variable
3.75000000
N
N
N
N
N
N
EVERGY METRO
1128SIJQ26096WL7IO82
Evergy Metro Inc
30037DAA3
305000.00000000
PA
USD
253968.47000000
0.007904944631
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.25000000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAL1
1273000.00000000
PA
USD
1201991.67000000
0.037412823719
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
4.70000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PEG7
2940000.00000000
PA
USD
2937738.41000000
0.091439143890
Long
DBT
CORP
US
N
2
2030-04-22
Fixed
5.58000000
N
N
N
N
N
N
LAMAR MEDIA CORP
N/A
Lamar Media Corp
513075BZ3
4815000.00000000
PA
USD
4107628.35000000
0.127852779016
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.63000000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644MAJ0
2700000.00000000
PA
USD
2649150.39000000
0.082456641773
Long
DBT
CORP
US
N
2
2030-01-10
Fixed
5.65000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Bonds
912810RF7
2549362.90000000
PA
USD
2120952.43000000
0.066016114222
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.38000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAN3
3605000.00000000
PA
USD
2825031.32000000
0.087931057606
Long
DBT
CORP
GB
N
2
2031-09-02
Fixed
2.15000000
N
N
N
N
N
N
Conagra Brands Inc
54930035UDEIH090K650
Conagra Brands Inc
205887CC4
1198000.00000000
PA
USD
1159109.51000000
0.036078086771
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
4.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DZW5
4045261.28000000
PA
USD
3219264.27000000
0.100201831382
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494BL6
305000.00000000
PA
USD
301795.91000000
0.009393606845
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BSJ6
254914.64000000
PA
USD
231769.29000000
0.007213979769
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D4Z2
1861923.10000000
PA
USD
1543625.97000000
0.048046428062
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
Tricolor Auto Securitization Trust
N/A
Tricolor Auto Securitization Trust 2023-1
89616KAA2
551619.59000000
PA
USD
551635.64000000
0.017170041583
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
6.48000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Notes
91282CHP9
4878044.50000000
PA
USD
4526546.03000000
0.140891882120
Long
DBT
UST
US
N
2
2033-07-15
Fixed
1.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DSJ2
2872475.31000000
PA
USD
2294310.12000000
0.071411992462
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDX1
1740000.00000000
PA
USD
1775351.28000000
0.055259038924
Long
DBT
CORP
US
N
2
2029-10-23
Fixed
6.09000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BXHC9
995000.00000000
PA
USD
864683.16000000
0.026913862588
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Variable
3.12000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201ASX7
1098.93000000
PA
USD
1122.43000000
0.000034936411
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2011-GC5
36191YAA6
329593.53000000
PA
USD
3.30000000
0.000000102714
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
0.09000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWV2
1220000.00000000
PA
USD
1140105.07000000
0.035486560406
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
3.81000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BK5
450000.00000000
PA
USD
264226.53000000
0.008224233857
Long
DBT
CORP
US
N
2
2060-02-15
Fixed
3.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WNB4
19642.78000000
PA
USD
18686.63000000
0.000581634308
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
SEMPRA
PBBKGKLRK5S5C0Y4T545
Sempra
816851BQ1
2290000.00000000
PA
USD
2276536.29000000
0.070858769686
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.40000000
N
N
N
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AC0
440000.00000000
PA
USD
402180.02000000
0.012518131836
Long
DBT
CORP
CA
N
2
2028-02-15
Fixed
3.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWJ46
16400426.12000000
PA
USD
15920545.88000000
0.495538023594
Long
ABS-MBS
USGSE
US
N
2
2053-12-01
Fixed
5.50000000
N
N
N
N
N
N
Sapphire Aviation Finance I Limited
N/A
SAPPHIRE AVIATION FINANCE II LTD
80307AAA7
401187.93000000
PA
USD
369100.92000000
0.011488521925
Long
ABS-O
CORP
US
N
2
2040-03-15
Fixed
3.23000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: B9D0PVZF2 IRS USD R V 12MSOFR 99D0PVZG0 CCPOIS / Short: B9D0PVZF2 IRS USD P F 1.56000 99D0PVZF2 CCPOIS
000000000
12720000.00000000
OU
Notional Amount
USD
5399493.60000000
0.168062980196
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-12-15
0.00000000
USD
-72911.88000000
USD
12720000.00000000
USD
5472405.48000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QL6H4
1884758.84000000
PA
USD
1354316.95000000
0.042154053622
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
1.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2018-1
59980VAA9
92072.18000000
PA
USD
89899.09000000
0.002798171477
Long
ABS-MBS
CORP
US
N
2
2062-05-25
Variable
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XXY59
6240.51000000
PA
USD
5719.15000000
0.000178012507
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9R86
4720603.25000000
PA
USD
4194456.42000000
0.130555362867
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2023-1
96042XAE5
1045000.00000000
PA
USD
1040224.35000000
0.032377703778
Long
ABS-O
CORP
US
N
2
2028-01-18
Fixed
5.41000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YGM3
1505.64000000
PA
USD
1558.42000000
0.000048506902
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
ENERGEAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energean Israel Finance Ltd
000000000
1905000.00000000
PA
USD
1829181.00000000
0.056934526263
Long
DBT
CORP
IL
N
2
2033-09-30
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E47L5
116179.29000000
PA
USD
102348.22000000
0.003185659275
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KH4B9
1413901.68000000
PA
USD
1139273.59000000
0.035460680015
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133GDKR0
1032680.64000000
PA
USD
897177.40000000
0.027925268326
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RQ3
18100000.00000000
PA
USD
12262750.00000000
0.381686591944
Long
DBT
UST
US
N
2
2046-02-15
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BC7
1060000.00000000
PA
USD
966922.65000000
0.030096137567
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83000000
N
N
N
N
N
N
COLUMBIA PIPELINES OPCO
N/A
Columbia Pipelines Operating Co LLC
19828TAB2
1770000.00000000
PA
USD
1775581.64000000
0.055266209038
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
6.04000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDT6
590000.00000000
PA
USD
463568.63000000
0.014428894865
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-4
92538LAA9
473144.81000000
PA
USD
445017.01000000
0.013851462836
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397CNW5
33199.58000000
PA
USD
26382.63000000
0.000821177642
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
None
0.00000000
N
N
N
N
N
N
INGERSOLL RAND INC
5299004C02FMZCUOIR50
Ingersoll Rand Inc
45687VAB2
755000.00000000
PA
USD
749899.17000000
0.023341131353
Long
DBT
CORP
US
N
2
2033-08-14
Fixed
5.70000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4CDPWRMWB65
Freddie Mac STACR REMIC Trust 2022-DNA4
35564KWT2
3377000.00000000
PA
USD
3536144.16000000
0.110064937559
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
8.68000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJLG6
650265.59000000
PA
USD
524327.35000000
0.016320052132
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432PA7
1425000.00000000
PA
USD
1444980.52000000
0.044976020069
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
5.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178D2F7
386340.91000000
PA
USD
349369.99000000
0.010874383055
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HGL88
1996333.00000000
PA
USD
1634043.40000000
0.050860733231
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
2.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-AFC1 Trust
12657LAA2
1885278.36000000
PA
USD
1544354.05000000
0.048069090057
Long
ABS-MBS
CORP
US
N
2
2056-03-25
Variable
0.83000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CJS1
19670000.00000000
PA
USD
19391854.00000000
0.603584894476
Long
DBT
UST
US
N
2
2025-12-31
Fixed
4.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZX5
12330511.91000000
PA
USD
841164.09000000
0.026181815235
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.54000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJGF3
1693473.08000000
PA
USD
1357708.27000000
0.042259610807
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WLQ9
3634038.15000000
PA
USD
3094150.76000000
0.096307586678
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
305000.00000000
PA
USD
289301.02000000
0.009004694735
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KQWL6
1109951.68000000
PA
USD
1111122.28000000
0.034584450982
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNDQ3
1351337.02000000
PA
USD
1073372.21000000
0.033409453892
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2LM2
404021.94000000
PA
USD
403545.26000000
0.012560625877
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T4P7
4187217.05000000
PA
USD
3825345.48000000
0.119066529063
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36179DNW6
70410.40000000
PA
USD
61469.57000000
0.001913282965
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHDR5
1164253.06000000
PA
USD
975464.92000000
0.030362021640
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2020-NQM3 Trust
552757AA4
256267.61000000
PA
USD
231061.95000000
0.007191963321
Long
ABS-MBS
CORP
US
N
2
2065-01-26
Variable
1.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHC62
214432.53000000
PA
USD
196636.06000000
0.006120433638
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B12 Mortgage Trust
08162FAF0
3000000.00000000
PA
USD
2795189.40000000
0.087002207166
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
3.04000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184BNJ2
43767.53000000
PA
USD
37588.88000000
0.001169979939
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
TIME WARNER CABLE ENTRMN
N/A
Time Warner Cable Enterprises LLC
88731EAJ9
1560000.00000000
PA
USD
1690404.38000000
0.052615007792
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418U2E3
29612.59000000
PA
USD
29159.07000000
0.000907596261
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GA87
1985000.00000000
PA
USD
1987745.31000000
0.061869950298
Long
DBT
CORP
US
N
2
2030-04-25
Fixed
5.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D4W9
941746.09000000
PA
USD
676203.56000000
0.021047304420
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFPU9
5818050.79000000
PA
USD
4718479.80000000
0.146865953723
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610BF1
1155000.00000000
PA
USD
1130331.97000000
0.035182365896
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
5.84000000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332BB7
1225000.00000000
PA
USD
1156199.66000000
0.035987515674
Long
DBT
CORP
US
N
2
2032-08-01
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4M3TZMRB410
Freddie Mac STACR REMIC Trust 2022-DNA3
35564KUX5
2422000.00000000
PA
USD
2509797.50000000
0.078119186499
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Floating
8.23000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-10
362375AC1
1090142.10000000
PA
USD
269050.12000000
0.008374371439
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
5.98000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
3381000.00000000
PA
USD
3206752.05000000
0.099812379863
Long
DBT
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378H3E4
1489227.43000000
PA
USD
220083.39000000
0.006850248033
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BQ90
77039.53000000
PA
USD
70576.79000000
0.002196751499
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJPR6
247356.67000000
PA
USD
209895.55000000
0.006533144453
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
2060000.00000000
PA
USD
1952220.37000000
0.060764211922
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C23
46643ABG7
7320774.36000000
PA
USD
2996.39000000
0.000093264715
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.72000000
N
N
N
N
N
N
SMITH & NEPHEW PLC
213800ZTMDN8S67S1H61
Smith & Nephew PLC
83192PAD0
975000.00000000
PA
USD
940338.46000000
0.029268686230
Long
DBT
CORP
GB
N
2
2034-03-20
Fixed
5.40000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAY7
1375000.00000000
PA
USD
1200922.94000000
0.037379558757
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.45000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
2490000.00000000
PA
USD
2177338.79000000
0.067771178753
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400JC8
1600000.00000000
PA
USD
1573824.38000000
0.048986374501
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BKWG3
5269855.41000000
PA
USD
806341.10000000
0.025097925539
Long
ABS-MBS
USGSE
US
N
2
2052-01-25
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RH3
55100000.00000000
PA
USD
42414085.66000000
1.320167809504
Long
DBT
UST
US
N
2
2044-08-15
Fixed
3.13000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-K730 Mortgage Trust
30296GAS3
350000.00000000
PA
USD
343427.14000000
0.010689407730
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Variable
3.92000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHHG3
1044910.91000000
PA
USD
837002.51000000
0.026052283173
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
195000.00000000
PA
USD
125768.28000000
0.003914624873
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042459
-3307000.00000000
PA
USD
-3198747.93000000
-0.09956324608
Short
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AD3Z6
7735.95000000
PA
USD
7359.21000000
0.000229060511
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BV5
875000.00000000
PA
USD
511549.24000000
0.015922324603
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHKM8
2584444.95000000
PA
USD
1859049.71000000
0.057864210561
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7YJ2
1539919.61000000
PA
USD
1307043.20000000
0.040682625392
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA Global Funding Trust
36143L2L8
3010000.00000000
PA
USD
2961631.92000000
0.092182845947
Long
DBT
CORP
US
N
2
2029-01-08
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RS83
34919.25000000
PA
USD
30279.87000000
0.000942481937
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178VD32
276476.85000000
PA
USD
249907.54000000
0.007778545370
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9KM1
289001.95000000
PA
USD
237579.39000000
0.007394823158
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKAX8
3484793.29000000
PA
USD
2781933.45000000
0.086589606535
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431AS8
1920000.00000000
PA
USD
1876954.92000000
0.058421522631
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0M38
100000.00000000
PA
USD
71472.02000000
0.002224616153
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
None
0.00000000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
085209AJ3
3010000.00000000
PA
USD
2838430.00000000
0.088348100807
Long
DBT
NUSS
BM
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ABD9
79415.52000000
PA
USD
77540.85000000
0.002413512692
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TEZ4
2062974.29000000
PA
USD
1841629.32000000
0.057321988850
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617GGRL1
338629.07000000
PA
USD
308435.66000000
0.009600273666
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LKP98
2380890.00000000
PA
USD
2312301.96000000
0.071972000950
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
4.46000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLG2
2956869.27000000
PA
USD
2549667.57000000
0.079360170058
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
1120000.00000000
PA
840199.31000000
0.026151785789
Long
DBT
NUSS
PH
N
2
2041-04-28
Fixed
1.75000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P2
14686JAC4
5016902.12000000
PA
USD
4951476.20000000
0.154118128141
Long
ABS-O
CORP
US
N
2
2027-04-12
Fixed
4.13000000
N
N
N
N
N
N
GO DADDY OPCO/FINCO
N/A
Go Daddy Operating Co LLC / GD Finance Co Inc
38016LAA3
6567000.00000000
PA
USD
6340364.29000000
0.197348232454
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.25000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2024-1
22537GAA8
2740000.00000000
PA
USD
2724725.05000000
0.084808955439
Long
ABS-O
CORP
US
N
2
2034-03-15
Fixed
5.68000000
N
N
N
N
N
N
Cirrus Funding 2018-1, Ltd
N/A
Cirrus Funding 2018-1 Ltd
17275GAA4
4140000.00000000
PA
USD
4039046.10000000
0.125718108957
Long
ABS-CBDO
CORP
KY
N
2
2037-01-25
Fixed
4.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617FJBZ2
168036.60000000
PA
USD
161079.98000000
0.005013726007
Long
ABS-MBS
USGA
US
N
2
2052-07-15
Fixed
5.00000000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERS
IXBXSCONLDQ1ZI73YU71
Brandywine Operating Partnership LP
105340AS2
950000.00000000
PA
USD
973451.11000000
0.030299340408
Long
DBT
US
N
2
2029-04-12
Fixed
8.88000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140CL2
1445000.00000000
PA
USD
1394180.95000000
0.043394848248
Long
DBT
CORP
US
N
2
2034-02-21
Fixed
5.15000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59261AG43
2540000.00000000
PA
USD
2622479.13000000
0.081626480322
Long
DBT
MUN
US
N
2
2050-11-15
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM2
12662EAA1
3254195.96000000
PA
USD
2772565.20000000
0.086298013262
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.18000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAQ2
485000.00000000
PA
USD
484081.77000000
0.015067380564
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
6.05000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZE7
7708720.74000000
PA
USD
568436.44000000
0.017692978126
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.68000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PET5
430000.00000000
PA
USD
444512.87000000
0.013835771130
Long
DBT
CORP
US
N
2
2063-02-15
Fixed
6.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ET67
988102.39000000
PA
USD
959190.94000000
0.029855482735
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.50000000
N
N
N
N
N
N
Emera Inc
NQZVQT2P5IUF2PGA1Q48
Emera Inc
290876AD3
1287000.00000000
PA
USD
1272341.07000000
0.039602497547
Long
DBT
CORP
CA
N
2
2076-06-15
Fixed
6.75000000
N
N
N
N
N
N
BANK OF IRELAND GROUP
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC
06279JAC3
6015000.00000000
PA
USD
6026720.23000000
0.187585843729
Long
DBT
CORP
IE
N
2
2026-09-16
Fixed
6.25000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BW3
720000.00000000
PA
USD
727822.02000000
0.022653964759
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
6.05000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AW7
6200000.00000000
PA
USD
6507676.98000000
0.202555955880
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
6.95000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBJ3
40000.00000000
PA
USD
29609.55000000
0.000921617763
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
1820000.00000000
PA
USD
1468545.95000000
0.045709510409
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383F2D4
2355994.88000000
PA
USD
2069506.84000000
0.064414834581
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
3.00000000
N
N
N
N
N
N
OTP BANK NYRT
529900W3MOO00A18X956
OTP Bank Nyrt
000000000
2640000.00000000
PA
2866376.03000000
0.089217940357
Long
DBT
CORP
HU
N
2
2026-03-04
Fixed
7.35000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QZ4
11885000.00000000
PA
USD
9273085.61000000
0.288631215941
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUU3
5981945.18000000
PA
USD
5083652.38000000
0.158232203343
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
92933BAQ7
6310000.00000000
PA
USD
5501421.46000000
0.171235555476
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XYCW5
90172.09000000
PA
USD
79680.98000000
0.002480125722
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376VPU5
1048982.52000000
PA
USD
212602.53000000
0.006617401081
Long
ABS-MBS
USGA
US
N
2
2040-02-16
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617A35B2
14069.44000000
PA
USD
12083.32000000
0.000376101708
Long
ABS-MBS
USGA
US
N
2
2045-08-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9BW7
138025.33000000
PA
USD
16117.34000000
0.000501663376
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Fixed
4.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-2
03465DAA1
1576123.28000000
PA
USD
1276196.48000000
0.039722499855
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
0.99000000
N
N
N
N
N
N
Freddie Mac - STACR
529900ZTXRUUVE8G8W08
Freddie Mac STACR REMIC Trust 2023-HQA3
35564K3F4
933589.66000000
PA
USD
945652.11000000
0.029434077269
Long
ABS-MBS
USGSE
US
N
2
2043-11-25
Floating
7.18000000
N
N
N
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
023551AJ3
1325000.00000000
PA
USD
1456868.85000000
0.045346052579
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
7.30000000
N
N
N
N
N
N
Golub Capital Partners CLO, LTD
N/A
Golub Capital Partners CLO 68B Ltd
38179QAC1
3095000.00000000
PA
USD
3125835.49000000
0.097293795857
Long
ABS-CBDO
CORP
JE
N
2
2036-07-25
Floating
8.12000000
N
N
N
N
N
N
DC Commercial Mortgage Trust
N/A
DC Trust 2024-HLTN
24022FAA8
1410000.00000000
PA
USD
1384845.04000000
0.043104261579
Long
ABS-MBS
CORP
US
N
2
2028-04-13
Variable
5.73000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292H6Y5
30494.65000000
PA
USD
30936.29000000
0.000962913465
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
6.00000000
N
N
N
N
N
N
COLUMBIA PIPELINES OPCO
N/A
Columbia Pipelines Operating Co LLC
19828TAA4
1815000.00000000
PA
USD
1817524.16000000
0.056571699040
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
5.93000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBY0
2875000.00000000
PA
USD
2873825.76000000
0.089449818366
Long
DBT
CORP
US
N
2
2031-02-20
Fixed
5.83000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6BR8
1159.43000000
PA
USD
1155.78000000
0.000035974453
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AR4X3
719209.39000000
PA
USD
30071.37000000
0.000935992230
Long
ABS-MBS
USGSE
US
N
2
2046-05-25
Variable
0.03000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBU5
1375000.00000000
PA
USD
1208164.93000000
0.037604970715
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SP4
23005000.00000000
PA
USD
11212241.54000000
0.348988788115
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.38000000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2021-BMR Mortgage Trust
53218CAA8
6079670.38000000
PA
USD
6029434.06000000
0.187670313568
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
6.14000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05571AAR6
4885000.00000000
PA
USD
5027651.92000000
0.156489150217
Long
DBT
CORP
FR
N
2
2029-10-19
Fixed
6.71000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QR29
405497.48000000
PA
USD
388288.95000000
0.012085762656
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312941UZ8
26144.50000000
PA
USD
25380.52000000
0.000789986273
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
549300S1EK2VN6XVJP58
Costa Rica Government International Bond
221597CR6
1995000.00000000
PA
USD
2019136.15000000
0.062847011948
Long
DBT
NUSS
CR
N
2
2034-04-03
Fixed
6.55000000
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital Inc
045054AJ2
1550000.00000000
PA
USD
1441629.64000000
0.044871721607
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.00000000
N
N
N
N
N
N
WISCONSIN POWER & LIGHT
JWBYHVQVMY66CVCOSO49
Wisconsin Power and Light Co
976826BS5
1105000.00000000
PA
USD
1074475.82000000
0.033443804518
Long
DBT
CORP
US
N
2
2034-03-30
Fixed
5.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297ENF9
2690.25000000
PA
USD
2687.89000000
0.000083662438
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396VGT9
151354.72000000
PA
USD
150978.23000000
0.004699302038
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: B9D0WFLF4 IRS USD R V 12MSOFR 99D0WFLG2 CCPOIS / Short: B9D0WFLF4 IRS USD P F 3.59000 99D0WFLF4 CCPOIS
000000000
12140000.00000000
OU
Notional Amount
USD
1063747.57000000
0.033109880302
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-09-20
54114.80000000
USD
0.00000000
USD
12140000.00000000
USD
1009632.77000000
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AV1
5340000.00000000
PA
USD
5191483.23000000
0.161588513277
Long
DBT
CORP
CO
N
2
2036-01-19
Fixed
8.38000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBK3
2695000.00000000
PA
USD
2694216.46000000
0.083859354433
Long
DBT
CORP
CL
N
2
2036-01-26
Fixed
6.44000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDRV0
9623332.29000000
PA
USD
7743078.86000000
0.241008695539
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M9MX2
1571536.32000000
PA
USD
1309010.19000000
0.040743849319
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297HUB3
12695.80000000
PA
USD
12745.16000000
0.000396701937
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYH9
1818822.36000000
PA
USD
1488677.16000000
0.046336108271
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBH5
2047813.64000000
PA
USD
1556966.37000000
0.048461657257
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
NEW MOUNTAIN FINANCE COR
549300L1MPTT1H7SES77
New Mountain Finance Corp
647551AF7
855000.00000000
PA
USD
832633.96000000
0.025916309027
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGCV9
2355672.97000000
PA
USD
1816309.56000000
0.056533893773
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHG68
5137973.65000000
PA
USD
4661402.39000000
0.145089379781
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GZB5
169867.47000000
PA
USD
139636.89000000
0.004346294970
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWET6
45833430.10000000
PA
USD
43452859.62000000
1.352500368889
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HCF2
2770000.00000000
PA
USD
2973729.26000000
0.092559384038
Long
DBT
CORP
IT
N
2
2053-11-28
Fixed
7.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GLU3
100565.84000000
PA
USD
9989.29000000
0.000310923573
Long
ABS-MBS
USGA
US
N
2
2042-05-16
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378EAS2
120533.14000000
PA
USD
2273.05000000
0.000070750256
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292H2H6
41893.29000000
PA
USD
42500.15000000
0.001322846621
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
Venture CLO 43 Limited
549300OLN5VHTMLSN650
Venture 43 CLO Ltd
92290CAB5
3160000.00000000
PA
USD
3159222.64000000
0.098332994039
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
6.83000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1557640.73000000
0.048482647180
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
49837000.00000000
EUR
54856707.23000000
USD
2024-06-20
1557640.73000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JLA38
1947277.63000000
PA
USD
1775494.62000000
0.055263500481
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CNU3
225527.12000000
PA
USD
49644.13000000
0.001545207950
Long
ABS-MBS
USGA
US
N
2
2047-01-16
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFB27
61499.19000000
PA
USD
1607.99000000
0.000050049803
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KYBS2
4850346.68000000
PA
USD
3689091.47000000
0.114825528576
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
WILLIAM CARTER
TGI2A0HXEYNQPU7TYV27
William Carter Co/The
96926JAC1
4510000.00000000
PA
USD
4386709.68000000
0.136539378818
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.63000000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAE8
1279604.16000000
PA
USD
1189564.05000000
0.037026005434
Long
ABS-O
CORP
US
N
2
2048-03-15
Fixed
3.88000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2005-A1
16162WPE3
197031.26000000
PA
USD
180076.68000000
0.005605011459
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
4.90000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A3
46628KAH3
120817.72000000
PA
USD
95996.46000000
0.002987956343
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
4.44000000
N
N
N
N
N
N
Mexico Government International Bonds
254900EGTWEU67VP6075
Mexico Government International Bonds
91087BAX8
495000.00000000
PA
USD
461092.33000000
0.014351818312
Long
DBT
NUSS
MX
N
2
2053-05-04
Fixed
6.34000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDY5
1270000.00000000
PA
USD
890167.05000000
0.027707066324
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
2.75000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AT5
1308000.00000000
PA
USD
1439545.98000000
0.044806866245
Long
DBT
CORP
US
N
2
2034-11-02
Fixed
7.96000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LLC
N/A
Domino's Pizza Master Issuer LLC
25755TAN0
4950025.00000000
PA
USD
4322039.09000000
0.134526461887
Long
ABS-O
CORP
US
N
2
2051-04-25
Fixed
2.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KAYL4
1335110.51000000
PA
USD
1159932.66000000
0.036103707886
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPZS0
843269.90000000
PA
USD
772617.84000000
0.024048265701
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378JAS1
269999.57000000
PA
USD
37315.51000000
0.001161471108
Long
ABS-MBS
USGA
US
N
2
2043-02-16
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KSK71
1909348.92000000
PA
USD
1371964.04000000
0.042703331528
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EWKL8
167804.48000000
PA
USD
153733.60000000
0.004785064838
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMLL7
1081783.92000000
PA
USD
823812.21000000
0.025641725945
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QEP0
6456.42000000
PA
USD
6421.50000000
0.000199873637
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Commercial Equipment Finance
N/A
Commercial Equipment Finance 2024-1 LLC
20166RAA6
3425000.00000000
PA
USD
3413038.22000000
0.106233179863
Long
ABS-O
CORP
US
N
2
2029-07-16
Fixed
5.97000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-F
63942GAA1
3085005.63000000
PA
USD
2593612.36000000
0.080727982101
Long
ABS-O
CORP
US
N
2
2070-02-18
Fixed
1.11000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RHL1
2635000.00000000
PA
USD
2642286.04000000
0.082242984122
Long
ABS-O
CORP
US
N
2
2028-08-21
Fixed
5.90000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
PRET 2021-NPL3 LLC
74143EAA0
2220956.82000000
PA
USD
2109162.74000000
0.065649151950
Long
ABS-O
CORP
US
N
2
2051-07-25
Variable
1.87000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AU88
52333.10000000
PA
USD
48080.56000000
0.001496540750
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BLP93
689776.55000000
PA
USD
597606.81000000
0.018600926108
Long
ABS-MBS
USGSE
US
N
2
2045-10-15
Fixed
3.50000000
N
Y
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAZ4
580000.00000000
PA
USD
537418.64000000
0.016727527605
Long
DBT
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QSYM7
354729.00000000
PA
USD
344349.71000000
0.010718123361
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAG6
1090000.00000000
PA
USD
1020056.23000000
0.031749957066
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ2X7
705682.22000000
PA
USD
647471.59000000
0.020153001942
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M9FG4
182773.27000000
PA
USD
172351.16000000
0.005364549295
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
61764PBV3
4971159.78000000
PA
USD
5081.52000000
0.000158165831
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
1.03000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H4FG0
890536.24000000
PA
USD
736552.02000000
0.022925692059
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
2.00000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAP0
1645000.00000000
PA
USD
1600977.35000000
0.049831529510
Long
DBT
CORP
US
N
2
2033-06-30
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CG81
1611612.00000000
PA
USD
1449611.31000000
0.045120156617
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
3.00000000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-4 LLC
693583AA4
2845201.03000000
PA
USD
2716862.55000000
0.084564229678
Long
ABS-O
CORP
US
N
2
2026-04-25
Variable
4.87000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAYW5
29728.57000000
PA
USD
27312.56000000
0.000850122357
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AFV5
1194507.51000000
PA
USD
1138024.89000000
0.035421813362
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131YBFP8
883520.38000000
PA
USD
777543.74000000
0.024201587752
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
3.50000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAY5
795000.00000000
PA
USD
780279.57000000
0.024286742356
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
5.15000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
549300SZXFEQICAU3R39
HarborView Mortgage Loan Trust 2006-12
41162DAF6
382165.04000000
PA
USD
329086.98000000
0.010243060312
Long
ABS-MBS
CORP
US
N
2
2038-01-19
Floating
5.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XEC7
48719.28000000
PA
USD
48499.02000000
0.001509565607
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
160000.00000000
PA
USD
141498.01000000
0.004404223620
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKQR2
602149.36000000
PA
USD
492822.58000000
0.015339444332
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209V4E1
2536.30000000
PA
USD
2594.06000000
0.000080741915
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
6.50000000
N
N
N
N
N
N
Angola Government International Bonds
549300QHR2R3J8JSGK83
Angola Government International Bonds
000000000
1305000.00000000
PA
USD
1185918.75000000
0.036912542945
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2022-HC Mortgage Trust
12659DAJ9
1320000.00000000
PA
USD
1142183.72000000
0.035551259828
Long
ABS-MBS
CORP
US
N
2
2039-01-10
Variable
4.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGMX2
1371463.07000000
PA
USD
1058027.54000000
0.032931840404
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
290000.00000000
PA
307600.28000000
0.009574271884
Long
DBT
NUSS
ID
N
2
2024-07-18
Fixed
2.15000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DU0
355000.00000000
PA
USD
359016.52000000
0.011174637986
Long
DBT
CORP
GB
N
2
2029-03-09
Fixed
6.16000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
549300BI6Y5SI6BYPB26
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
61747C707
810581.33000000
NS
USD
810581.33000000
0.025229905636
Long
STIV
RF
US
N
1
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2019-5
64830MAG8
1089077.14000000
PA
USD
992056.81000000
0.030878455715
Long
ABS-MBS
CORP
US
N
2
2059-08-25
Variable
3.50000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAF2
3230000.00000000
PA
USD
3179935.00000000
0.098977680598
Long
DBT
CORP
MA
N
2
2034-05-02
Fixed
6.75000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
11590000.00000000
PA
8103578.64000000
0.252229501021
Long
DBT
NUSS
RO
N
2
2041-04-14
Fixed
2.75000000
N
N
N
N
N
N
BANCA COMERCIALA ROMANA
549300ORLU6LN5YD8X90
Banca Comerciala Romana SA
000000000
1300000.00000000
PA
1452150.46000000
0.045199189420
Long
DBT
CORP
RO
N
2
2027-05-19
Fixed
7.63000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBD7
835000.00000000
PA
USD
765663.19000000
0.023831797400
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
3.70000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CKE0
72045000.00000000
PA
USD
70806726.56000000
2.203908433869
Long
DBT
UST
US
N
2
2027-03-15
Fixed
4.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp Trust 2012-BWTR
36192RAA0
2010000.00000000
PA
USD
1506047.57000000
0.046876774320
Long
ABS-MBS
CORP
US
N
2
2034-11-05
Fixed
2.95000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAR7
1285000.00000000
PA
USD
1212585.75000000
0.037742571801
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.01000000
N
N
N
N
N
N
COLUMBIA PIPELINES OPCO
N/A
Columbia Pipelines Operating Co LLC
19828TAC0
1045000.00000000
PA
USD
1077552.95000000
0.033539582322
Long
DBT
CORP
US
N
2
2053-11-15
Fixed
6.54000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NCC7
2885000.00000000
PA
USD
2825146.75000000
0.087934650445
Long
DBT
CORP
CA
N
2
2034-04-05
Fixed
5.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMHQ7
407482.66000000
PA
USD
334990.59000000
0.010426814265
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201EJZ4
44823.87000000
PA
USD
45781.57000000
0.001424983093
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZQ6
73785000.00000000
PA
USD
58050925.01000000
1.806875270741
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379F3V9
110115.48000000
PA
USD
1513.85000000
0.000047119630
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWE74
153320.79000000
PA
USD
145357.38000000
0.004524349186
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KJ5
2715000.00000000
PA
USD
2717135.32000000
0.084572719833
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
6.15000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2019-3
64830EAC5
2382674.69000000
PA
USD
2189892.96000000
0.068161935995
Long
ABS-MBS
CORP
US
N
2
2058-11-25
Variable
3.75000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBQ8
3980000.00000000
PA
USD
3717327.56000000
0.115704396445
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
3.04000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXG55
4824814.32000000
PA
USD
4152827.06000000
0.129259620188
Long
ABS-MBS
USGSE
US
N
2
2057-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M7X37
66113.13000000
PA
USD
60690.17000000
0.001889023600
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
SOUTHWESTERN ELEC POWER
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co
845437BU5
1165000.00000000
PA
USD
1110019.78000000
0.034550134906
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.30000000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
035198AF7
805000.00000000
PA
USD
727156.50000000
0.022633249988
Long
DBT
NUSS
AO
N
2
2032-04-14
Fixed
8.75000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QCR5
1355000.00000000
PA
USD
1304895.87000000
0.040615788258
Long
DBT
CORP
US
N
2
2054-03-01
Fixed
5.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XFH4
1510179.63000000
PA
USD
1407854.06000000
0.043820433272
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KTMS6
475131.68000000
PA
USD
388800.20000000
0.012101675666
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
2.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BS6
2675000.00000000
PA
USD
2626097.17000000
0.081739094324
Long
DBT
CORP
US
N
2
2029-04-04
Fixed
5.37000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
177000.00000000
PA
USD
114824.12000000
0.003573980309
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQXL2
5605057.79000000
PA
USD
64236.20000000
0.001999396241
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Variable
0.74000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SA7
17840000.00000000
PA
USD
13062921.83000000
0.406592494679
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
PATTERSON-UTI ENERGY INC
254900XGFBKIXD6G0697
Patterson-UTI Energy Inc
703481AD3
1690000.00000000
PA
USD
1759708.04000000
0.054772132238
Long
DBT
CORP
US
N
2
2033-10-01
Fixed
7.15000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2022-2
96042VAE9
3720000.00000000
PA
USD
3691235.47000000
0.114892262062
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
4.31000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust 2023-3
02530EAC8
2230000.00000000
PA
USD
2230158.55000000
0.069415230388
Long
ABS-O
CORP
US
N
2
2027-11-12
Fixed
6.09000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2022-FL8 Ltd
55284JAC3
4415000.00000000
PA
USD
4333154.73000000
0.134872443885
Long
ABS-CBDO
CORP
KY
N
2
2037-02-19
Floating
7.07000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F4UB0
93308.66000000
PA
USD
85435.91000000
0.002659251906
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCN3
2335000.00000000
PA
USD
2060684.25000000
0.064140225353
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.27000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132LQCS4
1377856.40000000
PA
USD
1242316.50000000
0.038667961998
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
3.00000000
N
N
N
N
N
N
GREENSAIF PIPELINES BIDC
549300YWDGUXPB8GRP47
Greensaif Pipelines Bidco Sarl
39541EAA1
3390000.00000000
PA
USD
3345629.48000000
0.104135036115
Long
DBT
CORP
LU
N
2
2038-02-23
Fixed
6.13000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2018-C2
05491UBJ6
2660000.00000000
PA
USD
2300928.20000000
0.071617984788
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Variable
5.13000000
N
N
N
N
N
N
Octagon 61 Ltd
N/A
Octagon 61 Ltd
675947AC9
5180000.00000000
PA
USD
5200025.88000000
0.161854409179
Long
ABS-CBDO
CORP
KY
N
2
2036-04-20
Floating
7.67000000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FBG0
900000.00000000
PA
USD
872485.70000000
0.027156722052
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
5.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6MR9
631096.94000000
PA
USD
588768.95000000
0.018325841590
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AKT45
614454.69000000
PA
USD
116334.03000000
0.003620977304
Long
ABS-MBS
USGSE
US
N
2
2044-09-25
Fixed
5.50000000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAA1
5496000.00000000
PA
USD
5083093.76000000
0.158214815909
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
N
Progress Residential Trust
5493002EEQ4GX2578787
Progress Residential 2022-SFR3 Trust
74331UAA6
1746640.37000000
PA
USD
1619907.99000000
0.050420758799
Long
ABS-O
CORP
US
N
2
2039-04-17
Fixed
3.20000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
92933BAT1
1690000.00000000
PA
USD
1486671.88000000
0.046273692541
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN24
000000000
1126.00000000
NC
USD
-501867.70000000
-0.01562097996
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUM4 Comdty
2024-06-28
228692805.20000000
USD
-501867.70000000
N
N
N
Ellington Financial Mortgage Trust
N/A
Ellington Financial Mortgage Trust 2021-2
31572LAA4
1084561.12000000
PA
USD
853162.41000000
0.026555271260
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
0.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABFW8
473074.39000000
PA
USD
13775.22000000
0.000428763268
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LKEG4
952786.00000000
PA
USD
925914.18000000
0.028819720519
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
4.37000000
N
N
N
N
N
N
Tricon Residential
N/A
Tricon Residential 2022-SFR2 Trust
89616TAA3
5140082.61000000
PA
USD
4965648.77000000
0.154559259204
Long
ABS-O
CORP
US
N
2
2040-07-17
Fixed
4.85000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3K7
1735000.00000000
PA
USD
1684995.36000000
0.052446648296
Long
DBT
CORP
US
N
2
2035-01-23
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374CSR8
2822938.10000000
PA
USD
2418043.92000000
0.075263292735
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2020-C7
05492VAH8
6535000.00000000
PA
USD
335461.16000000
0.010441461082
Long
ABS-MBS
CORP
US
N
2
2053-04-15
Variable
1.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR64
1127490.59000000
PA
USD
1002293.71000000
0.031197086322
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJL4
3130000.00000000
PA
USD
2487186.67000000
0.077415408746
Long
DBT
CORP
US
N
2
2031-10-24
Fixed
1.92000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBY0
4595000.00000000
PA
USD
3055069.10000000
0.095091142927
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.85000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2018-1 Trust
67112FAD2
165877.52000000
PA
USD
159491.10000000
0.004964271016
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
6.08000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FXC5
17568.12000000
PA
USD
16801.43000000
0.000522956152
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAD1
655000.00000000
PA
USD
620409.02000000
0.019310660696
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
6.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHUE5
1611507.56000000
PA
USD
1456570.08000000
0.045336753155
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQFD9
340066.68000000
PA
USD
323532.69000000
0.010070179187
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XE71
129127.82000000
PA
USD
118675.27000000
0.003693850021
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYB4
6245000.00000000
PA
USD
5114778.78000000
0.159201034114
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.62000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QG54
2360228.47000000
PA
USD
2138781.36000000
0.066571052024
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290V4D3
12843.57000000
PA
USD
12964.20000000
0.000403519709
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9C34
157930.32000000
PA
USD
157432.60000000
0.004900198777
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022655
-14125000.00000000
PA
USD
-11579415.67000000
-0.36041733736
Short
ABS-MBS
USGA
US
N
2
2054-05-20
Fixed
2.50000000
N
N
N
N
N
N
Cent CLO LP
549300066YASG4MIU864
Columbia Cent CLO 27 Ltd
19736RAS0
1915000.00000000
PA
USD
1913184.58000000
0.059549195906
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Floating
6.78000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202SVV7
12203.65000000
PA
USD
11598.68000000
0.000361016952
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDU7
2545000.00000000
PA
USD
2517603.25000000
0.078362145877
Long
DBT
CORP
US
N
2
2029-07-24
Fixed
5.30000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BZ6
560000.00000000
PA
USD
550096.22000000
0.017122126069
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.35000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BXR20
20401617.16000000
PA
USD
289307.17000000
0.009004886158
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Variable
0.73000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152GC9
420000.00000000
PA
USD
422413.57000000
0.013147915102
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
6.88000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-16620.86000000
-0.00051733578
N/A
DFE
XX
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
1740449.64000000
USD
1612000.00000000
EUR
2024-06-18
-16620.86000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AT4Q4
364305.46000000
PA
USD
65450.43000000
0.002037189991
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X63P4
1738214.30000000
PA
USD
1389797.05000000
0.043258396322
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
1825000.00000000
PA
USD
1278759.47000000
0.039802274695
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36230QJZ2
300566.10000000
PA
USD
279956.76000000
0.008713848167
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCH1
350000.00000000
PA
USD
340763.93000000
0.010606513473
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.63000000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2020-6 LLC
693587AA5
715411.69000000
PA
USD
707420.26000000
0.022018945841
Long
ABS-MBS
CORP
US
N
2
2025-11-25
Variable
5.36000000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
8426EPAG3
490000.00000000
PA
USD
492182.98000000
0.015319536339
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
5.75000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAT7
2370000.00000000
PA
USD
2319045.00000000
0.072181882743
Long
DBT
NUSS
RO
N
2
2029-01-30
Fixed
5.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3142GQGM8
2698423.00000000
PA
USD
2738576.53000000
0.085240092354
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
6.50000000
N
N
N
N
N
N
SFS Auto Receivables Securitization Trust
N/A
SFS Auto Receivables Securitization Trust 2023-1
78398AAF0
1665000.00000000
PA
USD
1665600.07000000
0.051842956454
Long
ABS-O
CORP
US
N
2
2030-01-22
Fixed
5.71000000
N
N
N
N
N
N
Wellfleet CLO Ltd
254900A99ZMAJM1OOV76
Wellfleet CLO X LTD
94949WAM8
6516309.42000000
PA
USD
6525718.97000000
0.203117525322
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.76000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FHJ20
553356.70000000
PA
USD
118040.11000000
0.003674080226
Long
ABS-MBS
USGSE
US
N
2
2048-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJZR7
2137079.72000000
PA
USD
1702481.76000000
0.052990924614
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
22535WAJ6
1295000.00000000
PA
USD
1319700.71000000
0.041076599163
Long
DBT
CORP
FR
N
2
2029-10-03
Fixed
6.32000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468X0
2250000.00000000
PA
USD
1763351.24000000
0.054885529363
Long
DBT
CORP
US
N
2
2032-04-28
Fixed
1.93000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EX82
625472.13000000
PA
USD
608397.18000000
0.018936783852
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FT6T9
1454071.17000000
PA
USD
216287.71000000
0.006732104863
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Fixed
4.00000000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-2 LLC
69359UAA3
975700.63000000
PA
USD
955666.57000000
0.029745784276
Long
ABS-O
CORP
US
N
2
2026-03-25
Variable
5.12000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FK73
471351.60000000
PA
USD
71205.72000000
0.002216327381
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLE3
543999.81000000
PA
USD
441119.38000000
0.013730146402
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJJW3
5885985.00000000
PA
USD
4726316.05000000
0.147109862435
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N9DP8
3568678.06000000
PA
USD
3384047.33000000
0.105330818321
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-2
89175VAA1
1696020.76000000
PA
USD
1636222.29000000
0.050928552692
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382VFC8
6306842.03000000
PA
USD
828375.32000000
0.025783755906
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TT5
10820000.00000000
PA
USD
9678828.13000000
0.301260233059
Long
DBT
UST
US
N
2
2053-08-15
Fixed
4.13000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
2895000.00000000
PA
USD
2647888.45000000
0.082417363016
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.88000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012650
625000.00000000
PA
USD
448037.49000000
0.013945477370
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AQ6X1
337446.95000000
PA
USD
300269.04000000
0.009346081959
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B27G9
1959527.10000000
PA
USD
1694950.58000000
0.052756511418
Long
ABS-MBS
USGSE
US
N
2
2043-05-15
Fixed
3.50000000
N
Y
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWCG6
971691.80000000
PA
USD
698070.37000000
0.021727924035
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378GRL4
351361.66000000
PA
USD
55092.14000000
0.001714781036
Long
ABS-MBS
USGA
US
N
2
2041-10-16
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KME92
787884.23000000
PA
USD
631695.38000000
0.019661956472
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VPS7
169000.00000000
PA
USD
133620.14000000
0.004159019457
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754GAE0
1344000.00000000
PA
USD
1345421.41000000
0.041877173775
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Floating
7.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402JH42
13325.86000000
PA
USD
13265.60000000
0.000412900993
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M7SW2
1253833.85000000
PA
USD
1089267.51000000
0.033904206120
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LWEP8
1880855.40000000
PA
USD
1634030.75000000
0.050860339491
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
2.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-HYB7
126694MH8
310496.87000000
PA
USD
274235.37000000
0.008535765938
Long
ABS-MBS
CORP
US
N
2
2035-11-20
Variable
4.33000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AQUG0
1034127.88000000
PA
USD
824475.46000000
0.025662370061
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CL4
955000.00000000
PA
USD
607658.38000000
0.018913788190
Long
DBT
CORP
NL
N
2
2051-11-26
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBVH0
1305148.17000000
PA
USD
1133908.08000000
0.035293674798
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
2.00000000
N
N
N
N
N
N
HTL Commercial Mortgage Trust
N/A
HTL Commercial Mortgage Trust 2024-T53
404300AE5
1095000.00000000
PA
USD
1087316.39000000
0.033843476158
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
7.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KTS30
3743881.47000000
PA
USD
2863749.07000000
0.089136174407
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
2255000.00000000
PA
USD
1857991.92000000
0.057831286114
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2018-RPL1
64829VAA4
1270300.00000000
PA
USD
1189406.66000000
0.037021106561
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B4XC5
1199140.13000000
PA
USD
1069764.54000000
0.033297162663
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
2.75000000
N
Y
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCD5
820000.00000000
PA
USD
729626.64000000
0.022710134807
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.30000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-NC4
61748LAD4
24467.54000000
PA
USD
19904.47000000
0.000619540422
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
5.73000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
000000000
1135000.00000000
PA
USD
1143749.26000000
0.035599988345
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Floating
7.83000000
N
N
N
N
N
N
GREENSAIF PIPELINES BIDC
549300YWDGUXPB8GRP47
Greensaif Pipelines Bidco Sarl
39541EAC7
2550000.00000000
PA
USD
2558406.10000000
0.079632162860
Long
DBT
CORP
LU
N
2
2042-02-23
Fixed
6.51000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
439040.52000000
0.013665440443
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
64915000.00000000
BRL
12879193.70000000
USD
2024-06-20
439040.52000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BCJ58
64659.81000000
PA
USD
595.58000000
0.000018537840
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XF85
54491.13000000
PA
USD
54244.78000000
0.001688406369
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2017-5
64828NAA3
987422.12000000
PA
USD
988202.08000000
0.030758474572
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
6.93000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05581KAG6
3910000.00000000
PA
USD
3948069.25000000
0.122886391453
Long
DBT
CORP
FR
N
2
2034-12-05
Fixed
5.89000000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
29446MAH5
325000.00000000
PA
USD
240596.05000000
0.007488718791
Long
DBT
CORP
NO
N
2
2050-04-06
Fixed
3.70000000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
29446MAG7
890000.00000000
PA
USD
709483.18000000
0.022083155655
Long
DBT
CORP
NO
N
2
2040-04-06
Fixed
3.63000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
5115000.00000000
PA
3562476.91000000
0.110884562651
Long
DBT
NUSS
RO
N
2
2040-12-02
Fixed
2.63000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAK9
1300000.00000000
PA
USD
1055483.36000000
0.032852651039
Long
DBT
CORP
GB
N
2
2030-09-02
Fixed
2.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HLX57
287872.70000000
PA
USD
264820.68000000
0.008242727188
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAM6
575000.00000000
PA
USD
471527.47000000
0.014676619276
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL4 Trust
12662GAC2
1636899.83000000
PA
USD
1557806.47000000
0.048487805952
Long
ABS-MBS
CORP
US
N
2
2060-12-27
Variable
1.80000000
N
N
N
N
N
N
Alabama Power Co
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FL7
310000.00000000
PA
USD
247330.89000000
0.007698345353
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B9YL5
2056779.19000000
PA
USD
176250.14000000
0.005485907750
Long
ABS-MBS
USGSE
US
N
2
2039-11-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D6A5
1888000.83000000
PA
USD
1356128.76000000
0.042210447464
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FGY6
1222910.87000000
PA
USD
1201783.58000000
0.037406346774
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180NXE0
234841.57000000
PA
USD
212263.39000000
0.006606845114
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213VVV7
734.96000000
PA
USD
745.64000000
0.000023208561
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
6.50000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBR5
4115000.00000000
PA
USD
4073153.33000000
0.126779720127
Long
DBT
CORP
CA
N
2
2033-03-08
Fixed
5.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGJS9
5286554.07000000
PA
USD
4395404.62000000
0.136810014851
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C2
90276CAF8
3881437.31000000
PA
USD
104693.62000000
0.003258661476
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Variable
1.21000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GEJ1
412549.05000000
PA
USD
339075.49000000
0.010553959608
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
2.50000000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAE5
645576.58000000
PA
USD
585723.88000000
0.018231061676
Long
ABS-O
CORP
US
N
2
2061-03-15
Fixed
1.53000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859CA8
1045000.00000000
PA
USD
1018835.85000000
0.031711971893
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L8E83
311008.72000000
PA
USD
285715.87000000
0.008893104457
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
3.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PR4K2
136421.13000000
PA
USD
134869.10000000
0.004197894202
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST
59166BAA9
495699.30000000
PA
USD
457724.87000000
0.014247003786
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
3.00000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAS4
2000000.00000000
PA
USD
1873785.46000000
0.058322870992
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPKP2
734360.75000000
PA
USD
586291.33000000
0.018248723951
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBG3
1406000.00000000
PA
USD
1106166.56000000
0.034430200763
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS349P4O9HR58
Freddie Mac STACR REMIC Trust 2022-DNA5
35564KYP8
4090000.00000000
PA
USD
4424242.57000000
0.137707616030
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Floating
9.83000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE4 Mortgage Trust
12624QAR4
31159.74000000
PA
USD
28605.92000000
0.000890379084
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B9W45
3898522.54000000
PA
USD
774834.86000000
0.024117271984
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4.00000000
N
N
N
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corp International/US
817565CE2
4657000.00000000
PA
USD
4446731.79000000
0.138407608588
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.13000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS2
52476DAA5
1547695.93000000
PA
USD
1483406.19000000
0.046172045677
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Variable
4.75000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KF3
333000.00000000
PA
USD
330834.66000000
0.010297458063
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.45000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UD86
3806146.90000000
PA
USD
360881.15000000
0.011232675887
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
3.50000000
N
N
N
N
N
N
BANK GOSPODARSTWA KRAJOW
259400BCOV9JJIGLYF05
Bank Gospodarstwa Krajowego
06237MAA1
1180000.00000000
PA
USD
1140866.48000000
0.035510259820
Long
DBT
NUSS
PL
N
2
2033-05-22
Fixed
5.38000000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
341271AD6
5580000.00000000
PA
USD
5321296.13000000
0.165629029751
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
1.26000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAX2
1665000.00000000
PA
USD
1705377.48000000
0.053081055906
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
6.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LKD75
1740000.00000000
PA
USD
1666610.52000000
0.051874407410
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
4.41000000
N
N
N
N
N
N
Prestige Auto Receivables Trust
N/A
Prestige Auto Receivables Trust 2020-1
74114BAJ2
1342338.00000000
PA
USD
1332704.04000000
0.041481336820
Long
ABS-O
CORP
US
N
2
2026-11-16
Fixed
1.62000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F9DQ1
3250946.97000000
PA
USD
2667463.43000000
0.083026647834
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
1.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2006-TOP21
617451CX5
37926.76000000
PA
USD
14040.49000000
0.000437019981
Long
ABS-MBS
CORP
US
N
2
2052-10-12
Variable
5.26000000
N
N
N
N
N
N
KAISER FOUNDATION HOSPIT
DW4Z57L3G4IRMHYZYK62
Kaiser Foundation Hospitals
48305QAF0
605000.00000000
PA
USD
424025.71000000
0.013198094077
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
2.81000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LLC
N/A
Domino's Pizza Master Issuer LLC
25755TAL4
1449600.00000000
PA
USD
1301284.03000000
0.040503367235
Long
ABS-O
CORP
US
N
2
2049-10-25
Fixed
3.67000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RG5
63465000.00000000
PA
USD
50977765.59000000
1.586718282032
Long
DBT
UST
US
N
2
2044-05-15
Fixed
3.38000000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAB2
1215000.00000000
PA
USD
801436.78000000
0.024945275180
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KD68
73844.41000000
PA
USD
74815.85000000
0.002328695179
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022659
42916000.00000000
PA
USD
33954619.49000000
1.056861062478
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B75H0
7870271.74000000
PA
USD
78679.11000000
0.002448941824
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Variable
0.39000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A6
466247TM5
86816.32000000
PA
USD
79808.28000000
0.002484088022
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.48000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2019-4
30167GAG5
609909.38000000
PA
USD
607713.04000000
0.018915489520
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
2.58000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050656
4285000.00000000
PA
USD
4100945.37000000
0.127644766632
Long
ABS-MBS
USGA
US
N
2
2054-05-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJAG5
13878.98000000
PA
USD
14080.16000000
0.000438254737
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AXZS0
25433.13000000
PA
USD
24222.05000000
0.000753928092
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAW9
295000.00000000
PA
USD
238106.54000000
0.007411231067
Long
DBT
CORP
CA
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-3
59980CAA1
346552.43000000
PA
USD
340508.90000000
0.010598575488
Long
ABS-MBS
CORP
US
N
2
2061-01-25
Variable
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BSAJ2
377068.91000000
PA
USD
56884.62000000
0.001770573219
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
085209AG9
980000.00000000
PA
USD
805070.00000000
0.025058361670
Long
DBT
NUSS
BM
N
2
2030-08-20
Fixed
2.38000000
N
N
N
N
N
N
GO DADDY OPCO/FINCO
N/A
Go Daddy Operating Co LLC / GD Finance Co Inc
38016LAC9
1070000.00000000
PA
USD
948882.96000000
0.029534639714
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379AMX5
788713.09000000
PA
USD
677426.78000000
0.021085377990
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
2.50000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAE1
1515000.00000000
PA
USD
1540980.27000000
0.047964078816
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
6.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375C5T3
1991966.45000000
PA
USD
386712.80000000
0.012036703895
Long
ABS-MBS
USGA
US
N
2
2042-09-16
Fixed
4.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HDC6
2360000.00000000
PA
USD
2538552.48000000
0.079014205179
Long
DBT
CORP
US
N
2
2031-10-30
Fixed
7.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXGL0
2121856.03000000
PA
USD
1994866.38000000
0.062091598537
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.50000000
N
N
N
N
N
N
PES ENERGY LIQUIDATING TRUST
N/A
PES ENERGY LIQUIDATING TRUST
000000000
13623.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9
46639EAQ4
730000.00000000
PA
USD
453330.00000000
0.014110210411
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
3.71000000
N
N
N
N
N
N
Venture CDO Ltd
5493005OM8P21GK6YE73
Venture 42 CLO Ltd
923260AC7
8270000.00000000
PA
USD
8237813.16000000
0.256407643482
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
6.72000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VVX5
4238846.83000000
PA
USD
3343111.10000000
0.104056649793
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XDE3
1677973.16000000
PA
USD
1564970.33000000
0.048710786059
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
4.50000000
N
N
N
N
N
N
2024-05-29
HARTFORD MUTUAL FUNDS INC/CT
John Stanziani
John Stanziani
Assistant Treasurer