0001752724-24-143580.txt : 20240625
0001752724-24-143580.hdr.sgml : 20240625
20240625114202
ACCESSION NUMBER: 0001752724-24-143580
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240430
FILED AS OF DATE: 20240625
DATE AS OF CHANGE: 20240625
PERIOD START: 20241031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: NATIONWIDE MUTUAL FUNDS
CENTRAL INDEX KEY: 0001048702
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-08495
FILM NUMBER: 241067355
BUSINESS ADDRESS:
STREET 1: ONE NATIONWIDE PLAZA
STREET 2: MAIL CODE 05-02-210
CITY: COLUMBUS
STATE: OH
ZIP: 43215
BUSINESS PHONE: 614-435-5749
MAIL ADDRESS:
STREET 1: ONE NATIONWIDE PLAZA
STREET 2: MAIL CODE 05-02-210
CITY: COLUMBUS
STATE: OH
ZIP: 43215
FORMER COMPANY:
FORMER CONFORMED NAME: GARTMORE MUTUAL FUNDS
DATE OF NAME CHANGE: 20020125
FORMER COMPANY:
FORMER CONFORMED NAME: NATIONWIDE MUTUAL FUNDS
DATE OF NAME CHANGE: 19991015
FORMER COMPANY:
FORMER CONFORMED NAME: NATIONWIDE INVESTING FOUNDATION III
DATE OF NAME CHANGE: 19971029
0001048702
S000071835
Nationwide Bond Portfolio
C000227359
Class R6
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001048702
XXXXXXXX
S000071835
C000227359
Nationwide Mutual Funds
811-08495
0001048702
549300NXDT8MH8Z3PQ44
One Nationwide Plaza Location:N0900
Mail Code 5-02-210T
Columbus
43215
614-435-3820
Nationwide Bond Portfolio
S000071835
549300UDNENJLHLCX577
2024-10-31
2024-04-30
N
1063737750.84
173981558.82
889756192.02
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
24539996.66000000
CAD
EUR
USD
UST
Bloomberg US Aggregate Bond Total Return
LEHM.MC.LEHMRT00001UUSD
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TJ7
8401400.00000000
PA
USD
6065745.19000000
0.681731157861
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179WR26
3596555.12400000
PA
USD
2951638.73000000
0.331735677309
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BT5
500000.00000000
PA
USD
494862.85000000
0.055617803443
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWA60
3463282.07130000
PA
USD
2764536.00000000
0.310707138067
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XK6T2
2855557.92760000
PA
USD
2302142.41000000
0.258738565760
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
2630000.00000000
PA
3029.41000000
0.000340476416
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-28
7025.29000000
USD
0.00000000
USD
2630000.00000000
GBP
3029.41000000
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140CL2
426000.00000000
PA
USD
410544.11000000
0.046141191674
Long
DBT
CORP
US
N
2
2034-02-21
Fixed
5.15000000
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QFGN3
3571233.59740000
PA
USD
3220910.97000000
0.361999275631
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
4.00000000
N
N
N
N
N
N
BLP Commercial Mortgage Trust
N/A
BLP Commercial Mortgage Trust, Series 2024-IND2, Class A
05625AAA9
1675000.00000000
PA
USD
1672906.25000000
0.188018500461
Long
ABS-MBS
CORP
US
Y
2
2041-03-15
Floating
6.66312840
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
16039.09000000
0.001802638761
N/A
DFE
N/A
N
2
Morgan Stanley & Co.
9R7GPTSO7KV3UQJZQ078
2427948.29000000
SEK
236853.32000000
USD
2024-06-20
16039.09000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179WLQ9
925975.25090000
PA
USD
788058.64000000
0.088570177658
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
3.00000000
N
N
N
N
N
N
Xilinx, Inc.
6EY4K7ZMF9UX1CU6KC79
Xilinx, Inc.
983919AK7
250000.00000000
PA
USD
212460.14000000
0.023878467147
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABJ86
891656.15920000
PA
USD
722990.45000000
0.081257141729
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
529900PGKDI4ZEXFQ523
FHLMC STACR REMIC Trust, Series 2024-HQA1, Class M2
35564NCA9
825000.00000000
PA
USD
824785.83000000
0.092697958991
Long
ABS-MBS
CORP
US
Y
2
2044-03-25
Floating
7.33002120
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAY1
1325000.00000000
PA
USD
1078777.74000000
0.121244195845
Long
DBT
CORP
IE
N
2
2033-10-29
Fixed
3.40000000
N
N
N
N
N
N
Xcel Energy, Inc.
LGJNMI9GH8XIDG5RCM61
Xcel Energy, Inc.
98388MAB3
850000.00000000
PA
USD
764066.50000000
0.085873692911
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
1.75000000
N
N
N
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884LAG4
100000.00000000
PA
USD
104375.10000000
0.011730752866
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
6.99999840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TL2
11242800.00000000
PA
USD
9851503.50000000
1.107213817487
Long
DBT
UST
US
N
2
2052-11-15
Fixed
4.00000000
N
N
N
N
N
N
International Business Machines Corp.
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp.
459200KT7
3760000.00000000
PA
USD
3630079.59000000
0.407985875519
Long
DBT
CORP
US
N
2
2027-07-27
Fixed
4.15000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
23760000.00000000
PA
USD
-615695.34000000
-0.06919820794
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2037-07-28
0.00000000
USD
344739.79000000
USD
23760000.00000000
USD
-615695.34000000
N
N
N
Ford Credit Auto Owner Trust
N/A
Ford Credit Auto Owner Trust, Series 2024-1, Class A
34533BAA8
2225000.00000000
PA
USD
2177278.65000000
0.244705085452
Long
ABS-O
CORP
US
Y
2
2036-08-15
Fixed
4.87000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661ED5
6100000.00000000
PA
USD
5240331.58000000
0.588962642463
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
1.70000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class A4
17328FAV7
500000.00000000
PA
USD
430453.80000000
0.048378848482
Long
ABS-MBS
CORP
US
N
2
2056-08-10
Fixed
2.62000000
N
N
N
N
N
N
VMware LLC
549300BUDHS3LRWBE814
VMware LLC
928563AF2
35000.00000000
PA
USD
33199.41000000
0.003731292942
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QQ3Q6
0.00180000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
Celanese US Holdings LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAN4
250000.00000000
PA
USD
253602.15000000
0.028502431595
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
6.33000000
N
N
N
N
N
N
QatarEnergy
254900QTESJKJ3P87J26
QatarEnergy
N/A
1570000.00000000
PA
USD
1275311.00000000
0.143332635550
Long
DBT
NUSS
QA
Y
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CP2
150000.00000000
PA
USD
136455.31000000
0.015336258541
Long
DBT
CORP
DE
N
2
2027-11-16
Variable
2.31100000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H030658
-11000000.00000000
PA
USD
-9356470.86000000
-1.05157693128
Short
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QNDP4
2930548.38200000
PA
USD
2325930.42000000
0.261412108267
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Berkshire Hathaway Energy Co.
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co.
084659AM3
50000.00000000
PA
USD
46318.26000000
0.005205724940
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QPFK8
1258151.12850000
PA
USD
1085657.31000000
0.122017393049
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
Hyundai Auto Lease Securitization Trust
N/A
Hyundai Auto Lease Securitization Trust, Series 2024-A, Class A2A
448988AB1
3450000.00000000
PA
USD
3436968.32000000
0.386282034429
Long
ABS-O
CORP
US
Y
2
2026-06-15
Fixed
5.15000000
N
N
N
N
N
N
Bain Capital Credit CLO
N/A
Bain Capital Credit CLO, Series 2020-1A, Class A1R
05684DAN3
3575000.00000000
PA
USD
3576898.33000000
0.402008815682
Long
ABS-CBDO
CORP
KY
Y
2
2033-04-18
Floating
1.24999920
N
N
N
N
N
N
Westinghouse Air Brake Technologies Corp.
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp.
960386AQ3
2000000.00000000
PA
USD
1941125.12000000
0.218163710172
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.20000000
N
N
N
N
N
N
Mexico City Airport Trust
N/A
Mexico City Airport Trust
N/A
2510000.00000000
PA
USD
2340844.57000000
0.263088314641
Long
DBT
CORP
MX
Y
2
2028-04-30
Fixed
3.87500000
N
N
N
N
N
N
Public Storage Operating Co.
549300LMZF40TKJ6DM64
Public Storage Operating Co.
74460WAE7
950000.00000000
PA
USD
777115.22000000
0.087340242975
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
2.30000000
N
N
N
N
N
N
HP, Inc.
WHKXQACZ14C5XRO8LW03
HP, Inc.
40434LAK1
979000.00000000
PA
USD
914701.55000000
0.102803617238
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179VDN7
158685.65600000
PA
USD
136208.77000000
0.015308549827
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Ingersoll Rand, Inc.
5299004C02FMZCUOIR50
Ingersoll Rand, Inc.
45687VAB2
710000.00000000
PA
USD
705211.52000000
0.079258961761
Long
DBT
CORP
US
N
2
2033-08-14
Fixed
5.70000000
N
N
N
N
N
N
EIDP, Inc.
GLU7INWNWH88J9XBXD45
EIDP, Inc.
263534CP2
395000.00000000
PA
USD
331913.71000000
0.037303894367
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.30000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DVLR4
1407171.46000000
PA
USD
1135374.00000000
0.127605068689
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Kinder Morgan, Inc.
549300WR7IX8XE0TBO16
Kinder Morgan, Inc.
49456BAU5
1400000.00000000
PA
USD
1276840.25000000
0.143504508476
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
Euro-Schatz
N/A
-170.00000000
NC
83173.56000000
0.009347904599
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
Euro-Schatz
2024-06-06
-17868700.00000000
EUR
83173.56000000
N
N
N
Rogers Communications, Inc.
5493000M6Z4XFIP6PF03
Rogers Communications, Inc.
775109CG4
3265000.00000000
PA
USD
3062822.58000000
0.344231667896
Long
DBT
CORP
CA
N
2
2027-03-15
Fixed
3.20000000
N
N
N
N
N
N
ServiceNow, Inc.
549300HJTQM36M0E1G39
ServiceNow, Inc.
81762PAE2
575000.00000000
PA
USD
454461.67000000
0.051077101129
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.40000000
N
N
N
N
N
N
Piedmont Natural Gas Co., Inc.
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co., Inc.
720186AL9
100000.00000000
PA
USD
90935.55000000
0.010220277286
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AT2
100000.00000000
PA
USD
79091.15000000
0.008889081156
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.50000000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAZ4
800000.00000000
PA
USD
640112.52000000
0.071942463086
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.62500000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DE2
502000.00000000
PA
USD
557264.85000000
0.062631185373
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
7.87500000
N
N
N
N
N
N
Telefonica Emisiones SA
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAV5
825000.00000000
PA
USD
714282.65000000
0.080278469136
Long
DBT
CORP
ES
N
2
2038-03-06
Fixed
4.66500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust, Series 2024-PAT, Class A
05612FAA3
650000.00000000
PA
USD
649593.75000000
0.073008061739
Long
ABS-MBS
CORP
US
Y
2
2041-03-15
Floating
7.41098160
N
N
N
N
N
N
Province of Ontario Canada
C7PVKCRGLG18EBQGZV36
Province of Ontario
683234AR9
40000.00000000
PA
USD
31528.19000000
0.003543463960
Long
DBT
NUSS
CA
N
2
2030-10-07
Fixed
1.12500000
N
N
N
N
N
N
GE HealthCare Technologies, Inc.
549300OI9J7XOWZMUN85
GE HealthCare Technologies, Inc.
36267VAM5
670000.00000000
PA
USD
714137.44000000
0.080262148935
Long
DBT
CORP
US
N
2
2052-11-22
Fixed
6.37700000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2023-R03, Class 2M2
20753AAA2
694218.00000000
PA
USD
741348.60000000
0.083320420430
Long
ABS-MBS
CORP
US
Y
2
2043-04-25
Floating
9.23001840
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PER9
2075000.00000000
PA
USD
2068672.02000000
0.232498749494
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
5.35000000
N
N
N
N
N
McCormick & Co., Inc.
549300JQQA6MQ4OJP259
McCormick & Co., Inc.
579780AR8
250000.00000000
PA
USD
230568.63000000
0.025913686475
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.90000000
N
N
N
N
N
N/A
N/A
IRS
N/A
18260000.00000000
PA
-25692.85000000
-0.00288762811
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-04-22
0.00000000
USD
22692.28000000
USD
18260000.00000000
EUR
-25692.85000000
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
945000.00000000
PA
USD
931595.06000000
0.104702284553
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCP8
1244000.00000000
PA
USD
1177687.47000000
0.132360693925
Long
DBT
CORP
US
N
2
2033-02-06
Fixed
4.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XASY9
534444.75000000
PA
USD
409149.99000000
0.045984506055
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810TP3
2900000.00000000
PA
USD
2451167.97000000
0.275487598960
Long
DBT
UST
US
N
2
2053-02-15
Fixed
1.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300JPCJUA5JJLRW54
Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4
95000LAZ6
1225000.00000000
PA
USD
1171341.20000000
0.131647434488
Long
ABS-MBS
CORP
US
N
2
2059-03-15
Fixed
3.42600000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
5580000.00000000
PA
8801.38000000
0.000989190081
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2039-01-25
18423.50000000
USD
0.00000000
USD
5580000.00000000
EUR
8801.38000000
N
N
N
N/A
N/A
OIS
N/A
92060000.00000000
PA
-273.03000000
-0.00003068593
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2024-06-20
0.00000000
USD
0.00000000
USD
92060000.00000000
GBP
-273.03000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XJCJ0
141747.74310000
PA
USD
114390.11000000
0.012856343234
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AM0
793000.00000000
PA
USD
783176.32000000
0.088021452058
Long
DBT
CORP
CH
Y
2
2025-09-11
Variable
2.59300000
N
N
N
N
N
N
Enbridge, Inc.
98TPTUM4IVMFCZBCUR27
Enbridge, Inc.
29250NBH7
400000.00000000
PA
USD
364030.22000000
0.040913479812
Long
DBT
CORP
CA
N
2
2026-10-04
Fixed
1.60000000
N
N
N
N
N
N
Huntsman International LLC
3YTEJFW18LGIUQ2N5J61
Huntsman International LLC
44701QBE1
1020000.00000000
PA
USD
951720.89000000
0.106964233408
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.50000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABW4
6021000.00000000
PA
USD
5295253.95000000
0.595135386243
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
Zoetis, Inc.
549300HD9Q1LOC9KLJ48
Zoetis, Inc.
98978VAN3
1640000.00000000
PA
USD
1548766.65000000
0.174066408741
Long
DBT
CORP
US
N
2
2028-08-20
Fixed
3.90000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJY9
6475000.00000000
PA
USD
5418583.42000000
0.608996427178
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XDUC8
29339.79150000
PA
USD
22379.13000000
0.002515198006
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179WTX6
19445536.01750000
PA
USD
15311501.98000000
1.720864897297
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
18460000.00000000
PA
-62072.66000000
-0.00697636729
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2030-04-24
24691.22000000
USD
0.00000000
USD
18460000.00000000
EUR
-62072.66000000
N
N
N
NatWest Group plc
2138005O9XJIJN4JPN90
NatWest Group plc
639057AF5
275000.00000000
PA
USD
272170.48000000
0.030589332498
Long
DBT
CORP
GB
N
2
2028-09-30
Variable
5.51600000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
29760000.00000000
PA
-150346.87000000
-0.01689753567
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-19
120940.35000000
USD
0.00000000
USD
29760000.00000000
CAD
-150346.87000000
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46625HRV4
753000.00000000
PA
USD
712067.07000000
0.080029459349
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.95000000
N
N
N
N
N
N
N/A
N/A
Euro-Bund
N/A
2.00000000
NC
-4831.97000000
-0.00054306674
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Long
N/A
Euro-Bund
2024-06-06
260160.00000000
EUR
-4831.97000000
N
N
N
NOMURA SECURITIES
OXTKY6Q8X53C9ILVV871
Treasury Repurchase Agreement
N/A
1000000.00000000
PA
USD
1000000.00000000
0.112390338945
Long
RA
CORP
US
N
2
Repurchase
Y
5.30000000
2024-05-01
1074978.00000000
USD
1020523.44440000
USD
UST
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TC2
40000000.00000000
PA
USD
26425000.00000000
2.969914706635
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
J.P. Morgan Chase Commercial Mortgage Securities Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class B
466317AG9
1464419.35740000
PA
USD
1394859.44000000
0.156768725242
Long
ABS-MBS
CORP
US
Y
2
2037-04-15
Floating
6.42777840
N
N
N
N
N
N
Brown & Brown, Inc.
549300PC8KTJ71XKFY89
Brown & Brown, Inc.
115236AB7
910000.00000000
PA
USD
868396.90000000
0.097599421930
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
Reliance, Inc.
549300E287ZOFT3C5Z56
Reliance, Inc.
759509AF9
2100000.00000000
PA
USD
1983541.46000000
0.222930897001
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
1.30000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JH1
1500000.00000000
PA
USD
1045304.04000000
0.117482075356
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class A5
95002MAX7
530000.00000000
PA
USD
459961.45000000
0.051695223267
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
2.89200000
N
N
N
N
N
N
American Express Co.
R4PP93JZOLY261QX3811
American Express Co.
025816CY3
200000.00000000
PA
USD
195956.30000000
0.022023594975
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.95000000
N
N
N
N
N
N
HSBC USA, Inc.
549300LBOHZ4QSIWU288
HSBC USA, Inc.
40428HTA0
220000.00000000
PA
USD
219697.82000000
0.024691912455
Long
DBT
CORP
US
N
2
2024-05-24
Fixed
3.75000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F042657
-9000000.00000000
PA
USD
-8292728.25000000
-0.93202253880
Short
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
4.50000000
N
N
N
N
N
N
NetApp, Inc.
QTX3D84DZDD5JYOCYH15
NetApp, Inc.
64110DAL8
75000.00000000
PA
USD
71750.04000000
0.008064011314
Long
DBT
CORP
US
N
2
2025-06-22
Fixed
1.87500000
N
N
N
N
N
N
Willis North America, Inc.
5493004KVU1HWZCP0C66
Willis North America, Inc.
970648AJ0
200000.00000000
PA
USD
175135.50000000
0.019683538206
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
Warnermedia Holdings, Inc.
549300DXR29GD4N0A520
Warnermedia Holdings, Inc.
55903VBC6
3825000.00000000
PA
USD
3294803.52000000
0.370304084371
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.27900000
N
N
N
N
N
N
American Express Co.
R4PP93JZOLY261QX3811
American Express Co.
025816CV9
220000.00000000
PA
USD
219984.77000000
0.024724162863
Long
DBT
CORP
US
N
2
2024-05-03
Fixed
3.37500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFD2
2255000.00000000
PA
USD
2218149.69000000
0.249298595490
Long
DBT
CORP
US
N
2
2029-04-20
Variable
5.16400000
N
N
N
N
N
N
BRAVO Residential Funding Trust
N/A
BRAVO Residential Funding Trust, Series 2024-NQM1, Class A1
10570FAA3
2675212.41000000
PA
USD
2659036.47000000
0.298850010131
Long
ABS-MBS
CORP
US
Y
2
2063-12-01
Variable
5.94299880
N
N
N
N
N
N
Nissan Auto Lease Trust
N/A
Nissan Auto Lease Trust, Series 2024-A, Class A2A
65481CAB0
4475000.00000000
PA
USD
4451851.27000000
0.500345073170
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
5.11000000
N
N
N
N
N
N
Wisconsin Power and Light Co.
JWBYHVQVMY66CVCOSO49
Wisconsin Power and Light Co.
976826BQ9
155000.00000000
PA
USD
138822.35000000
0.015602290969
Long
DBT
CORP
US
N
2
2032-09-01
Fixed
3.95000000
N
N
N
N
N
FHLMC
5493000KIGZAWUOW4E32
FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M1B
35564K2G3
653000.00000000
PA
USD
690389.67000000
0.077593129015
Long
ABS-MBS
CORP
US
Y
2
2043-06-25
Floating
8.68002120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABDR0
0.00150000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
198.00000000
NC
USD
-437575.45000000
-0.04917925313
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 10 Year Note
2024-06-18
21272625.00000000
USD
-437575.45000000
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
99.00000000
NC
USD
-14719.35000000
-0.00165431273
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 10 Year Ultra Note
2024-06-18
10911656.25000000
USD
-14719.35000000
N
N
N
Quanta Services, Inc.
SHVRXXEACT60MMH07S24
Quanta Services, Inc.
74762EAH5
505000.00000000
PA
USD
398444.95000000
0.044781362981
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.35000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
4850000.00000000
PA
33703.60000000
0.003787959027
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2027-10-20
0.00000000
USD
14148.80000000
USD
4850000.00000000
EUR
33703.60000000
N
N
N
Nasdaq, Inc.
549300L8X1Q78ERXFD06
Nasdaq, Inc.
631103AG3
200000.00000000
PA
USD
193054.22000000
0.021697429220
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
3.85000000
N
N
N
N
N
N/A
N/A
IRS
N/A
1270000.00000000
PA
-18854.80000000
-0.00211909736
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-06-19
3841.61000000
USD
0.00000000
USD
1270000.00000000
NZD
-18854.80000000
N
N
N
N/A
N/A
Euro-Bobl
N/A
-61.00000000
NC
95578.48000000
0.010742097763
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
Euro-Bobl
2024-06-06
-7102230.00000000
EUR
95578.48000000
N
N
N
University of California
N/A
University of California, Series BG
91412HGG2
200000.00000000
PA
USD
164423.48000000
0.018479610647
Long
DBT
MUN
US
N
2
2030-05-15
Fixed
1.61400000
N
N
N
N
N
N
One New York Plaza Trust
N/A
One New York Plaza Trust, Series 2020-1NYP, Class A
68249DAA7
1300000.00000000
PA
USD
1257750.00000000
0.141358948808
Long
ABS-MBS
CORP
US
Y
2
2036-01-15
Floating
6.38547840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABJ94
629771.72940000
PA
USD
510640.32000000
0.057391038644
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Veralto Corp.
635400FJE6GSOJUSNY27
Veralto Corp.
92338CAE3
2550000.00000000
PA
USD
2501205.80000000
0.281111367634
Long
DBT
CORP
US
Y
2
2033-09-18
Fixed
5.45000000
N
N
N
N
N
N
Cigna Group (The)
549300VIWYMSIGT1U456
Cigna Group (The)
125523CU2
540000.00000000
PA
USD
525843.60000000
0.059099740436
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
5.12500000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607HVE9
850000.00000000
PA
USD
778444.08000000
0.087489594001
Long
DBT
CORP
CA
N
2
2026-06-22
Fixed
1.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Multifamily Structured Pass-Through Certificates, Series KF153, Class AS
3137H9Y94
736335.04000000
PA
USD
737622.89000000
0.082901686621
Long
ABS-MBS
USGSE
US
N
2
2033-02-25
Floating
6.00239880
N
N
N
N
N
N
Cintas Corp. No. 2
549300QVUQTTKMTE0G41
Cintas Corp. No. 2
17252MAN0
4000.00000000
PA
USD
3845.92000000
0.000432244252
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QMHX5
1925505.90140000
PA
USD
1552113.14000000
0.174442521886
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Carrier Global Corp.
549300JE3W6CWY2NAN77
Carrier Global Corp.
14448CBC7
3075000.00000000
PA
USD
3141675.81000000
0.353094009142
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.90000000
N
N
N
N
N
N
Thomson Reuters Corp.
549300561UZND4C7B569
Thomson Reuters Corp.
884903BV6
100000.00000000
PA
USD
95617.49000000
0.010746482110
Long
DBT
CORP
CA
N
2
2026-05-15
Fixed
3.35000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
11930000.00000000
PA
USD
-81495.67000000
-0.00915932597
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-04-13
3681.51000000
USD
0.00000000
USD
11930000.00000000
USD
-81495.67000000
N
N
N
Province of Ontario Canada
C7PVKCRGLG18EBQGZV36
Province of Ontario
683234AS7
50000.00000000
PA
USD
46230.43000000
0.005195853697
Long
DBT
NUSS
CA
N
2
2026-01-21
Fixed
0.62500000
N
N
N
N
N
N
Laboratory Corp. of America Holdings
OZ7UA8IXAIFILY2VZH07
Laboratory Corp. of America Holdings
50540RAX0
1846000.00000000
PA
USD
1698848.42000000
0.190934149740
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
1.55000000
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBR5
970000.00000000
PA
USD
852635.73000000
0.095828018691
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DVMC6
3578771.09560000
PA
USD
3008836.59000000
0.338164164181
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
3.00000000
N
N
N
N
N
N
American Express Credit Account Master Trust
549300Y4SA5G3GIJTP18
American Express Credit Account Master Trust, Series 2022-2, Class A
02582JJT8
2650000.00000000
PA
USD
2592921.65000000
0.291419343102
Long
ABS-O
CORP
US
N
2
2027-05-15
Fixed
3.39000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QN1
6830000.00000000
PA
USD
6772638.65000000
0.761179153429
Long
DBT
UST
US
N
2
2041-02-15
Fixed
4.75000000
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XJZF3
0.00260000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAR2
370000.00000000
PA
USD
348914.07000000
0.039214570590
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PEW8
1046000.00000000
PA
USD
951599.25000000
0.106950562247
Long
DBT
CORP
US
N
2
2053-04-15
Fixed
5.05000000
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
European Investment Bank
298785JB3
1000000.00000000
PA
USD
968085.63000000
0.108803472083
Long
DBT
NUSS
US
N
2
2025-03-14
Fixed
1.62500000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CU7
200000.00000000
PA
USD
194071.87000000
0.021811803249
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.04000000
N
N
N
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BN8
1658000.00000000
PA
USD
1593090.00000000
0.179047925070
Long
DBT
CORP
US
N
2
2029-05-23
Fixed
4.60000000
N
N
N
N
N
Hayfin US XII Ltd.
549300ROX4COSD406L14
Hayfin US XII Ltd., Series 2018-8A, Class A
42086PAC7
1245448.95280000
PA
USD
1247155.22000000
0.140168197893
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Floating
6.70617000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179WXJ2
0.00300000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
2.50000000
N
N
N
N
N
N
Republic Services, Inc.
NKNQHM6BLECKVOQP7O46
Republic Services, Inc.
760759AT7
2980000.00000000
PA
USD
2833275.77000000
0.318432824116
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.95000000
N
N
N
N
N
N
Southern Copper Corp.
2549007U6NAP46Q9TU15
Southern Copper Corp.
84265VAH8
185000.00000000
PA
USD
181474.84000000
0.020396018777
Long
DBT
CORP
US
N
2
2025-04-23
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEF8
1975000.00000000
PA
USD
1523527.03000000
0.171229719294
Long
DBT
CORP
US
N
2
2036-09-16
Variable
2.48400000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M2
20754GAE0
1600000.00000000
PA
USD
1601692.16000000
0.180014724748
Long
ABS-MBS
CORP
US
Y
2
2044-02-25
Floating
7.13001960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810PU6
1000000.00000000
PA
USD
1036601.56000000
0.116504000679
Long
DBT
UST
US
N
2
2037-05-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
18260000.00000000
PA
-4988.23000000
-0.00056062886
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-04-22
32340.61000000
USD
0.00000000
USD
18260000.00000000
EUR
-4988.23000000
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAX8
300000.00000000
PA
USD
279018.31000000
0.031358962432
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
10210000.00000000
PA
31941.27000000
0.003589890161
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2047-08-11
0.00000000
USD
355392.92000000
USD
10210000.00000000
EUR
31941.27000000
N
N
N
Consumers Energy Co.
7NKTFWJ1G6MELP9TU740
Consumers Energy Co.
210518DC7
100000.00000000
PA
USD
93875.57000000
0.010550707131
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.80000000
N
N
N
N
N
N
BMO Mortgage Trust
N/A
BMO Mortgage Trust, Series 2024-5C4, Class A3
09660SAU4
1900000.00000000
PA
USD
1957401.85000000
0.219993057374
Long
ABS-MBS
CORP
US
N
2
2057-05-15
Fixed
6.52620000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140MGNT4
0.00090000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
AGCO Corp.
LYOM0B2GCF1JWXK5ZG04
AGCO Corp.
001084AS1
572000.00000000
PA
USD
559671.37000000
0.062901654972
Long
DBT
CORP
US
N
2
2034-03-21
Fixed
5.80000000
N
N
N
N
N
N
Cintas Corp. No. 2
549300QVUQTTKMTE0G41
Cintas Corp. No. 2
17252MAP5
565000.00000000
PA
USD
553016.30000000
0.062153689399
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
3.45000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F012650
1000000.00000000
PA
USD
716415.40000000
0.080518169631
Long
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
1.50000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661EJ2
975000.00000000
PA
USD
753705.51000000
0.084709217734
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.25000000
N
N
N
N
N
N
Blackstone Private Credit Fund
549300ORP3TTCNXSYO43
Blackstone Private Credit Fund
09261HAP2
130000.00000000
PA
USD
126805.88000000
0.014251755833
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.70000000
N
N
N
N
N
N
Republic of Chile
549300FLZTJM5YJF8D34
Republic of Chile
168863DU9
860000.00000000
PA
USD
503766.23000000
0.056618457339
Long
DBT
NUSS
CL
N
2
2071-09-21
Fixed
3.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBN9
1000000.00000000
PA
USD
957982.77000000
0.107668008224
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBR0
210000.00000000
PA
USD
190846.48000000
0.021449300573
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
1.45000000
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RKG6
2300000.00000000
PA
USD
2009823.56000000
0.225884751129
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XS80
5437243.44000000
PA
USD
4647660.11000000
0.522352095066
Long
ABS-MBS
USGA
US
N
2
2053-02-20
Fixed
3.00000000
N
N
N
N
N
N
Halseypoint CLO 7 Ltd.
5493000LI3XMVBCJEF82
Halseypoint CLO 7 Ltd., Series 2023-7A, Class A
40638LAA7
2100000.00000000
PA
USD
2124112.20000000
0.238729690116
Long
ABS-CBDO
CORP
JE
Y
2
2036-07-20
Floating
7.57455840
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4
61765TAE3
535000.00000000
PA
USD
520069.76000000
0.058450816601
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.37200000
N
N
N
N
N
N
OCP CLO Ltd.
254900QIJ8IQOK988683
OCP CLO Ltd., Series 2016-11A, Class A1R2
67110DBA4
3125000.00000000
PA
USD
3126681.25000000
0.351408765462
Long
ABS-CBDO
CORP
KY
Y
2
2036-04-26
Floating
6.74118000
N
N
N
N
N
N
American Water Capital Corp.
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp., Class C
03040WAQ8
100000.00000000
PA
USD
92349.70000000
0.010379214084
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
2.95000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Long Bond
N/A
-83.00000000
NC
USD
624406.76000000
0.070177287396
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury Long Bond
2024-06-18
-9446437.50000000
USD
624406.76000000
N
N
N
Carlisle Cos., Inc.
XR64VGX1ZPX6G7ZN7Z11
Carlisle Cos., Inc.
142339AJ9
371000.00000000
PA
USD
319678.44000000
0.035928768225
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9796.93000000
-0.00110108028
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
230611.16000000
USD
2427948.29000000
SEK
2024-06-20
-9796.93000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H052652
16000000.00000000
PA
USD
15685173.60000000
1.762861977323
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
5.50000000
N
N
N
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Nomura Holdings, Inc.
65535HBE8
320000.00000000
PA
USD
316663.17000000
0.035589881007
Long
DBT
CORP
JP
N
2
2025-07-03
Fixed
5.09900000
N
N
N
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VAZ4
100000.00000000
PA
USD
92667.22000000
0.010414900264
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABKS0
0.00160000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
ONEOK, Inc.
2T3D6M0JSY48PSZI1Q41
ONEOK, Inc.
682680BA0
1000000.00000000
PA
USD
952553.71000000
0.107057834330
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
2.20000000
N
N
N
N
N
N
Martin Marietta Materials, Inc.
5299005MZ4WZECVATV08
Martin Marietta Materials, Inc.
573284AT3
300000.00000000
PA
USD
280832.93000000
0.031562908189
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.50000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAY4
2725000.00000000
PA
USD
2420103.95000000
0.271996303223
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CKP5
7750000.00000000
PA
USD
7720332.07000000
0.867690738119
Long
DBT
UST
US
N
2
2029-04-30
Fixed
4.62500000
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418D4X7
987543.85000000
PA
USD
748838.62000000
0.084162226317
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
AMMC CLO XI Ltd.
5493004OOK6VXHQ8DQ60
AMMC CLO XI Ltd., Series 2012-11A, Class A1R2
00176AAX3
1841394.82980000
PA
USD
1844703.82000000
0.207326887583
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-30
Floating
6.58904040
N
N
N
N
N
N
Republic of Poland
259400R9L8QEP0TPXS31
Republic of Poland
731011AY8
780000.00000000
PA
USD
748449.00000000
0.084118436793
Long
DBT
NUSS
PL
N
2
2034-09-18
Fixed
5.12500000
N
N
N
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DCE3
115000.00000000
PA
USD
108278.74000000
0.012169484289
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.12500000
N
N
N
N
N
N
Province of Ontario Canada
C7PVKCRGLG18EBQGZV36
Province of Ontario
68323AFG4
25000.00000000
PA
USD
21473.41000000
0.002413403828
Long
DBT
NUSS
CA
N
2
2029-10-02
Fixed
2.00000000
N
N
N
N
N
N
Barclays Dryrock Issuance Trust
213800R4G3N2G68CHU37
Barclays Dryrock Issuance Trust, Series 2023-1, Class A
06742LAX1
4400000.00000000
PA
USD
4339817.68000000
0.487753580016
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
4.72000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
11820000.00000000
PA
USD
20881.73000000
0.002346904712
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-04-16
5754.98000000
USD
0.00000000
USD
11820000.00000000
USD
20881.73000000
N
N
N
British Telecommunications plc
549300OWFMSO9NYV4H90
British Telecommunications plc
111021AE1
1470000.00000000
PA
USD
1757199.32000000
0.197492227169
Long
DBT
CORP
GB
N
2
2030-12-15
Fixed
9.62499960
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCN3
1425000.00000000
PA
USD
1366107.07000000
0.153537236633
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
4.65000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWCZ4
696751.62450000
PA
USD
526824.01000000
0.059209929048
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
LPL Holdings, Inc.
549300Z5YF8CCRMYUL26
LPL Holdings, Inc.
50212YAD6
1740000.00000000
PA
USD
1577761.44000000
0.177325143016
Long
DBT
CORP
US
Y
2
2029-03-15
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KKNB1
1418050.82000000
PA
USD
1129090.45000000
0.126898858375
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TK4
12050000.00000000
PA
USD
9830634.74000000
1.104868370478
Long
DBT
UST
US
N
2
2042-08-15
Fixed
3.37500000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
4380000.00000000
PA
23313.24000000
0.002620182945
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-11-10
0.00000000
USD
178278.86000000
USD
4380000.00000000
EUR
23313.24000000
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
53944YAT0
730000.00000000
PA
USD
718517.39000000
0.080754413000
Long
DBT
CORP
GB
N
2
2026-08-11
Variable
4.71600000
N
N
N
N
N
N
Conoco Funding Co.
XX71EBFZWSRCIL200314
Conoco Funding Co.
20825UAC8
134000.00000000
PA
USD
148823.10000000
0.016726278651
Long
DBT
CORP
CA
N
2
2031-10-15
Fixed
7.25000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
19120000.00000000
PA
27546.61000000
0.003095972834
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-19
6373.63000000
USD
0.00000000
USD
19120000.00000000
CHF
27546.61000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABGK2
874199.96870000
PA
USD
708836.77000000
0.079666404837
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
LCM 39 Ltd.
N/A
LCM 39 Ltd., Series 39A, Class A1
50204NAA6
745000.00000000
PA
USD
747176.89000000
0.083975463919
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-15
Floating
7.28856000
N
N
N
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BE2
200000.00000000
PA
USD
172220.64000000
0.019355936103
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
Bunge Ltd. Finance Corp.
549300QHC068L40NNM71
Bunge Ltd. Finance Corp.
120568BB5
1300000.00000000
PA
USD
1234579.15000000
0.138754769123
Long
DBT
CORP
US
N
2
2025-08-17
Fixed
1.63000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78016EYV3
500000.00000000
PA
USD
458942.76000000
0.051580732352
Long
DBT
CORP
CA
N
2
2027-01-21
Fixed
2.05000000
N
N
N
N
N
N
Enstar Group Ltd.
213800AMAL5QFXVUCN04
Enstar Group Ltd.
29359UAC3
745000.00000000
PA
USD
594598.60000000
0.066827138190
Long
DBT
CORP
BM
N
2
2031-09-01
Fixed
3.10000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWBN2
4394564.19000000
PA
USD
3163121.04000000
0.355504245811
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
45100000.00000000
PA
221712.94000000
0.024918392475
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-19
0.00000000
USD
60337.42000000
USD
45100000.00000000
AUD
221712.94000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140X5TV5
751970.68600000
PA
USD
635586.44000000
0.071433775420
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
11070000.00000000
PA
USD
21765.43000000
0.002446224054
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-20
164363.31000000
USD
0.00000000
USD
11070000.00000000
USD
21765.43000000
N
N
N
National Fuel Gas Co.
8JB38FFW1Y3C1HM8E841
National Fuel Gas Co.
636180BQ3
740000.00000000
PA
USD
734466.72000000
0.082546963605
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QQUM5
12669071.48440000
PA
USD
12431943.21000000
1.397230311123
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAK1
250000.00000000
PA
USD
237323.73000000
0.026672894454
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
4.50000000
N
N
N
N
N
Campbell Soup Co.
5493007JDSMX8Z5Z1902
Campbell Soup Co.
134429BP3
1802000.00000000
PA
USD
1757951.26000000
0.197576737961
Long
DBT
CORP
US
N
2
2034-03-21
Fixed
5.40000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613BE7
370000.00000000
PA
USD
406070.19000000
0.045638366289
Long
DBT
CORP
CH
Y
2
2033-11-13
Variable
9.25000000
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140M9CJ4
0.01990000
PA
USD
0.02000000
0.000000002247
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Choice Hotels International, Inc.
5493003CYRY5RFGTIR97
Choice Hotels International, Inc.
169905AF3
465000.00000000
PA
USD
410018.94000000
0.046082167640
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.70000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWDQ3
0.00250000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418D3G5
6676941.29000000
PA
USD
5068412.98000000
0.569640652738
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TD0
4180000.00000000
PA
USD
2548983.60000000
0.286481130770
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp.
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp.
63743HEW8
100000.00000000
PA
USD
91236.20000000
0.010254067442
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
1.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F040651
-6000000.00000000
PA
USD
-5365949.22000000
-0.60308085160
Short
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
200000.00000000
PA
USD
196184.37000000
0.022049227840
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TM0
7040000.00000000
PA
USD
6272474.98000000
0.704965589029
Long
DBT
UST
US
N
2
2042-11-15
Fixed
4.00000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2
20754EAB1
400000.00000000
PA
USD
414014.92000000
0.046531277187
Long
ABS-MBS
CORP
US
Y
2
2043-07-25
Floating
8.03001960
N
N
N
N
N
N
Marriott International, Inc.
225YDZ14ZO8E1TXUSU86
Marriott International, Inc., Series HH
571903BG7
2400000.00000000
PA
USD
2013078.74000000
0.226250601912
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.85000000
N
N
N
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BL2
1190000.00000000
PA
USD
1154131.63000000
0.129713245083
Long
DBT
CORP
US
N
2
2028-02-23
Fixed
4.60000000
N
N
N
N
N
N
Edwards Lifesciences Corp.
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp.
28176EAD0
850000.00000000
PA
USD
815770.91000000
0.091684769076
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.30000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBQ2
600000.00000000
PA
USD
505545.10000000
0.056818385141
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.65000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAV1
742000.00000000
PA
USD
667906.93000000
0.075066286246
Long
DBT
CORP
US
N
2
2036-05-14
Fixed
4.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179TAJ4
402250.89800000
PA
USD
346770.69000000
0.038973675385
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
3.00000000
N
N
N
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The)
808513BY0
205000.00000000
PA
USD
188829.90000000
0.021222656464
Long
DBT
CORP
US
N
2
2027-03-03
Fixed
2.45000000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CW6
100000.00000000
PA
USD
84429.79000000
0.009489092715
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CB9
450000.00000000
PA
USD
295937.77000000
0.033260546277
Long
DBT
CORP
US
N
2
2048-11-01
Fixed
3.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QNQJ4
1711436.46080000
PA
USD
1301408.32000000
0.146265722191
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
7320000.00000000
PA
-92821.46000000
-0.01043223535
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-04-12
0.00000000
USD
2789.58000000
USD
7320000.00000000
EUR
-92821.46000000
N
N
N
N/A
N/A
IRS
N/A
13200000.00000000
PA
161712.21000000
0.018174890093
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-01-19
12867.41000000
USD
0.00000000
USD
13200000.00000000
EUR
161712.21000000
N
N
N
Quanta Services, Inc.
SHVRXXEACT60MMH07S24
Quanta Services, Inc.
74762EAF9
100000.00000000
PA
USD
85521.01000000
0.009611735300
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.90000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2022-BNK40, Class A4
06541LBG0
2380000.00000000
PA
USD
2064746.15000000
0.232057519634
Long
ABS-MBS
CORP
US
N
2
2064-03-15
Variable
3.50655120
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCK9
3425000.00000000
PA
USD
3718476.61000000
0.417920846558
Long
DBT
CORP
US
N
2
2052-11-09
Fixed
6.90000000
N
N
N
N
N
N
Marsh & McLennan Cos., Inc.
549300XMP3KDCKJXIU47
Marsh & McLennan Cos., Inc.
571748BN1
2700000.00000000
PA
USD
2244042.23000000
0.252208666837
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.25000000
N
N
N
N
N
N
Saudi Arabian Oil Co.
5586006WD91QHB7J4X50
Saudi Arabian Oil Co.
N/A
2370000.00000000
PA
USD
2175091.20000000
0.244459237205
Long
DBT
NUSS
SA
Y
2
2029-04-16
Fixed
3.50000000
N
N
N
N
N
N
Public Storage Operating Co.
549300LMZF40TKJ6DM64
Public Storage Operating Co.
74460DAD1
550000.00000000
PA
USD
503423.62000000
0.056579951284
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
3.38500000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DPH92
886089.81000000
PA
USD
888739.40000000
0.099885722400
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
Entergy Texas, Inc.
LWXX58X12AJXISQ28573
Entergy Texas, Inc.
29365TAG9
100000.00000000
PA
USD
94107.01000000
0.010576718751
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XCXH6
821375.48710000
PA
USD
662343.99000000
0.074441065534
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
13150000.00000000
PA
60462.51000000
0.006795401992
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-19
0.00000000
USD
33440.00000000
USD
13150000.00000000
EUR
60462.51000000
N
N
N
OBX Trust
254900LSNFNEGAD7J679
OBX Trust, Series 2024-NQM4, Class A1
67118TAA2
2021493.40000000
PA
USD
2010567.43000000
0.225968354930
Long
ABS-MBS
CORP
US
Y
2
2064-01-25
Variable
6.06700080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810TY4
600000.00000000
PA
USD
569492.90000000
0.064005500058
Long
DBT
UST
US
N
2
2054-02-15
Fixed
2.12500000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
3280000.00000000
PA
USD
42163.67000000
0.004738789162
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2054-04-11
0.00000000
USD
4807.81000000
USD
3280000.00000000
USD
42163.67000000
N
N
N
N/A
N/A
IRS
N/A
2990000.00000000
PA
92815.97000000
0.010431618327
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2054-06-19
0.00000000
USD
236500.96000000
USD
2990000.00000000
EUR
92815.97000000
N
N
N
Coca-Cola Femsa SAB de CV
5493008KEVFYPMGTXO33
Coca-Cola Femsa SAB de CV
191241AH1
1852000.00000000
PA
USD
1601446.62000000
0.179987128424
Long
DBT
CORP
MX
N
2
2030-01-22
Fixed
2.75000000
N
N
N
N
N
Huntington Ingalls Industries, Inc.
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries, Inc.
446413AL0
500000.00000000
PA
USD
464231.99000000
0.052175190705
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.48300000
N
N
N
N
N
N
Duke Energy Corp.
I1BZKREC126H0VB1BL91
Duke Energy Corp.
26441CBS3
90000.00000000
PA
USD
86416.93000000
0.009712428053
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.30000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCC7
1250000.00000000
PA
USD
1161286.93000000
0.130517431675
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65000000
N
N
N
N
N
N
MSWF Commercial Mortgage Trust
N/A
MSWF Commercial Mortgage Trust, Series 2023-2, Class A2
55361AAR5
2050000.00000000
PA
USD
2119738.13000000
0.238238086906
Long
ABS-MBS
CORP
US
N
2
2056-12-15
Fixed
6.89000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
341910000.00000000
PA
-222431.32000000
-0.02499913144
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-19
200380.35000000
USD
0.00000000
USD
341910000.00000000
SEK
-222431.32000000
N
N
N
Sempra
PBBKGKLRK5S5C0Y4T545
Sempra
816851BA6
100000.00000000
PA
USD
93182.57000000
0.010472820626
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.25000000
N
N
N
N
N
N
Palmer Square CLO Ltd.
549300Y43K78UTRMTN21
Palmer Square CLO Ltd., Series 2019-1A, Class A1R
69700GAJ1
4000000.00000000
PA
USD
3999948.00000000
0.449555511484
Long
ABS-CBDO
CORP
KY
Y
2
2034-11-14
Floating
6.71814000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140Q9W90
831516.38000000
PA
USD
756444.39000000
0.085017041385
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
GE Capital International Funding Co. Unlimited Co.
549300G6UZOB126GBY72
GE Capital International Funding Co. Unlimited Co.
36164QNA2
1025000.00000000
PA
USD
926484.76000000
0.104127936204
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.41800000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAP5
2330000.00000000
PA
USD
1380086.66000000
0.155108407491
Long
DBT
NUSS
MX
N
2
2071-04-19
Fixed
3.75000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650CY4
3950000.00000000
PA
USD
3477912.04000000
0.390883712998
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.78000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10002.29000000
-0.00112416076
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
946606.21000000
USD
749308.13000000
GBP
2024-07-02
-10002.29000000
N
N
N
BX Trust
N/A
BX Trust, Series 2024-PAT, Class B
05612FAC9
225000.00000000
PA
USD
224859.38000000
0.025272021933
Long
ABS-MBS
CORP
US
Y
2
2041-03-15
Floating
8.35998120
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBR0
2080000.00000000
PA
USD
1938251.18000000
0.217840707081
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.75000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PDC7
5075000.00000000
PA
USD
4722887.31000000
0.530806905572
Long
DBT
CORP
US
N
2
2033-04-26
Variable
4.58600000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAN2
365000.00000000
PA
USD
356645.66000000
0.040083526610
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.30000000
N
N
N
N
N
N
Asian Development Bank
549300X0MVH42CY8Q105
Asian Development Bank
045167EU3
1000000.00000000
PA
USD
954421.14000000
0.107267715421
Long
DBT
NUSS
US
N
2
2025-04-29
Fixed
0.62500000
N
N
N
N
N
N
ONE Gas, Inc.
549300HXDWI0LATTX840
ONE Gas, Inc.
68235PAM0
195000.00000000
PA
USD
180124.89000000
0.020244297439
Long
DBT
CORP
US
N
2
2032-09-01
Fixed
4.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XDE3
250884.19890000
PA
USD
233988.21000000
0.026298014231
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
4.50000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBD4
927000.00000000
PA
USD
899643.38000000
0.101111224408
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H040657
6000000.00000000
PA
USD
5436730.50000000
0.611035983650
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
4.00000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust, Series 2023-B, Class A2A
98164QAB4
0.01800000
PA
USD
0.02000000
0.000000002247
Long
ABS-O
CORP
US
N
2
2026-11-16
Fixed
5.25000000
N
N
N
N
N
N
Cabot Corp.
K05C0SER542GQ6VLRO68
Cabot Corp.
127055AL5
720000.00000000
PA
USD
667291.54000000
0.074997122356
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.00000000
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179Q3H2
432670.68250000
PA
USD
374231.26000000
0.042059978155
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
3.00000000
N
N
N
N
N
N
FS KKR Capital Corp.
549300TYRSI1T21B1360
FS KKR Capital Corp.
302635AG2
200000.00000000
PA
USD
189089.30000000
0.021251810517
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.40000000
N
N
N
N
N
N
Province of Quebec Canada
549300WN65YFEQH74Y36
Province of Quebec
748149AJ0
50000.00000000
PA
USD
47490.45000000
0.005337467772
Long
DBT
NUSS
CA
N
2
2026-04-20
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
12350000.00000000
PA
29920.92000000
0.003362822340
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-06-19
0.00000000
USD
27182.09000000
USD
12350000.00000000
NOK
29920.92000000
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc., Series C
25746UDG1
100000.00000000
PA
USD
88578.88000000
0.009955410346
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.37500000
N
N
N
N
N
N
Virginia Electric and Power Co.
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co., Series B
927804GH1
185000.00000000
PA
USD
176369.52000000
0.019822230132
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.75000000
N
N
N
N
N
N
Public Storage Operating Co.
549300LMZF40TKJ6DM64
Public Storage Operating Co.
74460WAD9
1910000.00000000
PA
USD
1672644.64000000
0.187989098025
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
1.85000000
N
N
N
N
N
N
Ameren Corp.
XRZQ5S7HYJFPHJ78L959
Ameren Corp.
023608AJ1
200000.00000000
PA
USD
176168.49000000
0.019799636302
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.50000000
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140MMVR6
0.00520000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
2.00000000
N
N
N
N
N
N
Solventum Corp.
254900I70403OSGY4M28
Solventum Corp.
83444MAC5
1875000.00000000
PA
USD
1839529.91000000
0.206745390085
Long
DBT
CORP
US
Y
2
2029-03-01
Fixed
5.40000000
N
N
N
N
N
BANK
N/A
BANK, Series 2020-BN27, Class A5
06539XAH7
796000.00000000
PA
USD
638503.92000000
0.071761671986
Long
ABS-MBS
CORP
US
N
2
2063-04-15
Fixed
2.14400000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2023-R08, Class 1M2
20755CAB4
760000.00000000
PA
USD
780206.96000000
0.087687724682
Long
ABS-MBS
CORP
US
Y
2
2043-10-25
Floating
7.83002160
N
N
N
N
N
N
N/A
N/A
IRS
N/A
8110000.00000000
PA
58195.40000000
0.006540600731
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-11-10
40791.04000000
USD
0.00000000
USD
8110000.00000000
EUR
58195.40000000
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBG6
1890000.00000000
PA
USD
1827818.43000000
0.205429132878
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418D3J9
3530374.85000000
PA
USD
2930249.85000000
0.329331773836
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABJH6
1093705.46370000
PA
USD
890172.15000000
0.100046749658
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
Kyndryl Holdings, Inc.
549300LQ4LWX2R8ZV130
Kyndryl Holdings, Inc.
50155QAK6
40000.00000000
PA
USD
34895.37000000
0.003921902461
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
2.70000000
N
N
N
N
N
N
WEC Energy Group, Inc.
549300IGLYTZUK3PVP70
WEC Energy Group, Inc.
92939UAJ5
180000.00000000
PA
USD
178085.80000000
0.020015123423
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
5.15000000
N
N
N
N
N
Golub Capital BDC, Inc.
2549005WE0QLGK9APF78
Golub Capital BDC, Inc.
38173MAB8
163000.00000000
PA
USD
149208.95000000
0.016769644464
Long
DBT
CORP
US
N
2
2026-08-24
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2021-135, Class A
38382XAA3
7436052.76000000
PA
USD
5837987.76000000
0.656133423106
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.00000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2022-BNK43, Class A5
06541QAZ8
1250000.00000000
PA
USD
1147235.50000000
0.128938186695
Long
ABS-MBS
CORP
US
N
2
2055-08-15
Fixed
4.39900000
N
N
N
N
N
N
Hungary
5299003F3UFKGCCMAP43
Hungary Government Bond
N/A
940000.00000000
PA
USD
949249.60000000
0.106686484287
Long
DBT
NUSS
HU
Y
2
2028-05-22
Fixed
6.12500000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
6880000.00000000
PA
80227.63000000
0.009016810528
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2037-08-09
0.00000000
USD
272850.44000000
USD
6880000.00000000
EUR
80227.63000000
N
N
N
Analog Devices, Inc.
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654AV7
105000.00000000
PA
USD
84917.32000000
0.009543886377
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
2.10000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467X1
300000.00000000
PA
USD
296875.07000000
0.033365889741
Long
DBT
CORP
US
N
2
2025-11-24
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XB5T3
3674123.45000000
PA
USD
3087149.38000000
0.346965765193
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
3.00000000
N
N
N
N
N
N
Galaxy Pipeline Assets Bidco Ltd.
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd.
N/A
2770000.00000000
PA
USD
2172728.17000000
0.244193655462
Long
DBT
CORP
JE
Y
2
2036-03-31
Fixed
2.62500000
N
N
N
N
N
N
Southern Co. Gas Capital Corp.
E8CD46SWUD2TSN8PA636
Southern Co. Gas Capital Corp., Series 20-A
8426EPAD0
100000.00000000
PA
USD
79341.34000000
0.008917200094
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.75000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2024-XL5, Class A
05612GAA1
1498228.19000000
PA
USD
1494481.12000000
0.167965239624
Long
ABS-MBS
CORP
US
Y
2
2041-03-15
Floating
6.71262840
N
N
N
N
N
N
Columbia Pipelines Operating Co. LLC
N/A
Columbia Pipelines Operating Co. LLC
19828TAB2
975000.00000000
PA
USD
978102.48000000
0.109929269250
Long
DBT
CORP
US
Y
2
2033-11-15
Fixed
6.03600000
N
N
N
N
N
N
Indiana Michigan Power Co.
JHR9V15J0ZRG02MIRD06
Indiana Michigan Power Co.
454889AS5
200000.00000000
PA
USD
187968.49000000
0.021125842302
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.85000000
N
N
N
N
N
N
ONEOK, Inc.
2T3D6M0JSY48PSZI1Q41
ONEOK, Inc.
682680AS2
800000.00000000
PA
USD
762642.65000000
0.085713665927
Long
DBT
CORP
US
N
2
2027-07-13
Fixed
4.00000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJM3
1025000.00000000
PA
USD
1027027.69000000
0.115427990185
Long
DBT
CORP
US
N
2
2029-06-12
Variable
5.77500000
N
N
N
N
N
N
American Electric Power Co., Inc.
1B4S6S7G0TW5EE83BO58
American Electric Power Co., Inc.
025537AN1
100000.00000000
PA
USD
83020.88000000
0.009330744842
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.30000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
1000000.00000000
PA
USD
955974.68000000
0.107442318308
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
59022CAJ2
3050000.00000000
PA
USD
3102509.50000000
0.348692094286
Long
DBT
CORP
US
N
2
2037-01-29
Fixed
6.11000000
N
N
N
N
N
N
Bank of America Merrill Lynch Commercial Mortgage Trust
N/A
Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2016-UB10, Class A4
06054MAE3
735000.00000000
PA
USD
694075.71000000
0.078007404300
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Fixed
3.17000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAV7
2400000.00000000
PA
USD
2439304.32000000
0.274154239316
Long
DBT
CORP
ES
N
2
2033-08-08
Fixed
6.92100000
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JCF9
125000.00000000
PA
USD
114273.88000000
0.012843280105
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.15000000
N
N
N
N
N
Southwestern Electric Power Co.
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co., Series N
845437BS0
250000.00000000
PA
USD
232557.25000000
0.026137188151
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.65000000
N
N
N
N
N
N/A
N/A
OIS
N/A
240000.00000000
PA
-8868.88000000
-0.00099677642
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-06-19
1528.72000000
USD
0.00000000
USD
240000.00000000
GBP
-8868.88000000
N
N
N
Province of Ontario Canada
C7PVKCRGLG18EBQGZV36
Province of Ontario
683234AQ1
25000.00000000
PA
USD
22195.37000000
0.002494545157
Long
DBT
NUSS
CA
N
2
2027-05-21
Fixed
1.05000000
N
N
N
N
N
N
Park Blue CLO 2022-II Ltd.
N/A
Park Blue CLO 2022-II Ltd., Series 2022-2A, Class A1
70018CAA4
1500000.00000000
PA
USD
1504560.00000000
0.169098008363
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-20
Floating
7.87456080
N
N
N
N
N
N
MSCI, Inc.
549300HTIN2PD78UB763
MSCI, Inc.
55354GAH3
1180000.00000000
PA
USD
1066319.86000000
0.119844050489
Long
DBT
CORP
US
Y
2
2029-11-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
3920000.00000000
PA
USD
129916.81000000
0.014601394310
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-05-11
0.00000000
USD
11442.84000000
USD
3920000.00000000
USD
129916.81000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179RD63
314673.98950000
PA
USD
273037.92000000
0.030686824373
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.00000000
N
N
N
N
N
N
RTX Corp.
I07WOS4YJ0N7YRFE7309
RTX Corp.
75513ECW9
2670000.00000000
PA
USD
2760004.93000000
0.310197889573
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
6.10000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
15780000.00000000
PA
44373.95000000
0.004987203280
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-06-19
0.00000000
USD
31234.48000000
USD
15780000.00000000
SEK
44373.95000000
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967KA8
400000.00000000
PA
USD
384949.35000000
0.043264587923
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust, Series 2021-6, Class A1
03465JAA8
524822.62000000
PA
USD
418944.64000000
0.047085330089
Long
ABS-MBS
CORP
US
Y
2
2066-09-25
Variable
1.45800000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401BB3
975000.00000000
PA
USD
1152099.42000000
0.129484844312
Long
DBT
CORP
CH
Y
2
2033-11-15
Variable
9.01600000
N
N
N
N
N
N
CIFC Funding Ltd.
635400A7PBKNR7KBOY58
CIFC Funding Ltd., Series 2018-2A, Class A1
17180WAA3
1657548.43000000
PA
USD
1658377.20000000
0.186385575607
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Floating
6.62617080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418DC67
2751763.07200000
PA
USD
2404057.00000000
0.270192781074
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd.
N/A
Palmer Square Loan Funding Ltd., Series 2022-3A, Class A1BR
69690CAN3
2075000.00000000
PA
USD
2075203.35000000
0.233232807887
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Floating
6.72855840
N
N
N
N
N
N
FS KKR Capital Corp.
549300TYRSI1T21B1360
FS KKR Capital Corp.
302635AL1
1350000.00000000
PA
USD
1214447.45000000
0.136492160537
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.25000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2023-6, Class A2
80287DAB3
0.01550000
PA
USD
0.02000000
0.000000002247
Long
ABS-O
CORP
US
N
2
2027-05-17
Fixed
6.08000000
N
N
N
N
N
N
RTX Corp.
I07WOS4YJ0N7YRFE7309
RTX Corp.
913017DD8
800000.00000000
PA
USD
784301.07000000
0.088147863092
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
Sempra
PBBKGKLRK5S5C0Y4T545
Sempra
816851BP3
200000.00000000
PA
USD
183553.30000000
0.020629617601
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
M&T Bank Corp.
549300WYXDDBYRASEG81
M&T Bank Corp.
55261FAR5
1280000.00000000
PA
USD
1152145.48000000
0.129490021011
Long
DBT
CORP
US
N
2
2034-01-27
Variable
5.05300000
N
N
N
N
N
N
Logan CLO I Ltd.
N/A
Logan CLO I Ltd., Series 2021-1A, Class AR2
289913AE5
1750000.00000000
PA
USD
1750000.00000000
0.196683093154
Long
ABS-CBDO
CORP
KY
Y
2
2037-04-20
Floating
0.00000000
N
N
N
N
N
N
Bank of America Auto Trust
N/A
Bank of America Auto Trust, Series 2023-2A, Class A2
06054YAB3
1525000.00000000
PA
USD
1526405.29000000
0.171553207911
Long
ABS-O
CORP
US
Y
2
2026-08-17
Fixed
5.85000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAJ5
825000.00000000
PA
USD
961327.88000000
0.108043966270
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
8.10000000
N
N
N
N
N
N
Georgia Power Co.
D981X4Z4RWS7PDMJUZ03
Georgia Power Co.
373334KQ3
390000.00000000
PA
USD
369190.86000000
0.041493485890
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.70000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132E06J6
977938.45310000
PA
USD
998079.56000000
0.112174500042
Long
ABS-MBS
USGSE
US
N
2
2053-12-01
Fixed
6.50000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCB3
721000.00000000
PA
USD
589142.23000000
0.066213894916
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140J9VA6
901616.51500000
PA
USD
840196.29000000
0.094429945813
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
3.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122EH7
1375000.00000000
PA
USD
1346527.75000000
0.151336710222
Long
DBT
CORP
US
N
2
2034-02-22
Fixed
5.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XAH88
1160008.23000000
PA
USD
888061.48000000
0.099809530741
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
1308000.00000000
PA
USD
1265350.61000000
0.142213183942
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
Barings BDC, Inc.
549300GSF4KFZP6ONG49
Barings BDC, Inc.
06759LAC7
25000.00000000
PA
USD
22793.92000000
0.002561816394
Long
DBT
CORP
US
N
2
2026-11-23
Fixed
3.30000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2022-BNK39, Class A4
06539VAJ7
1900000.00000000
PA
USD
1577268.66000000
0.177269759305
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Variable
2.92799880
N
N
N
N
N
N
Province of Alberta Canada
LQPXMHHNJKIPJYE53543
Province of Alberta
013051EM5
60000.00000000
PA
USD
48195.87000000
0.005416750165
Long
DBT
NUSS
CA
N
2
2030-07-22
Fixed
1.30000000
N
N
N
N
N
N
J.P. Morgan Mortgage Trust
5299007DSRZLE19EYU93
J.P. Morgan Mortgage Trust, Series 2023-HE3, Class A1
465985AA7
798721.97000000
PA
USD
804715.90000000
0.090442292755
Long
ABS-O
CORP
US
Y
2
2054-05-25
Floating
6.93002160
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133AQNP8
0.00980000
PA
USD
0.01000000
0.000000001123
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
13330000.00000000
PA
-1788.98000000
-0.00020106406
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2044-01-25
0.00000000
USD
15079.43000000
USD
13330000.00000000
EUR
-1788.98000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RM2
11000000.00000000
PA
USD
8241406.25000000
0.926254441825
Long
DBT
UST
US
N
2
2045-05-15
Fixed
3.00000000
N
N
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The)
808513BV6
1000000.00000000
PA
USD
982320.07000000
0.110403285620
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.62500000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
825000.00000000
PA
USD
681985.71000000
0.076648605102
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KPJL3
94993.57670000
PA
USD
71949.31000000
0.008086407337
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc.
25746UCE7
100000.00000000
PA
USD
97537.39000000
0.010962260321
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.90000000
N
N
N
N
N
N
Province of Quebec Canada
549300WN65YFEQH74Y36
Province of Quebec
748148SC8
50000.00000000
PA
USD
47210.88000000
0.005306046805
Long
DBT
NUSS
CA
N
2
2025-07-23
Fixed
0.60000000
N
N
N
N
N
N
Ovintiv, Inc.
2549003MEX7YMKLGI239
Ovintiv, Inc.
651290AR9
40000.00000000
PA
USD
39669.88000000
0.004458511259
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
5.37500000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RHK1
1000000.00000000
PA
USD
890936.79000000
0.100132687807
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
4.85000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179YPK4
1978716.28110000
PA
USD
2015321.58000000
0.226502675460
Long
ABS-MBS
USGA
US
N
2
2054-01-20
Fixed
7.00000000
N
N
N
N
N
N
General Mills, Inc.
2TGYMUGI08PO8X8L6150
General Mills, Inc.
370334CG7
250000.00000000
PA
USD
239337.50000000
0.026899222747
Long
DBT
CORP
US
N
2
2028-04-17
Fixed
4.20000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KPYR3
1489642.32000000
PA
USD
1334701.48000000
0.150007551728
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.00000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGJ7
1525000.00000000
PA
USD
1265562.01000000
0.142236943260
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023BS3
2650000.00000000
PA
USD
1647980.46000000
0.185217082474
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
3.37500000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABT1
2064000.00000000
PA
USD
1754374.61000000
0.197174757055
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
Marriott International, Inc.
225YDZ14ZO8E1TXUSU86
Marriott International, Inc.
571903BP7
591000.00000000
PA
USD
573847.10000000
0.064494870071
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418EF39
2668748.14990000
PA
USD
2246372.88000000
0.252470609381
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
1.50000000
N
N
N
N
N
N
J.P. Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust, Series 2024-4, Class A5A
46657WAH1
950000.00000000
PA
USD
943459.44000000
0.106035726242
Long
ABS-MBS
CORP
US
Y
2
2054-10-25
Variable
6.00000120
N
N
N
N
N
N
N/A
N/A
IRS
N/A
7950000.00000000
PA
4737.53000000
0.000532452602
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2049-01-25
0.00000000
USD
1513.51000000
USD
7950000.00000000
EUR
4737.53000000
N
N
N
Xcel Energy, Inc.
LGJNMI9GH8XIDG5RCM61
Xcel Energy, Inc.
98389BAU4
2100000.00000000
PA
USD
1987063.51000000
0.223326741395
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.35000000
N
N
N
N
N
N
CenterPoint Energy, Inc.
21TPXMRRHFKOBHDC8J74
CenterPoint Energy, Inc.
15189TAX5
100000.00000000
PA
USD
86844.92000000
0.009760529994
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.95000000
N
N
N
N
N
N
Aflac, Inc.
549300N0B7DOGLXWPP39
Aflac, Inc.
001055BJ0
167000.00000000
PA
USD
151858.82000000
0.017067464251
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.60000000
N
N
N
N
N
N
Unilever Capital Corp.
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp.
904764AY3
450000.00000000
PA
USD
422020.31000000
0.047431005682
Long
DBT
CORP
US
N
2
2027-05-05
Fixed
2.90000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
6960000.00000000
PA
USD
-56291.11000000
-0.00632657693
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2038-05-10
0.00000000
USD
118278.21000000
USD
6960000.00000000
USD
-56291.11000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAR1
1470000.00000000
PA
USD
1176921.40000000
0.132274595058
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PES7
775000.00000000
PA
USD
789087.07000000
0.088685763254
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
5.87500000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
250000.00000000
PA
USD
244775.23000000
0.027510371065
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-23884.36000000
-0.00268437131
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
401791.54000000
USD
59148661.00000000
JPY
2024-06-20
-23884.36000000
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F022659
-4000000.00000000
PA
USD
-3164223.84000000
-0.35562818987
Short
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
2.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCD5
600000.00000000
PA
USD
533652.77000000
0.059977415699
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.30000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFL4
420000.00000000
PA
USD
408608.25000000
0.045923619713
Long
DBT
CORP
US
N
2
2035-01-18
Variable
5.46600000
N
N
N
N
N
N
HP, Inc.
WHKXQACZ14C5XRO8LW03
HP, Inc.
40434LAB1
35000.00000000
PA
USD
32557.97000000
0.003659201283
Long
DBT
CORP
US
N
2
2027-06-17
Fixed
3.00000000
N
N
N
N
N
N
RR 26 Ltd.
N/A
RR 26 Ltd., Series 2023-26A, Class A1
74989MAA9
2200000.00000000
PA
USD
2208131.20000000
0.248172614004
Long
ABS-CBDO
CORP
KY
Y
2
2038-04-15
Floating
7.10856000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KQK62
905102.49000000
PA
USD
907814.60000000
0.102029590593
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CET4
14190000.00000000
PA
USD
13286496.02000000
1.493273791086
Long
DBT
UST
US
N
2
2027-05-31
Fixed
2.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TV0
2480000.00000000
PA
USD
2467212.50000000
0.277290849125
Long
DBT
UST
US
N
2
2053-11-15
Fixed
4.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H060655
43000000.00000000
PA
USD
43108359.57000000
4.844963143457
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DVML6
9518215.46130000
PA
USD
8877513.44000000
0.997746744514
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
4.50000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AQ2
1235000.00000000
PA
USD
1144611.61000000
0.128643286808
Long
DBT
CORP
GB
N
2
2028-11-07
Variable
3.57400000
N
N
N
N
N
N
J M Smucker Co. (The)
5493000WDH6A0LHDJD55
J M Smucker Co. (The)
832696AX6
1680000.00000000
PA
USD
1735429.89000000
0.195045553553
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
6.20000000
N
N
N
N
N
Warnermedia Holdings, Inc.
549300DXR29GD4N0A520
Warnermedia Holdings, Inc.
55903VBG7
2900000.00000000
PA
USD
2900815.89000000
0.326023681095
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.41200000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BJ2
4400000.00000000
PA
USD
4026577.72000000
0.452548434741
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBT7
1375000.00000000
PA
USD
1289457.98000000
0.144922619428
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
4.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H032654
-2000000.00000000
PA
USD
-1761568.14000000
-0.19798324033
Short
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABE81
0.00020000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
GLP Capital LP
N/A
GLP Capital LP
361841AK5
510000.00000000
PA
USD
503766.68000000
0.056618507914
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MBF9
389000.00000000
PA
USD
366956.10000000
0.041242320457
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
M&T Bank Corp.
549300WYXDDBYRASEG81
M&T Bank Corp.
55261FAS3
1135000.00000000
PA
USD
1176893.88000000
0.132271502076
Long
DBT
CORP
US
N
2
2029-10-30
Variable
7.41300000
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A5
46642EAY2
537929.83000000
PA
USD
535679.78000000
0.060205232040
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.77480000
N
N
N
N
N
N
Cardinal Health, Inc.
CCU46N3GJMF4OK4N7U60
Cardinal Health, Inc.
14149YBE7
500000.00000000
PA
USD
486754.06000000
0.054706453786
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
3.75000000
N
N
N
N
N
N
Voya CLO Ltd.
N/A
Voya CLO Ltd., Series 2019-2A, Class AR
92917RAL3
2975000.00000000
PA
USD
2984520.00000000
0.335431214389
Long
ABS-CBDO
CORP
KY
Y
2
2032-07-20
Floating
6.52456080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179MK66
401663.86240000
PA
USD
349114.80000000
0.039237130702
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418DYX4
9058649.38200000
PA
USD
6883988.70000000
0.773693823290
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418DR46
761395.82370000
PA
USD
645308.64000000
0.072526456774
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
1.50000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JT9
200000.00000000
PA
USD
196949.45000000
0.022135215440
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAX6
265000.00000000
PA
USD
247724.18000000
0.027841804555
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.15000000
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACJ4
1300000.00000000
PA
USD
1293195.87000000
0.145342722152
Long
DBT
CORP
US
Y
2
2030-06-26
Fixed
5.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RS9
2000000.00000000
PA
USD
1352265.62000000
0.151981591376
Long
DBT
UST
US
N
2
2046-05-15
Fixed
2.50000000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YAW9
400000.00000000
PA
USD
397248.94000000
0.044646943012
Long
DBT
CORP
JP
N
2
2025-07-16
Variable
2.83900000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
39264800.00000000
PA
USD
442925.96000000
0.049780598772
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-08-31
375939.65000000
USD
0.00000000
USD
39264800.00000000
USD
442925.96000000
N
N
N
OBX Trust
254900UI1468MQ7I8472
OBX Trust, Series 2024-NQM1, Class A2
67448LAB8
144979.11000000
PA
USD
143659.77000000
0.016145970243
Long
ABS-MBS
CORP
US
Y
2
2063-11-25
Variable
6.25299840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XDB9
2167510.73000000
PA
USD
1846785.40000000
0.207560837065
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
3.00000000
N
N
N
N
N
N
PPL Capital Funding, Inc.
549300MROK5WY0D2NU17
PPL Capital Funding, Inc.
69352PAL7
50000.00000000
PA
USD
47784.93000000
0.005370564479
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.10000000
N
N
N
N
N
N
Black Knight InfoServ LLC
549300H5PS5C68DAUX66
Black Knight InfoServ LLC
092174AA9
585000.00000000
PA
USD
541333.03000000
0.060840602724
Long
DBT
CORP
US
Y
2
2028-09-01
Fixed
3.62500000
N
N
N
N
N
N
Sprint Capital Corp.
549300L17W0GQBR1PO80
Sprint Capital Corp.
852060AT9
855000.00000000
PA
USD
1009533.56000000
0.113461818985
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACP0
2410000.00000000
PA
USD
2453953.22000000
0.275800634152
Long
DBT
CORP
US
Y
2
2030-09-21
Fixed
6.20000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
2540000.00000000
PA
-72808.58000000
-0.00818298098
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-06-19
26599.46000000
USD
0.00000000
USD
2540000.00000000
CAD
-72808.58000000
N
N
N
J.P. Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust, Series 2023-DSC1, Class A1
46656NAA7
1198232.98000000
PA
USD
1122931.71000000
0.126206675499
Long
ABS-MBS
CORP
US
Y
2
2063-07-25
Variable
4.62499920
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWEZ2
0.00100000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9468.28000000
0.001064143198
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
500248.93000000
CHF
556737.77000000
USD
2024-06-20
9468.28000000
N
N
N
CF SECURED LLC
254900OXTV81I73FAT50
Treasury Repurchase Agreement
N/A
3818082.50000000
PA
USD
3818082.50000000
0.429115586296
Long
RA
CORP
US
N
2
Repurchase
Y
5.31000000
2024-05-01
4368840.99580000
USD
3895018.58180000
USD
UST
N
N
Extra Space Storage LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAH0
430000.00000000
PA
USD
396348.31000000
0.044545720901
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.90000000
N
N
N
N
N
N
Macquarie Airfinance Holdings Ltd.
549300MCGUSL5B852H65
Macquarie Airfinance Holdings Ltd.
55609NAC2
185000.00000000
PA
USD
184464.94000000
0.020732077130
Long
DBT
CORP
GB
Y
2
2029-03-26
Fixed
6.40000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PED0
1970000.00000000
PA
USD
1620022.09000000
0.182074831794
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
2430032.00000000
PA
5100.16000000
0.000573208711
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-28
5089.75000000
USD
0.00000000
USD
2430032.00000000
CAD
5100.16000000
N
N
N
Public Storage Operating Co.
549300LMZF40TKJ6DM64
Public Storage Operating Co.
74460DAC3
150000.00000000
PA
USD
139800.12000000
0.015712182871
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
3.09400000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
287.00000000
NC
USD
-535944.93000000
-0.06023503233
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 2 Year Note
2024-06-28
58162343.75000000
USD
-535944.93000000
N
N
N
Solventum Corp.
254900I70403OSGY4M28
Solventum Corp.
83444MAG6
925000.00000000
PA
USD
892127.91000000
0.100266558187
Long
DBT
CORP
US
Y
2
2034-03-23
Fixed
5.60000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
5627938.00000000
PA
USD
51477.25000000
0.005785545575
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-28
15450.00000000
USD
0.00000000
USD
5627938.00000000
USD
51477.25000000
N
N
N
Willis North America, Inc.
5493004KVU1HWZCP0C66
Willis North America, Inc.
970648AG6
250000.00000000
PA
USD
238718.61000000
0.026829665490
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.50000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BX6
270000.00000000
PA
USD
250877.95000000
0.028196257834
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Republic of Panama
698299BL7
500000.00000000
PA
USD
273026.52000000
0.030685543123
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
Southern Power Co.
5LADC78JBG2BMZD5XF57
Southern Power Co.
843646AM2
150000.00000000
PA
USD
146590.20000000
0.016475322264
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
4.15000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5
46648KAU0
500000.00000000
PA
USD
459301.30000000
0.051621028785
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.40920000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TG3
2500000.00000000
PA
USD
1759277.35000000
0.197725777665
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
ONEOK, Inc.
2T3D6M0JSY48PSZI1Q41
ONEOK, Inc.
682680AU7
1460000.00000000
PA
USD
1404011.22000000
0.157797296899
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.55000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZV5
14520000.00000000
PA
USD
12684581.25000000
1.425624386069
Long
DBT
UST
US
N
2
2027-06-30
Fixed
0.50000000
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MBE2
1450000.00000000
PA
USD
1451903.57000000
0.163179934348
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGF0
500000.00000000
PA
USD
477243.88000000
0.053637601432
Long
DBT
CORP
US
N
2
2028-01-20
Variable
3.82400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XFEU1
1446425.98000000
PA
USD
1297132.44000000
0.145785154588
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKC2
1209000.00000000
PA
USD
945023.59000000
0.106211521591
Long
DBT
CORP
US
N
2
2036-09-21
Variable
2.48200000
N
N
N
N
N
N
Agilent Technologies, Inc.
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies, Inc.
00846UAL5
250000.00000000
PA
USD
219736.97000000
0.024696312537
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.75000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F052656
23000000.00000000
PA
USD
22322671.85000000
2.508852655391
Long
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SK5
3600000.00000000
PA
USD
2295843.77000000
0.258030659476
Long
DBT
UST
US
N
2
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
Trinity Acquisition plc
549300FJZWZN6MJNGB63
Trinity Acquisition plc
89641UAC5
250000.00000000
PA
USD
243752.18000000
0.027395390128
Long
DBT
CORP
GB
N
2
2026-03-15
Fixed
4.40000000
N
N
N
N
N
N
Carlyle US CLO Ltd.
N/A
Carlyle US CLO Ltd., Series 2024-2A, Class B
14318VAC3
2600000.00000000
PA
USD
2602597.40000000
0.292506803924
Long
ABS-CBDO
CORP
KY
Y
2
2037-04-25
Floating
7.37496000
N
N
N
N
N
N
Celanese US Holdings LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAL8
643000.00000000
PA
USD
643085.46000000
0.072276592820
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.05000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust, Series 2020-1, Class A2A
89178WBB3
770000.00000000
PA
USD
651606.26000000
0.073234248420
Long
ABS-MBS
CORP
US
Y
2
2060-01-25
Variable
3.09999960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABHF2
2794142.04900000
PA
USD
2365824.49000000
0.265895816316
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
Helios Issuer LLC
N/A
Helios Issuer LLC, Series 2023-GRID1, Class 1A
86746BAA1
267098.24000000
PA
USD
265077.11000000
0.029792106239
Long
ABS-O
CORP
US
Y
2
2050-12-20
Fixed
5.75000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBP0
400000.00000000
PA
USD
342316.15000000
0.038473028125
Long
DBT
CORP
US
N
2
2031-05-13
Variable
2.95600000
N
N
N
N
N
N
BINOM Securitization Trust
N/A
BINOM Securitization Trust, Series 2022-INV1, Class A1
090975AA1
1082434.72000000
PA
USD
1005463.00000000
0.113004327367
Long
ABS-MBS
CORP
US
Y
2
2057-08-25
Variable
4.44099960
N
N
N
N
N
N
BAT International Finance plc
21380041YBGOQDFAC823
BAT International Finance plc
05530QAP5
325000.00000000
PA
USD
310874.37000000
0.034939275813
Long
DBT
CORP
GB
N
2
2028-03-16
Fixed
4.44800000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133AWWM2
375216.87910000
PA
USD
286093.32000000
0.032154125204
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
10960000.00000000
PA
15230.76000000
0.001711790278
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-04-24
0.00000000
USD
3655.32000000
USD
10960000.00000000
EUR
15230.76000000
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP Operating LP
26884ABF9
100000.00000000
PA
USD
93910.67000000
0.010554652031
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
2.85000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2021-1, Class D
80286NAG1
293643.58000000
PA
USD
287934.86000000
0.032361096509
Long
ABS-O
CORP
US
N
2
2026-11-16
Fixed
1.13000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140J6GR2
229238.91890000
PA
USD
209112.15000000
0.023502185416
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
Nissan Auto Receivables Owner Trust
N/A
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A2A
65480WAB7
1459014.82000000
PA
USD
1457418.51000000
0.163799760324
Long
ABS-O
CORP
US
N
2
2026-02-17
Fixed
5.34000000
N
N
N
N
N
N
Fortinet, Inc.
549300O0QJWDBAS0QX03
Fortinet, Inc.
34959EAA7
2100000.00000000
PA
USD
1926374.67000000
0.216505902097
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.00000000
N
N
N
N
N
N
Progressive Corp. (The)
529900TACNVLY9DCR586
Progressive Corp. (The)
743315AZ6
230000.00000000
PA
USD
194781.72000000
0.021891583531
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.00000000
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U3B7
366000.00000000
PA
USD
343621.46000000
0.038619732358
Long
DBT
CORP
US
N
2
2033-07-25
Variable
4.89700000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F060659
7000000.00000000
PA
USD
6934922.54000000
0.779418294831
Long
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133AAKC5
117238.75890000
PA
USD
89288.17000000
0.010035127690
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Invitation Homes Operating Partnership LP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAA0
1450000.00000000
PA
USD
1120657.53000000
0.125951079638
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CKN0
3930000.00000000
PA
USD
3911578.13000000
0.439623591842
Long
DBT
UST
US
N
2
2031-04-30
Fixed
4.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H022655
3000000.00000000
PA
USD
2459066.31000000
0.276375296070
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
5190000.00000000
PA
-125956.89000000
-0.01415633755
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-06-19
199335.46000000
USD
0.00000000
USD
5190000.00000000
EUR
-125956.89000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
4700000.00000000
PA
USD
4470787.02000000
0.502473268531
Long
DBT
CORP
US
N
2
2030-01-23
Variable
4.43100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140MHSL4
0.01600000
PA
USD
0.01000000
0.000000001123
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Brookfield Finance, Inc.
549300XH8D8K6OYWGD17
Brookfield Finance, Inc.
11271LAD4
300000.00000000
PA
USD
291328.44000000
0.032742502116
Long
DBT
CORP
CA
N
2
2029-03-29
Fixed
4.85000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
9720000.00000000
PA
USD
375198.65000000
0.042168703445
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2032-07-28
148712.79000000
USD
0.00000000
USD
9720000.00000000
USD
375198.65000000
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DNU27
1120921.44750000
PA
USD
1004869.95000000
0.112937674276
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F020653
-11000000.00000000
PA
USD
-8301663.15000000
-0.93302673524
Short
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
2.00000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDH1
750000.00000000
PA
USD
594352.22000000
0.066799447458
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QMAF1
3252777.16780000
PA
USD
2626489.08000000
0.295191997937
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAE2
1250000.00000000
PA
USD
1202579.65000000
0.135158334472
Long
DBT
CORP
FR
Y
2
2028-09-12
Fixed
4.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Multifamily Structured Pass-Through Certificates, Series K126, Class A2
3137FXYV4
1000000.00000000
PA
USD
830419.80000000
0.093331162789
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Fixed
2.07400000
N
N
N
N
N
N
Discover Card Execution Note Trust
549300CKCX1QE4RUW216
Discover Card Execution Note Trust, Series 2023-A1, Class A
254683CY9
2300000.00000000
PA
USD
2252978.57000000
0.253213025119
Long
ABS-O
CORP
US
N
2
2028-03-15
Fixed
4.31000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AQ3
3080000.00000000
PA
USD
3028672.20000000
0.340393495112
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAJ9
470000.00000000
PA
USD
416210.07000000
0.046777990839
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.20000000
N
N
N
N
N
N
S&P Global, Inc.
Y6X4K52KMJMZE7I7MY94
S&P Global, Inc.
78409VBF0
780000.00000000
PA
USD
764334.10000000
0.085903768566
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.75000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M2
207941AB1
675000.00000000
PA
USD
676063.60000000
0.075983017152
Long
ABS-MBS
CORP
US
Y
2
2044-03-25
Floating
7.28002080
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GLG2
2745000.00000000
PA
USD
2702516.13000000
0.303736703856
Long
DBT
CORP
US
N
2
2029-04-25
Variable
5.20200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QDV27
2211619.28880000
PA
USD
1783463.00000000
0.200444011066
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Bank of Nova Scotia (The)
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia (The)
064159TF3
1000000.00000000
PA
USD
973369.44000000
0.109397321280
Long
DBT
CORP
CA
N
2
2025-02-03
Fixed
2.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
3140FXXE7
0.00110000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2062-09-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
5580000.00000000
PA
USD
24405.26000000
0.002742915443
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-04-11
0.00000000
USD
863.68000000
USD
5580000.00000000
USD
24405.26000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XDA1
427316.19000000
PA
USD
350621.75000000
0.039406497324
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
2.50000000
N
N
N
N
N
N
Commonwealth of Massachusetts
5493001N1YCXNI1O7K10
Commonwealth of Massachusetts, Series A
57582PUT5
100000.00000000
PA
USD
98034.84000000
0.011018168896
Long
DBT
MUN
US
N
2
2029-05-01
Fixed
4.91000000
N
N
N
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
Camden Property Trust
133131AX0
100000.00000000
PA
USD
89348.98000000
0.010041962146
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.15000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2017-BNK6, Class ASB
060352AC5
0.02000000
PA
USD
0.02000000
0.000000002247
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.28900000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series L
06051GFP9
1000000.00000000
PA
USD
982553.37000000
0.110429506286
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
3.95000000
N
N
N
N
N
N
FactSet Research Systems, Inc.
549300ZSJE7NBK6K9P30
FactSet Research Systems, Inc.
303075AA3
925000.00000000
PA
USD
859015.42000000
0.096545034213
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.90000000
N
N
N
N
N
N
Cigna Group (The)
549300VIWYMSIGT1U456
Cigna Group (The)
125523CL2
3111000.00000000
PA
USD
2622875.05000000
0.294785815881
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAV8
800000.00000000
PA
USD
776968.61000000
0.087323765427
Long
DBT
CORP
US
Y
2
2030-06-15
Fixed
4.87500000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KQK70
0.00280000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBE0
2600000.00000000
PA
USD
2284385.14000000
0.256742820166
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
1.95000000
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AN5
50000.00000000
PA
USD
46672.61000000
0.005245550457
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.00000000
N
N
N
N
N
N
Enbridge, Inc.
98TPTUM4IVMFCZBCUR27
Enbridge, Inc.
29250NBF1
925000.00000000
PA
USD
714769.58000000
0.080333195364
Long
DBT
CORP
CA
N
2
2033-08-01
Fixed
2.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust, Series 2024-BIO, Class A
05612AAA4
2775000.00000000
PA
USD
2776721.61000000
0.312076682905
Long
ABS-MBS
CORP
US
Y
2
2041-02-15
Floating
6.96297960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABFH0
0.00190000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp.
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp.
637432NW1
100000.00000000
PA
USD
76302.93000000
0.008575712165
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
1.35000000
N
N
N
N
N
N
Ashtead Capital, Inc.
213800J1134IW58IC398
Ashtead Capital, Inc.
045054AS2
952000.00000000
PA
USD
926517.59000000
0.104131625979
Long
DBT
CORP
US
Y
2
2034-04-15
Fixed
5.80000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918CG7
410000.00000000
PA
USD
394273.22000000
0.044312500832
Long
DBT
CORP
US
Y
2
2026-09-15
Fixed
3.40000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XS98
4558541.50000000
PA
USD
4039076.14000000
0.453953136401
Long
ABS-MBS
USGA
US
N
2
2053-02-20
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
4819000000.00000000
PA
136921.06000000
0.015388604342
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-06-19
48893.46000000
USD
0.00000000
USD
4819000000.00000000
JPY
136921.06000000
N
N
N
ConocoPhillips Co.
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co.
208251AE8
1981000.00000000
PA
USD
2125824.08000000
0.238922088889
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
6.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140L5BW5
660273.40910000
PA
USD
534879.27000000
0.060115262450
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
J M Smucker Co. (The)
5493000WDH6A0LHDJD55
J M Smucker Co. (The)
832696AW8
1369000.00000000
PA
USD
1395084.79000000
0.156794052405
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.90000000
N
N
N
N
N
Humana, Inc.
529900YLDW34GJAO4J06
Humana, Inc.
444859BY7
350000.00000000
PA
USD
350441.65000000
0.039386255824
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QPE86
2314149.46240000
PA
USD
1997016.64000000
0.224445377049
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2017-H1, Class AS
61691JAY0
500000.00000000
PA
USD
458741.25000000
0.051558084575
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
3.77300000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class A3
46644YAU4
333755.80880000
PA
USD
324434.94000000
0.036463352872
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Fixed
3.80140000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140LQPU8
4220639.59560000
PA
USD
3642099.77000000
0.409336827623
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F062655
-1000000.00000000
PA
USD
-1007540.98000000
-0.11323787224
Short
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
6.50000000
N
N
N
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884LAL3
810000.00000000
PA
USD
781644.90000000
0.087849335246
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-25311.93000000
-0.00284481639
N/A
DFE
N/A
N
2
NATWEST MARKETS
RR3QWICWWIPCS8A4S074
572581.42000000
USD
500248.93000000
CHF
2024-06-20
-25311.93000000
N
N
N
DuPont de Nemours, Inc.
5493004JF0SDFLM8GD76
DuPont de Nemours, Inc.
26078JAC4
150000.00000000
PA
USD
147455.44000000
0.016572566880
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.49300000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661DY0
925000.00000000
PA
USD
738024.39000000
0.082946811342
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.70000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
20470000.00000000
PA
USD
-116650.24000000
-0.01311036001
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2030-04-16
0.00000000
USD
70576.71000000
USD
20470000.00000000
USD
-116650.24000000
N
N
N
NXP BV
N/A
NXP BV
62954HBA5
400000.00000000
PA
USD
326537.36000000
0.036699644568
Long
DBT
CORP
US
N
2
2031-05-11
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140FPFQ7
852570.01100000
PA
USD
781815.55000000
0.087868514657
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Diameter Capital CLO 4 Ltd.
25490087B17FBD0ODC27
Diameter Capital CLO 4 Ltd., Series 2022-4A, Class A1R
25255NAQ1
2000000.00000000
PA
USD
2019178.00000000
0.226936099811
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-15
Floating
7.15856040
N
N
N
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884LAF6
870000.00000000
PA
USD
820585.22000000
0.092225851009
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
240000.00000000
PA
USD
10238.15000000
0.001150669148
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-06-20
173.90000000
USD
0.00000000
USD
240000.00000000
USD
10238.15000000
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YDT3
1420000.00000000
PA
USD
1392833.45000000
0.156541023540
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
4.95000000
N
N
N
N
N
N
FHLMC
529900PGKDI4ZEXFQ523
FHLMC STACR REMIC Trust, Series 2024-HQA1, Class A1
35564NBW2
2747104.58000000
PA
USD
2747449.34000000
0.308786762558
Long
ABS-MBS
CORP
US
Y
2
2044-03-25
Floating
6.58001880
N
N
N
N
N
N
Prospect Capital Corp.
549300FSD8T39P5Q0O47
Prospect Capital Corp.
74348TAU6
400000.00000000
PA
USD
378030.18000000
0.042486940061
Long
DBT
CORP
US
N
2
2026-01-22
Fixed
3.70600000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QY7
6500000.00000000
PA
USD
4792734.38000000
0.538657041444
Long
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCW9
14060000.00000000
PA
USD
12766040.63000000
1.434779633397
Long
DBT
UST
US
N
2
2026-08-31
Fixed
0.75000000
N
N
N
N
N
N
Province of Ontario Canada
C7PVKCRGLG18EBQGZV36
Province of Ontario
68323AFF6
45000.00000000
PA
USD
42376.04000000
0.004762657498
Long
DBT
NUSS
CA
N
2
2026-06-15
Fixed
2.30000000
N
N
N
N
N
N
Celanese US Holdings LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAK0
230000.00000000
PA
USD
208617.09000000
0.023446545454
Long
DBT
CORP
US
N
2
2026-08-05
Fixed
1.40000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CT4
1115000.00000000
PA
USD
1091771.06000000
0.122704519484
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
5.45000000
N
N
N
N
N
N
Silver Point CLO 1 Ltd.
549300UJUGKIKZF7CD63
Silver Point CLO 1 Ltd., Series 2022-1A, Class A1
828085AA8
1100000.00000000
PA
USD
1110054.00000000
0.124759345307
Long
ABS-CBDO
CORP
JE
Y
2
2036-01-20
Floating
7.77456000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179WTZ1
2519799.72200000
PA
USD
2145674.47000000
0.241153080950
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KQDS2
1373346.71660000
PA
USD
1377453.05000000
0.154812415171
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179WR42
2518690.71650000
PA
USD
2223884.54000000
0.249943137226
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.50000000
N
N
N
N
N
N
BBCMS Mortgage Trust
N/A
BBCMS Mortgage Trust, Series 2024-C24, Class A5
07336VAU5
1075000.00000000
PA
USD
1053823.79000000
0.118439612946
Long
ABS-MBS
CORP
US
N
2
2057-02-15
Fixed
5.41900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140X9D77
3807980.33280000
PA
USD
3029884.97000000
0.340529798744
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140CG3
1400000.00000000
PA
USD
1365942.27000000
0.153518714705
Long
DBT
CORP
US
N
2
2033-02-10
Fixed
5.20000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
9840000.00000000
PA
37953.54000000
0.004265611224
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2035-04-24
0.00000000
USD
9954.37000000
USD
9840000.00000000
EUR
37953.54000000
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2021-3, Class D
80287EAF2
1000000.00000000
PA
USD
966275.30000000
0.108600008481
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
1.33000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
1430000.00000000
PA
-29625.47000000
-0.00332961661
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-06-19
15508.20000000
USD
0.00000000
USD
1430000.00000000
AUD
-29625.47000000
N
N
N
Wisconsin Power and Light Co.
JWBYHVQVMY66CVCOSO49
Wisconsin Power and Light Co.
976826BP1
35000.00000000
PA
USD
27599.08000000
0.003101869955
Long
DBT
CORP
US
N
2
2031-09-16
Fixed
1.95000000
N
N
N
N
N
N
Regeneron Pharmaceuticals, Inc.
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals, Inc.
75886FAE7
1546000.00000000
PA
USD
1234266.71000000
0.138719653886
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
6120000.00000000
PA
-15646.35000000
-0.00175849857
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-19
0.00000000
USD
45160.36000000
USD
6120000.00000000
GBP
-15646.35000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust, Series 2017-GS7, Class A4
36254CAV2
1400000.00000000
PA
USD
1293273.80000000
0.145351480731
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
3.43000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6841.61000000
0.000768930866
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
295346.20000000
NZD
180873.85000000
USD
2024-06-20
6841.61000000
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBJ9
2650000.00000000
PA
USD
1968950.05000000
0.221290963486
Long
DBT
CORP
US
Y
2
2041-02-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KQDT0
0.00450000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
6.00000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M2
20753UAB6
600000.00000000
PA
USD
601699.32000000
0.067625190518
Long
ABS-MBS
CORP
US
Y
2
2044-01-25
Floating
7.13001960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XDRN8
1495484.70190000
PA
USD
1208068.57000000
0.135775236051
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABLL4
0.00050000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RV2
4700.00000000
PA
USD
3468.45000000
0.000389820271
Long
DBT
UST
US
N
2
2047-02-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QHE27
2069091.69050000
PA
USD
1836526.92000000
0.206407883021
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
2.50000000
N
N
N
N
N
N
PARK BLUE CLO Ltd.
N/A
PARK BLUE CLO Ltd., Series 2023-3A, Class A1
70019AAA7
3500000.00000000
PA
USD
3524528.00000000
0.396122896542
Long
ABS-CBDO
CORP
KY
Y
2
2036-04-20
Floating
7.32456000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179WTY4
10179015.78390000
PA
USD
8353210.61000000
0.938820171741
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
National Fuel Gas Co.
8JB38FFW1Y3C1HM8E841
National Fuel Gas Co.
636180BR1
200000.00000000
PA
USD
164419.95000000
0.018479213909
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.95000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCU8
425000.00000000
PA
USD
353127.91000000
0.039688165496
Long
DBT
CORP
US
N
2
2033-01-25
Variable
2.96300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H042653
12000000.00000000
PA
USD
11174879.40000000
1.255948483441
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
4.50000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBK0
550000.00000000
PA
USD
526192.96000000
0.059139005125
Long
DBT
CORP
US
N
2
2026-07-28
Fixed
3.75000000
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DQ0
1848000.00000000
PA
USD
1831704.45000000
0.205865883983
Long
DBT
CORP
US
N
2
2030-03-02
Fixed
5.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179VHS2
2393625.41410000
PA
USD
2053242.26000000
0.230764593538
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class AS
46644UBE7
500000.00000000
PA
USD
476354.50000000
0.053537643713
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Variable
4.22629920
N
N
N
N
N
N
Constellation Brands, Inc.
5493005GKEG8QCVY7037
Constellation Brands, Inc.
21036PBB3
800000.00000000
PA
USD
784845.20000000
0.088209018047
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QNW65
1771131.54000000
PA
USD
1465003.32000000
0.164652219691
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
-40.00000000
NC
USD
227583.07000000
0.025578138375
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury Ultra Bond
2024-06-18
-4782500.00000000
USD
227583.07000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H020659
-5000000.00000000
PA
USD
-3933834.80000000
-0.44212502652
Short
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
2.00000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661EA1
1305000.00000000
PA
USD
1093213.31000000
0.122866614450
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.62500000
N
N
N
N
N
Extra Space Storage LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAL1
2400000.00000000
PA
USD
2292103.94000000
0.257610338714
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.50000000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust, Series 2024-A, Class A2A
345290AB6
3450000.00000000
PA
USD
3441488.85000000
0.386790098328
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
5.24000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
18160000.00000000
PA
-76956.54000000
-0.00864917161
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-03-19
0.00000000
USD
38396.90000000
USD
18160000.00000000
EUR
-76956.54000000
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KQK88
1782012.49000000
PA
USD
1773354.42000000
0.199307904334
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4099.91000000
-0.00046079027
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
178132.15000000
USD
295346.20000000
NZD
2024-06-20
-4099.91000000
N
N
N
Prospect Capital Corp.
549300FSD8T39P5Q0O47
Prospect Capital Corp.
74348TAW2
150000.00000000
PA
USD
126930.73000000
0.014265787767
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
3.43700000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2
20754CAB5
80018.10790000
PA
USD
82018.56000000
0.009218093758
Long
ABS-MBS
CORP
US
Y
2
2040-01-25
Floating
7.49450160
N
N
N
N
N
N
VICI Properties LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AA1
1090000.00000000
PA
USD
1071132.97000000
0.120384997554
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.37500000
N
N
N
N
N
N
Intuit, Inc.
VI90HBPH7XSFMB9E4M29
Intuit, Inc.
46124HAD8
54000.00000000
PA
USD
43789.50000000
0.004921516747
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
1.65000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SS8
7000000.00000000
PA
USD
3658046.84000000
0.411129124226
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DNRD7
332797.44860000
PA
USD
268430.10000000
0.030168949922
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133A9HE8
159965.22190000
PA
USD
121802.68000000
0.013689444489
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
Southern Co. (The)
549300FC3G3YU2FBZD92
Southern Co. (The), Series 21-B
842587DH7
550000.00000000
PA
USD
477302.31000000
0.053644168400
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
1.75000000
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAH3
3025000.00000000
PA
USD
2815843.33000000
0.316473586276
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
GMF Floorplan Owner Revolving Trust
N/A
GMF Floorplan Owner Revolving Trust, Series 2023-1, Class A1
361886CR3
2200000.00000000
PA
USD
2189737.44000000
0.246105333083
Long
ABS-O
CORP
US
Y
2
2028-06-15
Fixed
5.34000000
N
N
N
N
N
N
Arizona Public Service Co.
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co.
040555DD3
210000.00000000
PA
USD
166235.68000000
0.018683284420
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.20000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807DP9
80000.00000000
PA
USD
71952.74000000
0.008086792836
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.37500000
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAU0
2858000.00000000
PA
USD
2849841.15000000
0.320294612789
Long
DBT
CORP
US
Y
2
2029-11-15
Fixed
5.37500000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114DE5
1410000.00000000
PA
USD
1301017.45000000
0.146221792179
Long
DBT
CORP
US
N
2
2055-01-15
Fixed
5.80000000
N
N
N
N
N
N
Kraft Heinz Foods Co.
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LAV8
525000.00000000
PA
USD
482375.47000000
0.054214342572
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co.
202795JR2
149000.00000000
PA
USD
125239.60000000
0.014075721093
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.20000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H062651
4000000.00000000
PA
USD
4049913.92000000
0.455171198168
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SA7
11820000.00000000
PA
USD
8661382.06000000
0.973455665460
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
OBX Trust
254900UI1468MQ7I8472
OBX Trust, Series 2024-NQM1, Class A1
67448LAA0
2730439.91000000
PA
USD
2704894.19000000
0.304003974825
Long
ABS-MBS
CORP
US
Y
2
2063-11-25
Variable
5.92800120
N
N
N
N
N
N
Los Angeles Community College District
N/A
Los Angeles Community College District
54438CYN6
200000.00000000
PA
USD
170828.90000000
0.019199517972
Long
DBT
MUN
US
N
2
2030-08-01
Fixed
1.80600000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
1240000.00000000
PA
-2393.72000000
-0.00026903100
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-06-19
5623.00000000
USD
0.00000000
USD
1240000.00000000
CHF
-2393.72000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Multifamily Structured Pass-Through Certificates, Series K077, Class A2
3137FG6X8
2000000.00000000
PA
USD
1909193.40000000
0.214574893338
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Variable
3.84999840
N
N
N
N
N
N
TYSN Mortgage Trust
N/A
TYSN Mortgage Trust, Series 2023-CRNR, Class A
87332PAA8
1850000.00000000
PA
USD
1896091.27000000
0.213102340506
Long
ABS-MBS
CORP
US
Y
2
2033-12-10
Variable
6.79907160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XBT2
463435.98000000
PA
USD
420076.94000000
0.047212589669
Long
ABS-MBS
USGA
US
N
2
2052-07-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABE99
0.00310000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3618.42000000
0.000406675450
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
157505.95000000
GBP
200481.61000000
USD
2024-06-20
3618.42000000
N
N
N
Steel Dynamics, Inc.
549300HGGKEL4FYTTQ83
Steel Dynamics, Inc.
858119BK5
730000.00000000
PA
USD
653255.64000000
0.073419622797
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.45000000
N
N
N
N
N
N
J.P. Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust, Series 2022-DSC1, Class A3
46656AAC1
1222049.01830000
PA
USD
1132335.96000000
0.127263622344
Long
ABS-MBS
CORP
US
Y
2
2063-01-25
Variable
4.74999840
N
N
N
N
N
N
Kyndryl Holdings, Inc.
549300LQ4LWX2R8ZV130
Kyndryl Holdings, Inc.
50155QAJ9
5000.00000000
PA
USD
4571.07000000
0.000513744106
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KP4N5
0.00250000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
2.00000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2023-VLT2, Class A
123918AA2
2000000.00000000
PA
USD
2005625.00000000
0.225412873547
Long
ABS-MBS
CORP
US
Y
2
2040-06-15
Floating
7.60197960
N
N
N
N
N
N
Zoetis, Inc.
549300HD9Q1LOC9KLJ48
Zoetis, Inc.
98978VAL7
450000.00000000
PA
USD
416906.61000000
0.046856275206
Long
DBT
CORP
US
N
2
2027-09-12
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179VN30
866827.99000000
PA
USD
742479.46000000
0.083447518169
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140L6P99
68411.40690000
PA
USD
52298.08000000
0.005877798937
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XDQC3
156172.09050000
PA
USD
119120.73000000
0.013388019220
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Union Electric Co.
QMPJLLDULY5C1M8PNY21
Union Electric Co.
906548CR1
100000.00000000
PA
USD
87329.57000000
0.009814999972
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.95000000
N
N
N
N
N
N
J.P. Morgan Chase Commercial Mortgage Securities Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class A
46655AAA6
1841000.00000000
PA
USD
1616443.29000000
0.181672609249
Long
ABS-MBS
CORP
US
Y
2
2039-01-05
Fixed
3.02420000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MCD0
2250000.00000000
PA
USD
2081728.64000000
0.233966187442
Long
DBT
CORP
JP
N
2
2026-01-12
Fixed
0.94800000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
309700000.00000000
PA
-292133.42000000
-0.03283297409
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-19
215128.67000000
USD
0.00000000
USD
309700000.00000000
NOK
-292133.42000000
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JCK8
160000.00000000
PA
USD
150067.56000000
0.016866143933
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
4.55000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
23580000.00000000
PA
USD
373828.55000000
0.042014717442
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2047-07-28
405653.23000000
USD
0.00000000
USD
23580000.00000000
USD
373828.55000000
N
N
N
Province of Quebec Canada
549300WN65YFEQH74Y36
Province of Quebec
748149AN1
25000.00000000
PA
USD
23421.59000000
0.002632360438
Long
DBT
NUSS
CA
N
2
2027-04-12
Fixed
2.75000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F032658
7000000.00000000
PA
USD
6032871.32000000
0.678036452469
Long
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
3.50000000
N
N
N
N
N
N
Extra Space Storage LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAM9
300000.00000000
PA
USD
281597.32000000
0.031648818240
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.87500000
N
N
N
N
N
N
N/A
N/A
Euro-Buxl
N/A
-1.00000000
NC
4795.27000000
0.000538942020
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
Euro-Buxl
2024-06-06
-128920.00000000
EUR
4795.27000000
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DR8
1882000.00000000
PA
USD
1840925.95000000
0.206902291494
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
5.25000000
N
N
N
N
N
N
Assurant, Inc.
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621XAJ7
2530000.00000000
PA
USD
2445165.94000000
0.274813028774
Long
DBT
CORP
US
N
2
2028-03-27
Fixed
4.90000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Multifamily Structured Pass-Through Certificates, Series K086, Class A2
3137FKSH0
1000000.00000000
PA
USD
946833.60000000
0.106414949229
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Variable
3.85899840
N
N
N
N
N
N
Oaktree CLO Ltd.
N/A
Oaktree CLO Ltd., Series 2021-1A, Class A1
67402JAA9
3500000.00000000
PA
USD
3501921.50000000
0.393582144345
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-15
Floating
6.75016920
N
N
N
N
N
N
Diageo Capital plc
213800L23DJLALFC4O95
Diageo Capital plc
25243YBD0
400000.00000000
PA
USD
333033.12000000
0.037429705236
Long
DBT
CORP
GB
N
2
2030-04-29
Fixed
2.00000000
N
N
N
N
N
Benefit Street Partners CLO XXX Ltd.
N/A
Benefit Street Partners CLO XXX Ltd., Series 2023-30A, Class A
08186KAA2
3200000.00000000
PA
USD
3223612.80000000
0.362302935221
Long
ABS-CBDO
CORP
JE
Y
2
2036-04-25
Floating
7.42354920
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZQ6
10370000.00000000
PA
USD
8161919.11000000
0.917320855218
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2441.64000000
-0.00027441674
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
196327.49000000
USD
266692.44000000
CAD
2024-06-20
-2441.64000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QDVN1
1802650.61050000
PA
USD
1506507.42000000
0.169316879557
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Reliance, Inc.
549300E287ZOFT3C5Z56
Reliance, Inc.
759509AG7
620000.00000000
PA
USD
506813.44000000
0.056960934303
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.15000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133AAQB1
857993.64170000
PA
USD
652902.45000000
0.073379927653
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
969457BZ2
1000000.00000000
PA
USD
934661.90000000
0.105046967740
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
4.65000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABLX8
0.00020000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
2.50000000
N
N
N
N
N
N
Interstate Power and Light Co.
EF9UQIIO4KY2BWOK3P26
Interstate Power and Light Co.
461070AP9
100000.00000000
PA
USD
94586.57000000
0.010630616661
Long
DBT
CORP
US
N
2
2028-09-26
Fixed
4.10000000
N
N
N
N
N
N
Invesco CLO Ltd.
N/A
Invesco CLO Ltd., Series 2021-2A, Class A
46149MAA4
3000000.00000000
PA
USD
3002652.00000000
0.337469076015
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-15
Floating
6.71016960
N
N
N
N
N
N
FHLMC
549300NKHCH87PYOHD44
FHLMC STACR Trust, Series 2019-HQA2, Class M2
35564MAH8
751491.78930000
PA
USD
754783.32000000
0.084830353165
Long
ABS-MBS
CORP
US
Y
2
2049-04-25
Floating
7.49450160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2022-M1, Class A2
3136BKX80
1000000.00000000
PA
USD
782275.60000000
0.087920219832
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Variable
1.72392840
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFS8
1500000.00000000
PA
USD
1394907.89000000
0.156774170554
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
0.85000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967NQ0
580000.00000000
PA
USD
579255.99000000
0.065102777052
Long
DBT
CORP
US
N
2
2025-05-24
Variable
4.14000000
N
N
N
N
N
N
AutoNation, Inc.
N/A
AutoNation, Inc.
05329WAQ5
1250000.00000000
PA
USD
1171912.41000000
0.131711632974
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.75000000
N
N
N
N
N
N
General Motors Co.
54930070NSV60J38I987
General Motors Co.
37045VAT7
1375000.00000000
PA
USD
1292888.95000000
0.145308227309
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBB0
300000.00000000
PA
USD
281340.37000000
0.031619939543
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
POSCO
9884000N94NH7G6LQ816
POSCO
73730EAD5
350000.00000000
PA
USD
350523.43000000
0.039395447106
Long
DBT
CORP
KR
Y
2
2028-01-17
Fixed
5.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
3622ABCB6
0.00050000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
2.50000000
N
N
N
N
N
N
OHA Credit Funding 6 Ltd.
N/A
OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR
67098UAN5
3300000.00000000
PA
USD
3302220.90000000
0.371137726223
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-20
Floating
6.72617160
N
N
N
N
N
N
Brown & Brown, Inc.
549300PC8KTJ71XKFY89
Brown & Brown, Inc.
115236AE1
280000.00000000
PA
USD
249164.24000000
0.028003653386
Long
DBT
CORP
US
N
2
2032-03-17
Fixed
4.20000000
N
N
N
N
N
N
AB BSL CLO 1 Ltd.
549300UT754V8VGM9T25
AB BSL CLO 1 Ltd., Series 2020-1A, Class A1R
00038KAN1
635000.00000000
PA
USD
634998.10000000
0.071367651688
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-15
Floating
6.69855960
N
N
N
N
N
N
FHLMC
5493000IRODEKU3J3Q16
FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M1B
35564KTB5
650000.00000000
PA
USD
680340.18000000
0.076463663428
Long
ABS-MBS
CORP
US
Y
2
2042-03-25
Floating
8.83001880
N
N
N
N
N
N
NSTAR Electric Co.
54930080R72Y2Z31UR68
NSTAR Electric Co.
67021CAM9
100000.00000000
PA
USD
94330.53000000
0.010601840239
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.20000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAW5
1075000.00000000
PA
USD
958772.69000000
0.107756787600
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RT7
8000000.00000000
PA
USD
5129062.48000000
0.576457070599
Long
DBT
UST
US
N
2
2046-08-15
Fixed
2.25000000
N
N
N
N
N
N
Constellation Software, Inc.
549300B6PYHMCTDWQV29
Constellation Software, Inc.
21037XAD2
622000.00000000
PA
USD
606214.62000000
0.068132666615
Long
DBT
CORP
CA
Y
2
2034-02-16
Fixed
5.46100000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust, Series 2023-A, Class A2A
448979AB0
1115068.13000000
PA
USD
1113729.71000000
0.125172459600
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
5.19000000
N
N
N
N
N
N
State Board of Administration Finance Corp.
549300S34SOJ0RULXM35
State Board of Administration Finance Corp., Series A
341271AF1
75000.00000000
PA
USD
62208.99000000
0.006991689471
Long
DBT
MUN
US
N
2
2030-07-01
Fixed
2.15400000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36178YCG8
588144.02200000
PA
USD
516339.07000000
0.058031523088
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
3.50000000
N
N
N
N
N
N
CBRE Services, Inc.
549300CTE3HOMEUMM603
CBRE Services, Inc.
12505BAD2
800000.00000000
PA
USD
786602.59000000
0.088406531705
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
4.87500000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
17440000.00000000
PA
-54166.35000000
-0.00608777443
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2042-08-10
756189.63000000
USD
0.00000000
USD
17440000.00000000
EUR
-54166.35000000
N
N
N
Tucson Electric Power Co.
YLF139GXSRKPBBTNZL03
Tucson Electric Power Co.
898813AS9
100000.00000000
PA
USD
79769.21000000
0.008965288549
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
1.50000000
N
N
N
N
N
N
Allegion US Holding Co., Inc.
5493002B66JX7J7SXI33
Allegion US Holding Co., Inc.
01748NAE4
60000.00000000
PA
USD
56384.60000000
0.006337084305
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.55000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
6890000.00000000
PA
-145167.86000000
-0.01631546498
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-06-19
0.00000000
USD
22989.27000000
USD
6890000.00000000
GBP
-145167.86000000
N
N
N
Western Midstream Operating LP
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
975000.00000000
PA
USD
855437.51000000
0.096142911695
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15845.13000000
0.001780839531
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
59148661.00000000
JPY
393752.31000000
USD
2024-06-20
15845.13000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418DUG5
10293510.87680000
PA
USD
7840607.48000000
0.881208532215
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QS5D9
1909391.20120000
PA
USD
1936950.11000000
0.217694479383
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
6.50000000
N
N
N
N
N
N
Province of British Columbia Canada
54930058TO7MEKUHWL16
Province of British Columbia
110709AE2
25000.00000000
PA
USD
19816.57000000
0.002227191019
Long
DBT
NUSS
CA
N
2
2031-01-29
Fixed
1.30000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBX2
110000.00000000
PA
USD
121996.50000000
0.013711227985
Long
DBT
CORP
US
N
2
2032-10-19
Fixed
7.75000000
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAX3
764000.00000000
PA
USD
637822.64000000
0.071685102696
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Capital One Multi-Asset Execution Trust
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust, Series 2022-A2, Class A
14041NGA3
2650000.00000000
PA
USD
2594242.15000000
0.291567754545
Long
ABS-O
CORP
US
N
2
2027-05-15
Fixed
3.49000000
N
N
N
N
N
N
Retail Opportunity Investments Partnership LP
549300KH0PNTJK9NTE57
Retail Opportunity Investments Partnership LP
76132FAC1
1645000.00000000
PA
USD
1672346.38000000
0.187955576482
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
6.75000000
N
N
N
N
N
N
CME Group, Inc.
LCZ7XYGSLJUHFXXNXD88
CME Group, Inc.
12572QAK1
60000.00000000
PA
USD
50497.71000000
0.005675454742
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.65000000
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XJZE6
1753102.34000000
PA
USD
1758344.68000000
0.197620954568
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
505.00000000
NC
USD
-502889.17000000
-0.05651988426
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 5 Year Note
2024-06-28
52894804.94000000
USD
-502889.17000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2395.38000000
-0.00026921757
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
199258.57000000
USD
157505.95000000
GBP
2024-06-20
-2395.38000000
N
N
N
Cedar Funding IX CLO Ltd.
N/A
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1
15033EAA6
1569356.76000000
PA
USD
1571167.80000000
0.176584081582
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Floating
6.56616960
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2024-XL4, Class A
05611VAA9
2900000.00000000
PA
USD
2900000.00000000
0.325931982941
Long
ABS-MBS
CORP
US
Y
2
2039-02-15
Floating
6.76301040
N
N
N
N
N
N
Barclays Dryrock Issuance Trust
213800R4G3N2G68CHU37
Barclays Dryrock Issuance Trust, Series 2023-2, Class A
06742LBB8
2350000.00000000
PA
USD
2365778.37000000
0.265890632874
Long
ABS-O
CORP
US
N
2
2028-08-15
Floating
6.23001960
N
N
N
N
N
N
Southwick Park CLO LLC
N/A
Southwick Park CLO LLC, Series 2019-4A, Class A1R
846031AN2
2000000.00000000
PA
USD
2000422.00000000
0.224828106614
Long
ABS-CBDO
CORP
KY
Y
2
2032-07-20
Floating
6.64616880
N
N
N
N
N
N
Barings CLO Ltd.
549300T40QLO0VJIOB35
Barings CLO Ltd., Series 2019-3A, Class A1R
06761KAL5
3500000.00000000
PA
USD
3501687.00000000
0.393555788811
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Floating
6.65616960
N
N
N
N
N
N
N/A
N/A
IRS
N/A
4500000.00000000
PA
5304.32000000
0.000596154322
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-29
24403.27000000
USD
0.00000000
USD
4500000.00000000
AUD
5304.32000000
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122EB0
780000.00000000
PA
USD
826375.73000000
0.092876648391
Long
DBT
CORP
US
N
2
2053-11-15
Fixed
6.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H070654
1000000.00000000
PA
USD
1017205.04000000
0.114324019222
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418DVC3
461885.72750000
PA
USD
368569.43000000
0.041423643162
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
3466827.00000000
PA
14024.68000000
0.001576238538
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-06-28
6545.28000000
USD
0.00000000
USD
3466827.00000000
EUR
14024.68000000
N
N
N
N/A
N/A
OIS
N/A
11280000.00000000
PA
USD
93493.96000000
0.010507817853
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2035-04-16
76616.43000000
USD
0.00000000
USD
11280000.00000000
USD
93493.96000000
N
N
N
Schlumberger Finance Canada Ltd.
549300P4EXZFF0LRNF59
Schlumberger Finance Canada Ltd.
80685XAC5
1500000.00000000
PA
USD
1420067.85000000
0.159601906987
Long
DBT
CORP
CA
N
2
2025-09-17
Fixed
1.40000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179TG33
375426.96000000
PA
USD
323686.32000000
0.036379215216
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418DTQ5
10504956.37000000
PA
USD
7991909.86000000
0.898213457987
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Cencora, Inc.
AI8GXW8LG5WK7E9UD086
Cencora, Inc.
03073EAR6
100000.00000000
PA
USD
86541.11000000
0.009726384685
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
Northwest Pipeline LLC
549300FFKMN9OW536A14
Northwest Pipeline LLC
66775VAB1
2000000.00000000
PA
USD
1920186.74000000
0.215810438547
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.00000000
N
N
N
N
N
N
Block Financial LLC
N/A
Block Financial LLC
093662AJ3
275000.00000000
PA
USD
241716.82000000
0.027166635328
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.50000000
N
N
N
N
N
N
IDEX Corp.
549300U5Y5EL6PHYLF13
IDEX Corp.
45167RAH7
1160000.00000000
PA
USD
954560.04000000
0.107283326439
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.62500000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
13200000.00000000
PA
-182903.74000000
-0.02055661333
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2034-01-19
0.00000000
USD
11975.01000000
USD
13200000.00000000
EUR
-182903.74000000
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2023-R05, Class 1M2
207942AB9
390000.00000000
PA
USD
409645.98000000
0.046040250539
Long
ABS-MBS
CORP
US
Y
2
2043-06-25
Floating
8.43001920
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAP5
573000.00000000
PA
USD
536933.44000000
0.060346131312
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.95000000
N
N
N
N
N
N
Targa Resources Corp.
5493003QENHHS261UR94
Targa Resources Corp.
87612GAA9
220000.00000000
PA
USD
194191.10000000
0.021825203549
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.20000000
N
N
N
N
N
N
RTX Corp.
I07WOS4YJ0N7YRFE7309
RTX Corp.
913017CP2
825000.00000000
PA
USD
635198.70000000
0.071390197190
Long
DBT
CORP
US
N
2
2047-05-04
Fixed
4.05000000
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAT3
1370000.00000000
PA
USD
1398360.59000000
0.157162220678
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.87500000
N
N
N
N
N
N
NVR, Inc.
529900RWXR4JI3JYTV70
NVR, Inc.
62944TAF2
300000.00000000
PA
USD
260086.20000000
0.029231176173
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.00000000
N
N
N
N
N
N
FS KKR Capital Corp.
549300TYRSI1T21B1360
FS KKR Capital Corp.
302635AH0
500000.00000000
PA
USD
450047.62000000
0.050581004553
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.62500000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBF7
1475000.00000000
PA
USD
1162658.66000000
0.130671600875
Long
DBT
CORP
US
Y
2
2033-02-15
Fixed
2.60000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DPHP6
0.00180000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
McDonald's Corp.
UE2136O97NLB5BYP9H04
McDonald's Corp.
58013MFP4
750000.00000000
PA
USD
710760.13000000
0.079882571919
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
1390000.00000000
PA
17869.25000000
0.002008331064
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-05-17
0.00000000
USD
321.68000000
USD
1390000.00000000
EUR
17869.25000000
N
N
N
CDW LLC
N/A
CDW LLC
12513GBF5
125000.00000000
PA
USD
111276.18000000
0.012506367586
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.25000000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAS7
665000.00000000
PA
USD
663279.43000000
0.074546199953
Long
DBT
CORP
US
N
2
2024-06-27
Fixed
4.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QL5
7250000.00000000
PA
USD
6776484.38000000
0.761611376327
Long
DBT
UST
US
N
2
2040-11-15
Fixed
4.25000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
17327CAQ6
3650000.00000000
PA
USD
3018688.34000000
0.339271405703
Long
DBT
CORP
US
N
2
2033-01-25
Variable
3.05700000
N
N
N
N
N
N
Apidos CLO XV
549300HXW2GBYSKFE344
Apidos CLO XV, Series 2013-15A, Class A1RR
03764QBC5
2294577.76080000
PA
USD
2295725.05000000
0.258017316495
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Floating
6.59616840
N
N
N
N
N
N
FHLMC
529900PGKDI4ZEXFQ523
FHLMC STACR REMIC Trust, Series 2024-HQA1, Class M1
35564NBX0
1823601.72000000
PA
USD
1825887.79000000
0.205212147594
Long
ABS-MBS
CORP
US
Y
2
2044-03-25
Floating
6.58001880
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023DM4
548000.00000000
PA
USD
549484.80000000
0.061756782917
Long
DBT
CORP
US
Y
2
2054-05-01
Fixed
6.85800000
N
N
N
N
N
N
Essential Utilities, Inc.
549300ILTEOF3E3QY357
Essential Utilities, Inc.
29670GAD4
50000.00000000
PA
USD
42516.24000000
0.004778414624
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70400000
N
N
N
N
N
N
SANTANDER US CAPITAL MARKETS LLC
549300LGG2RLWD21SU97
Treasury Repurchase Agreement
N/A
2000000.00000000
PA
USD
2000000.00000000
0.224780677891
Long
RA
CORP
US
N
2
Repurchase
Y
5.31000000
2024-05-01
2166826.00000000
USD
2040300.97240000
USD
UST
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XC7K8
8134028.70000000
PA
USD
6511491.70000000
0.731828759203
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Progressive Corp. (The)
529900TACNVLY9DCR586
Progressive Corp. (The)
743315AY9
860000.00000000
PA
USD
797740.49000000
0.089658324061
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJZ3
4075000.00000000
PA
USD
3545280.93000000
0.398455325379
Long
DBT
CORP
US
N
2
2029-06-14
Variable
2.08700000
N
N
N
N
N
N
Ares Capital Corp.
WEQ82666OJYSI5GUAB47
Ares Capital Corp.
04010LBB8
500000.00000000
PA
USD
439247.49000000
0.049367174282
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
2.87500000
N
N
N
N
N
Capital One Multi-Asset Execution Trust
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust, Series 2022-A3, Class A
14041NGB1
2200000.00000000
PA
USD
2182309.80000000
0.245270538106
Long
ABS-O
CORP
US
N
2
2027-10-15
Fixed
4.95000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DVLY9
8843324.50280000
PA
USD
7127361.75000000
0.801046602869
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Ares Capital Corp.
WEQ82666OJYSI5GUAB47
Ares Capital Corp.
04010LBA0
2350000.00000000
PA
USD
2157891.64000000
0.242526172827
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
2.15000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822BW3
880000.00000000
PA
USD
870208.93000000
0.097803076596
Long
DBT
CORP
JP
N
2
2025-07-19
Variable
0.95300000
N
N
N
N
N
N
PPM CLO 6-R Ltd.
2549003CULWUB4AA0151
PPM CLO 6-R Ltd., Series 2022-6RA, Class A1R
693975AC8
3300000.00000000
PA
USD
3336267.00000000
0.374964178942
Long
ABS-CBDO
CORP
JE
Y
2
2037-01-20
Floating
7.27455960
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3049.52000000
0.000342736586
N/A
DFE
N/A
N
2
Morgan Stanley & Co.
9R7GPTSO7KV3UQJZQ078
266692.44000000
CAD
196935.37000000
USD
2024-06-20
3049.52000000
N
N
N
2024-05-30
Nationwide Mutual Funds
David Majewski
David Majewski
Treasurer