0001752724-24-043434.txt : 20240227
0001752724-24-043434.hdr.sgml : 20240227
20240227164403
ACCESSION NUMBER: 0001752724-24-043434
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240227
DATE AS OF CHANGE: 20240227
PERIOD START: 20240630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: NEW COVENANT FUNDS
CENTRAL INDEX KEY: 0001070222
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-09025
FILM NUMBER: 24687733
BUSINESS ADDRESS:
STREET 1: 200 EAST 12TH ST
CITY: JEFFERSONVILLE
STATE: IN
ZIP: 47130
BUSINESS PHONE: 5025695984
MAIL ADDRESS:
STREET 1: 200 EAST 12TH ST
CITY: JEFFERSONVILLE
STATE: IN
ZIP: 47130
0001070222
S000024942
New Covenant Income Fund
C000074155
New Covenant Income Fund
NCICX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001070222
XXXXXXXX
S000024942
C000074155
NEW COVENANT FUNDS
811-09025
0001070222
RVB8BBBTG6J5RT8BQ908
200 EAST 12TH ST
JEFFERSONVILLE
47130
5025695984
New Covenant Income Fund
S000024942
YXU517QXOB92KBEH0A38
2024-06-30
2023-12-31
N
362730397.35
18725732.83
344004664.52
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
40131.96000000
USD
N
Barclays Intermediate Aggregate Index
LEHINT_AGG
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO6275
3140K16M3
626402.22000000
PA
USD
583029.79000000
0.169483105937
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786095
3622ABUU4
90088.16000000
PA
USD
79407.85000000
0.023083364323
Long
DBT
USGA
US
N
2
2052-04-20
Fixed
3.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 4.540000% 08/15/2026
95000U3C5
300000.00000000
PA
USD
296796.62000000
0.086276917324
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
4.54000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 1.250000% 01/15/2026
91324PDW9
20000.00000000
PA
USD
18726.51000000
0.005443679092
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
WISCONSIN ST GEN FD ANNUAL APPROPRIATION REV
N/A
WISCONSIN ST GEN FUND ANNUAL A STATE OF WISCONSIN
977100AC0
595000.00000000
PA
USD
601069.18000000
0.174727043552
Long
DBT
MUN
US
N
2
2026-05-01
Fixed
5.70000000
N
N
N
N
N
N
OCP SA
213800D26TAPVTCVWG40
OCP SA 144A 4.500000% 10/22/2025
67091TAC9
400000.00000000
PA
USD
389533.60000000
0.113234976201
Long
DBT
NUSS
MA
N
2
2025-10-22
Fixed
4.50000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1
31572LAA4
277366.27000000
PA
USD
220973.21000000
0.064235527244
Long
ABS-MBS
US
Y
2
2066-06-25
Floating
0.93099960
N
N
N
N
N
N
PG&E WILDFIRE RECOVERY FUNDING LLC
N/A
PG&E WILDFIRE RECOVERY FUNDING LLC 4.022000% 06/01/2031
693342AF4
703453.13000000
PA
USD
681501.01000000
0.198108072444
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
4.02200000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 4.650000% 05/06/2030
68389XCN3
70000.00000000
PA
USD
69724.97000000
0.020268611792
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
4.65000000
N
N
N
N
N
N
Korea Housing Finance Corporation
9884002AAOBT56QW9B80
KOREA HOUSING FINANCE CORP 144A 4.625000% 02/24/2033
50065RAL1
360000.00000000
PA
USD
352153.97000000
0.102368952028
Long
DBT
NUSS
KR
N
2
2033-02-24
Fixed
4.62500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 2.300000% 05/15/2031
91324PED0
20000.00000000
PA
USD
17330.37000000
0.005037829944
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.500000% 11/15/2033
91282CJJ1
320000.00000000
PA
USD
335950.00000000
0.097658559504
Long
SN
UST
US
N
2
2033-11-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-56 AQ
3136BBME9
200000.00000000
PA
USD
157816.56000000
0.045876284910
Long
DBT
USGA
US
N
2
2050-08-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9461
3140XDQP4
618292.30000000
PA
USD
569241.06000000
0.165474808544
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB7114
3140QS3Y5
489447.22000000
PA
USD
491802.68000000
0.142963956807
Long
DBT
USGA
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1217
3132DNK69
1070195.94000000
PA
USD
886954.52000000
0.257832120165
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.550000% 03/21/2031
92343VGJ7
1064000.00000000
PA
USD
917432.68000000
0.266691930262
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0352
3140XFMA6
272958.67000000
PA
USD
224098.60000000
0.065144058529
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 1.450000% 09/01/2025
58013MFL3
10000.00000000
PA
USD
9464.45000000
0.002751256298
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.45000000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 3.750000% 06/15/2027
96949LAD7
390000.00000000
PA
USD
375897.40000000
0.109271018323
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA4950
3140QCQC3
601982.43000000
PA
USD
560302.94000000
0.162876553078
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
MERCK & CO., INC.
4YV9Y5M8S0BRK1RP0397
MERCK & CO INC 1.450000% 06/24/2030
58933YAZ8
50000.00000000
PA
USD
41784.14000000
0.012146387624
Long
DBT
CORP
US
N
2
2030-06-24
Fixed
1.45000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-3 JPMMT 2018-3 A1
46649TAA4
82476.58000000
PA
USD
72566.90000000
0.021094743032
Long
ABS-MBS
US
N
2
2048-09-25
Floating
3.49999920
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 2.400000% 03/27/2025
654106AH6
40000.00000000
PA
USD
38894.64000000
0.011306428084
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6477
36179VFS4
16127.64000000
PA
USD
15932.81000000
0.004631568011
Long
DBT
USGA
US
N
2
2050-02-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA3913
3133KKK24
423581.64000000
PA
USD
366754.74000000
0.106613304360
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G07668
3128M9Z96
379677.75000000
PA
USD
373609.76000000
0.108606015712
Long
DBT
USGA
US
N
2
2037-07-01
Fixed
4.00000000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CASCADE MH ASSET TRUST 2021-MH1 CMHAT 2021-MH1 A1
14731QAA7
67664.67000000
PA
USD
58951.81000000
0.017136921699
Long
ABS-MBS
US
Y
2
2046-02-25
Fixed
1.75300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2245
3132DPP69
95663.95000000
PA
USD
96231.39000000
0.027973861963
Long
DBT
USGA
US
N
2
2052-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4099 ST
3137ASRX4
41845.25000000
PA
USD
5011.97000000
0.001456948267
Long
DBT
USGA
US
N
2
2042-08-15
Floating
0.54708120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.375000% 11/30/2028
91282CJN2
2411000.00000000
PA
USD
2467131.09000000
0.717179545644
Long
SN
UST
US
N
2
2028-11-30
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3444
3140X6ZJ3
288827.89000000
PA
USD
268830.88000000
0.078147451975
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
PENSKE TRUCK LEASING CO., L.P.
549300ZX07JYMI8GHQ39
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 144A 5.550000% 05/01/2028
709599BT0
916000.00000000
PA
USD
930054.22000000
0.270360932837
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1756
3140X45S1
246057.49000000
PA
USD
250035.41000000
0.072683726643
Long
DBT
USGA
US
N
2
2047-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN AB2892
36178NF95
40596.83000000
PA
USD
37040.56000000
0.010767458648
Long
DBT
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6448
3140XAEW8
82078.44000000
PA
USD
67814.76000000
0.019713325717
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.900000% 12/06/2028
437076BW1
10000.00000000
PA
USD
9850.09000000
0.002863359429
Long
DBT
CORP
US
N
2
2028-12-06
Fixed
3.90000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 3.200000% 03/10/2032
89114TZV7
807000.00000000
PA
USD
714839.47000000
0.207799353824
Long
DBT
NUSS
CA
N
2
2032-03-10
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H13 FM
38380QGX4
156156.18000000
PA
USD
153966.28000000
0.044757032645
Long
DBT
USGA
US
N
2
2070-08-20
Floating
5.83719120
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.188000% 04/28/2026
6174468Q5
400000.00000000
PA
USD
384261.87000000
0.111702517329
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 2.450000% 08/04/2026
037833BZ2
70000.00000000
PA
USD
66723.12000000
0.019395992811
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0546
3140FXTC6
509916.51000000
PA
USD
422263.12000000
0.122749242539
Long
DBT
USGA
US
N
2
2061-07-01
Fixed
2.50000000
N
N
N
N
N
N
THE COCA-COLA COMPANY
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE 3.375000% 03/25/2027
191216CR9
30000.00000000
PA
USD
29298.32000000
0.008516838003
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4120
31418DSJ2
54459.45000000
PA
USD
46661.54000000
0.013564217236
Long
DBT
USGA
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS3 WFCM 2015-NXS3 ASB
94989VAE9
61443.67000000
PA
USD
60000.06000000
0.017441641404
Long
ABS-MBS
US
N
2
2057-09-15
Fixed
3.37100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G67701
3132XCRW7
132203.15000000
PA
USD
120769.11000000
0.035106823382
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.125000% 08/31/2027
91282CFH9
30000.00000000
PA
USD
29156.25000000
0.008475539144
Long
SN
UST
US
N
2
2027-08-31
Fixed
3.12500000
N
N
N
N
N
N
EQUATE Petrochemical B.V.
635400Y3Z5R4NJSMQ630
MEGLOBAL BV MTN 4.250000% 11/03/2026
29441WAC9
200000.00000000
PA
USD
193001.60000000
0.056104355523
Long
DBT
NUSS
KW
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5117
3133KLVJ3
321055.51000000
PA
USD
265289.68000000
0.077118047329
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 5.750000% 12/01/2028
444859BZ4
200000.00000000
PA
USD
209054.85000000
0.060770934688
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-44.00000000
NC
USD
-9060218.75000000
-2.63374880763
N/A
DIR
US
N
1
US 2YR NOTE (CBT) MAR24
N/A
Short
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2024
2024-03-31
-8965509.82000000
USD
-94708.93000000
N
N
N
KINDER MORGAN, INC.
549300WR7IX8XE0TBO16
KINDER MORGAN INC 5.550000% 06/01/2045
49456BAH4
20000.00000000
PA
USD
19237.21000000
0.005592136381
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786366
3622AB6B3
93373.63000000
PA
USD
91143.90000000
0.026494960505
Long
DBT
USGA
US
N
2
2052-08-20
Fixed
4.50000000
N
N
N
N
N
N
Petroleos del Peru - Petroperu S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 4.750000% 06/19/2032
716564AA7
400000.00000000
PA
USD
285693.36000000
0.083049269229
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS PASS-THROUGH TRUST 144A 7.507000% 01/10/2032
126650BS8
872495.65000000
PA
USD
917700.91000000
0.266769903042
Long
DBT
CORP
US
N
2
2032-01-10
Fixed
7.50700000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS9068
3140LLCE9
100000.00000000
PA
USD
101424.78000000
0.029483547887
Long
DBT
USGA
US
N
2
2033-07-01
Fixed
4.68000000
N
N
N
N
N
N
Duke Energy Carolinas, LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAROLINAS LLC 2.850000% 03/15/2032
26442CBG8
1057000.00000000
PA
USD
921345.75000000
0.267829435186
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.85000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 4.054000% 03/15/2029
55903VBB8
387000.00000000
PA
USD
367181.97000000
0.106737497444
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD4365
3132E0Z62
99396.86000000
PA
USD
100006.84000000
0.029071361616
Long
DBT
USGA
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5084
3133KYUH0
292441.02000000
PA
USD
244298.83000000
0.071016138790
Long
DBT
USGA
US
N
2
2040-11-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4305
31418DYB2
322723.27000000
PA
USD
264961.98000000
0.077022786993
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.100000% 03/22/2028
92343VGH1
90000.00000000
PA
USD
81414.40000000
0.023666655832
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
DUNKIN BRANDS
N/A
DB MASTER FINANCE LLC DNKN 2021-1A A2II
233046AQ4
1028020.00000000
PA
USD
914281.92000000
0.265776024076
Long
ABS-MBS
US
Y
2
2051-11-20
Fixed
2.49300000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5652
36179UH54
8304.35000000
PA
USD
8204.52000000
0.002385002543
Long
DBT
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1
670857AA9
234645.36000000
PA
USD
180211.18000000
0.052386260590
Long
ABS-MBS
US
Y
2
2061-05-25
Floating
1.10099880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA9437
3133KRPW8
98227.40000000
PA
USD
98730.72000000
0.028700401530
Long
DBT
USGA
US
N
2
2053-07-01
Fixed
5.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 4.800000% 02/01/2049
29379VBU6
30000.00000000
PA
USD
28376.98000000
0.008249010239
Long
DBT
CORP
US
N
2
2049-02-01
Fixed
4.80000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785821
3622ABLA8
174252.91000000
PA
USD
150715.68000000
0.043812103597
Long
DBT
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
ALPHABET INC.
5493006MHB84DD0ZWV18
ALPHABET INC 1.100000% 08/15/2030
02079KAD9
40000.00000000
PA
USD
33132.18000000
0.009631317077
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1462
3140XGTU3
85318.83000000
PA
USD
79343.47000000
0.023064649460
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.658000% 05/24/2028
172967NS6
140000.00000000
PA
USD
138882.83000000
0.040372368262
Long
DBT
CORP
US
N
2
2028-05-24
Fixed
4.65800000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM5 TRUST CSMC 2021-NQM5 A1
22946DAA0
118596.94000000
PA
USD
93885.18000000
0.027291833420
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
0.93800160
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-34 SA
38378D2U8
15948.17000000
PA
USD
1920.51000000
0.000558280220
Long
DBT
USGA
US
N
2
2042-03-20
Floating
0.57759840
N
N
N
N
N
N
PAYPAL HOLDINGS, INC.
5493005X2GO78EFZ3E94
PAYPAL HOLDINGS INC 1.650000% 06/01/2025
70450YAG8
60000.00000000
PA
USD
57264.84000000
0.016646530092
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0034
3140XFBC4
83785.29000000
PA
USD
75562.44000000
0.021965527736
Long
DBT
USGA
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BX7702
3140NCRY7
90985.83000000
PA
USD
93351.04000000
0.027136562270
Long
DBT
USGA
US
N
2
2053-02-01
Fixed
6.50000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2022-NQM1 TRUST OBX 2022-NQM1 A1
67114VAA1
326055.30000000
PA
USD
279542.01000000
0.081261110336
Long
ABS-MBS
US
Y
2
2061-11-25
Floating
2.30500080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4965
3140X8QT7
552084.83000000
PA
USD
498463.77000000
0.144900293923
Long
DBT
USGA
US
N
2
2035-12-01
Fixed
2.00000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 M2
89177HAD4
100000.00000000
PA
USD
101334.78000000
0.029457385451
Long
ABS-MBS
US
N
2
2058-05-25
Floating
7.35737040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS7738
3132A8S34
342661.98000000
PA
USD
324551.81000000
0.094345177107
Long
DBT
USGA
US
N
2
2031-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5878
36179UQ70
18275.70000000
PA
USD
18354.95000000
0.005335668929
Long
DBT
USGA
US
N
2
2049-04-20
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2014-6 Z
3136AH6K1
128102.24000000
PA
USD
110535.30000000
0.032131918953
Long
DBT
USGA
US
N
2
2044-02-25
Fixed
2.50000000
N
N
N
N
N
N
3 Month SOFR Opt Dec24P 95.5
N/A
3 Month SOFR Opt Dec24P 95.5 SHORT
00YJ400Q7
-39.00000000
NC
USD
-19500.00000000
-0.00566852778
N/A
DIR
US
N
1
3 Month SOFR Opt Dec24P 95.5
N/A
Put
Written
N/A
N/A
-97500.00000000
95.50000000
USD
2024-12-16
XXXX
3343.10000000
N
N
N
United States of America
N/A
US LONG BOND(CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-190.00000000
NC
USD
-23738125.00000000
-6.90052416385
N/A
DIR
US
N
1
US LONG BOND(CBT) MAR24
N/A
Short
U.S. Treasury Futures
US Long Bond (CBT) Mar 2024
2024-03-22
-21910527.35000000
USD
-1827597.65000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5110
3133KYVB2
243103.18000000
PA
USD
201826.61000000
0.058669730621
Long
DBT
USGA
US
N
2
2041-05-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785791
3622ABKC5
167686.94000000
PA
USD
144303.80000000
0.041948210266
Long
DBT
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.625000% 09/15/2026
91282CHY0
30000.00000000
PA
USD
30418.36000000
0.008842426611
Long
SN
UST
US
N
2
2026-09-15
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2763
3132DQB88
94936.08000000
PA
USD
95416.62000000
0.027737013430
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR5587
3140L4F53
79591.17000000
PA
USD
66191.96000000
0.019241587927
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
NEW YORK ST URBAN DEV CORP REV
N/A
NEW YORK ST URBAN DEV CORP REV NEW YORK STATE URBAN DEVELOPMENT CORP
650036EN2
380000.00000000
PA
USD
369049.92000000
0.107280498802
Long
DBT
MUN
US
N
2
2026-03-15
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA5969
3140QDT38
991918.54000000
PA
USD
852173.47000000
0.247721486913
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM3 CSMC 2021-NQM3 A3
12660LAC3
149066.65000000
PA
USD
124497.37000000
0.036190605198
Long
ABS-MBS
US
Y
2
2066-04-25
Floating
1.63199880
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP ZERO COUPON 10/10/2036
674599DG7
1346000.00000000
PA
USD
716745.00000000
0.208353279453
Long
DBT
CORP
US
N
2
2036-10-10
Fixed
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0549
3140XFTF8
177255.10000000
PA
USD
152247.80000000
0.044257481279
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)
01F050619
700000.00000000
PA
USD
692507.82000000
0.201307683128
Long
DBT
USGA
US
N
2
2054-01-15
Fixed
5.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.583000% 06/19/2029
404280BT5
200000.00000000
PA
USD
193921.40000000
0.056371735618
Long
DBT
NUSS
GB
N
2
2029-06-19
Fixed
4.58300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4577
3140X8CP0
70706.04000000
PA
USD
60892.67000000
0.017701117537
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.908000% 07/23/2025
161175AY0
490000.00000000
PA
USD
485341.77000000
0.141085810762
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G60199
31335AGG7
474420.87000000
PA
USD
476470.83000000
0.138507084101
Long
DBT
USGA
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.850000% 12/15/2025
25179MAV5
210000.00000000
PA
USD
212265.98000000
0.061704390054
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
GLENCORE FUNDING LLC 144A 4.125000% 03/12/2024
378272AT5
60000.00000000
PA
USD
59780.54000000
0.017377828316
Long
DBT
CORP
AU
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2018-74 AB
3136B3HQ6
65157.29000000
PA
USD
60596.08000000
0.017614900682
Long
DBT
USGA
US
N
2
2048-10-25
Fixed
3.50000000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C23 WFRBS 2014-C23 B
92939HBB0
270000.00000000
PA
USD
224491.53000000
0.065258280818
Long
ABS-MBS
US
N
2
2057-10-15
Floating
4.38815880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0424
3140XFPJ4
257446.10000000
PA
USD
221832.48000000
0.064485311648
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U90903
3132H4AC5
20800.24000000
PA
USD
19568.80000000
0.005688527516
Long
DBT
USGA
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3126
3140QNPL0
95345.82000000
PA
USD
88582.21000000
0.025750293276
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2674
3140X56L2
268650.58000000
PA
USD
257495.82000000
0.074852421073
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0024
3140XFA27
75559.79000000
PA
USD
65695.64000000
0.019097310814
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 3.625000% 04/01/2027
126650DH0
180000.00000000
PA
USD
174418.02000000
0.050702225286
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.600000% 11/21/2024
00287YBZ1
140000.00000000
PA
USD
136765.81000000
0.039756963816
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2017-20J 1
83162CYX5
350485.58000000
PA
USD
321320.90000000
0.093405971819
Long
ABS-MBS
US
N
2
2037-10-01
Fixed
2.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0781
3132DM2N4
80188.72000000
PA
USD
71337.40000000
0.020737335088
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
SHOPS AT CRYSTALS TRUST
N/A
SHOPS AT CRYSTALS TRUST 2016-CSTL SHOPS 2016-CSTL A
82510WAA8
100000.00000000
PA
USD
93242.98000000
0.027105149905
Long
ABS-MBS
US
N
2
2036-07-05
Fixed
3.12550000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2021-1 IG
3136BDY93
417109.30000000
PA
USD
67634.61000000
0.019660957241
Long
DBT
USGA
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN 1.850000% 05/01/2025
06367WB85
130000.00000000
PA
USD
124638.15000000
0.036231529061
Long
DBT
NUSS
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785568
3622ABCD2
241708.12000000
PA
USD
209071.36000000
0.060775734041
Long
DBT
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 2.650000% 10/21/2032
38141GYN8
110000.00000000
PA
USD
91664.31000000
0.026646240430
Long
DBT
CORP
US
N
2
2032-10-21
Fixed
2.65000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7590
36179WNF1
760457.42000000
PA
USD
688749.63000000
0.200215200849
Long
DBT
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4587
36179TCY9
24447.12000000
PA
USD
23564.90000000
0.006850168742
Long
DBT
USGA
US
N
2
2047-07-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 409 C18
3136FLFM3
7631.84000000
PA
USD
1398.97000000
0.000406671811
Long
DBT
USGA
US
N
2
2042-04-25
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.875000% 05/15/2052
912810TG3
80000.00000000
PA
USD
63693.75000000
0.018515373937
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841090
31288QF70
445805.81000000
PA
USD
452661.34000000
0.131585814579
Long
DBT
USGA
US
N
2
2046-10-01
Floating
5.26500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.000000% 03/22/2027
92343VFF6
120000.00000000
PA
USD
114087.22000000
0.033164439836
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.00000000
N
N
N
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 6.114000% 09/11/2034
456837BH5
539000.00000000
PA
USD
565285.25000000
0.164324879370
Long
DBT
NUSS
NL
N
2
2034-09-11
Fixed
6.11400000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.879000% 10/30/2030
95000U2G7
100000.00000000
PA
USD
88896.22000000
0.025841574015
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA9018
36179YAT1
296264.50000000
PA
USD
301311.93000000
0.087589489642
Long
DBT
USGA
US
N
2
2053-07-20
Fixed
6.00000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.500000% 04/15/2025
87264ABB0
150000.00000000
PA
USD
146829.34000000
0.042682368916
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1171
3140XGJR1
212029.88000000
PA
USD
187651.35000000
0.054549071380
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 05/31/2028
91282CHE4
4468000.00000000
PA
USD
4420702.02000000
1.285070371405
Long
SN
UST
US
N
2
2028-05-31
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5529
36179UEA6
38042.02000000
PA
USD
37588.46000000
0.010926729744
Long
DBT
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4454
3140XK5Q9
92925.13000000
PA
USD
94549.01000000
0.027484804641
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
6.00000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.600000% 05/14/2025
00287YAQ2
10000.00000000
PA
USD
9818.91000000
0.002854295599
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-H30 GA
38375BA77
132302.87000000
PA
USD
131317.31000000
0.038173119013
Long
DBT
USGA
US
N
2
2062-12-20
Floating
5.78719080
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786474
3622ACCK4
94317.42000000
PA
USD
94322.85000000
0.027419061346
Long
DBT
USGA
US
N
2
2053-01-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786340
3622AB4Z2
94200.92000000
PA
USD
94704.58000000
0.027530027865
Long
DBT
USGA
US
N
2
2052-09-20
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM3286
3140J7UL7
233987.18000000
PA
USD
232529.60000000
0.067594897390
Long
DBT
USGA
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.375000% 05/15/2033
91282CHC8
270000.00000000
PA
USD
259115.63000000
0.075323289688
Long
SN
UST
US
N
2
2033-05-15
Fixed
3.37500000
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 3.150000% 12/14/2025
92826CAD4
50000.00000000
PA
USD
48783.43000000
0.014181037361
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
THE KROGER CO.
6CPEOKI6OYJ13Q6O7870
KROGER CO/THE 7.700000% 06/01/2029
501044BT7
565000.00000000
PA
USD
637833.36000000
0.185414160267
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
7.70000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786082
3622ABUF7
86224.37000000
PA
USD
78355.52000000
0.022777458587
Long
DBT
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2981
3132DQJ23
91147.80000000
PA
USD
93604.28000000
0.027210177551
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB0714
3133KTYK0
85676.75000000
PA
USD
73208.77000000
0.021281330618
Long
DBT
USGA
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
WALMART INC.
Y87794H0US1R65VBXU25
WALMART INC 1.800000% 09/22/2031
931142ET6
160000.00000000
PA
USD
135575.74000000
0.039411017925
Long
DBT
CORP
US
N
2
2031-09-22
Fixed
1.80000000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
MOODY'S CORP 2.000000% 08/19/2031
615369AW5
1000000.00000000
PA
USD
829804.46000000
0.241218955899
Long
DBT
CORP
US
N
2
2031-08-19
Fixed
2.00000000
N
N
N
N
N
N
APTIV PLC
N/A
APTIV PLC / APTIV CORP 3.250000% 03/01/2032
00217GAB9
639000.00000000
PA
USD
564490.18000000
0.164093757504
Long
DBT
NUSS
US
N
2
2032-03-01
Fixed
3.25000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 4.253000% 03/23/2028
90352JAC7
250000.00000000
PA
USD
241265.94000000
0.070134496675
Long
DBT
NUSS
CH
N
2
2028-03-23
Fixed
4.25300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3672
3140XKCJ7
96520.04000000
PA
USD
98025.30000000
0.028495340357
Long
DBT
USGA
US
N
2
2053-02-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.125000% 08/15/2040
912810SQ2
430000.00000000
PA
USD
274460.94000000
0.079784075132
Long
DBT
UST
US
N
1
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8146
3132DWBP7
325445.15000000
PA
USD
266859.86000000
0.077574488814
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BM9743
3617K1ZG1
68655.06000000
PA
USD
65691.60000000
0.019096136411
Long
DBT
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G08660
3128MJWW6
25961.07000000
PA
USD
25063.10000000
0.007285686092
Long
DBT
USGA
US
N
2
2045-08-01
Fixed
4.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-NQM4 NRZT 2022-NQM4 A1
64831UAA2
323789.34000000
PA
USD
321304.39000000
0.093401172466
Long
ABS-MBS
US
Y
2
2062-06-25
Fixed
5.00000000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINANCE CO. L.L.C.
549300D2L6J4NC1QVZ22
BLACKSTONE HOLDINGS FINANCE CO LLC 144A 1.600000% 03/30/2031
09261BAA8
590000.00000000
PA
USD
460962.53000000
0.133998918486
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
1.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3773
3140X7FP9
106261.57000000
PA
USD
99170.97000000
0.028828379446
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7554
3132DVMB8
530045.90000000
PA
USD
456838.94000000
0.132800216717
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)
01F040610
100000.00000000
PA
USD
94574.22000000
0.027492133030
Long
DBT
USGA
US
N
2
2054-01-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QF5465
3133BTCA6
93579.30000000
PA
USD
92656.37000000
0.026934626054
Long
DBT
USGA
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2991
3132DQKC9
94337.25000000
PA
USD
81571.23000000
0.023712245330
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA7185
3133KN6W8
263471.17000000
PA
USD
250236.18000000
0.072742089224
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 CD8312
3617VKGV5
72602.50000000
PA
USD
62402.27000000
0.018139948796
Long
DBT
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 5.800000% 11/01/2030
682680BK8
50000.00000000
PA
USD
51982.22000000
0.015110905566
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
5.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5138
3133KYV71
255094.06000000
PA
USD
217973.80000000
0.063363617555
Long
DBT
USGA
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
NEW YORK ST URBAN DEV CORP REV
N/A
NEW YORK ST URBAN DEV CORP REV NEW YORK STATE URBAN DEVELOPMENT CORP
650036EP7
285000.00000000
PA
USD
276787.44000000
0.080460374101
Long
DBT
MUN
US
N
2
2026-03-15
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4031
31418DPR7
22297.11000000
PA
USD
21882.96000000
0.006361239325
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 3.375000% 03/27/2050
654106AM5
10000.00000000
PA
USD
8167.25000000
0.002374168388
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7321
3140XBD31
294235.09000000
PA
USD
283892.25000000
0.082525697840
Long
DBT
USGA
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QE1492
3133BAUR0
87131.41000000
PA
USD
80775.47000000
0.023480922885
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 6.204000% 11/10/2028
06051GLC1
584000.00000000
PA
USD
609194.22000000
0.177088941758
Long
DBT
CORP
US
N
2
2028-11-10
Fixed
6.20400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8864
3140XCZ68
80021.60000000
PA
USD
68982.25000000
0.020052707743
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG V83157
3132L8QJ9
228942.74000000
PA
USD
225632.25000000
0.065589880972
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0301
3140FXKP6
70136.38000000
PA
USD
68311.14000000
0.019857620272
Long
DBT
USGA
US
N
2
2058-08-01
Fixed
4.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25E 1
83162CP56
928583.24000000
PA
USD
865616.85000000
0.251629393225
Long
ABS-MBS
US
N
2
2047-05-01
Fixed
3.94000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0384
3132D9M92
285906.88000000
PA
USD
245012.46000000
0.071223586558
Long
DBT
USGA
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA4110
3140QBR83
35849.38000000
PA
USD
32171.96000000
0.009352187141
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.050000% 02/15/2028
87264ACA1
20000.00000000
PA
USD
18045.79000000
0.005245798054
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 928938
31412MBF4
1092.88000000
PA
USD
1127.54000000
0.000327768811
Long
DBT
USGA
US
N
2
2037-12-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q19611
3132JBDR1
23392.37000000
PA
USD
22786.04000000
0.006623759021
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
3276751.41000000
NS
USD
3276751.41000000
0.952531098545
Long
STIV
RF
US
N
1
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 784905
3622AAKS2
59582.52000000
PA
USD
54016.84000000
0.015702356848
Long
DBT
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5373
3133KL6J1
83273.71000000
PA
USD
68738.21000000
0.019981766844
Long
DBT
USGA
US
N
2
2051-06-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BL0957
3140HSB34
194273.54000000
PA
USD
188838.98000000
0.054894307977
Long
DBT
USGA
US
N
2
2029-01-01
Fixed
3.78000000
N
N
N
N
N
N
FLORIDA POWER & LIGHT COMPANY
A89MY1K3YLIGJMYWVX50
FLORIDA POWER & LIGHT CO 2.450000% 02/03/2032
341081GG6
544000.00000000
PA
USD
467140.25000000
0.135794742972
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.45000000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 1.250000% 03/15/2026
125523CP3
725000.00000000
PA
USD
671850.42000000
0.195302706414
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.25000000
N
N
N
N
N
N
AUTOZONE, INC.
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 5.050000% 07/15/2026
053332BE1
100000.00000000
PA
USD
100612.16000000
0.029247324346
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.05000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5137
36179TV69
94603.68000000
PA
USD
91383.14000000
0.026564506073
Long
DBT
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786077
3622ABUA8
82294.32000000
PA
USD
74563.69000000
0.021675197370
Long
DBT
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 787058
3622ACWT3
196707.35000000
PA
USD
196179.56000000
0.057028168578
Long
DBT
USGA
US
N
2
2053-08-20
Fixed
5.00000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.200000% 11/21/2029
00287YBX6
150000.00000000
PA
USD
140218.43000000
0.040760618811
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U91254
3132HBH73
42904.62000000
PA
USD
41686.34000000
0.012117957777
Long
DBT
USGA
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.750000% 11/15/2043
912810TW8
690000.00000000
PA
USD
740132.81000000
0.215151969242
Long
DBT
UST
US
N
2
2043-11-15
Fixed
4.75000000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 5.550000% 11/01/2026
682680BH5
100000.00000000
PA
USD
101759.70000000
0.029580907032
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.55000000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-1 DRMT 2022-1 A1
24382JAA4
264014.56000000
PA
USD
234908.27000000
0.068286361851
Long
ABS-MBS
US
Y
2
2067-01-25
Floating
2.20500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0101
3140QKDF2
77175.41000000
PA
USD
68712.03000000
0.019974156482
Long
DBT
USGA
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0560
3140FXTS1
87958.07000000
PA
USD
72837.96000000
0.021173538475
Long
DBT
USGA
US
N
2
2061-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q26814
3132M7GX0
57589.90000000
PA
USD
55722.99000000
0.016198323961
Long
DBT
USGA
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6544
36179VHV5
17571.09000000
PA
USD
17354.34000000
0.005044797873
Long
DBT
USGA
US
N
2
2050-03-20
Fixed
4.50000000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 5.300000% 02/01/2028
00914AAU6
90000.00000000
PA
USD
90991.18000000
0.026450565758
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG L00016
3128DFAR9
412083.45000000
PA
USD
419342.65000000
0.121900280214
Long
DBT
USGA
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0340
3132D9LV4
92531.48000000
PA
USD
84442.64000000
0.024546946221
Long
DBT
USGA
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5117
3133KYVJ5
247914.80000000
PA
USD
205435.43000000
0.059718791978
Long
DBT
USGA
US
N
2
2041-07-01
Fixed
1.50000000
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2019-SB58 MORTGAGE TRUST FRESB 2019-SB58 A10F
30308MAG2
534345.57000000
PA
USD
509596.93000000
0.148136633760
Long
ABS-MBS
US
N
2
2028-10-25
Floating
3.61000080
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.650000% 11/20/2040
92343VFT6
130000.00000000
PA
USD
93667.54000000
0.027228566836
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS0038
3138W9BG4
38913.48000000
PA
USD
35764.04000000
0.010396382284
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-47 GZ
3136BAS21
107244.56000000
PA
USD
65471.28000000
0.019032090768
Long
DBT
USGA
US
N
2
2050-07-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-56 DI
3136BBMQ2
75859.71000000
PA
USD
11811.64000000
0.003433569721
Long
DBT
USGA
US
N
2
2050-08-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ5101
3140KQU33
571757.81000000
PA
USD
509389.52000000
0.148076340973
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4474
31418D6L1
83863.93000000
PA
USD
72110.98000000
0.020962209945
Long
DBT
USGA
US
N
2
2041-11-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 890843
31410LWC2
151166.78000000
PA
USD
137630.17000000
0.040008227851
Long
DBT
USGA
US
N
2
2047-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA8790
3133KQXT8
97438.62000000
PA
USD
96434.20000000
0.028032817559
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 934648
31412TZM8
2766.79000000
PA
USD
2912.79000000
0.000846729797
Long
DBT
USGA
US
N
2
2038-11-01
Fixed
7.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.699000% 01/22/2031
6174468L6
200000.00000000
PA
USD
174835.30000000
0.050823525966
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2005-29 ZA
31394DEV8
74791.96000000
PA
USD
77302.47000000
0.022471343552
Long
DBT
USGA
US
N
2
2035-04-25
Fixed
5.50000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2 SCRT 2019-2 MA
35563PKG3
533763.22000000
PA
USD
502984.19000000
0.146214351686
Long
ABS-MBS
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
NXP B.V.
724500RKKW4NOJ9YQF60
NXP BV / NXP FUNDING LLC / NXP USA INC 2.700000% 05/01/2025
62954HAW8
40000.00000000
PA
USD
38553.33000000
0.011207211406
Long
DBT
NUSS
CN
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.750000% 11/15/2053
912810TV0
170000.00000000
PA
USD
190639.06000000
0.055417579952
Long
DBT
UST
US
N
2
2053-11-15
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-168 PA
38381BDT8
42404.13000000
PA
USD
40391.35000000
0.011741512300
Long
DBT
USGA
US
N
2
2048-08-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-96 IN
3136BDXA1
700017.69000000
PA
USD
115988.52000000
0.033717135830
Long
DBT
USGA
US
N
2
2051-01-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q53595
3132XV7H0
354826.69000000
PA
USD
331024.20000000
0.096226660316
Long
DBT
USGA
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS6158
3140XMZY5
197323.60000000
PA
USD
186661.45000000
0.054261313654
Long
DBT
USGA
US
N
2
2052-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5423
3140X9AZ8
72984.44000000
PA
USD
62888.16000000
0.018281193973
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785944
3622ABP55
260370.32000000
PA
USD
236366.66000000
0.068710306684
Long
DBT
USGA
US
N
2
2052-02-20
Fixed
3.00000000
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST 144A 3.850000% 04/11/2025
36143L2J3
1114000.00000000
PA
USD
1091364.87000000
0.317252927812
Long
DBT
CORP
US
N
2
2025-04-11
Fixed
3.85000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.500000% 01/31/2028
91282CGH8
5864000.00000000
PA
USD
5771458.75000000
1.677726887236
Long
SN
UST
US
N
2
2028-01-31
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
US 10YR FUT OPTN Feb24C 114 SHORT
N/A
-14.00000000
NC
USD
-6781.25000000
-0.00197126687
N/A
DIR
US
N
1
US 10YR FUT OPTN Feb24C 114
N/A
Call
Written
N/A
Call Option 114 Jan 2024 on US 10 Year Treasury Note Future (consolidated) Mar 2024
-14000.00000000
114.00000000
USD
2024-01-29
XXXX
-461.72000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE TRUST 2003-W2 FNW 2003-W2 2A9
31392JAQ2
261503.69000000
PA
USD
262505.67000000
0.076308753070
Long
DBT
USGA
US
N
2
2042-07-25
Fixed
5.90000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
DEERE & CO 3.100000% 04/15/2030
244199BJ3
10000.00000000
PA
USD
9276.91000000
0.002696739595
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.10000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.625000% 02/26/2044
195325BR5
280000.00000000
PA
USD
235063.88000000
0.068331596703
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0104
3140FXDJ8
36247.42000000
PA
USD
35279.64000000
0.010255570240
Long
DBT
USGA
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP MTN 2.215000% 01/27/2028
91159HJC5
60000.00000000
PA
USD
55137.62000000
0.016028160570
Long
DBT
CORP
US
N
2
2028-01-27
Fixed
2.21500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5877
36179UQ62
21815.50000000
PA
USD
21550.93000000
0.006264720285
Long
DBT
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 4.300000% 03/25/2028
126650CX6
164000.00000000
PA
USD
161219.85000000
0.046865599983
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN AA5649
36178DH20
16824.46000000
PA
USD
15373.62000000
0.004469014983
Long
DBT
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1387
3140X4RH1
466076.77000000
PA
USD
470763.51000000
0.136848001946
Long
DBT
USGA
US
N
2
2049-06-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA9358
3140QHMG7
75490.99000000
PA
USD
67212.70000000
0.019538310648
Long
DBT
USGA
US
N
2
2041-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5817
36179UPA4
62018.85000000
PA
USD
59792.72000000
0.017381368965
Long
DBT
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 4.194000% 04/01/2031
225401AP3
250000.00000000
PA
USD
232760.76000000
0.067662094153
Long
DBT
NUSS
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5313
3140X83X3
79176.67000000
PA
USD
68091.36000000
0.019793731603
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AK4523
3138E9AZ3
291460.61000000
PA
USD
283512.21000000
0.082415222594
Long
DBT
USGA
US
N
2
2042-03-01
Fixed
4.00000000
N
N
N
N
N
N
NSTAR ELECTRIC COMPANY
54930080R72Y2Z31UR68
NSTAR ELECTRIC CO 1.950000% 08/15/2031
67021CAR8
1000000.00000000
PA
USD
817667.76000000
0.237690893273
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
1.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1924
3140XHD61
85503.17000000
PA
USD
72941.96000000
0.021203770623
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BK2620
3140HF4E6
60531.29000000
PA
USD
52124.24000000
0.015152189890
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
DEERE & CO 3.750000% 04/15/2050
244199BK0
10000.00000000
PA
USD
8742.67000000
0.002541439376
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
Ferguson Finance Plc
2138003A7ZEU931DZL61
FERGUSON FINANCE PLC 144A 3.250000% 06/02/2030
314890AB0
851000.00000000
PA
USD
761029.01000000
0.221226363619
Long
DBT
NUSS
US
N
2
2030-06-02
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8490
36179XNF9
94909.56000000
PA
USD
94305.97000000
0.027414154436
Long
DBT
USGA
US
N
2
2052-12-20
Fixed
5.00000000
N
N
N
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE MTN 3.300000% 08/23/2029
06406YAA0
790000.00000000
PA
USD
739298.91000000
0.214909559738
Long
DBT
CORP
US
N
2
2029-08-23
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1749
3132DN5J8
92207.54000000
PA
USD
79222.10000000
0.023029367962
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5819
3140X9PD1
604585.80000000
PA
USD
580043.29000000
0.168614949105
Long
DBT
USGA
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q17792
3132J9C63
77436.21000000
PA
USD
73072.01000000
0.021241575343
Long
DBT
USGA
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2010-20H 1
83162CTL7
104735.16000000
PA
USD
100430.96000000
0.029194650642
Long
ABS-MBS
US
N
2
2030-08-01
Fixed
3.52000000
N
N
N
N
N
N
SMALL BUSINESS INVESTMENT COMPANIES
N/A
SBA SMALL BUSINESS INVESTMENT COS SBIC 2023-10A 1
83162CS79
901364.38000000
PA
USD
904229.55000000
0.262853863118
Long
ABS-MBS
US
N
2
2033-03-10
Fixed
5.16800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4540
31418EBJ8
86561.72000000
PA
USD
73925.25000000
0.021489606864
Long
DBT
USGA
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4805
3140XLKT4
98694.04000000
PA
USD
100480.20000000
0.029208964401
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3196
3140XJRS4
856838.42000000
PA
USD
711417.30000000
0.206804550453
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786535
3622ACEG1
96261.50000000
PA
USD
97352.07000000
0.028299636615
Long
DBT
USGA
US
N
2
2053-02-20
Fixed
5.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 3.350000% 03/02/2033
95000U2U6
40000.00000000
PA
USD
34936.65000000
0.010155865196
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786916
3622ACSD3
298948.53000000
PA
USD
302155.04000000
0.087834576435
Long
DBT
USGA
US
N
2
2053-08-20
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9292
3140XDKE5
249419.49000000
PA
USD
223415.05000000
0.064945354828
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB1152
31416WH62
10444.10000000
PA
USD
10317.46000000
0.002999220959
Long
DBT
USGA
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
EXELON CORPORATION
3SOUA6IRML7435B56G12
EXELON CORP 5.625000% 06/15/2035
30161NAC5
343000.00000000
PA
USD
349059.00000000
0.101469263647
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1014
3140XGDU0
86240.59000000
PA
USD
71491.54000000
0.020782142620
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2672
31418B6J0
93425.18000000
PA
USD
87125.33000000
0.025326787391
Long
DBT
USGA
US
N
2
2036-07-01
Fixed
3.00000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING LLC HERTZ 2021-1A B
42806MAB5
240000.00000000
PA
USD
231185.02000000
0.067204036411
Long
ABS-MBS
US
Y
2
2025-12-26
Fixed
1.56000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR9750
3140L8ZQ6
82543.88000000
PA
USD
67620.54000000
0.019656867180
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5018 MI
3137FXC89
81576.18000000
PA
USD
10703.78000000
0.003111521762
Long
DBT
USGA
US
N
2
2050-10-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QD6079
3133B3XG7
174832.85000000
PA
USD
150714.93000000
0.043811885577
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 4.125000% 08/01/2025
05369AAD3
160000.00000000
PA
USD
155294.41000000
0.045143111712
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.12500000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 2.150000% 01/15/2031
723787AR8
70000.00000000
PA
USD
59468.35000000
0.017287076639
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1263
3140X4MM5
39608.02000000
PA
USD
38981.87000000
0.011331785298
Long
DBT
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BV8546
3140MNP83
86352.04000000
PA
USD
80242.97000000
0.023326128473
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC2817
3140EXDX8
58976.89000000
PA
USD
53712.82000000
0.015613980140
Long
DBT
USGA
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA1293
3133KGNJ3
90858.32000000
PA
USD
81892.34000000
0.023805589995
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 02/15/2051
912810SU3
1520000.00000000
PA
USD
963834.37000000
0.280180610732
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A
056054AA7
371267.96000000
PA
USD
370323.97000000
0.107650857152
Long
ABS-MBS
US
N
2
2036-10-15
Floating
6.39628920
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING III LP HERTZ 2021-2A C
42806MAG4
300000.00000000
PA
USD
268822.50000000
0.078145015962
Long
ABS-MBS
US
Y
2
2027-12-27
Fixed
2.52000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.300000% 11/20/2026
172967JC6
40000.00000000
PA
USD
39199.70000000
0.011395107114
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
4.30000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA4 STACR 2022-DNA4 M1A
35564KWS4
217059.40000000
PA
USD
220108.80000000
0.063984248674
Long
DBT
USGA
US
N
2
2042-05-25
Floating
7.53743160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB6753
3140QSQF1
288378.02000000
PA
USD
294376.46000000
0.085573391980
Long
DBT
USGA
US
N
2
2053-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786579
3622ACFU9
97207.11000000
PA
USD
98151.05000000
0.028531895094
Long
DBT
USGA
US
N
2
2053-03-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4175
3133KKT82
143671.19000000
PA
USD
123745.04000000
0.035971907582
Long
DBT
USGA
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORPORATION
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAPITAL CORP MTN 3.350000% 04/18/2029
24422EWE5
934000.00000000
PA
USD
894919.04000000
0.260147356213
Long
DBT
CORP
US
N
2
2029-04-18
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9412
3140XDN69
1512385.40000000
PA
USD
1303497.51000000
0.378918556763
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.375000% 11/15/2048
912810SE9
190000.00000000
PA
USD
165552.34000000
0.048125027673
Long
DBT
UST
US
N
2
2048-11-15
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB4103
3140QPRZ2
177041.42000000
PA
USD
179087.66000000
0.052059660368
Long
DBT
USGA
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 863729
31408XSS0
19352.10000000
PA
USD
19117.85000000
0.005557439177
Long
DBT
USGA
US
N
2
2036-01-01
Floating
4.39300080
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 6.136000% 08/24/2034
808513CH6
70000.00000000
PA
USD
73785.28000000
0.021448918462
Long
DBT
CORP
US
N
2
2034-08-24
Fixed
6.13600000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7473
36179WJS8
85792.28000000
PA
USD
77758.85000000
0.022604010357
Long
DBT
USGA
US
N
2
2051-07-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G60804
31335A3M8
229858.74000000
PA
USD
230758.57000000
0.067080070068
Long
DBT
USGA
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 2.750000% 04/06/2030
822582CG5
40000.00000000
PA
USD
36536.96000000
0.010621065284
Long
DBT
NUSS
NL
N
2
2030-04-06
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AR7399
3138W5GH5
17641.49000000
PA
USD
16213.67000000
0.004713212253
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA2678
36179Q6P1
9562.91000000
PA
USD
9026.16000000
0.002623848142
Long
DBT
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G04588
3128M6ND6
13287.30000000
PA
USD
13702.83000000
0.003983326801
Long
DBT
USGA
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4269
3140XKW71
285476.79000000
PA
USD
237417.03000000
0.069015642660
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
COMCAST CABLE COMMUNICATIONS, LLC.
549300T2R1ZBGV1UVE31
TCI COMMUNICATIONS INC 7.875000% 02/15/2026
872287AF4
240000.00000000
PA
USD
254827.73000000
0.074076824032
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.87500000
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 3.850000% 05/21/2025
808513AX3
110000.00000000
PA
USD
107888.58000000
0.031362534037
Long
DBT
CORP
US
N
2
2025-05-21
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QF3213
3133BQSA5
9352.26000000
PA
USD
9068.49000000
0.002636153208
Long
DBT
USGA
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.300000% 04/15/2040
437076CC4
40000.00000000
PA
USD
33042.87000000
0.009605355219
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
3.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.875000% 05/15/2049
912810SH2
320000.00000000
PA
USD
254275.00000000
0.073916148885
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5437
3140XMBF2
196593.91000000
PA
USD
197616.42000000
0.057445854775
Long
DBT
USGA
US
N
2
2053-06-01
Fixed
5.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2018-20E 1
83162CZL0
701325.32000000
PA
USD
656472.41000000
0.190832415285
Long
ABS-MBS
US
N
2
2038-05-01
Fixed
3.50000000
N
N
N
N
N
N
COLUMBIA PIPELINES OPERATING COMPANY LLC
N/A
COLUMBIA PIPELINES OPERATING CO LLC 144A 6.036000% 11/15/2033
19828TAB2
250000.00000000
PA
USD
261817.49000000
0.076108703457
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
6.03600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB9683
31417GXM3
30918.11000000
PA
USD
30074.65000000
0.008742512268
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-4 SCRT 2018-4 MA
35563PHF9
463775.48000000
PA
USD
437565.67000000
0.127197597919
Long
ABS-MBS
US
N
2
2058-03-25
Fixed
3.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 1.875000% 02/28/2031
126650DQ0
20000.00000000
PA
USD
16459.32000000
0.004784621168
Long
DBT
CORP
US
N
2
2031-02-28
Fixed
1.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD3475
3132DQ2G0
96205.96000000
PA
USD
96684.05000000
0.028105447388
Long
DBT
USGA
US
N
2
2053-08-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC9077
3140F5CP6
30223.03000000
PA
USD
28206.29000000
0.008199391726
Long
DBT
USGA
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS7533
3138WHLP5
59791.90000000
PA
USD
54526.87000000
0.015850619373
Long
DBT
USGA
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5711
36179UKY7
148630.96000000
PA
USD
146835.51000000
0.042684162496
Long
DBT
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC25 CGCMT 2014-GC25 AS
17322YAF7
100000.00000000
PA
USD
97144.04000000
0.028239163598
Long
ABS-MBS
US
N
2
2047-10-10
Fixed
4.01700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7525
3132DVLE3
136055.59000000
PA
USD
117880.44000000
0.034267105117
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 3953
36202EMA4
23577.41000000
PA
USD
24510.19000000
0.007124958620
Long
DBT
USGA
US
N
2
2037-02-20
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.625000% 11/15/2026
91282CJK8
30000.00000000
PA
USD
30473.44000000
0.008858438022
Long
SN
UST
US
N
2
2026-11-15
Fixed
4.62500000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2016-6 NAVSL 2016-6A A3
63940LAC8
496482.43000000
PA
USD
498365.94000000
0.144871855355
Long
ABS-MBS
US
N
2
2066-03-25
Floating
6.75191160
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 AY6444
36196WER4
257923.25000000
PA
USD
243700.06000000
0.070842080103
Long
DBT
USGA
US
N
2
2047-02-20
Fixed
3.50000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 STACR 2022-DNA1 M1B
35564KPV5
420000.00000000
PA
USD
419839.56000000
0.122044728836
Long
DBT
USGA
US
Y
2
2042-01-25
Floating
7.18742880
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2014-GC24 GSMS 2014-GC24 A5
36253GAE2
419000.00000000
PA
USD
411315.46000000
0.119566826389
Long
ABS-MBS
US
N
2
2047-09-10
Fixed
3.93100000
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 5.159000% 05/18/2034
857477CC5
1020000.00000000
PA
USD
1027464.59000000
0.298677516897
Long
DBT
CORP
US
N
2
2034-05-18
Fixed
5.15900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS7753
3140LJTK2
100000.00000000
PA
USD
99251.16000000
0.028851690176
Long
DBT
USGA
US
N
2
2030-02-01
Fixed
4.31000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ3331
3140KNVZ8
75628.06000000
PA
USD
62367.35000000
0.018129797770
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.375000% 08/15/2043
912810TU2
750000.00000000
PA
USD
765585.94000000
0.222551034611
Long
DBT
UST
US
N
2
2043-08-15
Fixed
4.37500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.875000% 02/08/2029
92343VES9
30000.00000000
PA
USD
29084.46000000
0.008454670241
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786429
3622ACA67
93660.31000000
PA
USD
89829.67000000
0.026112922080
Long
DBT
USGA
US
N
2
2052-06-20
Fixed
4.00000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 1.950000% 01/30/2026
05369AAK7
567000.00000000
PA
USD
525518.37000000
0.152764896584
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7786
3140XBUL2
254747.67000000
PA
USD
245151.67000000
0.071264054033
Long
DBT
USGA
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA7531
3140QFLM9
72000.35000000
PA
USD
64813.29000000
0.018840817199
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5138
36179TV77
28536.98000000
PA
USD
28221.64000000
0.008203853874
Long
DBT
USGA
US
N
2
2048-04-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT9653
3138WXWP8
47099.50000000
PA
USD
45814.55000000
0.013318002552
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0615
3132DMVG7
83436.52000000
PA
USD
82203.49000000
0.023896039350
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 708404
36297DAD9
26447.53000000
PA
USD
26683.44000000
0.007756708775
Long
DBT
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.691000% 06/05/2028
38141GWL4
400000.00000000
PA
USD
382174.75000000
0.111095804626
Long
DBT
CORP
US
N
2
2028-06-05
Fixed
3.69100000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8726
36179XVT0
96332.34000000
PA
USD
97041.38000000
0.028209320979
Long
DBT
USGA
US
N
2
2053-03-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3875
36179SJU2
86061.04000000
PA
USD
83129.81000000
0.024165314768
Long
DBT
USGA
US
N
2
2046-08-20
Fixed
4.00000000
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 144A 5.750000% 01/15/2031
212015AT8
10000.00000000
PA
USD
9954.59000000
0.002893736924
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA2894
36179RGB9
451019.08000000
PA
USD
450276.43000000
0.130892536189
Long
DBT
USGA
US
N
2
2045-06-20
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 3.875000% 07/20/2025
126650CL2
95000.00000000
PA
USD
93355.10000000
0.027137742486
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5010 IK
3137FVQ54
328395.21000000
PA
USD
49252.25000000
0.014317320397
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
DIAMONDBACK ENERGY, INC.
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.125000% 03/24/2031
25278XAR0
40000.00000000
PA
USD
35552.94000000
0.010335016837
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
3.12500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-107 AD
38378KYP8
36728.24000000
PA
USD
32722.23000000
0.009512147181
Long
DBT
USGA
US
N
2
2047-11-16
Floating
2.83615920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0745
3132DMZJ7
85947.58000000
PA
USD
71269.17000000
0.020717501054
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS4271
3138WDW98
21219.44000000
PA
USD
21065.74000000
0.006123678592
Long
DBT
USGA
US
N
2
2045-01-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2373
3140X5T78
35843.82000000
PA
USD
35900.00000000
0.010435905004
Long
DBT
USGA
US
N
2
2049-12-01
Fixed
5.00000000
N
N
N
N
N
N
GUARDIAN LIFE GLOBAL FUNDING
635400NHILJ5JEKILC36
GUARDIAN LIFE GLOBAL FUNDING 144A 1.100000% 06/23/2025
40139LAG8
30000.00000000
PA
USD
28309.10000000
0.008229277948
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.10000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 2.871000% 04/19/2032
09659W2P8
200000.00000000
PA
USD
169156.19000000
0.049172644282
Long
DBT
NUSS
FR
N
2
2032-04-19
Fixed
2.87100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1591
31418AXV5
41754.69000000
PA
USD
41288.35000000
0.012002264579
Long
DBT
USGA
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA (JAN)
21H050615
700000.00000000
PA
USD
695079.00000000
0.202055109040
Long
DBT
US
N
2
2040-01-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-105 IO
38378XCY5
49027.65000000
PA
USD
211.37000000
0.000061443934
Long
DBT
USGA
US
N
2
2054-06-16
Floating
0.12413880
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 1.625000% 05/01/2030
713448EZ7
70000.00000000
PA
USD
59629.76000000
0.017333997515
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4330
3140X7Y45
510392.99000000
PA
USD
441968.91000000
0.128477592190
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.800000% 03/01/2050
161175BT0
40000.00000000
PA
USD
30962.88000000
0.009000715162
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20B 1
83162CTV5
96704.23000000
PA
USD
93720.16000000
0.027243863140
Long
ABS-MBS
US
N
2
2031-02-01
Fixed
4.22000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028
00774MAW5
1046000.00000000
PA
USD
954985.97000000
0.277608436307
Long
DBT
NUSS
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2047
3140Q9HZ9
44291.24000000
PA
USD
43682.39000000
0.012698197002
Long
DBT
USGA
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 890695
31410LRQ7
444437.05000000
PA
USD
428469.83000000
0.124553494237
Long
DBT
USGA
US
N
2
2045-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8673
3132A9T64
19026.17000000
PA
USD
18176.60000000
0.005283823702
Long
DBT
USGA
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7534
3132DVLP8
144192.71000000
PA
USD
125230.54000000
0.036403733122
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.450000% 02/01/2050
20030NCZ2
40000.00000000
PA
USD
30702.47000000
0.008925015607
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-3 IO
38381ETV0
964581.31000000
PA
USD
47242.49000000
0.013733095760
Long
DBT
USGA
US
N
2
2061-02-16
Floating
0.64019160
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-H20 FA
38376RFG6
163764.71000000
PA
USD
162906.45000000
0.047355884033
Long
DBT
USGA
US
N
2
2065-08-20
Floating
5.90718960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.750000% 05/31/2026
91282CCF6
8110000.00000000
PA
USD
7486226.97000000
2.176199261845
Long
SN
UST
US
N
1
2026-05-31
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3375
36179RXC8
29801.90000000
PA
USD
27425.99000000
0.007972563406
Long
DBT
USGA
US
N
2
2046-01-20
Fixed
3.00000000
N
N
N
N
N
N
SLM PRIVATE EDUCATION LOAN TRUST
N/A
SLM PRIVATE EDUCATION LOAN TRUST 2010-C SLMA 2010-C A5
78445QAE1
269546.30000000
PA
USD
283472.33000000
0.082403629728
Long
ABS-MBS
US
N
2
2041-10-15
Floating
10.22628960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6400
3140XADE9
79034.16000000
PA
USD
64892.58000000
0.018863866305
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2138
3132DPLT3
97089.06000000
PA
USD
98243.48000000
0.028558763915
Long
DBT
USGA
US
N
2
2053-01-01
Fixed
5.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 4.250000% 06/15/2048
91324PDL3
10000.00000000
PA
USD
8934.08000000
0.002597081063
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.875000% 08/15/2033
91282CHT1
4437000.00000000
PA
USD
4431453.75000000
1.288195831932
Long
SN
UST
US
N
2
2033-08-15
Fixed
3.87500000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.800000% 03/15/2025
00287YCX5
40000.00000000
PA
USD
39454.12000000
0.011469065413
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 353 S1
31325WSM5
62273.58000000
PA
USD
6885.35000000
0.002001528092
Long
DBT
USGA
US
N
2
2046-12-15
Floating
0.54708120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2707
3140XJAH6
181117.21000000
PA
USD
166192.40000000
0.048311089104
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0240
3140XFHS3
82734.52000000
PA
USD
74641.98000000
0.021697955783
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.203000% 07/23/2029
46647PAV8
673000.00000000
PA
USD
653968.21000000
0.190104460040
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.20300000
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC24 FINANCIAL COMMODITY FUTURE.
N/A
63.00000000
NC
USD
15162525.00000000
4.407650989604
N/A
DO
US
N
1
3 MONTH SOFR FUT DEC24
N/A
Long
Interest Rate Futures
CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Dec 2024
2025-03-21
15168459.98000000
USD
-5934.98000000
N
N
N
DIAMONDBACK ENERGY, INC.
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.250000% 12/01/2026
25278XAM1
30000.00000000
PA
USD
29054.56000000
0.008445978498
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC TRUST 2018-J1 TRUST CSMC 2018-J1 A2
12653TAB7
265221.14000000
PA
USD
234439.81000000
0.068150183465
Long
ABS-MBS
US
N
2
2048-02-25
Floating
3.49999920
N
N
N
N
N
N
SALESFORCE, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE INC 3.700000% 04/11/2028
79466LAF1
150000.00000000
PA
USD
146977.56000000
0.042725455541
Long
DBT
CORP
US
N
2
2028-04-11
Fixed
3.70000000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.410000% 02/11/2026
10373QBE9
90000.00000000
PA
USD
87878.21000000
0.025545644889
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
ALPHABET INC.
5493006MHB84DD0ZWV18
ALPHABET INC 1.900000% 08/15/2040
02079KAE7
40000.00000000
PA
USD
27724.95000000
0.008059469204
Long
DBT
CORP
US
N
2
2040-08-15
Fixed
1.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BN4303
3140JLX90
647319.95000000
PA
USD
656548.46000000
0.190854522544
Long
DBT
USGA
US
N
2
2048-12-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL3673
3138ELCK7
120435.36000000
PA
USD
121575.72000000
0.035341299854
Long
DBT
USGA
US
N
2
2043-05-01
Floating
4.18600080
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 4.125000% 04/15/2026
90351DAF4
634000.00000000
PA
USD
619116.08000000
0.179973164277
Long
DBT
NUSS
CH
N
2
2026-04-15
Fixed
4.12500000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2020-2 RMLT 2020-2 A1
76123MAA1
27552.75000000
PA
USD
27147.23000000
0.007891529621
Long
ABS-MBS
US
N
2
2060-05-25
Floating
1.65399840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4311
3140X7YH6
67796.03000000
PA
USD
60633.22000000
0.017625697048
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3282
3140QNUG5
88151.71000000
PA
USD
80888.04000000
0.023513646279
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BJ9257
3140HBJB5
24727.48000000
PA
USD
24474.64000000
0.007114624458
Long
DBT
USGA
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT0794
3132AC3B4
290533.41000000
PA
USD
286837.61000000
0.083381895533
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.125000% 08/31/2030
91282CHW4
1640000.00000000
PA
USD
1660564.06000000
0.482715565010
Long
SN
UST
US
N
2
2030-08-31
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841077
31288QFS4
109053.34000000
PA
USD
104609.35000000
0.030409282428
Long
DBT
USGA
US
N
2
2047-11-01
Floating
2.87100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2579
31418B2M7
46029.33000000
PA
USD
43036.38000000
0.012510405944
Long
DBT
USGA
US
N
2
2036-04-01
Fixed
3.00000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA TOWER TRUST 144A 2.593000% 10/15/2031
78403DAX8
996000.00000000
PA
USD
801064.37000000
0.232864391858
Long
DBT
CORP
US
Y
2
2031-10-15
Fixed
2.59300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6134
3140X9Y82
47208.72000000
PA
USD
43909.38000000
0.012764181573
Long
DBT
USGA
US
N
2
2040-03-01
Fixed
3.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 2.800000% 01/31/2030
29379VBX0
230000.00000000
PA
USD
208003.15000000
0.060465212089
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT1970
3132AEFK7
32329.42000000
PA
USD
31448.59000000
0.009141908015
Long
DBT
USGA
US
N
2
2033-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-85 SC
3136AYSU8
55124.07000000
PA
USD
5563.56000000
0.001617292023
Long
DBT
USGA
US
N
2
2047-11-25
Floating
0.74809080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA5986
3140QDUL6
947349.27000000
PA
USD
812492.42000000
0.236186454370
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-H01 TA
38375BE99
1107.51000000
PA
USD
1091.64000000
0.000317332906
Long
DBT
USGA
US
N
2
2063-01-20
Floating
4.69114920
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C23 WFRBS 2014-C23 XA
92939HBE4
887875.90000000
PA
USD
1337.05000000
0.000388672055
Long
DBT
USGA
US
N
2
2057-10-15
Floating
0.54434520
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 STACR 2021-DNA6 M2
35564KKY4
230000.00000000
PA
USD
227987.62000000
0.066274572270
Long
DBT
USGA
US
N
2
2041-10-25
Floating
6.83742960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841076
31288QFR6
336994.02000000
PA
USD
319539.27000000
0.092888063144
Long
DBT
USGA
US
N
2
2048-11-01
Floating
3.00600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6465
3140XAFF4
680550.78000000
PA
USD
636684.71000000
0.185080254911
Long
DBT
USGA
US
N
2
2031-07-01
Fixed
2.00000000
N
N
N
N
N
N
MIDAMERICAN ENERGY COMPANY
NINLOILYRTLIMK26MZ18
MIDAMERICAN ENERGY CO 3.650000% 04/15/2029
595620AT2
140000.00000000
PA
USD
133757.29000000
0.038882405907
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
VALE OVERSEAS LTD 6.875000% 11/21/2036
91911TAH6
148000.00000000
PA
USD
161503.37000000
0.046948017471
Long
DBT
NUSS
BR
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2296
3140XHRS8
258324.42000000
PA
USD
238196.96000000
0.069242363423
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM0068
3140X3CE6
46727.07000000
PA
USD
44814.08000000
0.013027172193
Long
DBT
USGA
US
N
2
2040-02-01
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.750000% 04/15/2027
87264ABD6
20000.00000000
PA
USD
19398.54000000
0.005639034001
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20E 1
83162CXA6
213321.12000000
PA
USD
194244.73000000
0.056465725623
Long
ABS-MBS
US
N
2
2035-05-01
Fixed
2.77000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORPORATION TRUST
N/A
GS MORTGAGE SECURITIES CORP TRUST 2018-SRP5 GSMS 2018-SRP5 A
36255TAA0
551884.44000000
PA
USD
377711.26000000
0.109798296057
Long
ABS-MBS
US
N
2
2031-09-15
Floating
7.27647840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 991549
31415WQA4
2188.04000000
PA
USD
2257.43000000
0.000656220753
Long
DBT
USGA
US
N
2
2038-11-01
Fixed
7.00000000
N
N
N
N
N
N
3 Month SOFR Opt Mar24P 94.5
N/A
3 Month SOFR Opt Mar24P 94.5 LONG
00SHLTLD1
69.00000000
NC
USD
862.50000000
0.000250723344
N/A
DIR
US
N
1
3 Month SOFR Opt Mar24P 94.5
N/A
Put
Purchased
N/A
N/A
172500.00000000
94.50000000
USD
2024-03-18
XXXX
-12219.90000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1549
3132DNWJ8
181753.13000000
PA
USD
166764.30000000
0.048477336850
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G61242
31335BLX2
277388.02000000
PA
USD
277110.44000000
0.080554268177
Long
DBT
USGA
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 4.150000% 10/16/2028
29379VBT9
140000.00000000
PA
USD
138224.78000000
0.040181077251
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.550000% 02/15/2031
87264ACB9
190000.00000000
PA
USD
163649.72000000
0.047571947964
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 1.900000% 08/15/2030
723787AQ0
220000.00000000
PA
USD
186781.87000000
0.054296318993
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.90000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 4.250000% 10/21/2025
38141GVR2
140000.00000000
PA
USD
137415.71000000
0.039945885673
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 3.500000% 11/15/2030
969457BX7
20000.00000000
PA
USD
18311.35000000
0.005322994682
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.50000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA2 STACR 2022-DNA2 M1A
35564KRE1
137422.16000000
PA
USD
137422.67000000
0.039947908901
Long
DBT
USGA
US
Y
2
2042-02-25
Floating
6.63743160
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 6.875000% 10/20/2034
693475BU8
834000.00000000
PA
USD
925854.83000000
0.269140196483
Long
DBT
CORP
US
N
2
2034-10-20
Fixed
6.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB1301
3140QLNT9
81351.34000000
PA
USD
69647.01000000
0.020245949309
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 3.750000% 05/15/2030
29278NAQ6
220000.00000000
PA
USD
204297.98000000
0.059388142391
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM4751
3140J9H53
67578.95000000
PA
USD
63995.44000000
0.018603073330
Long
DBT
USGA
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 4.250000% 03/01/2027
00206RDQ2
150000.00000000
PA
USD
148321.50000000
0.043116130476
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.25000000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2022-CLS BX 2022-CLS A
05609XAA9
534000.00000000
PA
USD
534315.81000000
0.155322257256
Long
ABS-MBS
US
Y
2
2027-10-13
Fixed
5.76000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.375000% 04/15/2029
87264ABV6
219000.00000000
PA
USD
203473.60000000
0.059148500292
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7989
36179W2W7
542711.92000000
PA
USD
505085.10000000
0.146825073056
Long
DBT
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)
01F030611
100000.00000000
PA
USD
88449.22000000
0.025711633917
Long
DBT
USGA
US
N
2
2054-01-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-76 SB
3136AX4N2
114471.60000000
PA
USD
14517.77000000
0.004220224751
Long
DBT
USGA
US
N
2
2057-10-25
Floating
0.64809000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 6.412000% 03/15/2026
55903VBG7
80000.00000000
PA
USD
80054.37000000
0.023271303635
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.41200000
N
N
N
N
N
N
HONDA MOTOR CO., LTD.
549300P7ZYCQJ36CCS16
HONDA MOTOR CO LTD 2.534000% 03/10/2027
438127AB8
632000.00000000
PA
USD
596413.38000000
0.173373631672
Long
DBT
CORP
JP
N
2
2027-03-10
Fixed
2.53400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2866
3132DQFF8
94302.34000000
PA
USD
90762.81000000
0.026384180030
Long
DBT
USGA
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS6340
3138WGBJ2
24285.68000000
PA
USD
22768.76000000
0.006618735833
Long
DBT
USGA
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 3.800000% 06/01/2024
212015AN1
190000.00000000
PA
USD
188523.10000000
0.054802483641
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 889151
31410GZQ9
21851.18000000
PA
USD
22471.38000000
0.006532289331
Long
DBT
USGA
US
N
2
2038-01-01
Fixed
6.50000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2022-NQM3 BRAVO 2022-NQM3 A1
10569JAA8
321561.68000000
PA
USD
322458.64000000
0.093736705707
Long
ABS-MBS
US
Y
2
2062-07-25
Floating
5.10800040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5731
3133KMLL7
252153.41000000
PA
USD
206499.20000000
0.060028023250
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785359
3622AAZY3
77586.33000000
PA
USD
64874.95000000
0.018858741375
Long
DBT
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BX0426
3140N4PL5
1200760.71000000
PA
USD
1216684.00000000
0.353682413492
Long
DBT
USGA
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4391 MZ
3137BDMP8
131936.83000000
PA
USD
116841.44000000
0.033965074329
Long
DBT
USGA
US
N
2
2044-09-15
Fixed
3.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25G 1
83162CQ22
932550.23000000
PA
USD
882420.71000000
0.256514170013
Long
ABS-MBS
US
N
2
2047-07-01
Fixed
3.93000000
N
N
N
N
N
N
MTN COMMERCIAL MORTGAGE TRUST
N/A
MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL MTN 2022-LPFL A
62475WAA3
410000.00000000
PA
USD
399688.62000000
0.116186976870
Long
ABS-MBS
US
Y
2
2039-03-15
Floating
6.76689840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AU5890
3138X5RL3
1747.50000000
PA
USD
1737.34000000
0.000505033849
Long
DBT
USGA
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-127 IN
38382HY87
72278.71000000
PA
USD
9808.13000000
0.002851161920
Long
DBT
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8648
3140XCTE8
155050.50000000
PA
USD
138098.92000000
0.040144490538
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
3.00000000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375000% 07/01/2025
00914AAH5
100000.00000000
PA
USD
96790.06000000
0.028136263830
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4446
31418D5G3
1029934.49000000
PA
USD
880805.46000000
0.256044626961
Long
DBT
USGA
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-118 VZ
3136A92R8
129045.48000000
PA
USD
117120.12000000
0.034046084858
Long
DBT
USGA
US
N
2
2042-11-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3044
3140QNL26
179990.09000000
PA
USD
154879.79000000
0.045022584276
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 2.746000% 02/11/2033
902613AK4
575000.00000000
PA
USD
471629.21000000
0.137099655511
Long
DBT
NUSS
CH
N
2
2033-02-11
Fixed
2.74600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA8694
3133KQUT1
383210.21000000
PA
USD
382162.99000000
0.111092386067
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2572
3133KH2D7
464437.74000000
PA
USD
432258.73000000
0.125654903721
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS6976
3140LHXE5
98705.01000000
PA
USD
101053.33000000
0.029375569700
Long
DBT
USGA
US
N
2
2032-10-01
Fixed
4.84000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5134
3133KYV30
68585.75000000
PA
USD
56832.89000000
0.016520964934
Long
DBT
USGA
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785220
3622AAVM3
76121.10000000
PA
USD
63744.12000000
0.018530016181
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2022-1 EFMT 2022-1 A1
31573CAA3
91314.01000000
PA
USD
76623.32000000
0.022273918903
Long
ABS-MBS
US
Y
2
2067-01-25
Floating
2.20600080
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
INTERCONTINENTAL EXCHANGE INC 4.600000% 03/15/2033
45866FAW4
40000.00000000
PA
USD
39674.92000000
0.011533250589
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
4.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3320
3140QNVN9
188412.92000000
PA
USD
178949.68000000
0.052019550446
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (JANUARY)
21H060614
400000.00000000
PA
USD
406703.12000000
0.118226048058
Long
DBT
USGA
US
N
2
2054-01-15
Fixed
6.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.125000% 01/15/2045
455780BU9
200000.00000000
PA
USD
206188.52000000
0.059937710521
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-186 IO
38378XW72
200347.32000000
PA
USD
2054.48000000
0.000597224459
Long
DBT
USGA
US
N
2
2054-08-16
Floating
0.37172160
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5193
36179TXW0
10068.08000000
PA
USD
9952.17000000
0.002893033445
Long
DBT
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3249
3140XJTF0
91533.22000000
PA
USD
90619.11000000
0.026342407341
Long
DBT
USGA
US
N
2
2052-11-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (JANUARY)
21H030617
500000.00000000
PA
USD
452655.00000000
0.131583971581
Long
DBT
USGA
US
N
2
2054-01-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9387
3140XDND4
84376.14000000
PA
USD
69057.42000000
0.020074559191
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 784319
3622A2YQ9
81827.27000000
PA
USD
81835.27000000
0.023789000103
Long
DBT
USGA
US
N
2
2041-12-20
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.750000% 08/15/2032
91282CFF3
1912000.00000000
PA
USD
1750973.75000000
0.508997095269
Long
SN
UST
US
N
1
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.633000% 04/06/2030
10373QBL3
50000.00000000
PA
USD
47879.89000000
0.013918383945
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 4.375000% 08/04/2025
21684AAC0
250000.00000000
PA
USD
245478.27000000
0.071358994606
Long
DBT
NUSS
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7910
3140XBYG9
81533.26000000
PA
USD
70652.02000000
0.020538099417
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.200000% 08/15/2026
674599CR4
130000.00000000
PA
USD
122525.00000000
0.035617249600
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785657
3622ABE65
585709.71000000
PA
USD
506596.27000000
0.147264360704
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.550000% 03/21/2031
92343VGJ7
135000.00000000
PA
USD
116403.58000000
0.033837791171
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3899
3140QPKM8
191956.09000000
PA
USD
176761.58000000
0.051383483490
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4000
3140XKNS5
88381.59000000
PA
USD
92324.49000000
0.026838150618
Long
DBT
USGA
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-167 OI
38379FFB0
42158.42000000
PA
USD
7738.32000000
0.002249481125
Long
DBT
USGA
US
N
2
2045-04-16
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (JANUARY)
21H052611
400000.00000000
PA
USD
402876.00000000
0.117113528260
Long
DBT
USGA
US
N
2
2054-01-15
Fixed
5.50000000
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 2.875000% 05/10/2026
822582BT8
90000.00000000
PA
USD
86746.59000000
0.025216690047
Long
DBT
NUSS
NL
N
2
2026-05-10
Fixed
2.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS9824
3140LL4J7
100000.00000000
PA
USD
102856.46000000
0.029899728291
Long
DBT
USGA
US
N
2
2028-10-01
Fixed
5.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4310 SA
3137B7RN1
17080.82000000
PA
USD
1720.14000000
0.000500033917
Long
DBT
USGA
US
N
2
2044-02-15
Floating
0.49708080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BV3089
3140MGNF4
85215.58000000
PA
USD
73417.24000000
0.021341931541
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7056
36179VZV5
195150.53000000
PA
USD
192804.48000000
0.056047053974
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
4.50000000
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 3.700000% 04/01/2060
67066GAJ3
60000.00000000
PA
USD
50246.11000000
0.014606229270
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.70000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 5.050000% 03/25/2048
126650CZ1
60000.00000000
PA
USD
56118.48000000
0.016313290425
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M CO 2.375000% 08/26/2029
88579YBJ9
30000.00000000
PA
USD
26549.44000000
0.007717755815
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.37500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5818
36179UPB2
156952.20000000
PA
USD
155058.95000000
0.045074664966
Long
DBT
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 02/15/2053
912810TN8
290000.00000000
PA
USD
267796.88000000
0.077846874656
Long
DBT
UST
US
N
2
2053-02-15
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3123
3140X6PH8
100593.39000000
PA
USD
91371.51000000
0.026561125305
Long
DBT
USGA
US
N
2
2038-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3049
3140X6L74
80183.98000000
PA
USD
77862.48000000
0.022634134949
Long
DBT
USGA
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS PASS-THROUGH TRUST 144A 5.773000% 01/10/2033
126650BV1
315927.71000000
PA
USD
313666.97000000
0.091181022338
Long
DBT
CORP
US
N
2
2033-01-10
Fixed
5.77300000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 1.150000% 06/12/2025
89114QCH9
80000.00000000
PA
USD
75725.46000000
0.022012916628
Long
DBT
NUSS
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4415 IO
3137BF4Y4
16439.64000000
PA
USD
860.00000000
0.000249996610
Long
DBT
USGA
US
N
2
2041-04-15
Floating
0.21187440
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784085
3622A2RE4
848276.61000000
PA
USD
842056.77000000
0.244780625627
Long
DBT
USGA
US
N
2
2034-09-15
Fixed
4.60000000
N
N
N
N
N
N
UNION PACIFIC CORPORATION
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 3.750000% 07/15/2025
907818ES3
20000.00000000
PA
USD
19696.27000000
0.005725582246
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 955183
31413TUG5
3011.74000000
PA
USD
3107.25000000
0.000903258100
Long
DBT
USGA
US
N
2
2037-11-01
Fixed
7.00000000
N
N
N
N
N
N
LINCOLN NATIONAL CORPORATION
EFQMQROEDSNBRIP7LE47
LINCOLN NATIONAL CORP 3.400000% 01/15/2031
534187BK4
451000.00000000
PA
USD
404148.40000000
0.117483406965
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.40000000
N
N
N
N
N
N
Truist Financial Corporation
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP MTN 6.047000% 06/08/2027
89788MAN2
90000.00000000
PA
USD
91585.17000000
0.026623234928
Long
DBT
CORP
US
N
2
2027-06-08
Fixed
6.04700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA2489
31329KXS8
107806.12000000
PA
USD
102292.41000000
0.029735762491
Long
DBT
USGA
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 4.300000% 07/22/2027
94974BGL8
200000.00000000
PA
USD
195750.29000000
0.056903382479
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786134
3622ABV33
163761.59000000
PA
USD
144918.12000000
0.042126789240
Long
DBT
USGA
US
N
2
2052-04-20
Fixed
3.00000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING III LP HERTZ 2021-2A B
42806MAF6
160000.00000000
PA
USD
144519.78000000
0.042010994299
Long
ABS-MBS
US
Y
2
2027-12-27
Fixed
2.12000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7900
3140XBX62
79346.74000000
PA
USD
68380.04000000
0.019877649070
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.622000% 04/01/2031
6174468P7
475000.00000000
PA
USD
437582.58000000
0.127202513550
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5019
36179TSG1
79878.04000000
PA
USD
75191.74000000
0.021857767569
Long
DBT
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 2.937000% 11/01/2056
20030NDU2
27000.00000000
PA
USD
17758.44000000
0.005162267210
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5224 HL
3137H7G72
300000.00000000
PA
USD
274472.01000000
0.079787293112
Long
DBT
USGA
US
N
2
2052-04-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4335 SW
3137BAQX3
35024.97000000
PA
USD
3281.45000000
0.000953896949
Long
DBT
USGA
US
N
2
2044-05-15
Floating
0.54708120
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2021-NQM3 TRUST OBX 2021-NQM3 A1
67114JAA8
136466.54000000
PA
USD
104280.21000000
0.030313603492
Long
ABS-MBS
US
Y
2
2061-07-25
Floating
1.05400080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB5892
3140QRRN5
95587.75000000
PA
USD
92687.37000000
0.026943637560
Long
DBT
USGA
US
N
2
2053-03-01
Fixed
4.50000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2022-SFR2 TRUST PROG 2022-SFR2 A
74332VAA3
974439.18000000
PA
USD
904348.35000000
0.262888397534
Long
ABS-MBS
US
Y
2
2027-04-17
Fixed
2.95000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
VALE OVERSEAS LTD 6.250000% 08/10/2026
91911TAP8
240000.00000000
PA
USD
245453.86000000
0.071351898772
Long
DBT
NUSS
BR
N
2
2026-08-10
Fixed
6.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR4052
3140L2QE6
74462.89000000
PA
USD
61120.16000000
0.017767247454
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8216
3140XCDW5
755438.29000000
PA
USD
725211.97000000
0.210814574567
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 02/15/2041
912810SW9
30000.00000000
PA
USD
21568.36000000
0.006269787076
Long
DBT
UST
US
N
1
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2019-GC39 GSMS 2019-GC39 A2
36260JAB3
273167.57000000
PA
USD
268388.12000000
0.078018744418
Long
ABS-MBS
US
N
2
2052-05-10
Fixed
3.45700000
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 3.900000% 07/18/2032
713448FM5
90000.00000000
PA
USD
88035.83000000
0.025591464035
Long
DBT
CORP
US
N
2
2032-07-18
Fixed
3.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ4926
3140KQPL9
72087.31000000
PA
USD
59353.28000000
0.017253626511
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6555
3140XAH96
79475.93000000
PA
USD
65251.12000000
0.018968091636
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
PEACHTREE CORNERS FUNDING TRUST
N/A
PEACHTREE CORNERS FUNDING TRUST 144A 3.976000% 02/15/2025
70466WAA7
944000.00000000
PA
USD
928294.70000000
0.269849451400
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.97600000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.075000% 04/23/2029
172967LW9
240000.00000000
PA
USD
230984.58000000
0.067145769759
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.07500000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.250000% 11/21/2049
00287YCB3
30000.00000000
PA
USD
26734.62000000
0.007771586480
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QB4985
3133ABRE2
73355.30000000
PA
USD
60306.89000000
0.017530834962
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
EOG RESOURCES, INC.
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 4.150000% 01/15/2026
26875PAP6
160000.00000000
PA
USD
158499.93000000
0.046074936286
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0366
3140XFMQ1
85937.70000000
PA
USD
74826.56000000
0.021751612032
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES, INC.
254900M6MTMZM0I22L81
HEALTHPEAK OP LLC 2.125000% 12/01/2028
42250PAD5
769000.00000000
PA
USD
675894.05000000
0.196478164313
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
2.12500000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 4.500000% 01/15/2030
25179MBF9
32000.00000000
PA
USD
30723.86000000
0.008931233546
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 784106
3622A2R38
12580.60000000
PA
USD
11890.48000000
0.003456488014
Long
DBT
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
THE PROCTER & GAMBLE COMPANY
2572IBTT8CCZW6AU4141
PROCTER & GAMBLE CO/THE 3.000000% 03/25/2030
742718FH7
40000.00000000
PA
USD
37457.42000000
0.010888637237
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
3.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2014-20F 1
83162CWH2
427505.18000000
PA
USD
401451.90000000
0.116699551315
Long
ABS-MBS
US
N
2
2034-06-01
Fixed
2.99000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.950000% 10/15/2025
20030NCS8
210000.00000000
PA
USD
207122.08000000
0.060209090562
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 3.375000% 02/05/2024
91159HHV5
540000.00000000
PA
USD
538720.28000000
0.156602609081
Long
DBT
CORP
US
N
2
2024-02-05
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9365
3140XDMP8
81676.02000000
PA
USD
73681.89000000
0.021418863637
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5078
36179TUB9
206092.70000000
PA
USD
199096.66000000
0.057876151266
Long
DBT
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-RPL6 TRUST CSMC 2021-RPL6 A1
12657GAA3
121224.39000000
PA
USD
107517.73000000
0.031254730266
Long
ABS-MBS
US
Y
2
2060-10-25
Floating
2.00000160
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-220 E
38381HN49
100000.00000000
PA
USD
75852.24000000
0.022049770780
Long
DBT
USGA
US
N
2
2064-10-16
Floating
2.99999880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U95137
3132H5EK0
17221.48000000
PA
USD
16732.55000000
0.004864047417
Long
DBT
USGA
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB5108
3140QQVA0
187825.09000000
PA
USD
189018.17000000
0.054946397387
Long
DBT
USGA
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
PALMER SQUARE CLO
N/A
PALMER SQUARE CLO 2018-3 LTD PLMRS 2013-2A A1A3
69688AAL5
693000.00000000
PA
USD
691875.26000000
0.201123801901
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-17
Floating
6.66443880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2199
3140Q9NR0
65361.12000000
PA
USD
64449.17000000
0.018734969797
Long
DBT
USGA
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 08/15/2041
912810TA6
640000.00000000
PA
USD
445100.00000000
0.129387780430
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.875000% 05/15/2043
912810TS7
790000.00000000
PA
USD
753092.19000000
0.218919179788
Long
DBT
UST
US
N
2
2043-05-15
Fixed
3.87500000
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD.
N/A
PALMER SQUARE LOAN FUNDING 2022-2 LTD PSTAT 2022-2A A1
69701NAA4
715526.68000000
PA
USD
714300.27000000
0.207642611764
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.66387000
N
N
N
N
N
N
SALES TAX SECURITIZATION CORP ILL
N/A
SALES TAX SECURITIZATION CORP SALES TAX SECURITIZATION CORP
79467BGA7
930000.00000000
PA
USD
935148.20000000
0.271841720897
Long
DBT
MUN
US
N
2
2031-01-01
Fixed
4.84700000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.800000% 04/01/2028
58013MFF6
280000.00000000
PA
USD
273026.29000000
0.079367031368
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 4.054000% 03/15/2029
55903VBB8
60000.00000000
PA
USD
56927.44000000
0.016548450027
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.850000% 11/01/2042
92343VBG8
10000.00000000
PA
USD
8370.16000000
0.002433153053
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS6002
3140LGU42
100000.00000000
PA
USD
93557.73000000
0.027196645757
Long
DBT
USGA
US
N
2
2032-07-01
Fixed
3.56000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.300000% 05/06/2044
172967HS3
31000.00000000
PA
USD
29744.90000000
0.008646656010
Long
DBT
CORP
US
N
2
2044-05-06
Fixed
5.30000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BC4732
3617B8HH4
74812.94000000
PA
USD
70000.44000000
0.020348689195
Long
DBT
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2022-LBA6 BX 2022-LBA6 A
12433EAA9
110000.00000000
PA
USD
108172.49000000
0.031445064894
Long
ABS-MBS
US
Y
2
2039-01-15
Floating
6.36180840
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (JANUARY)
21H020618
400000.00000000
PA
USD
338640.62000000
0.098440705876
Long
DBT
USGA
US
N
2
2054-01-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-189 PT
38383LDU1
186685.17000000
PA
USD
156960.17000000
0.045627337704
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 1.300000% 06/11/2025
064159VL7
70000.00000000
PA
USD
66327.64000000
0.019281029253
Long
DBT
NUSS
CA
N
2
2025-06-11
Fixed
1.30000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-95 IO
38378KTM1
665374.64000000
PA
USD
5710.64000000
0.001660047257
Long
DBT
USGA
US
N
2
2047-04-16
Floating
0.39092040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2256
3140X5QJ5
71989.91000000
PA
USD
71452.99000000
0.020770936376
Long
DBT
USGA
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2749
31418CBT0
56745.60000000
PA
USD
51562.27000000
0.014988828733
Long
DBT
USGA
US
N
2
2036-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC3242
3133AMS72
73703.44000000
PA
USD
66091.94000000
0.019212512740
Long
DBT
USGA
US
N
2
2051-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4308
36202EYD5
4725.23000000
PA
USD
4705.08000000
0.001367737267
Long
DBT
USGA
US
N
2
2038-12-20
Fixed
5.00000000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2021-B26 MORTGAGE TRUST BMARK 2021-B26 A3
08163EBA2
604000.00000000
PA
USD
526621.32000000
0.153085517237
Long
ABS-MBS
US
N
2
2054-06-15
Fixed
2.39100000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4654
36179TE35
21566.13000000
PA
USD
21371.07000000
0.006212436110
Long
DBT
USGA
US
N
2
2047-08-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784571
3622A3CG3
60001.77000000
PA
USD
56739.10000000
0.016493700769
Long
DBT
USGA
US
N
2
2048-06-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BT0812
3617MN3V3
52106.31000000
PA
USD
45919.12000000
0.013348400395
Long
DBT
USGA
US
N
2
2050-03-20
Fixed
3.00000000
N
N
N
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP 4.750000% 03/25/2050
458140BM1
10000.00000000
PA
USD
9447.83000000
0.002746424968
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1
64828EAA3
80785.30000000
PA
USD
74302.53000000
0.021599279795
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.49188040
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 4.375000% 01/15/2028
212015AS0
120000.00000000
PA
USD
116186.76000000
0.033774762956
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4573
3140XLCK2
94833.99000000
PA
USD
96799.86000000
0.028139112629
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.375000% 11/15/2040
912810ST6
880000.00000000
PA
USD
583859.37000000
0.169724259644
Long
DBT
UST
US
N
1
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 5.125000% 01/13/2029
09659W2V5
270000.00000000
PA
USD
271892.42000000
0.079037422466
Long
DBT
NUSS
FR
N
2
2029-01-13
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA5297
31329N3E6
420334.82000000
PA
USD
404785.15000000
0.117668506200
Long
DBT
USGA
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4203 PS
3137B2DY3
63904.21000000
PA
USD
5654.69000000
0.001643782943
Long
DBT
USGA
US
N
2
2042-09-15
Floating
0.79707960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-56 AS
3136APTN2
27265.75000000
PA
USD
3650.42000000
0.001061154215
Long
DBT
USGA
US
N
2
2045-08-25
Floating
0.69809040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0520
3140XFSJ1
87653.52000000
PA
USD
78375.35000000
0.022783223044
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO1406
3140JVR46
237316.17000000
PA
USD
220885.28000000
0.064209966544
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0114
3140QKDU9
78115.75000000
PA
USD
69742.11000000
0.020273594283
Long
DBT
USGA
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 4.478000% 04/04/2031
95000U2L6
220000.00000000
PA
USD
212530.23000000
0.061781205873
Long
DBT
CORP
US
N
2
2031-04-04
Fixed
4.47800000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786335
3622AB4U3
185138.18000000
PA
USD
181519.40000000
0.052766551945
Long
DBT
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20K 1
83162CXK4
267437.26000000
PA
USD
245979.59000000
0.071504725188
Long
ABS-MBS
US
N
2
2035-11-01
Fixed
2.70000000
N
N
N
N
N
N
SALESFORCE, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE INC 1.500000% 07/15/2028
79466LAH7
510000.00000000
PA
USD
453536.97000000
0.131840354732
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
1.50000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2022-2 MORTGAGE LOAN TRUST COLT 2022-2 A1
19685EAA9
78159.64000000
PA
USD
70631.66000000
0.020532180893
Long
ABS-MBS
US
Y
2
2067-02-25
Fixed
2.99400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS6451
3140XNEZ3
99788.96000000
PA
USD
100688.00000000
0.029269370559
Long
DBT
USGA
US
N
2
2053-08-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6871
3140QET51
1441032.22000000
PA
USD
1336864.48000000
0.388618125822
Long
DBT
USGA
US
N
2
2035-08-01
Fixed
2.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 1.734000% 07/22/2027
06051GJS9
971000.00000000
PA
USD
889582.77000000
0.258596135968
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-H18 NA
38375BUL4
39014.67000000
PA
USD
38809.15000000
0.011281576676
Long
DBT
USGA
US
N
2
2062-08-20
Floating
5.95719000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 3.700000% 03/23/2029
444859BT8
160000.00000000
PA
USD
153697.05000000
0.044678769171
Long
DBT
CORP
US
N
2
2029-03-23
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4194
36202EUT4
12556.79000000
PA
USD
13053.67000000
0.003794620057
Long
DBT
USGA
US
N
2
2038-07-20
Fixed
5.50000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 4.500000% 04/01/2025
444859BM3
10000.00000000
PA
USD
9916.77000000
0.002882742887
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
KENVUE INC.
5493008HSF8L4M2LIJ82
KENVUE INC 5.350000% 03/22/2026
49177JAD4
150000.00000000
PA
USD
152494.73000000
0.044329262282
Long
DBT
CORP
US
N
2
2026-03-22
Fixed
5.35000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2017-C33 A5
61767CAV0
170000.00000000
PA
USD
161341.22000000
0.046900881482
Long
ABS-MBS
US
N
2
2050-05-15
Fixed
3.59900000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.200000% 10/21/2026
172967KY6
287000.00000000
PA
USD
273663.92000000
0.079552386413
Long
DBT
CORP
US
N
2
2026-10-21
Fixed
3.20000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.950000% 02/15/2027
29379VBL6
150000.00000000
PA
USD
147550.64000000
0.042892046305
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2284
3132DPRD2
90942.85000000
PA
USD
92415.88000000
0.026864717119
Long
DBT
USGA
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.125000% 01/22/2024
06051GFB0
370000.00000000
PA
USD
369697.35000000
0.107468702645
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM1565
3140J5W39
109076.62000000
PA
USD
99342.94000000
0.028878370047
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 1.450000% 05/12/2025
91159HHZ6
120000.00000000
PA
USD
114204.83000000
0.033198628326
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.200000% 05/15/2049
195325DQ5
310000.00000000
PA
USD
242022.25000000
0.070354351252
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 5.894000% 12/05/2034
05581KAG6
200000.00000000
PA
USD
208932.53000000
0.060735377030
Long
DBT
NUSS
FR
N
2
2034-12-05
Fixed
5.89400000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.500000% 11/16/2026
38145GAH3
90000.00000000
PA
USD
86660.32000000
0.025191611898
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4422
31418D4G4
81828.38000000
PA
USD
70010.57000000
0.020351633922
Long
DBT
USGA
US
N
2
2041-09-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1727
3140X44M5
92265.54000000
PA
USD
92709.16000000
0.026949971777
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C24 A4
61765LAU4
473000.00000000
PA
USD
457651.81000000
0.133036512931
Long
ABS-MBS
US
N
2
2048-05-15
Fixed
3.73200000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M CO 3.700000% 04/15/2050
88579YBP5
150000.00000000
PA
USD
118561.81000000
0.034465175106
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.70000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 4.750000% 08/15/2028
958254AK0
100000.00000000
PA
USD
97615.25000000
0.028376141392
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.400000% 04/15/2026
674599CH6
80000.00000000
PA
USD
76415.14000000
0.022213402282
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA6531
31329QHG9
402924.97000000
PA
USD
397052.51000000
0.115420676214
Long
DBT
USGA
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BP0661
3140K7WX7
910282.80000000
PA
USD
846036.21000000
0.245937423895
Long
DBT
USGA
US
N
2
2035-03-01
Fixed
2.50000000
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 3.061000% 07/13/2031
74365PAF5
410000.00000000
PA
USD
331167.14000000
0.096268212078
Long
DBT
NUSS
CN
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR WN2272
3132XGQ25
100000.00000000
PA
USD
95599.21000000
0.027790091199
Long
DBT
USGA
US
N
2
2029-10-01
Fixed
3.65000000
N
N
N
N
N
N
HARDEES FUNDING LLC
N/A
HARDEE'S FUNDING LLC HNGRY 2021-1A A2
411707AK8
390000.00000000
PA
USD
322091.64000000
0.093630021107
Long
ABS-MBS
US
Y
2
2051-06-20
Fixed
2.86500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS9316
3132AAK52
61056.08000000
PA
USD
58190.90000000
0.016915729930
Long
DBT
USGA
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS4583
3138WECV9
247493.89000000
PA
USD
238600.26000000
0.069359600205
Long
DBT
USGA
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
OBX TRUST
N/A
ONSLOW BAY MORTGAGE LOAN TRUST OBX 2021-NQM4 A1
67115DAA0
213241.28000000
PA
USD
174064.55000000
0.050599473772
Long
ABS-MBS
US
Y
2
2061-10-25
Floating
1.95699960
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 2.900000% 05/15/2025
29278NAP8
140000.00000000
PA
USD
135652.47000000
0.039433322856
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 3.100000% 02/01/2025
958667AB3
30000.00000000
PA
USD
29194.86000000
0.008486762829
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3002
3140X6KQ3
25172.40000000
PA
USD
24974.26000000
0.007259860861
Long
DBT
USGA
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 783368
36241LW51
31863.30000000
PA
USD
31869.70000000
0.009264322053
Long
DBT
USGA
US
N
2
2041-07-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13546
3128MCET8
171.40000000
PA
USD
172.55000000
0.000050159203
Long
DBT
USGA
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2320
31418BSJ6
51687.72000000
PA
USD
48444.92000000
0.014082634625
Long
DBT
USGA
US
N
2
2035-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU2599
3140M33H1
85121.05000000
PA
USD
73354.39000000
0.021323661439
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS6562
3138WGJG0
42657.60000000
PA
USD
39787.47000000
0.011565968169
Long
DBT
USGA
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 2.125000% 09/15/2031
126650DR8
150000.00000000
PA
USD
124181.83000000
0.036098879697
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.12500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.500000% 08/10/2033
92343VEA8
20000.00000000
PA
USD
19509.26000000
0.005671219611
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 3.875000% 12/15/2028
91324PDP4
30000.00000000
PA
USD
29363.93000000
0.008535910418
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.419000% 12/20/2028
06051GHD4
234000.00000000
PA
USD
220411.36000000
0.064072200970
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
PRKCM TRUST
N/A
PRKCM 2021-AFC2 TRUST PRKCM 2021-AFC2 A1
69361JAA4
131197.40000000
PA
USD
109370.15000000
0.031793217150
Long
ABS-MBS
US
Y
2
2056-11-25
Floating
2.07100080
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 4.223000% 05/01/2029
38141GWZ3
650000.00000000
PA
USD
628762.56000000
0.182777335556
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 890604
31410LNV0
189034.48000000
PA
USD
187623.58000000
0.054540998815
Long
DBT
USGA
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q19615
3132JBDV2
20873.65000000
PA
USD
20332.60000000
0.005910559389
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.125% 01/15/2033
91282CGK1
1660000.00000000
PA
USD
1621865.45000000
0.471466121618
Long
DBT
USGA
US
N
2
2033-01-15
Fixed
1.12500000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 4.050000% 05/03/2029
025816CW7
140000.00000000
PA
USD
138568.48000000
0.040280988687
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
4.05000000
N
N
N
N
N
N
DC COMMERCIAL MORTGAGE TRUST
N/A
DC COMMERCIAL MORTGAGE TRUST 2023-DC DC 2023-DC A
24023AAA8
410000.00000000
PA
USD
422903.56000000
0.122935414434
Long
ABS-MBS
US
Y
2
2040-09-12
Fixed
6.31430000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1664
31418AZ68
17246.72000000
PA
USD
17054.10000000
0.004957519987
Long
DBT
USGA
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA6694
3133KNNK5
986724.87000000
PA
USD
806778.55000000
0.234525468172
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 4.927000% 05/10/2028
14040HCS2
30000.00000000
PA
USD
29483.55000000
0.008570683203
Long
DBT
CORP
US
N
2
2028-05-10
Fixed
4.92700000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P CGCMT 2013-375P A
17320QAA7
179772.74000000
PA
USD
169667.57000000
0.049321299243
Long
ABS-MBS
US
N
2
2035-05-10
Fixed
3.25100000
N
N
N
N
N
N
CONSUMERS SECURITIZATION FUNDING LLC
N/A
CONSUMERS 2023 SECURITIZATION FUNDING LLC 5.210000% 09/01/2030
21071BAB1
512000.00000000
PA
USD
523632.55000000
0.152216700529
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
5.21000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.650000% 07/30/2045
172967JU6
28000.00000000
PA
USD
25430.21000000
0.007392402668
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
4.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0523
3140XFSM4
266819.75000000
PA
USD
229493.56000000
0.066712339589
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 CJ9477
3617XSQ60
169521.92000000
PA
USD
153716.75000000
0.044684495838
Long
DBT
USGA
US
N
2
2052-01-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0573
3132DMT62
68655.16000000
PA
USD
57740.25000000
0.016784728800
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0188
3132D9F58
81028.27000000
PA
USD
69388.43000000
0.020170781723
Long
DBT
USGA
US
N
2
2041-09-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3521
36179R4E6
100627.26000000
PA
USD
94882.53000000
0.027581756814
Long
DBT
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.709000% 01/25/2029
35137LAH8
30000.00000000
PA
USD
29828.23000000
0.008670879518
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
4.70900000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5653
36179UH62
45579.32000000
PA
USD
45834.62000000
0.013323836775
Long
DBT
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6460
3140XAFA5
73777.06000000
PA
USD
63756.36000000
0.018533574272
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.900000% 06/15/2047
437076BS0
10000.00000000
PA
USD
8600.09000000
0.002499992263
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
3.90000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2021-1 SEMT 2021-1 A1
81747KAA1
235.21000000
PA
USD
193.29000000
0.000056188191
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
2.49999840
N
N
N
N
N
N
DELTA AIR LINES, INC
N/A
DELTA AIR LINES 2019-1 CLASS AA PASS THROUGH TRUST 3.204000% 04/25/2024
24737BAA3
621000.00000000
PA
USD
615994.93000000
0.179065865533
Long
DBT
CORP
US
N
2
2024-04-25
Fixed
3.20400000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2021-A SMB 2021-A A2B
78448YAC5
259656.81000000
PA
USD
230176.31000000
0.066910810736
Long
ABS-MBS
US
Y
2
2053-01-15
Fixed
1.59000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.150000% 08/22/2027
023135BC9
470000.00000000
PA
USD
451089.62000000
0.131128925425
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7785
3140XBUK4
926577.28000000
PA
USD
891989.32000000
0.259295704970
Long
DBT
USGA
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
KENVUE INC.
5493008HSF8L4M2LIJ82
KENVUE INC 5.050000% 03/22/2028
49177JAF9
200000.00000000
PA
USD
204889.56000000
0.059560110990
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
5.05000000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 3.500000% 06/15/2024
125523BX7
160000.00000000
PA
USD
158419.16000000
0.046051456953
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 255935
31371MHL4
6865.53000000
PA
USD
6792.13000000
0.001974429622
Long
DBT
USGA
US
N
2
2025-11-01
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.375000% 05/03/2024
025816CV9
140000.00000000
PA
USD
138926.13000000
0.040384955301
Long
DBT
CORP
US
N
2
2024-05-03
Fixed
3.37500000
N
N
N
N
N
N
280 PARK AVENUE MORTGAGE TRUST COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
N/A
280 PARK AVENUE 2017-280P MORTGAGE TRUST PRK 2017-280P A
90205FAA8
130000.00000000
PA
USD
124865.98000000
0.036297757815
Long
ABS-MBS
US
N
2
2034-09-15
Floating
6.53799960
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A
05609VAA3
635000.00000000
PA
USD
618654.78000000
0.179839067258
Long
ABS-MBS
US
Y
2
2036-09-15
Floating
6.17628960
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5763
36179UML3
110113.71000000
PA
USD
106500.48000000
0.030959022066
Long
DBT
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2022-SFR3 TRUST PROG 2022-SFR3 A
74331UAA6
506350.21000000
PA
USD
473125.89000000
0.137534731007
Long
ABS-MBS
US
Y
2
2039-04-17
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4780
36179TJZ9
11337.22000000
PA
USD
11225.90000000
0.003263298774
Long
DBT
USGA
US
N
2
2047-10-20
Fixed
4.50000000
N
N
N
N
N
N
CARLISLE COMPANIES INCORPORATED
XR64VGX1ZPX6G7ZN7Z11
CARLISLE COS INC 2.200000% 03/01/2032
142339AL4
634000.00000000
PA
USD
517222.19000000
0.150353249053
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.20000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE EQUITIES, INC.
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE EQUITIES INC 3.950000% 01/15/2028
015271AK5
141000.00000000
PA
USD
135270.58000000
0.039322309826
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2019-M19 A2
3136B57A7
78659.71000000
PA
USD
71736.96000000
0.020853484675
Long
DBT
USGA
US
N
2
2029-09-25
Fixed
2.56000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8576
3140XCQ68
289313.00000000
PA
USD
262569.79000000
0.076327392352
Long
DBT
USGA
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA7186
3133KN6X6
263770.22000000
PA
USD
251438.57000000
0.073091616461
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1074
3140XGFQ7
518397.89000000
PA
USD
465124.21000000
0.135208692780
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5155
3140XLWR5
189721.15000000
PA
USD
191870.18000000
0.055775458820
Long
DBT
USGA
US
N
2
2053-07-01
Fixed
5.00000000
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 5.812000% 06/12/2026
693475BQ7
240000.00000000
PA
USD
241440.33000000
0.070185190755
Long
DBT
CORP
US
N
2
2026-06-12
Fixed
5.81200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q19236
3132JAV69
14825.04000000
PA
USD
14277.64000000
0.004150420465
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-73 IA
3136AFRX4
26161.81000000
PA
USD
1343.27000000
0.000390480170
Long
DBT
USGA
US
N
2
2032-09-25
Fixed
3.00000000
N
N
N
N
N
N
PFIZER INC.
765LHXWGK1KXCLTFYQ30
PFIZER INC 2.625000% 04/01/2030
717081EW9
100000.00000000
PA
USD
90195.31000000
0.026219211337
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0849
3132DM5J0
85116.27000000
PA
USD
73350.98000000
0.021322670174
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C38 WFCM 2017-C38 A5
95001MAF7
180000.00000000
PA
USD
169058.92000000
0.049144368503
Long
ABS-MBS
US
N
2
2050-07-15
Fixed
3.45300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2482
3140Q9XL2
41614.46000000
PA
USD
41113.18000000
0.011951343757
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS7740
3132A8S59
255610.58000000
PA
USD
242490.38000000
0.070490433709
Long
DBT
USGA
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.300000% 04/01/2027
20030NDK4
30000.00000000
PA
USD
28924.83000000
0.008408266800
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 5.017000% 06/26/2024
46115HAT4
200000.00000000
PA
USD
197922.00000000
0.057534684966
Long
DBT
NUSS
IT
N
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AK5556
3138EAE60
1003871.07000000
PA
USD
976492.36000000
0.283860209094
Long
DBT
USGA
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2020-2A A
05377RDY7
440000.00000000
PA
USD
410450.13000000
0.119315280382
Long
ABS-MBS
US
N
2
2027-02-20
Fixed
2.02000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BW0048
3140MRBS5
84267.35000000
PA
USD
83773.57000000
0.024352451765
Long
DBT
USGA
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AU3751
3138X3EZ1
309650.24000000
PA
USD
301203.04000000
0.087557836002
Long
DBT
USGA
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1556
3140XGWS4
355077.52000000
PA
USD
328491.06000000
0.095490292394
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7368
36179WFH6
193866.84000000
PA
USD
175945.61000000
0.051146286125
Long
DBT
USGA
US
N
2
2051-05-20
Fixed
3.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
GLENCORE FUNDING LLC 144A 1.625000% 04/27/2026
378272BD9
90000.00000000
PA
USD
83422.74000000
0.024250467683
Long
DBT
CORP
AU
N
2
2026-04-27
Fixed
1.62500000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 3.350000% 02/09/2027
037833CJ7
210000.00000000
PA
USD
204542.57000000
0.059459243172
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1775
3132DN6L2
185988.22000000
PA
USD
181215.19000000
0.052678120005
Long
DBT
USGA
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1104
3140XGGN3
83675.39000000
PA
USD
72249.69000000
0.021002532073
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4252
3140X7WN5
71702.18000000
PA
USD
58934.75000000
0.017131962464
Long
DBT
USGA
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.500000% 03/01/2027
58013MFB5
20000.00000000
PA
USD
19466.36000000
0.005658748850
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3873
36179SJS7
32187.52000000
PA
USD
29574.60000000
0.008597150867
Long
DBT
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BP2898
3140KAGG5
118873.01000000
PA
USD
113620.49000000
0.033028764350
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 5.375000% 04/24/2030
48667QAQ8
400000.00000000
PA
USD
396201.41000000
0.115173266779
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-55 IO
3136APB68
10793.45000000
PA
USD
516.32000000
0.000150090988
Long
DBT
USGA
US
N
2
2055-08-25
Floating
0.30917520
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 11/15/2041
912810TC2
650000.00000000
PA
USD
470158.20000000
0.136672042123
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.125000% 04/15/2031
195325DS1
220000.00000000
PA
USD
178890.65000000
0.052002390795
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1305
3132DNNW9
361508.09000000
PA
USD
358110.35000000
0.104100434364
Long
DBT
USGA
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 4.900000% 01/15/2045
96950FAP9
90000.00000000
PA
USD
81688.89000000
0.023746448355
Long
DBT
CORP
US
N
2
2045-01-15
Fixed
4.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4280
31418DXJ6
307942.26000000
PA
USD
240234.97000000
0.069834800157
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
1.50000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2017-C34 ASB
61767EAC8
453126.91000000
PA
USD
436604.63000000
0.126918229614
Long
ABS-MBS
US
N
2
2052-11-15
Fixed
3.35400000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3597
36179R7J2
40275.12000000
PA
USD
37973.36000000
0.011038617762
Long
DBT
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G08844
3128MJ5E6
10934.34000000
PA
USD
11002.91000000
0.003198476978
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BN1623
3140JHYV9
25237.96000000
PA
USD
24883.23000000
0.007233399010
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4236
31418DV66
81736.83000000
PA
USD
63921.56000000
0.018581596877
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
1.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 05/31/2025
912828ZT0
210000.00000000
PA
USD
197769.14000000
0.057490249522
Long
SN
UST
US
N
1
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 870545
31409GES1
16953.01000000
PA
USD
16919.69000000
0.004918447842
Long
DBT
USGA
US
N
2
2036-03-01
Floating
4.24599840
N
N
N
N
N
N
DIAMONDBACK ENERGY, INC.
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.500000% 12/01/2029
25278XAN9
50000.00000000
PA
USD
46435.97000000
0.013498645451
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QE6679
3133BGM47
93863.31000000
PA
USD
92057.53000000
0.026760547020
Long
DBT
USGA
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.106000% 04/08/2026
172967MQ1
150000.00000000
PA
USD
145786.54000000
0.042379233491
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 5.450000% 05/21/2028
71568PAE9
370000.00000000
PA
USD
376012.50000000
0.109304477171
Long
DBT
NUSS
ID
N
2
2028-05-21
Fixed
5.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5131
3133KYVY2
166857.88000000
PA
USD
142732.37000000
0.041491405414
Long
DBT
USGA
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
SAN JOSE CALIF FING AUTH LEASE REV
N/A
SAN JOSE CA FING AUTH LEASE RE SAN JOSE FINANCING AUTHORITY
798153NF5
540000.00000000
PA
USD
498721.21000000
0.144975130118
Long
DBT
MUN
US
N
2
2026-06-01
Fixed
1.31100000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE EQUITIES, INC.
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE EQUITIES INC 3.450000% 04/30/2025
015271AL3
664000.00000000
PA
USD
648903.86000000
0.188632285235
Long
DBT
CORP
US
N
2
2025-04-30
Fixed
3.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-93 UI
3136A8FA3
84534.16000000
PA
USD
2866.66000000
0.000833320095
Long
DBT
USGA
US
N
2
2027-09-25
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.593000% 07/21/2028
06051GGR4
210000.00000000
PA
USD
199184.53000000
0.057901694524
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99126
3132H7D84
256456.63000000
PA
USD
234133.46000000
0.068061129440
Long
DBT
USGA
US
N
2
2043-11-01
Fixed
3.00000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 CAS 2021-R03 1M2
20754AAB9
440000.00000000
PA
USD
433818.48000000
0.126108313271
Long
ABS-MBS
US
Y
2
2041-12-25
Floating
6.98743080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1517 X1
3137FWHG8
234616.45000000
PA
USD
24238.39000000
0.007045948064
Long
DBT
USGA
US
N
2
2035-07-25
Floating
1.32322320
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6217
36179U4A7
68246.73000000
PA
USD
60049.05000000
0.017455882490
Long
DBT
USGA
US
N
2
2049-10-20
Fixed
2.50000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.500000% 07/01/2027
58013MFP4
10000.00000000
PA
USD
9713.28000000
0.002823589620
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
N
WIND RIVER CLO LTD.
N/A
WIND RIVER 2021-3 CLO LTD WINDR 2021-3A A
97316DAA4
614000.00000000
PA
USD
610012.07000000
0.177326685628
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-20
Floating
6.82742880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1938
3140XHEL7
1005068.81000000
PA
USD
860434.27000000
0.250122849700
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB1273
3140QLMX1
257072.79000000
PA
USD
211877.43000000
0.061591441004
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Delta Air Lines
N/A
DELTA AIR LINES 2015-1 CLASS AA PASS THROUGH TRUST 3.625000% 07/30/2027
24736XAA6
428660.61000000
PA
USD
403701.72000000
0.117353559889
Long
DBT
CORP
US
N
2
2027-07-30
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8786
3140XCXQ6
82656.77000000
PA
USD
71169.98000000
0.020688667143
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Banco Santander, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 2.746000% 05/28/2025
05971KAE9
200000.00000000
PA
USD
192961.26000000
0.056092628938
Long
DBT
NUSS
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2021-61 KI
3136BGVA6
526027.73000000
PA
USD
71253.40000000
0.020712916814
Long
DBT
USGA
US
N
2
2049-04-25
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.500000% 09/13/2025
172967HB0
330000.00000000
PA
USD
331502.83000000
0.096365795057
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2019-C16 UBSCM 2019-C16 ASB
90276YAC7
284000.00000000
PA
USD
272217.35000000
0.079131877580
Long
ABS-MBS
US
N
2
2052-04-15
Fixed
3.46030000
N
N
N
N
N
N
Banco Santander, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 4.175000% 03/24/2028
05964HAQ8
200000.00000000
PA
USD
192468.15000000
0.055949284951
Long
DBT
NUSS
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN BS8439
3617MKLU1
40000.63000000
PA
USD
37481.29000000
0.010895576096
Long
DBT
USGA
US
N
2
2050-05-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0653
3132DMWN1
80399.56000000
PA
USD
69117.23000000
0.020091945583
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.000000% 11/15/2052
912810TL2
610000.00000000
PA
USD
601850.78000000
0.174954249774
Long
DBT
UST
US
N
2
2052-11-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8428
36179XLH7
189071.40000000
PA
USD
187738.31000000
0.054574350107
Long
DBT
USGA
US
N
2
2052-11-20
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 2.592000% 04/29/2031
06051GJB6
380000.00000000
PA
USD
327480.14000000
0.095196424285
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4208
31418DVA7
518698.51000000
PA
USD
426810.56000000
0.124071154847
Long
DBT
USGA
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC CANADA MTN 6.350000% 01/30/2026
74815HBZ4
1010000.00000000
PA
USD
1039174.09000000
0.302081395160
Long
DBT
NUSS
CA
N
2
2026-01-30
Fixed
6.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5013 IN
3137FW3E8
79607.62000000
PA
USD
12597.24000000
0.003661938717
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.550000% 03/10/2051
715638DT6
90000.00000000
PA
USD
68116.50000000
0.019801039644
Long
DBT
NUSS
PE
N
2
2051-03-10
Fixed
3.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA8779
3140QGXH5
160227.31000000
PA
USD
131457.41000000
0.038213845205
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 6.350000% 01/15/2029
958667AF4
490000.00000000
PA
USD
511760.90000000
0.148765686277
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.35000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)MAR24 FINANCIAL COMMODITY FUTURE.
N/A
179.00000000
NC
USD
20207421.88000000
5.874170894803
N/A
DIR
US
N
1
DEUTSCHE BANK SECURITIES, INC.
9J6MBOOO7BECTDTUZW19
US 10YR NOTE (CBT)MAR24
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Mar 2024
2024-03-22
19749002.11000000
USD
458419.77000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786928
3622ACSR2
99114.30000000
PA
USD
102371.29000000
0.029758692412
Long
DBT
USGA
US
N
2
2053-09-20
Fixed
6.50000000
N
N
N
N
N
N
BURLINGTON NORTHERN SANTA FE, LLC
N/A
BURLINGTON NORTHERN SANTA FE LLC 4.550000% 09/01/2044
12189LAU5
10000.00000000
PA
USD
9330.60000000
0.002712346942
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
4.55000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H09 FL
38380QAW2
61614.44000000
PA
USD
61375.16000000
0.017841374356
Long
DBT
USGA
US
N
2
2070-05-20
Floating
6.58719000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5010 JI
3137FVQG0
233581.72000000
PA
USD
36734.72000000
0.010678552876
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT MAR24 FINANCIAL COMMODITY FUTURE.
N/A
88.00000000
NC
USD
10385375.00000000
3.018963424374
N/A
DIR
US
N
1
US 10YR ULTRA FUT MAR24
N/A
Long
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Mar 2024
2024-03-22
9888464.78000000
USD
496910.22000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6413
36179VDS6
36002.09000000
PA
USD
36235.68000000
0.010533485076
Long
DBT
USGA
US
N
2
2050-01-20
Fixed
5.00000000
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 1.500000% 05/04/2025
609207AU9
180000.00000000
PA
USD
171580.38000000
0.049877341122
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SYSTEMS, INCORPORATED
N/A
AMERICAN TRANSMISSION SYSTEMS INC 144A 2.650000% 01/15/2032
030288AC8
60000.00000000
PA
USD
50762.39000000
0.014756308630
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2138
31418BLU8
26329.82000000
PA
USD
25227.98000000
0.007333615675
Long
DBT
USGA
US
N
2
2035-01-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.200000% 08/26/2024
06051GFH7
210000.00000000
PA
USD
208030.06000000
0.060473034657
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 992249
31415XH20
2511.52000000
PA
USD
2591.17000000
0.000753236879
Long
DBT
USGA
US
N
2
2038-11-01
Fixed
7.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.550000% 12/01/2033
00206RMM1
472000.00000000
PA
USD
384689.93000000
0.111826951688
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB9597
31417GUX2
20114.46000000
PA
USD
19565.77000000
0.005687646714
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA9081
3133KRCS1
95163.47000000
PA
USD
98505.28000000
0.028634867535
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8348
36179XHZ2
93509.54000000
PA
USD
92954.57000000
0.027021310926
Long
DBT
USGA
US
N
2
2052-10-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4901
36179TNS0
27302.95000000
PA
USD
26311.04000000
0.007648454429
Long
DBT
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
MACQUARIE BANK LIMITED
4ZHCHI4KYZG2WVRT8631
MACQUARIE BANK LTD 144A 2.300000% 01/22/2025
55608PBE3
1188000.00000000
PA
USD
1153240.52000000
0.335239791474
Long
DBT
NUSS
AU
N
2
2025-01-22
Fixed
2.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9728
3140XDY26
1792534.74000000
PA
USD
1540469.78000000
0.447804910479
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4367
3140XKZ94
853186.23000000
PA
USD
837599.42000000
0.243484901918
Long
DBT
USGA
US
N
2
2037-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BS8546
3617MKP78
112347.33000000
PA
USD
96231.95000000
0.027974024751
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4838
36179TLT0
68658.46000000
PA
USD
66278.22000000
0.019266663169
Long
DBT
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785667
3622ABFG2
167793.55000000
PA
USD
145148.22000000
0.042193677868
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-26 HI
3136ADXW4
797.56000000
PA
USD
28.12000000
0.000008174307
Long
DBT
USGA
US
N
2
2032-04-25
Fixed
3.00000000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FUNDING
635400DPNHEAUHB7ZI15
NEW YORK LIFE GLOBAL FUNDING 144A 0.950000% 06/24/2025
64952WDQ3
60000.00000000
PA
USD
56653.60000000
0.016468846455
Long
DBT
CORP
US
N
2
2025-06-24
Fixed
0.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 05/15/2050
912810SN9
1020000.00000000
PA
USD
549644.53000000
0.159778220090
Long
DBT
UST
US
N
1
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
N/A
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
2803763.85000000
NS
USD
2803763.85000000
0.815036579202
Long
STIV
RF
US
N
1
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 5.875000% 08/24/2026
808513CG8
110000.00000000
PA
USD
112820.98000000
0.032796351804
Long
DBT
CORP
US
N
2
2026-08-24
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA JANUARY
21H032613
400000.00000000
PA
USD
372500.00000000
0.108283415435
Long
DBT
US
N
2
2041-01-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0093
3132D9C69
140760.35000000
PA
USD
121154.19000000
0.035218763724
Long
DBT
USGA
US
N
2
2040-10-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5576
3133KMFR1
327685.31000000
PA
USD
281619.39000000
0.081864991683
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4720
36179TG58
106124.79000000
PA
USD
102455.32000000
0.029783119407
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM7 CSMC 2021-NQM7 A1
12662QAA4
97713.22000000
PA
USD
81069.75000000
0.023566468237
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.75600080
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.083000% 04/22/2026
46647PBK1
130000.00000000
PA
USD
124520.40000000
0.036197299874
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.083000% 03/20/2051
06051GJA8
40000.00000000
PA
USD
33657.05000000
0.009783893496
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08300000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.500000% 02/12/2034
91087BAR1
1040000.00000000
PA
USD
879863.04000000
0.255770671373
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785221
3622AAVN1
74429.99000000
PA
USD
62282.35000000
0.018105088803
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Orbia Advance Corporation S.A.B. de CV
549300MVHZ20SBIOEQ79
ORBIA ADVANCE CORP SAB DE CV 144A 2.875000% 05/11/2031
68560EAB4
200000.00000000
PA
USD
165499.42000000
0.048109644161
Long
DBT
NUSS
MX
N
2
2031-05-11
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K118 X1
3137F62P1
12047761.62000000
PA
USD
606843.34000000
0.176405555676
Long
DBT
USGA
US
N
2
2030-09-25
Floating
0.95709600
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC 3.407000% 03/07/2024
606822BD5
510000.00000000
PA
USD
507892.44000000
0.147641149200
Long
DBT
NUSS
JP
N
2
2024-03-07
Fixed
3.40700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G06875
3128M86L3
79392.97000000
PA
USD
81871.95000000
0.023799662749
Long
DBT
USGA
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4177
31418DUB6
58046.21000000
PA
USD
51685.05000000
0.015024520109
Long
DBT
USGA
US
N
2
2040-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1807
3132DPAG3
92822.27000000
PA
USD
90340.04000000
0.026261283441
Long
DBT
USGA
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.376000% 04/27/2028
06051GKP3
100000.00000000
PA
USD
97729.90000000
0.028409469428
Long
DBT
CORP
US
N
2
2028-04-27
Fixed
4.37600000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 7.149000% 10/29/2027
14040HDB8
635000.00000000
PA
USD
659213.76000000
0.191629308550
Long
DBT
CORP
US
N
2
2027-10-29
Fixed
7.14900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QF4938
3133BSPX4
603553.18000000
PA
USD
615932.08000000
0.179047595432
Long
DBT
USGA
US
N
2
2052-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2756
3132DQBZ8
94282.54000000
PA
USD
95406.36000000
0.027734030912
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS6129
3140XMY34
98997.33000000
PA
USD
84545.52000000
0.024576852792
Long
DBT
USGA
US
N
2
2042-06-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC7411
3133ASGU1
86401.11000000
PA
USD
74412.38000000
0.021631212502
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786726
3622ACLF5
286828.41000000
PA
USD
237008.66000000
0.068896932060
Long
DBT
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783669
3622A2CE0
47821.98000000
PA
USD
43633.20000000
0.012683897778
Long
DBT
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Coterra Energy Inc.
FCNMH6O7VWU7LHXMK351
COTERRA ENERGY INC 4.375000% 03/15/2029
127097AK9
300000.00000000
PA
USD
291104.52000000
0.084622259528
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2770
3140X6CG4
78609.89000000
PA
USD
73166.93000000
0.021269167992
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 2.500000% 04/15/2027
437076CA8
450000.00000000
PA
USD
423888.73000000
0.123221797178
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.50000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028
00774MAW5
180000.00000000
PA
USD
164337.93000000
0.047772006298
Long
DBT
NUSS
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9044
3140XDBN5
76337.52000000
PA
USD
68534.98000000
0.019922689157
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0160
3132D9E91
156378.44000000
PA
USD
134157.42000000
0.038998721190
Long
DBT
USGA
US
N
2
2041-07-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AP2422
3138M5VQ9
538205.48000000
PA
USD
508283.54000000
0.147754839519
Long
DBT
USGA
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BD8104
3140FGAE9
113171.84000000
PA
USD
102867.11000000
0.029902824179
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC SERVICES, INC.
NKNQHM6BLECKVOQP7O46
REPUBLIC SERVICES INC 3.200000% 03/15/2025
760759AQ3
180000.00000000
PA
USD
175790.77000000
0.051101275107
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.20000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2022-NQM1 CSMC 2022-NQM1 A1
126416AA4
352480.19000000
PA
USD
301027.39000000
0.087506775647
Long
ABS-MBS
US
Y
2
2066-11-25
Floating
2.26500120
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 3.250000% 05/11/2025
822582BD3
150000.00000000
PA
USD
147047.12000000
0.042745676197
Long
DBT
NUSS
NL
N
2
2025-05-11
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU1421
3140M2SK9
87888.41000000
PA
USD
78564.75000000
0.022838280437
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1
64831TAA5
93394.57000000
PA
USD
77223.17000000
0.022448291539
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.15611840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 735228
31402QYZ8
51532.48000000
PA
USD
53068.09000000
0.015426561170
Long
DBT
USGA
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U91671
3132HBW84
250564.81000000
PA
USD
236036.52000000
0.068614337055
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QF9985
3133BYCW7
95825.40000000
PA
USD
96372.63000000
0.028014919546
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0148
3140FXEW8
139314.78000000
PA
USD
138101.95000000
0.040145371340
Long
DBT
USGA
US
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QE0399
3133B9NQ3
89988.79000000
PA
USD
79616.30000000
0.023143959431
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
RYDER SYSTEM, INC.
ZXJ6Y2OSPZXIVGRILD15
RYDER SYSTEM INC MTN 5.250000% 06/01/2028
78355HKW8
609000.00000000
PA
USD
616918.04000000
0.179334207825
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.25000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.500000% 04/19/2026
06051GFX2
130000.00000000
PA
USD
126498.96000000
0.036772454866
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3250
3140X6TG6
189195.33000000
PA
USD
176096.40000000
0.051190119833
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 4.000000% 05/15/2029
91324PEH1
200000.00000000
PA
USD
197059.21000000
0.057283877320
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.00000000
N
N
N
N
N
N
EOG RESOURCES, INC.
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 4.375000% 04/15/2030
26875PAU5
190000.00000000
PA
USD
189230.92000000
0.055008242479
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4142
3133KKS75
354163.05000000
PA
USD
306547.11000000
0.089111323658
Long
DBT
USGA
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2762
3132DQB70
96036.83000000
PA
USD
96771.43000000
0.028130848206
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
PG&E WILDFIRE RECOVERY FUNDING LLC
N/A
PG&E WILDFIRE RECOVERY FUNDING LLC 3.594000% 06/01/2030
693342AA5
672619.21000000
PA
USD
647457.62000000
0.188211872331
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.59400000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.375000% 08/15/2050
912810SP4
2130000.00000000
PA
USD
1186892.57000000
0.345022231502
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AU6735
3138X6PV1
24302.82000000
PA
USD
22337.97000000
0.006493507880
Long
DBT
USGA
US
N
2
2043-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G08859
3128MJ5V8
34081.83000000
PA
USD
34274.46000000
0.009963370714
Long
DBT
USGA
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 5.650000% 11/01/2028
682680BJ1
170000.00000000
PA
USD
175983.37000000
0.051157262720
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
5.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0583
3140XFUH2
91249.07000000
PA
USD
78523.95000000
0.022826420132
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B1
64828GAS9
190069.08000000
PA
USD
177798.83000000
0.051685005564
Long
ABS-MBS
US
N
2
2059-09-25
Floating
3.99999960
N
N
N
N
N
N
ADOBE INC.
FU4LY2G4933NH2E1CP29
ADOBE INC 2.300000% 02/01/2030
00724PAD1
210000.00000000
PA
USD
188118.23000000
0.054684790470
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2511
3132DPYG7
94789.52000000
PA
USD
95172.70000000
0.027666107415
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.950000% 06/15/2028
29278NAF0
10000.00000000
PA
USD
9960.87000000
0.002895562481
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9441
3140XDP34
83399.86000000
PA
USD
68516.39000000
0.019917285161
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2523
31418BYV2
50062.71000000
PA
USD
46785.42000000
0.013600228376
Long
DBT
USGA
US
N
2
2036-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-H08 BF
38375BN99
206423.43000000
PA
USD
204287.79000000
0.059385180222
Long
DBT
USGA
US
N
2
2063-03-20
Floating
5.83719120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6954
3140XAWQ1
561506.79000000
PA
USD
487791.67000000
0.141797981338
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 1.675000% 06/30/2027
09659W2Q6
290000.00000000
PA
USD
265576.65000000
0.077201467709
Long
DBT
NUSS
FR
N
2
2027-06-30
Fixed
1.67500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0499
3132DMRU1
1274316.92000000
PA
USD
1146320.48000000
0.333228179216
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 5.000000% 07/09/2027
22550L2K6
530000.00000000
PA
USD
530112.07000000
0.154100256384
Long
DBT
NUSS
CH
N
2
2027-07-09
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL9397
3138ERNP1
63220.60000000
PA
USD
57382.37000000
0.016680695327
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-123 NI
38382HM98
73906.16000000
PA
USD
9918.72000000
0.002883309740
Long
DBT
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
US 5YR FUTR OPTN Feb24P105.75 SHORT
01JJ1HKG4
-33.00000000
NC
USD
-773.44000000
-0.00022483416
N/A
DIR
US
N
1
US 5YR FUTR OPTN Feb24P105.75
N/A
Put
Written
N/A
Put Option 105.75 Jan 2024 on US 5-Year Note (consolidated) Mar 2024
-33000.00000000
105.75000000
USD
2024-01-29
XXXX
11028.85000000
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20J 1
83162CUH4
66859.42000000
PA
USD
62503.65000000
0.018169419326
Long
ABS-MBS
US
N
2
2031-10-01
Fixed
2.76000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2110
31418BKY1
51164.47000000
PA
USD
49023.30000000
0.014250766066
Long
DBT
USGA
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4085 IO
3137ARUW4
51553.19000000
PA
USD
1461.42000000
0.000424825634
Long
DBT
USGA
US
N
2
2027-06-15
Fixed
3.00000000
N
N
N
N
N
N
CWHEQ REVOLVING HOME EQUITY LOAN TRUST
N/A
CWHEQ REVOLVING HOME EQUITY LOAN TRUST SERIES 2006 CWHEL 2006-F 2A1A
23242LAB9
120058.69000000
PA
USD
111941.98000000
0.032540832013
Long
ABS-MBS
US
N
2
2036-07-15
Floating
5.61629160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA6562
3133KNJF1
83263.52000000
PA
USD
71918.11000000
0.020906143845
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC 3.837000% 04/17/2026
606822CF9
200000.00000000
PA
USD
196120.61000000
0.057011032182
Long
DBT
NUSS
JP
N
2
2026-04-17
Fixed
3.83700000
N
N
N
N
N
N
SLG OFFICE TRUST
N/A
SLG OFFICE TRUST 2021-OVA SLG 2021-OVA A
78449RAA3
510000.00000000
PA
USD
421327.27000000
0.122477196810
Long
ABS-MBS
US
Y
2
2041-07-15
Fixed
2.58540000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.785000% 03/17/2033
172967NN7
250000.00000000
PA
USD
224836.76000000
0.065358637015
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4068
36179SQV2
17536.66000000
PA
USD
16095.61000000
0.004678892951
Long
DBT
USGA
US
N
2
2046-11-20
Fixed
3.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 4.050000% 02/01/2030
958667AC1
20000.00000000
PA
USD
18702.81000000
0.005436789651
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB7109
3140QS3T6
195386.93000000
PA
USD
196282.46000000
0.057058080963
Long
DBT
USGA
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ1150
3140KLH47
66719.25000000
PA
USD
57489.58000000
0.016711860602
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7552
3132DVL94
2430968.28000000
PA
USD
2092943.50000000
0.608405558372
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.452000% 12/05/2029
46647PAX4
200000.00000000
PA
USD
195998.05000000
0.056975404758
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU1030
3140M2EC2
251657.46000000
PA
USD
208896.52000000
0.060724909149
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.950000% 11/21/2026
00287YBV0
20000.00000000
PA
USD
19177.95000000
0.005574909871
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2015-FL7 D
46644PAG4
114920.47000000
PA
USD
101661.29000000
0.029552299862
Long
ABS-MBS
US
N
2
2028-05-15
Floating
9.19299960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1015
3140XGDV8
178000.81000000
PA
USD
147206.46000000
0.042791995336
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
LKQ CORPORATION
DS830JTTZQN6GK0I2E41
LKQ CORP 5.750000% 06/15/2028
501889AD1
682000.00000000
PA
USD
698007.54000000
0.202906417264
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.75000000
N
N
N
N
N
N
CARRIER GLOBAL CORPORATION
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP 2.700000% 02/15/2031
14448CAL8
10000.00000000
PA
USD
8736.47000000
0.002539637075
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB2664
3140QM6A7
348652.43000000
PA
USD
308756.28000000
0.089753515531
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM4097
3140J8RT2
614844.42000000
PA
USD
610389.35000000
0.177436358559
Long
DBT
USGA
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5712
36179UKZ4
200697.07000000
PA
USD
201573.69000000
0.058596208362
Long
DBT
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 8.125000% 07/15/2039
172967EW7
12000.00000000
PA
USD
15451.05000000
0.004491523398
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1000
3140X4DE3
323185.16000000
PA
USD
293311.23000000
0.085263736295
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QD8675
3133B6T83
88527.50000000
PA
USD
76271.01000000
0.022171504594
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841081
31288QFW5
108399.66000000
PA
USD
102736.44000000
0.029864839229
Long
DBT
USGA
US
N
2
2050-02-01
Floating
3.09800160
N
N
N
N
N
N
NXP B.V.
724500RKKW4NOJ9YQF60
NXP BV / NXP FUNDING LLC / NXP USA INC 5.000000% 01/15/2033
62954HBB3
916000.00000000
PA
USD
917416.79000000
0.266687311138
Long
DBT
NUSS
CN
N
2
2033-01-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785219
3622AAVL5
42616.36000000
PA
USD
35481.10000000
0.010314133399
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.625000% 11/15/2050
912810SS8
1080000.00000000
PA
USD
643443.75000000
0.187045065478
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785762
3622ABJF0
86054.24000000
PA
USD
74430.40000000
0.021636450803
Long
DBT
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7548
3132DVL52
1184246.87000000
PA
USD
1021463.54000000
0.296933049272
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
MASTERCARD INCORPORATED.
AR5L2ODV9HN37376R084
MASTERCARD INC 3.850000% 03/26/2050
57636QAQ7
10000.00000000
PA
USD
8721.97000000
0.002535422015
Long
DBT
CORP
US
N
2
2050-03-26
Fixed
3.85000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 08/15/2043
912810RC4
40000.00000000
PA
USD
36773.44000000
0.010689808538
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
BECTON, DICKINSON AND COMPANY
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON & CO 3.363000% 06/06/2024
075887BV0
186000.00000000
PA
USD
184202.24000000
0.053546436719
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2764
3140XJCA9
740154.91000000
PA
USD
709704.33000000
0.206306600810
Long
DBT
USGA
US
N
2
2035-07-01
Fixed
3.00000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 1.200000% 06/03/2027
023135BR6
20000.00000000
PA
USD
18039.45000000
0.005243955056
Long
DBT
CORP
US
N
2
2027-06-03
Fixed
1.20000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 4.250000% 08/22/2057
023135BM7
10000.00000000
PA
USD
9190.80000000
0.002671707958
Long
DBT
CORP
US
N
2
2057-08-22
Fixed
4.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS8740
3138WJWA2
20293.51000000
PA
USD
19370.98000000
0.005631022482
Long
DBT
USGA
US
N
2
2037-02-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 CK9592
3617Y5UR8
90460.30000000
PA
USD
86557.55000000
0.025161737303
Long
DBT
USGA
US
N
2
2052-06-20
Fixed
4.00000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2022-AHP BX 2022-AHP A
05610FAA5
630000.00000000
PA
USD
618140.75000000
0.179689641959
Long
ABS-MBS
US
Y
2
2039-01-17
Floating
6.35181120
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5018
36179TSF3
23151.13000000
PA
USD
21191.54000000
0.006160247864
Long
DBT
USGA
US
N
2
2048-02-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4325
31418DYX4
82338.53000000
PA
USD
67533.50000000
0.019631565198
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7796
3140XBUW8
58623.66000000
PA
USD
56520.30000000
0.016430096981
Long
DBT
USGA
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ6341
3140KSBK2
48119.17000000
PA
USD
43502.01000000
0.012645761667
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA3210
31418CR89
179495.90000000
PA
USD
167409.69000000
0.048664947678
Long
DBT
USGA
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784605
3622AAAE4
52560.51000000
PA
USD
52304.11000000
0.015204476972
Long
DBT
USGA
US
N
2
2042-01-15
Fixed
4.50000000
N
N
N
N
N
N
COMMONWEALTH EDISON COMPANY
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 3.700000% 08/15/2028
202795JN1
468000.00000000
PA
USD
452378.14000000
0.131503490114
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
3.70000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2021-SFR2 TRUST PROG 2021-SFR2 A
74333DAA2
580439.49000000
PA
USD
528528.46000000
0.153639910882
Long
ABS-MBS
US
Y
2
2038-04-19
Fixed
1.54600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4979
3140XLQ92
95803.21000000
PA
USD
96248.21000000
0.027978751431
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.950000% 01/31/2060
29379VBZ5
10000.00000000
PA
USD
8103.94000000
0.002355764568
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
3.95000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1 SCRT 2022-1 MAU
35563P7F0
858175.20000000
PA
USD
775307.31000000
0.225376975943
Long
ABS-MBS
US
N
2
2061-11-25
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7148
3140XA5J7
622690.09000000
PA
USD
602102.32000000
0.175027370875
Long
DBT
USGA
US
N
2
2036-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G07697
3128M93E0
190707.10000000
PA
USD
191550.99000000
0.055682672287
Long
DBT
USGA
US
N
2
2038-06-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 2.572000% 10/20/2032
06051GKD0
240000.00000000
PA
USD
198977.22000000
0.057841430806
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
TEXAS INSTRUMENTS INCORPORATED
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENTS INC 1.750000% 05/04/2030
882508BJ2
40000.00000000
PA
USD
34491.59000000
0.010026489044
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5625
3140XMHB5
868367.80000000
PA
USD
867120.07000000
0.252066369858
Long
DBT
USGA
US
N
2
2053-08-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-82 Z
38381HCN9
206429.21000000
PA
USD
116163.12000000
0.033767890956
Long
DBT
USGA
US
N
2
2064-02-16
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8879
36179X2L9
392367.97000000
PA
USD
395255.92000000
0.114898418761
Long
DBT
USGA
US
N
2
2053-05-20
Fixed
5.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.565000% 06/14/2030
46647PDF0
998000.00000000
PA
USD
976603.36000000
0.283892476098
Long
DBT
CORP
US
N
2
2030-06-14
Fixed
4.56500000
N
N
N
N
N
N
GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST
N/A
GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2022-1 GOOD 2022-1GS B
38237JAB9
576704.20000000
PA
USD
431669.67000000
0.125483667671
Long
ABS-MBS
US
Y
2
2049-01-20
Fixed
2.94000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0582
3140XFUG4
86723.42000000
PA
USD
74716.24000000
0.021719542699
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-54 BS
3136AETS6
16877.25000000
PA
USD
2169.85000000
0.000630761795
Long
DBT
USGA
US
N
2
2043-06-25
Floating
0.69809040
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2023-25F 1
83162CT60
856063.50000000
PA
USD
856440.94000000
0.248962013696
Long
ABS-MBS
US
N
2
2048-06-01
Fixed
4.93000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.400000% 06/10/2025
172967JT9
160000.00000000
PA
USD
157930.22000000
0.045909325159
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
MERCK & CO., INC.
4YV9Y5M8S0BRK1RP0397
MERCK & CO INC 1.900000% 12/10/2028
58933YBD6
430000.00000000
PA
USD
386976.51000000
0.112491646164
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
1.90000000
N
N
N
N
N
N
MASTERCARD INCORPORATED.
AR5L2ODV9HN37376R084
MASTERCARD INC 3.375000% 04/01/2024
57636QAB0
60000.00000000
PA
USD
59674.20000000
0.017346915944
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)
01F042616
100000.00000000
PA
USD
96929.69000000
0.028176853396
Long
DBT
USGA
US
N
2
2054-01-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1603
3140XGX95
88719.68000000
PA
USD
81997.74000000
0.023836229114
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5194
36179TXX8
18476.32000000
PA
USD
18613.95000000
0.005410958606
Long
DBT
USGA
US
N
2
2048-05-20
Fixed
5.00000000
N
N
N
N
N
N
KIMBERLY-CLARK CORPORATION
MP3J6QPYPGN75NVW2S34
KIMBERLY-CLARK CORP 3.100000% 03/26/2030
494368CB7
20000.00000000
PA
USD
18656.42000000
0.005423304368
Long
DBT
CORP
US
N
2
2030-03-26
Fixed
3.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2336
3140X5S20
132906.07000000
PA
USD
127524.90000000
0.037070689194
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
4.00000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING LLC HERTZ 2021-1A C
42806MAC3
210000.00000000
PA
USD
202112.90000000
0.058752953330
Long
ABS-MBS
US
Y
2
2025-12-26
Fixed
2.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BN6257
3140JN5T3
647497.46000000
PA
USD
610052.63000000
0.177338476166
Long
DBT
USGA
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1936
3132DPEH7
185336.74000000
PA
USD
170036.92000000
0.049428666973
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD3171
3132DQQY5
95003.84000000
PA
USD
95497.97000000
0.027760661365
Long
DBT
USGA
US
N
2
2053-06-01
Fixed
5.50000000
N
N
N
N
N
N
HOME PARTNERS OF AMERICA TRUST
N/A
HOME PARTNERS OF AMERICA 2022-1 TRUST HPA 2022-1 A
43730NAA4
949893.73000000
PA
USD
909565.23000000
0.264404911854
Long
ABS-MBS
US
Y
2
2039-04-17
Fixed
3.93000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.375000% 05/15/2033
91282CHC8
3330000.00000000
PA
USD
3195759.38000000
0.928987223024
Long
SN
UST
US
N
2
2033-05-15
Fixed
3.37500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.000000% 02/15/2027
674599CM5
130000.00000000
PA
USD
120601.00000000
0.035057954858
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.972000% 02/04/2033
06051GKK4
200000.00000000
PA
USD
170164.08000000
0.049465631588
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
TOYOTA MOTOR CORPORATION
5493006W3QUS5LMH6R84
TOYOTA MOTOR CORP 1.339000% 03/25/2026
892331AM1
210000.00000000
PA
USD
195716.95000000
0.056893690750
Long
DBT
NUSS
JP
N
2
2026-03-25
Fixed
1.33900000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 3.750000% 01/24/2024
95000U2C6
540000.00000000
PA
USD
539270.14000000
0.156762449937
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.203000% 07/23/2029
46647PAV8
100000.00000000
PA
USD
97172.10000000
0.028247320464
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.20300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1515 X1
3137FTZM2
2282908.60000000
PA
USD
255554.95000000
0.074288222328
Long
DBT
USGA
US
N
2
2035-02-25
Floating
1.50971040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL4324
3138ELYW7
69879.34000000
PA
USD
73404.65000000
0.021338271706
Long
DBT
USGA
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 01/15/2030
912828Z37
893000.00000000
PA
USD
967806.21000000
0.281335199727
Long
DBT
USGA
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0612
3140XFVE8
89497.86000000
PA
USD
74308.06000000
0.021600887332
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY COMPANY
549300JD0S5IZJE9LY15
BERKSHIRE HATHAWAY ENERGY CO 3.700000% 07/15/2030
084659AV3
140000.00000000
PA
USD
132379.26000000
0.038481821223
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AQ4080
3138MKRA6
14781.96000000
PA
USD
14378.83000000
0.004179835764
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 5.557000% 07/25/2034
95000U3F8
20000.00000000
PA
USD
20362.18000000
0.005919158110
Long
DBT
CORP
US
N
2
2034-07-25
Fixed
5.55700000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.845000% 06/14/2025
46647PDE3
1180000.00000000
PA
USD
1170400.77000000
0.340228168601
Long
DBT
CORP
US
N
2
2025-06-14
Fixed
3.84500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-181 WI
38382LXR7
360900.98000000
PA
USD
39116.72000000
0.011370985348
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-H21 FB
38375UAN0
80304.40000000
PA
USD
80206.72000000
0.023315590825
Long
DBT
USGA
US
N
2
2063-09-20
Floating
6.13719000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5331
36179T4Q5
17884.93000000
PA
USD
17674.49000000
0.005137863471
Long
DBT
USGA
US
N
2
2048-07-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0697
3140XFX30
168131.77000000
PA
USD
149549.31000000
0.043473047148
Long
DBT
USGA
US
N
2
2042-02-01
Fixed
2.50000000
N
N
N
N
N
N
TRIUMPH RAIL LLC
N/A
TRIUMPH RAIL HOLDINGS LLC TRP 2021-2 A
89683LAA8
258238.63000000
PA
USD
230393.17000000
0.066973850578
Long
ABS-MBS
US
Y
2
2051-06-19
Fixed
2.15000000
N
N
N
N
N
N
USAA CAPITAL CORPORATION
5493007XLF4LU3U2W757
USAA CAPITAL CORP 144A 2.125000% 05/01/2030
90327QD55
150000.00000000
PA
USD
125950.58000000
0.036613044237
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.12500000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.412000% 03/31/2031
172967MP3
100000.00000000
PA
USD
95644.55000000
0.027803271253
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.250000% 08/15/2049
912810SJ8
280000.00000000
PA
USD
195496.87000000
0.056829714874
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4537
3133KLBE6
82634.12000000
PA
USD
64614.18000000
0.018782937170
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
1.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25D 1
83162CP23
668316.66000000
PA
USD
612216.62000000
0.177967534496
Long
ABS-MBS
US
N
2
2047-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2792
3132DQC53
91840.27000000
PA
USD
91447.85000000
0.026583316865
Long
DBT
USGA
US
N
2
2047-03-01
Fixed
4.50000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORPORATION TRUST
N/A
GS MORTGAGE SECURITIES CORP TRUST 2018-SRP5 GSMS 2018-SRP5 B
36255TAJ1
382758.57000000
PA
USD
116130.06000000
0.033758280621
Long
ABS-MBS
US
N
2
2031-09-15
Floating
8.47648080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841089
31288QF62
295609.40000000
PA
USD
301958.61000000
0.087777475465
Long
DBT
USGA
US
N
2
2047-06-01
Floating
5.27299920
N
N
N
N
N
N
RYDER SYSTEM, INC.
ZXJ6Y2OSPZXIVGRILD15
RYDER SYSTEM INC MTN 3.350000% 09/01/2025
78355HKR9
197000.00000000
PA
USD
191215.86000000
0.055585252097
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3941
3140XKLX6
95741.02000000
PA
USD
94840.65000000
0.027569582561
Long
DBT
USGA
US
N
2
2053-02-01
Fixed
5.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.700000% 01/31/2051
29379VBY8
80000.00000000
PA
USD
63651.65000000
0.018503135731
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.875000% 08/15/2045
912810RN0
60000.00000000
PA
USD
48379.69000000
0.014063672673
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
WENDYS FUNDING LLC
N/A
WENDY'S FUNDING LLC WEN 2021-1A A2II
95058XAL2
258374.77000000
PA
USD
215652.76000000
0.062688905774
Long
ABS-MBS
US
Y
2
2051-06-15
Fixed
2.77500000
N
N
N
N
N
N
COSTCO WHOLESALE CORPORATION
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP 1.600000% 04/20/2030
22160KAP0
90000.00000000
PA
USD
77095.59000000
0.022411204832
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.700000% 01/30/2026
58013MEY6
10000.00000000
PA
USD
9830.95000000
0.002857795551
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Opt Dec24C 97.13 SHORT
00ZGJBCG7
-39.00000000
NC
USD
-24131.25000000
-0.00701480313
N/A
DIR
US
N
1
3 Month SOFR Opt Dec24C 97.13
N/A
Call
Written
N/A
Call Option 97.125 Dec 2024 on CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Dec 2024
-97500.00000000
97.12500000
USD
2024-12-16
XXXX
-2963.15000000
N
N
N
STORE MASTER FUNDING LLC
N/A
STORE MASTER FUNDING I-VII STR 2018-1A A1
86212VAD6
362461.35000000
PA
USD
355230.54000000
0.103263291646
Long
ABS-MBS
US
N
2
2048-10-20
Fixed
3.96000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA5379
3140QC6R2
40441.72000000
PA
USD
39703.10000000
0.011541442339
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4923
36202FPG5
90185.68000000
PA
USD
90203.65000000
0.026221635722
Long
DBT
USGA
US
N
2
2041-01-20
Fixed
4.50000000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2023-C A
69335PEY7
826000.00000000
PA
USD
835052.96000000
0.242744661955
Long
ABS-MBS
US
Y
2
2028-10-15
Fixed
5.52000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 SCRT 2019-4 MA
35563PML0
702621.67000000
PA
USD
642817.96000000
0.186863152247
Long
ABS-MBS
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.150000% 03/01/2026
20030NBS9
30000.00000000
PA
USD
29122.92000000
0.008465850322
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2914
3140XJGY3
92124.11000000
PA
USD
89736.25000000
0.026085765472
Long
DBT
USGA
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM5956
3140JATN8
219359.07000000
PA
USD
214621.27000000
0.062389058095
Long
DBT
USGA
US
N
2
2038-09-01
Fixed
4.00000000
N
N
N
N
N
N
FIRSTKEY HOMES TRUST
N/A
FIRSTKEY HOMES 2021-SFR3 TRUST FKH 2021-SFR3 A
33768JAA9
436727.08000000
PA
USD
396784.28000000
0.115342703435
Long
ABS-MBS
US
Y
2
2038-12-17
Fixed
2.13500000
N
N
N
N
N
N
CALIFORNIA HEALTH FACS FING AUTH REV
N/A
CALIFORNIA ST HLTH FACS FING A CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
13032UC55
575000.00000000
PA
USD
551423.62000000
0.160295390403
Long
DBT
MUN
US
N
2
2028-06-01
Fixed
3.37800000
N
N
N
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
GENERAL MOTORS CO 5.600000% 10/15/2032
37045VAZ3
210000.00000000
PA
USD
214715.26000000
0.062416380399
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
5.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3880
3140QPJ24
86688.59000000
PA
USD
86540.98000000
0.025156920508
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785565
3622ABCA8
163855.29000000
PA
USD
141737.16000000
0.041202104104
Long
DBT
USGA
US
N
2
2051-06-20
Fixed
2.50000000
N
N
N
N
N
N
DUKE ENERGY FLORIDA, LLC
7MOHLM3DKE63RX2ZCN83
DUKE ENERGY FLORIDA LLC 3.200000% 01/15/2027
26444HAC5
440000.00000000
PA
USD
424952.69000000
0.123531083682
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.20000000
N
N
N
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP 3.700000% 07/29/2025
458140AS9
30000.00000000
PA
USD
29523.49000000
0.008582293510
Long
DBT
CORP
US
N
2
2025-07-29
Fixed
3.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3339
3140XJV91
184564.60000000
PA
USD
169351.39000000
0.049229387699
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 2.100000% 08/01/2027
694308JF5
130000.00000000
PA
USD
117160.24000000
0.034057747491
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784369
3622A22A9
246086.52000000
PA
USD
238342.30000000
0.069284612850
Long
DBT
USGA
US
N
2
2045-08-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4946
3140X8P84
76028.31000000
PA
USD
77272.80000000
0.022462718669
Long
DBT
USGA
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
SABEY DATA CENTER ISSUER, LLC
N/A
SABEY DATA CENTER ISSUER LLC SDCP 2020-1 A2
78520EAA4
339000.00000000
PA
USD
326677.11000000
0.094962988497
Long
ABS-MBS
US
N
2
2045-04-20
Fixed
3.81200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K740 X1
3137F72D6
7861523.76000000
PA
USD
183712.80000000
0.053404159579
Long
DBT
USGA
US
N
2
2027-09-25
Floating
0.74305440
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-1 SCRT 2019-1 MA
35563PJF7
379037.44000000
PA
USD
358755.60000000
0.104288004495
Long
ABS-MBS
US
N
2
2058-07-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 787154
3622ACZT0
100000.00000000
PA
USD
103788.34000000
0.030170619966
Long
DBT
USGA
US
N
2
2053-11-20
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC5830
3133AQPP6
334015.91000000
PA
USD
287992.00000000
0.083717469471
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1
10569EAA9
23311.75000000
PA
USD
21665.75000000
0.006298097739
Long
ABS-MBS
US
Y
2
2060-03-25
Floating
0.96999840
N
N
N
N
N
N
PAYPAL HOLDINGS, INC.
5493005X2GO78EFZ3E94
PAYPAL HOLDINGS INC 4.400000% 06/01/2032
70450YAL7
80000.00000000
PA
USD
79483.96000000
0.023105489023
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5647
3140XMHZ2
96831.90000000
PA
USD
97665.74000000
0.028390818518
Long
DBT
USGA
US
N
2
2053-07-01
Fixed
5.50000000
N
N
N
N
N
N
Ferguson Finance Plc
2138003A7ZEU931DZL61
FERGUSON FINANCE PLC 144A 4.500000% 10/24/2028
314890AA2
459000.00000000
PA
USD
451685.06000000
0.131302016102
Long
DBT
NUSS
US
N
2
2028-10-24
Fixed
4.50000000
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 3.152000% 03/30/2031
857477BN2
50000.00000000
PA
USD
44816.49000000
0.013027872765
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15200000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 2.800000% 01/15/2051
20030NDL2
30000.00000000
PA
USD
19991.90000000
0.005811520035
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q19254
3132JAWQ4
19007.17000000
PA
USD
18462.80000000
0.005367020248
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KG06 X1
3137H4C73
6492533.92000000
PA
USD
210943.73000000
0.061320020266
Long
DBT
USGA
US
N
2
2031-10-25
Floating
0.53168040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC9154
3133AUE38
89117.20000000
PA
USD
79890.17000000
0.023223571724
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.000000% 04/01/2024
06051GFF1
440000.00000000
PA
USD
438292.77000000
0.127408961332
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT9657
3138WXWT0
18330.08000000
PA
USD
17830.00000000
0.005183069254
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FP0028
3140XTA68
95099.96000000
PA
USD
81868.96000000
0.023798793575
Long
DBT
USGA
US
N
2
2040-08-01
Fixed
2.00000000
N
N
N
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP 5.125000% 02/10/2030
458140CF5
70000.00000000
PA
USD
72595.87000000
0.021103164429
Long
DBT
CORP
US
N
2
2030-02-10
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q42618
3132WF4C0
462071.16000000
PA
USD
420241.85000000
0.122161672018
Long
DBT
USGA
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 787097
3622ACX21
99878.45000000
PA
USD
99395.46000000
0.028893637282
Long
DBT
USGA
US
N
2
2053-08-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2578
3132DP2K3
93083.22000000
PA
USD
94614.12000000
0.027503731710
Long
DBT
USGA
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR2664
3140L06A0
68923.97000000
PA
USD
57438.71000000
0.016697073012
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-175 GI
38382LLM1
289587.43000000
PA
USD
30996.14000000
0.009010383636
Long
DBT
USGA
US
N
2
2050-11-20
Fixed
2.00000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.150000% 10/15/2028
20030NCT6
250000.00000000
PA
USD
246517.69000000
0.071661147485
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
BPR TRUST
N/A
BPR TRUST 2021-TY BPR 2021-TY B
05592AAG5
370000.00000000
PA
USD
353077.79000000
0.102637500713
Long
ABS-MBS
US
Y
2
2038-09-15
Floating
6.62648040
N
N
N
N
N
N
PALMER SQUARE CLO
N/A
PALMER SQUARE CLO 2022-2 LTD PLMRS 2022-2A A1
69688NAA1
400000.00000000
PA
USD
399887.60000000
0.116244819109
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-20
Floating
6.98582160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G61739
31335B4Y9
112288.40000000
PA
USD
101362.19000000
0.029465353367
Long
DBT
USGA
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4255
31418DWR9
77003.20000000
PA
USD
63241.17000000
0.018383811768
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
MARS, INCORPORATED
54930073HKEO6GZBSS03
MARS INC 144A 2.700000% 04/01/2025
571676AA3
60000.00000000
PA
USD
58379.01000000
0.016970412328
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA7257
3140QFB32
72340.09000000
PA
USD
62537.10000000
0.018179143032
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.125000% 08/15/2044
912810RH3
50000.00000000
PA
USD
42337.89000000
0.012307359279
Long
DBT
UST
US
N
2
2044-08-15
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA3882
3133KKJ34
76741.30000000
PA
USD
63850.55000000
0.018560954715
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.625000% 09/01/2049
58013MFK5
10000.00000000
PA
USD
8014.64000000
0.002329805617
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5597
36179UGE6
37256.94000000
PA
USD
37552.69000000
0.010916331629
Long
DBT
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
EQT CORPORATION
4NT01YGM4X7ZX86ISY52
EQT CORP 3.900000% 10/01/2027
26884LAF6
140000.00000000
PA
USD
133930.49000000
0.038932754062
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 3.000000% 10/23/2026
949746SH5
190000.00000000
PA
USD
180381.10000000
0.052435655269
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.375000% 08/31/2028
91282CHX2
5679000.00000000
PA
USD
5800566.09000000
1.686188208550
Long
SN
UST
US
N
2
2028-08-31
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QK1354
3133D4QF3
86952.13000000
PA
USD
74270.58000000
0.021589992130
Long
DBT
USGA
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ3138
3140KNPY8
239031.50000000
PA
USD
206907.85000000
0.060146815244
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-124 SB
3136AHGQ7
20179.34000000
PA
USD
1924.13000000
0.000559332531
Long
DBT
USGA
US
N
2
2043-12-25
Floating
0.49808880
N
N
N
N
N
N
AMSR TRUST
N/A
AMSR 2023-SFR1 TRUST AMSR 2023-SFR1 A
66981XAA9
960000.00000000
PA
USD
905083.01000000
0.263101958592
Long
ABS-MBS
US
Y
2
2040-04-17
Fixed
4.00000000
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 3.250000% 04/06/2050
822582CH3
110000.00000000
PA
USD
82636.57000000
0.024021932991
Long
DBT
NUSS
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4696
36202FGD2
124328.38000000
PA
USD
124404.01000000
0.036163466031
Long
DBT
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM5695
3140JAKH0
113863.69000000
PA
USD
109394.50000000
0.031800295543
Long
DBT
USGA
US
N
2
2049-02-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3800
3140XKGJ3
496830.37000000
PA
USD
494816.06000000
0.143839927487
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
4.50000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-RPL3 TRUST CSMC 2021-RPL3 M3
12661GAE9
120000.00000000
PA
USD
86502.79000000
0.025145818915
Long
ABS-MBS
US
Y
2
2060-01-25
Floating
3.88317960
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.355000% 03/15/2032
92343VGN8
546000.00000000
PA
USD
454147.19000000
0.132017741862
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786831
3622ACPQ7
98866.94000000
PA
USD
100202.07000000
0.029128113753
Long
DBT
USGA
US
N
2
2053-07-20
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2016-C30 A4
61766NBA2
467413.52000000
PA
USD
435868.86000000
0.126704345886
Long
ABS-MBS
US
N
2
2049-09-15
Fixed
2.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1711
31418A3V8
19297.29000000
PA
USD
19081.78000000
0.005546953855
Long
DBT
USGA
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
CSMC MORTGAGE BACKED TRUST
N/A
CSMC SERIES 2019-NQM1 CSMC 2019-NQM1 A3
12655VAC8
122365.88000000
PA
USD
119432.62000000
0.034718314115
Long
ABS-MBS
US
N
2
2059-10-25
Fixed
4.06400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8577
3140XCQ76
151228.65000000
PA
USD
136599.76000000
0.039708694122
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 4.200000% 04/01/2050
58013MFR0
70000.00000000
PA
USD
61909.53000000
0.017996712366
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QA8518
3133A3PB8
422392.27000000
PA
USD
377829.40000000
0.109832638614
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.750000% 04/01/2040
20030NDH1
20000.00000000
PA
USD
17203.67000000
0.005000999048
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0751
3140XFZR5
173450.36000000
PA
USD
153494.21000000
0.044619804854
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.000000% 06/15/2045
25179MAU7
70000.00000000
PA
USD
61794.43000000
0.017963253517
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 3.755000% 03/15/2027
55903VBA0
190000.00000000
PA
USD
182054.34000000
0.052922055651
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
BECTON, DICKINSON AND COMPANY
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON & CO 4.685000% 12/15/2044
075887BG3
36000.00000000
PA
USD
33640.88000000
0.009779192978
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.68500000
N
N
N
N
N
N
MAD MORTGAGE TRUST
N/A
MAD MORTGAGE TRUST 2017-330M MAD 2017-330M A
55282MAA2
220000.00000000
PA
USD
197405.32000000
0.057384489328
Long
ABS-MBS
US
N
2
2034-08-15
Floating
3.18809880
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3663
36179SB89
13584.44000000
PA
USD
12807.90000000
0.003723176259
Long
DBT
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786843
3622ACP46
96531.02000000
PA
USD
86746.08000000
0.025216541793
Long
DBT
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AQ4078
3138MKQ82
20635.44000000
PA
USD
20072.69000000
0.005835005181
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1289
3140XGNF2
170316.34000000
PA
USD
154114.97000000
0.044800255896
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.875000% 09/10/2024
46625HJY7
290000.00000000
PA
USD
286768.52000000
0.083361811503
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB4337
3140QPZB6
1071845.87000000
PA
USD
1051920.92000000
0.305786818753
Long
DBT
USGA
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
TENNESSEE GAS PIPELINE COMPANY, L.L.C.
N/A
TENNESSEE GAS PIPELINE CO LLC 144A 2.900000% 03/01/2030
880451AZ2
160000.00000000
PA
USD
140922.21000000
0.040965203247
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2496
3140XHX28
149352.64000000
PA
USD
144896.08000000
0.042120382350
Long
DBT
USGA
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 5.198000% 01/10/2030
09659W2H6
200000.00000000
PA
USD
200179.73000000
0.058190992927
Long
DBT
NUSS
FR
N
2
2030-01-10
Fixed
5.19800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.375000% 02/15/2042
912810TF5
618000.00000000
PA
USD
474170.15000000
0.137838290844
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BW9916
3140N3AS8
93645.52000000
PA
USD
92825.59000000
0.026983817248
Long
DBT
USGA
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S MTN 3.773000% 03/28/2025
23636ABD2
310000.00000000
PA
USD
308385.43000000
0.089645711761
Long
DBT
NUSS
DK
N
2
2025-03-28
Fixed
3.77300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-101 BI
3136A76M9
951.20000000
PA
USD
15.94000000
0.000004633658
Long
DBT
USGA
US
N
2
2027-09-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD3737
3132E0EJ7
99229.27000000
PA
USD
100823.19000000
0.029308669445
Long
DBT
USGA
US
N
2
2053-09-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA2304
36179QRZ6
8165.26000000
PA
USD
7990.60000000
0.002322817340
Long
DBT
USGA
US
N
2
2044-10-20
Fixed
4.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 6.650000% 10/15/2034
293791AP4
40000.00000000
PA
USD
45778.39000000
0.013307491066
Long
DBT
CORP
US
N
2
2034-10-15
Fixed
6.65000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.250000% 10/22/2026
06051GFL8
10000.00000000
PA
USD
9818.16000000
0.002854077578
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 05/15/2026
91282CHB0
1898000.00000000
PA
USD
1875980.24000000
0.545335698461
Long
SN
UST
US
N
2
2026-05-15
Fixed
3.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.375000% 05/15/2051
912810SX7
1920000.00000000
PA
USD
1370100.00000000
0.398279483190
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
AMERICAN TOWER TRUST #1
N/A
AMERICAN TOWER TRUST #1 144A 5.490000% 03/15/2028
03027WAM4
554000.00000000
PA
USD
561920.09000000
0.163346648448
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
5.49000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.000000% 03/22/2050
92343VFD1
30000.00000000
PA
USD
24930.96000000
0.007247273822
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR4756
3140L3JA0
70274.24000000
PA
USD
58433.89000000
0.016986365601
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 NRZT 2018-RPL1 M2
64829VAD8
240000.00000000
PA
USD
197065.34000000
0.057285659272
Long
ABS-MBS
US
N
2
2057-12-25
Floating
3.49999920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT5860
3138WTQN9
500703.54000000
PA
USD
470789.27000000
0.136855490217
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
PRKCM TRUST
N/A
PRKCM 2021-AFC1 TRUST PRKCM 2021-AFC1 A1
69357TAA8
184080.97000000
PA
USD
146027.86000000
0.042449383703
Long
ABS-MBS
US
Y
2
2056-08-25
Floating
1.50999840
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786216
3622ABYM8
91304.70000000
PA
USD
83845.84000000
0.024373460202
Long
DBT
USGA
US
N
2
2052-06-20
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.875000% 04/15/2030
87264ABF1
390000.00000000
PA
USD
369837.67000000
0.107509492790
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q41945
3132WFET2
8377.92000000
PA
USD
8272.80000000
0.002404851111
Long
DBT
USGA
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE MTN 1.600000% 04/24/2025
06406RAN7
40000.00000000
PA
USD
38389.27000000
0.011159520192
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QN1779
3133G76Q1
511943.23000000
PA
USD
475103.15000000
0.138109508097
Long
DBT
USGA
US
N
2
2035-03-01
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.772000% 01/24/2029
61744YAP3
150000.00000000
PA
USD
143052.34000000
0.041584418687
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1516 X1
3137FUZK3
842237.88000000
PA
USD
100181.25000000
0.029122061510
Long
DBT
USGA
US
N
2
2035-05-25
Floating
1.50986520
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 1.125000% 01/15/2026
723787AT4
50000.00000000
PA
USD
46411.31000000
0.013491476943
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.12500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 2.000000% 05/15/2030
91324PDX7
30000.00000000
PA
USD
25928.93000000
0.007537377446
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 2.188000% 04/30/2026
95000U2N2
130000.00000000
PA
USD
124587.57000000
0.036216825772
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1463
31418ATV0
202759.12000000
PA
USD
190477.61000000
0.055370647449
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.400000% 07/26/2029
110122CP1
16000.00000000
PA
USD
15175.40000000
0.004411393671
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
CREDIT AGRICOLE S.A. LONDON BRANCH
N/A
CREDIT AGRICOLE SA/LONDON MTN 1.907000% 06/16/2026
22535WAG2
250000.00000000
PA
USD
237145.18000000
0.068936617569
Long
DBT
NUSS
FR
N
2
2026-06-16
Fixed
1.90700000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC 144A 3.625000% 09/11/2024
034863AS9
200000.00000000
PA
USD
196764.55000000
0.057198221505
Long
DBT
NUSS
ZA
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.000000% 01/22/2025
06051GFM6
80000.00000000
PA
USD
78922.11000000
0.022942162749
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.500000% 01/31/2027
912828Z78
128000.00000000
PA
USD
118815.00000000
0.034538775852
Long
SN
UST
US
N
2
2027-01-31
Fixed
1.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 05/15/2053
912810TR9
810000.00000000
PA
USD
748870.31000000
0.217691905731
Long
DBT
UST
US
N
2
2053-05-15
Fixed
3.62500000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2013-20K 1
83162CVX8
291375.47000000
PA
USD
277549.41000000
0.080681874005
Long
ABS-MBS
US
N
2
2033-11-01
Fixed
3.38000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25F 1
83162CP72
945127.05000000
PA
USD
891000.95000000
0.259008392006
Long
ABS-MBS
US
N
2
2047-06-01
Fixed
4.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Z40125
3132FCD69
529519.95000000
PA
USD
554180.08000000
0.161096676050
Long
DBT
USGA
US
N
2
2035-03-01
Fixed
6.00000000
N
N
N
N
N
N
BECTON, DICKINSON AND COMPANY
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON & CO 3.734000% 12/15/2024
075887BF5
7000.00000000
PA
USD
6889.82000000
0.002002827493
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73400000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 1.150000% 06/10/2025
78015K7H1
70000.00000000
PA
USD
66337.19000000
0.019283805378
Long
DBT
NUSS
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)
01F020612
200000.00000000
PA
USD
163437.50000000
0.047510256940
Long
DBT
USGA
US
N
2
2054-01-15
Fixed
2.00000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2022-LP2 BX 2022-LP2 A
05610HAA1
332128.48000000
PA
USD
326090.35000000
0.094792421043
Long
ABS-MBS
US
Y
2
2039-02-15
Floating
6.37471080
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.400000% 04/01/2030
20030NDG3
140000.00000000
PA
USD
131040.43000000
0.038092631733
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4747
36202FHY5
233297.77000000
PA
USD
237483.86000000
0.069035069722
Long
DBT
USGA
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 2.625000% 03/19/2027
713448ER5
10000.00000000
PA
USD
9482.75000000
0.002756575993
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785663
3622ABFC1
165050.73000000
PA
USD
142757.65000000
0.041498754151
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
WENDYS FUNDING LLC
N/A
WENDY'S FUNDING LLC WEN 2021-1A A2I
95058XAK4
602493.64000000
PA
USD
519463.99000000
0.151004926263
Long
ABS-MBS
US
Y
2
2051-06-15
Fixed
2.37000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0313
3132D9K29
457318.77000000
PA
USD
390619.50000000
0.113550640525
Long
DBT
USGA
US
N
2
2042-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-160 YI
38382KQ97
152761.68000000
PA
USD
20504.15000000
0.005960427899
Long
DBT
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES T JPMCC 2022-ACB A
46593EAA3
300000.00000000
PA
USD
295856.55000000
0.086003644867
Long
ABS-MBS
US
Y
2
2039-03-15
Floating
6.73844040
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-96 VI
38382UG39
1184813.64000000
PA
USD
160097.71000000
0.046539400918
Long
DBT
USGA
US
N
2
2051-06-20
Fixed
2.50000000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 1.650000% 03/25/2026
68389XCC7
130000.00000000
PA
USD
121273.96000000
0.035253580113
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD3642
3132E0BK7
97361.87000000
PA
USD
100258.82000000
0.029144610623
Long
DBT
USGA
US
N
2
2053-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2790
3133KJC34
678272.94000000
PA
USD
580635.92000000
0.168787222932
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
ELEVANCE HEALTH, INC.
8MYN82XMYQH89CTMTH67
ELEVANCE HEALTH INC 4.100000% 05/15/2032
036752AT0
80000.00000000
PA
USD
76398.91000000
0.022208684323
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.10000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE MTN 4.000000% 03/03/2024
38141GVM3
420000.00000000
PA
USD
418773.16000000
0.121734733040
Long
DBT
CORP
US
N
2
2024-03-03
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA1995
36179QGC9
26673.70000000
PA
USD
25314.12000000
0.007358656033
Long
DBT
USGA
US
N
2
2044-06-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1266
3140X4MQ6
375089.98000000
PA
USD
376719.89000000
0.109510111011
Long
DBT
USGA
US
N
2
2049-07-01
Fixed
5.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B2
64828GBB5
190069.07000000
PA
USD
177828.58000000
0.051693653703
Long
ABS-MBS
US
N
2
2059-09-25
Floating
4.25000160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB6540
3140QSHS3
288980.21000000
PA
USD
296370.87000000
0.086153154467
Long
DBT
USGA
US
N
2
2053-06-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G61526
31335BVT0
298505.60000000
PA
USD
307273.73000000
0.089322547538
Long
DBT
USGA
US
N
2
2035-12-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC4446
3133AN5F7
81966.19000000
PA
USD
70453.77000000
0.020480469385
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS6984
3140LHXN5
100000.00000000
PA
USD
98562.88000000
0.028651611494
Long
DBT
USGA
US
N
2
2032-10-01
Fixed
4.29000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2020-A SMB 2020-A A2A
78449UAB4
136670.36000000
PA
USD
126885.61000000
0.036884851598
Long
ABS-MBS
US
N
2
2037-09-15
Fixed
2.23000000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A 1.250000% 06/23/2025
74256LEE5
20000.00000000
PA
USD
18928.73000000
0.005502463179
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QG7311
3133C8DQ5
98114.17000000
PA
USD
99723.21000000
0.028988912153
Long
DBT
USGA
US
N
2
2053-07-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6780
3140XARA2
71402.08000000
PA
USD
61674.98000000
0.017928530151
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS9588
3138WKUN3
83934.54000000
PA
USD
80797.96000000
0.023487460587
Long
DBT
USGA
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5265
36179TZ65
293841.21000000
PA
USD
290413.59000000
0.084421410507
Long
DBT
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 SCRT 2020-2 MA
35563PQP7
253961.72000000
PA
USD
223364.11000000
0.064930546890
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD3432
3132DQY59
95827.18000000
PA
USD
98325.20000000
0.028582519407
Long
DBT
USGA
US
N
2
2053-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3947 SG
3137AGE55
66582.85000000
PA
USD
6696.99000000
0.001946773021
Long
DBT
USGA
US
N
2
2041-10-15
Floating
0.49708080
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 1.750000% 08/21/2030
126650DN7
200000.00000000
PA
USD
165211.81000000
0.048026037737
Long
DBT
CORP
US
N
2
2030-08-21
Fixed
1.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.125000% 08/15/2053
912810TT5
610000.00000000
PA
USD
616576.56000000
0.179234941729
Long
DBT
UST
US
N
2
2053-08-15
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0331
3140XFLM1
173631.93000000
PA
USD
153962.83000000
0.044756029751
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
KINDER MORGAN, INC.
549300WR7IX8XE0TBO16
KINDER MORGAN INC 4.300000% 06/01/2025
49456BAF8
60000.00000000
PA
USD
59238.44000000
0.017220243243
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0349
3140XFL74
176178.43000000
PA
USD
145362.02000000
0.042255828188
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-57 BI
38382QCY4
1329613.09000000
PA
USD
210192.95000000
0.061101773225
Long
DBT
USGA
US
N
2
2051-03-20
Fixed
3.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.250000% 10/15/2027
25179MBD4
64000.00000000
PA
USD
64349.06000000
0.018705868447
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
EQUATE Petrochemical B.V.
635400Y3Z5R4NJSMQ630
MEGLOBAL BV MTN 2.625000% 04/28/2028
29441WAD7
230000.00000000
PA
USD
206689.50000000
0.060083342267
Long
DBT
NUSS
KW
N
2
2028-04-28
Fixed
2.62500000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2021-C SMB 2021-C B
83208AAE3
170000.00000000
PA
USD
156251.54000000
0.045421343404
Long
ABS-MBS
US
Y
2
2053-01-15
Fixed
2.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4237
31418DV74
379545.90000000
PA
USD
312008.20000000
0.090698828295
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA5318
31329N4B1
178365.98000000
PA
USD
166789.17000000
0.048484566403
Long
DBT
USGA
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB1666
3140QLZ82
59635.96000000
PA
USD
51251.03000000
0.014898353216
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785218
3622AAVK7
73618.07000000
PA
USD
61465.67000000
0.017867685046
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA5122
3140QCVQ6
427382.16000000
PA
USD
382932.32000000
0.111316025477
Long
DBT
USGA
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP 1.600000% 08/12/2028
458140BT6
50000.00000000
PA
USD
44231.18000000
0.012857726816
Long
DBT
CORP
US
N
2
2028-08-12
Fixed
1.60000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4511
36179TAL9
281380.11000000
PA
USD
271250.87000000
0.078850927901
Long
DBT
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.900000% 07/26/2024
110122CM8
154000.00000000
PA
USD
151918.13000000
0.044161648276
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC1509
3140EVVB0
31207.15000000
PA
USD
28422.26000000
0.008262172851
Long
DBT
USGA
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 2.875000% 04/15/2027
437076CN0
170000.00000000
PA
USD
162551.92000000
0.047252824384
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9464
3140XDQS8
161936.82000000
PA
USD
145325.26000000
0.042245142286
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4057 UI
3137ARKV7
24075.89000000
PA
USD
574.63000000
0.000167041339
Long
DBT
USGA
US
N
2
2027-05-15
Fixed
3.00000000
N
N
N
N
N
N
COSTCO WHOLESALE CORPORATION
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP 1.375000% 06/20/2027
22160KAN5
120000.00000000
PA
USD
108879.39000000
0.031650556294
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
1.37500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-85 IA
38378KUV9
273719.18000000
PA
USD
2122.47000000
0.000616988726
Long
DBT
USGA
US
N
2
2047-03-16
Floating
0.52229880
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.615000% 03/15/2028
38141GZR8
30000.00000000
PA
USD
28774.06000000
0.008364438906
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2021-1A A
05377REH3
430000.00000000
PA
USD
391077.52000000
0.113683784068
Long
ABS-MBS
US
Y
2
2027-08-20
Fixed
1.38000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7589
36179WNE4
887170.67000000
PA
USD
775843.93000000
0.225532968014
Long
DBT
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN AB9108
36178WDM8
111853.75000000
PA
USD
102058.35000000
0.029667722716
Long
DBT
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 4.375000% 10/15/2028
125523AH3
420000.00000000
PA
USD
416616.57000000
0.121107825843
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4451
36179S5L7
164105.73000000
PA
USD
154668.13000000
0.044961056041
Long
DBT
USGA
US
N
2
2047-05-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2723
3132DQAY2
94624.58000000
PA
USD
95387.04000000
0.027728414710
Long
DBT
USGA
US
N
2
2053-03-01
Fixed
5.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.520000% 11/03/2032
172967NE7
110000.00000000
PA
USD
90674.70000000
0.026358567005
Long
DBT
CORP
US
N
2
2032-11-03
Fixed
2.52000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA5297
31329N3E6
65711.51000000
PA
USD
63280.61000000
0.018395276729
Long
DBT
USGA
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0037
3140XFBF7
72830.97000000
PA
USD
65823.08000000
0.019134356823
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
FIRSTKEY HOMES TRUST
N/A
FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021-SFR1 A
33767WAA1
783800.37000000
PA
USD
709525.80000000
0.206254703258
Long
ABS-MBS
US
Y
2
2038-08-17
Fixed
1.53800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6799
3140QERV6
1238474.35000000
PA
USD
1023460.16000000
0.297513454193
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.572000% 06/03/2031
172967MS7
160000.00000000
PA
USD
136674.71000000
0.039730481617
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57200000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2021-NQM2 TRUST OBX 2021-NQM2 A3
670857AC5
193583.03000000
PA
USD
149974.12000000
0.043596536753
Long
ABS-MBS
US
Y
2
2061-05-25
Floating
1.56300120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0319
3132D9K86
91208.36000000
PA
USD
78020.25000000
0.022679997699
Long
DBT
USGA
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2023-III LTD CIFC 2023-3A A
12598YAA6
1043000.00000000
PA
USD
1043000.00000000
0.303193563219
Long
ABS-CBDO
CORP
KY
N
2
2037-01-20
Floating
0.00000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-28.00000000
NC
USD
-3740625.00000000
-1.08737624392
N/A
DIR
US
N
1
US ULTRA BOND CBT MAR24
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Mar 2024
2024-03-22
-3378764.06000000
USD
-361860.94000000
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.300000% 06/01/2027
00206RJX1
120000.00000000
PA
USD
111383.11000000
0.032378372007
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 2.250000% 03/19/2025
713448EQ7
10000.00000000
PA
USD
9713.12000000
0.002823543109
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.625000% 09/30/2030
91282CHZ7
730000.00000000
PA
USD
760967.97000000
0.221208619674
Long
SN
UST
US
N
2
2030-09-30
Fixed
4.62500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.200000% 06/15/2026
110122CN6
79000.00000000
PA
USD
76652.03000000
0.022282264720
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H13 FA
38380QGQ9
374537.71000000
PA
USD
362618.27000000
0.105410858456
Long
DBT
USGA
US
N
2
2070-07-20
Floating
5.88719160
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2018-SB48 MORTGAGE TRUST FRESB 2018-SB48 A10F
30296RAP5
391176.78000000
PA
USD
370464.28000000
0.107691644390
Long
ABS-MBS
US
N
2
2028-02-25
Fixed
3.37000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5762
36179UMK5
13208.83000000
PA
USD
12400.43000000
0.003604727283
Long
DBT
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S 144A 4.298000% 04/01/2028
23636ABC4
240000.00000000
PA
USD
232577.70000000
0.067608879758
Long
DBT
NUSS
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 5.775000% 06/12/2029
91159HJM3
100000.00000000
PA
USD
102735.40000000
0.029864536907
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
5.77500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BD0384
3617BFM90
50976.85000000
PA
USD
47882.70000000
0.013919200795
Long
DBT
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.450000% 09/29/2027
172967KA8
90000.00000000
PA
USD
87930.79000000
0.025560929565
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC25 FINANCIAL COMMODITY FUTURE.
N/A
116.00000000
NC
USD
28111150.00000000
8.171735124354
N/A
DO
US
N
1
3 MONTH SOFR FUT DEC25
N/A
Long
Interest Rate Futures
CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Dec 2025
2026-03-20
27868739.30000000
USD
242410.70000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR5633
3140L4HK8
78755.58000000
PA
USD
65497.12000000
0.019039602294
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
MASTR ASSET SECURITIZATION TRUST
N/A
MASTR ASSET BACKED SECURITIES TRUST 2007-NCW MABS 2007-NCW A1
576456AA5
139067.98000000
PA
USD
117610.47000000
0.034188626530
Long
ABS-MBS
US
N
2
2037-05-25
Floating
5.77042920
N
N
N
N
N
N
Continental Airlines
N/A
CONTINENTAL AIRLINES 2012-2 CLASS A PASS THROUGH T 4.000000% 10/29/2024
210795QB9
456539.43000000
PA
USD
446398.14000000
0.129765141592
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
21.00000000
NC
USD
2284242.19000000
0.664014888631
N/A
DIR
US
N
1
US 5YR NOTE (CBT) MAR24
N/A
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2024
2024-03-31
2276451.87000000
USD
7790.32000000
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 08/15/2051
912810SZ2
900000.00000000
PA
USD
587707.03000000
0.170842750292
Long
DBT
UST
US
N
1
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE MTN 4.289000% 06/13/2033
06406RBH9
320000.00000000
PA
USD
304278.16000000
0.088451754113
Long
DBT
CORP
US
N
2
2033-06-13
Fixed
4.28900000
N
N
N
N
N
N
TRINITY GREEN RAILCAR
N/A
TRP 2021 LLC TRP 2021-1 A
87267CAA6
470233.29000000
PA
USD
415816.67000000
0.120875299926
Long
ABS-MBS
US
Y
2
2051-06-19
Fixed
2.07000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL4741
3138EMHT1
15381.45000000
PA
USD
15209.68000000
0.004421358652
Long
DBT
USGA
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4781
36179TJ22
58294.60000000
PA
USD
59015.84000000
0.017155534818
Long
DBT
USGA
US
N
2
2047-10-20
Fixed
5.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 5.013000% 04/04/2051
95000U2M4
380000.00000000
PA
USD
361451.04000000
0.105071552010
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019- NCMS 2019-FAME B
63873VAE3
410000.00000000
PA
USD
317344.31000000
0.092250002029
Long
ABS-MBS
US
N
2
2036-08-15
Fixed
3.65530000
N
N
N
N
N
N
TSMC ARIZONA CORPORATION
2549005GOBWLCSY63Q97
TSMC ARIZONA CORP 1.750000% 10/25/2026
872898AA9
230000.00000000
PA
USD
211984.43000000
0.061622545233
Long
DBT
CORP
TW
N
2
2026-10-25
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3803
36179SGL5
14028.46000000
PA
USD
13223.67000000
0.003844037992
Long
DBT
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT8394
3138WWKG3
23092.85000000
PA
USD
22462.85000000
0.006529809713
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H04 FP
38380L2S1
110446.99000000
PA
USD
109677.46000000
0.031882550241
Long
DBT
USGA
US
N
2
2069-06-20
Floating
5.93718840
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 1.900000% 04/15/2027
92826CAL6
60000.00000000
PA
USD
55769.23000000
0.016211765639
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
1.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QG1295
3133C1NL0
98003.55000000
PA
USD
98503.05000000
0.028634219288
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0619
3132DMVL6
946488.62000000
PA
USD
906669.14000000
0.263563036642
Long
DBT
USGA
US
N
2
2050-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-57 TA
3136BBEM0
98338.95000000
PA
USD
85601.10000000
0.024883703283
Long
DBT
USGA
US
N
2
2050-04-25
Fixed
2.00000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C25 A5
46643PBE9
578000.00000000
PA
USD
563771.61000000
0.163884873708
Long
ABS-MBS
US
N
2
2047-11-15
Fixed
3.67200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.250000% 02/15/2052
912810TD0
966000.00000000
PA
USD
669634.21000000
0.194658468057
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 4.450000% 12/15/2048
91324PDQ2
10000.00000000
PA
USD
9151.86000000
0.002660388344
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO9169
3140K5FK8
796034.75000000
PA
USD
712650.12000000
0.207162923501
Long
DBT
USGA
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
SABEY DATA CENTER ISSUER, LLC
N/A
SABEY DATA CENTER ISSUER LLC SDCP 2021-1 A2
78520EAB2
1027000.00000000
PA
USD
920810.87000000
0.267673948922
Long
ABS-MBS
US
Y
2
2046-06-20
Fixed
1.88100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1112
3140XGGW3
438680.07000000
PA
USD
364640.99000000
0.105998850483
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Opt Apr24P 94.75 LONG
01JRGWR25
33.00000000
NC
USD
1650.00000000
0.000479644658
N/A
DIR
US
N
1
3 Month SOFR Opt Apr24P 94.75
N/A
Put
Purchased
N/A
Put Option 94.75 Apr 2024 on CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Jun 2024
82500.00000000
94.75000000
USD
2024-04-15
XXXX
-3194.30000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5876
36179UQ54
49557.69000000
PA
USD
47778.10000000
0.013888794230
Long
DBT
USGA
US
N
2
2049-04-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6184
3140X92S3
143785.21000000
PA
USD
119918.40000000
0.034859527316
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 CGCMT 2016-P6 AAB
17291EAX9
498272.10000000
PA
USD
483791.91000000
0.140635276174
Long
ABS-MBS
US
N
2
2049-12-10
Fixed
3.51200000
N
N
N
N
N
N
SLC STUDENT LOAN TRUST
N/A
SLC STUDENT LOAN TRUST 2010-1 SLCLT 2010-1 A
78444WAA7
63886.28000000
PA
USD
63999.45000000
0.018604239012
Long
ABS-MBS
US
N
2
2042-11-25
Floating
6.48144000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7518
3140XBK82
399272.63000000
PA
USD
343397.71000000
0.099823562124
Long
DBT
USGA
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q05692
3132GL7D0
310701.86000000
PA
USD
302651.42000000
0.087978870990
Long
DBT
USGA
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2472
3140Q9XA6
56921.32000000
PA
USD
54652.33000000
0.015887089809
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.300000% 04/13/2027
023135CF1
140000.00000000
PA
USD
135898.88000000
0.039504952698
Long
DBT
CORP
US
N
2
2027-04-13
Fixed
3.30000000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 4.150000% 11/15/2030
11135FAQ4
26000.00000000
PA
USD
24834.69000000
0.007219288736
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5012
3140X8SA6
202752.63000000
PA
USD
199863.17000000
0.058098970919
Long
DBT
USGA
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM3259
3140J7TR6
620497.05000000
PA
USD
570295.60000000
0.165781356713
Long
DBT
USGA
US
N
2
2046-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB2115
3140QMK52
82488.51000000
PA
USD
73389.81000000
0.021333957811
Long
DBT
USGA
US
N
2
2041-11-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-113 Z
38381HGG0
2266943.36000000
PA
USD
1177627.66000000
0.342328980231
Long
DBT
USGA
US
N
2
2061-09-16
Fixed
2.00000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.050000% 03/30/2029
161175BR4
220000.00000000
PA
USD
217667.62000000
0.063274612948
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0100
3140QKDE5
78587.88000000
PA
USD
69969.56000000
0.020339712572
Long
DBT
USGA
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB6322
3140QSAY7
95751.13000000
PA
USD
96377.19000000
0.028016245109
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 6.850000% 06/05/2115
71647NAN9
150000.00000000
PA
USD
141230.67000000
0.041054870635
Long
DBT
NUSS
BR
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 734152
3620AMTH5
203796.85000000
PA
USD
197809.91000000
0.057502101105
Long
DBT
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB1878
3140QMCQ5
164222.16000000
PA
USD
146300.93000000
0.042528763441
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8801
36179XX68
388945.00000000
PA
USD
391807.76000000
0.113896060260
Long
DBT
USGA
US
N
2
2053-04-20
Fixed
5.50000000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 6.000000% 11/01/2027
78016FZU1
1209000.00000000
PA
USD
1266614.54000000
0.368196908541
Long
DBT
NUSS
CA
N
2
2027-11-01
Fixed
6.00000000
N
N
N
N
N
N
AMERICAN WATER CAPITAL CORP.
5IDHQUFVC8Q2KIBBFF06
AMERICAN WATER CAPITAL CORP 4.450000% 06/01/2032
03040WBA2
1311000.00000000
PA
USD
1304144.77000000
0.379106711189
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G60985
31335BCW4
218571.36000000
PA
USD
199092.61000000
0.057874973956
Long
DBT
USGA
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.005000% 04/23/2029
46647PAR7
100000.00000000
PA
USD
96214.37000000
0.027968914355
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.00500000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2019-3 RMLT 2019-3 A3
76119NAC1
25836.62000000
PA
USD
24965.15000000
0.007257212641
Long
ABS-MBS
US
N
2
2059-09-25
Floating
3.04400160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4270
3140XKW89
284345.24000000
PA
USD
234770.02000000
0.068246173442
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1253
31418AMB1
28634.45000000
PA
USD
27782.72000000
0.008076262581
Long
DBT
USGA
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5306
3140XL3Q9
95567.58000000
PA
USD
98966.66000000
0.028768987809
Long
DBT
USGA
US
N
2
2053-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2452
3132DPWM6
90860.62000000
PA
USD
93428.32000000
0.027159027081
Long
DBT
USGA
US
N
2
2053-02-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786709
3622ACKW9
97308.79000000
PA
USD
96743.47000000
0.028122720409
Long
DBT
USGA
US
N
2
2053-05-20
Fixed
5.00000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 4.387000% 06/15/2027
38141GZT4
400000.00000000
PA
USD
393638.32000000
0.114428192579
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
4.38700000
N
N
N
N
N
N
Coterra Energy Inc.
FCNMH6O7VWU7LHXMK351
COTERRA ENERGY INC 3.900000% 05/15/2027
127097AG8
160000.00000000
PA
USD
154798.52000000
0.044998959597
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7560
3132DVMH5
187911.01000000
PA
USD
180003.53000000
0.052325898037
Long
DBT
USGA
US
N
2
2053-02-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2023-2 CI
3136BPUY5
942853.84000000
PA
USD
114962.36000000
0.033418837549
Long
DBT
USGA
US
N
2
2050-10-25
Fixed
2.00000000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 2.900000% 09/12/2027
037833DB3
110000.00000000
PA
USD
105328.91000000
0.030618454010
Long
DBT
CORP
US
N
2
2027-09-12
Fixed
2.90000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.450000% 04/13/2029
023135CG9
160000.00000000
PA
USD
154959.34000000
0.045045708963
Long
DBT
CORP
US
N
2
2029-04-13
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G02469
3128M4CE1
13890.58000000
PA
USD
14324.61000000
0.004164074350
Long
DBT
USGA
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3937
36179SLS4
15358.22000000
PA
USD
14450.86000000
0.004200774434
Long
DBT
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8429
36179XLJ3
186726.29000000
PA
USD
188222.35000000
0.054715057501
Long
DBT
USGA
US
N
2
2052-11-20
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6097
3140QDX33
620999.83000000
PA
USD
576366.06000000
0.167546001390
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0222
3140FXG89
104309.67000000
PA
USD
101594.66000000
0.029532930939
Long
DBT
USGA
US
N
2
2057-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5191
3140XLXV5
290035.09000000
PA
USD
247129.05000000
0.071838866006
Long
DBT
USGA
US
N
2
2042-08-01
Fixed
2.00000000
N
N
N
N
N
N
SLM PRIVATE CREDIT STUDENT LOAN TRUST
N/A
SLM PRIVATE CREDIT STUDENT LOAN TRUST 2006-A SLMA 2006-A A5
78443CCL6
137303.52000000
PA
USD
132154.64000000
0.038416525596
Long
ABS-MBS
US
N
2
2039-06-15
Floating
5.93624160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR5632
3140L4HJ1
640101.33000000
PA
USD
533434.86000000
0.155066170612
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5071 IH
3137F9R37
490716.65000000
PA
USD
64161.20000000
0.018651258723
Long
DBT
USGA
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
26.00000000
NC
USD
6151762.50000000
1.788278803888
N/A
DO
US
N
1
3 MONTH SOFR FUT DEC23
N/A
Long
Interest Rate Futures
CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Dec 2023
2024-03-22
6148238.13000000
USD
3524.37000000
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 2.950000% 04/09/2025
22550L2C4
250000.00000000
PA
USD
242279.22000000
0.070429050820
Long
DBT
NUSS
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 5313
36202F3W4
115991.09000000
PA
USD
112123.48000000
0.032593592925
Long
DBT
USGA
US
N
2
2027-02-20
Fixed
2.50000000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 144A 3.649000% 04/06/2028
74977RDN1
580000.00000000
PA
USD
552775.50000000
0.160688373447
Long
DBT
NUSS
NL
N
2
2028-04-06
Fixed
3.64900000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786108
3622ABU91
92352.02000000
PA
USD
85041.68000000
0.024721083395
Long
DBT
USGA
US
N
2
2052-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 334 S7
31325VKQ6
19158.25000000
PA
USD
2241.35000000
0.000651546397
Long
DBT
USGA
US
N
2
2044-08-15
Floating
0.64707840
N
N
N
N
N
N
SG RESIDENTIAL MORTGAGE TRUST
N/A
SG RESIDENTIAL MORTGAGE TRUST 2022-1 SGR 2022-1 A1
78433QAA3
362377.35000000
PA
USD
326335.48000000
0.094863678797
Long
ABS-MBS
US
Y
2
2062-03-27
Floating
3.16599840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6117
3140X9YP4
104729.57000000
PA
USD
95103.10000000
0.027645875131
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A3
64831TAC1
60681.09000000
PA
USD
49566.87000000
0.014408778459
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.51625880
N
N
N
N
N
N
Northern States Power Company (Minnesota)
3S1GHB0TEH85KX44SB51
NORTHERN STATES POWER CO/MN 7.125000% 07/01/2025
665772BN8
1190000.00000000
PA
USD
1227723.38000000
0.356891492071
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
7.12500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5764
36179UMM1
89592.01000000
PA
USD
88505.81000000
0.025728084275
Long
DBT
USGA
US
N
2
2049-02-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0206
3132D9GP3
83168.50000000
PA
USD
71554.90000000
0.020800560974
Long
DBT
USGA
US
N
2
2041-11-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.000000% 02/15/2049
912810SF6
1010000.00000000
PA
USD
821848.05000000
0.238906077377
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FNCL 6.5% MEGA POOL 6.5% 9/1/2039
3128M9VA7
14340.34000000
PA
USD
14800.75000000
0.004302485264
Long
DBT
USGA
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.668000% 07/24/2028
172967LP4
340000.00000000
PA
USD
324030.05000000
0.094193504745
Long
DBT
CORP
US
N
2
2028-07-24
Fixed
3.66800000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785283
3622AAXL3
976925.65000000
PA
USD
855843.81000000
0.248788431748
Long
DBT
USGA
US
N
2
2051-01-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL6663
3138EPMM3
300036.65000000
PA
USD
294833.89000000
0.085706364014
Long
DBT
USGA
US
N
2
2039-03-01
Fixed
4.00000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2016-3 NAVSL 2016-3A A3
63940HAC7
258840.92000000
PA
USD
260739.47000000
0.075795329799
Long
ABS-MBS
US
N
2
2065-06-25
Floating
6.80190840
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 2.850000% 04/01/2030
67066GAF1
90000.00000000
PA
USD
83235.08000000
0.024195916097
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 4.705000% 01/10/2025
09659W2G8
270000.00000000
PA
USD
269976.09000000
0.078480357345
Long
DBT
NUSS
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4813 CJ
3137FGSM8
27607.25000000
PA
USD
24472.07000000
0.007113877375
Long
DBT
USGA
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 4.269000% 03/22/2025
780097BK6
200000.00000000
PA
USD
199290.42000000
0.057932476083
Long
DBT
NUSS
GB
N
2
2025-03-22
Fixed
4.26900000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-129 IE
38382JZK5
75333.52000000
PA
USD
10213.09000000
0.002968881254
Long
DBT
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
CAMB COMMERCIAL MORTGAGE TRUST
N/A
CAMB COMMERCIAL MORTGAGE TRUST 2019-LIFE CAMB 2019-LIFE A
12482HAA2
110000.00000000
PA
USD
109238.82000000
0.031755040342
Long
ABS-MBS
US
N
2
2037-12-15
Floating
6.72900120
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.522000% 04/22/2031
46647PBL9
190000.00000000
PA
USD
164300.02000000
0.047760986098
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QE2241
3133BBP29
78985.78000000
PA
USD
77175.11000000
0.022434320798
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3407
3140X6YD7
256868.71000000
PA
USD
239083.83000000
0.069500170974
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
KKR GROUP FINANCE CO. VI LLC
549300TUJWGHJM3FSJ07
KKR GROUP FINANCE CO VI LLC 144A 3.750000% 07/01/2029
48252AAA9
1149000.00000000
PA
USD
1077982.10000000
0.313362640446
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL9546
3138ERTC4
37709.74000000
PA
USD
35652.20000000
0.010363871097
Long
DBT
USGA
US
N
2
2046-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QB9290
3133AGKB4
80297.77000000
PA
USD
66775.43000000
0.019411199000
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2493
3140X5XX6
89161.86000000
PA
USD
89618.05000000
0.026051405472
Long
DBT
USGA
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Opt Dec24P 96 LONG
N/A
39.00000000
NC
USD
38025.00000000
0.011053629186
N/A
DIR
US
N
1
3 Month SOFR Opt Dec24P 96
N/A
Put
Purchased
N/A
Put Option 96 Dec 2024 on CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Dec 2024
97500.00000000
96.00000000
USD
2024-12-16
XXXX
-4981.90000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786690
3622ACKB5
98273.21000000
PA
USD
99266.37000000
0.028856111628
Long
DBT
USGA
US
N
2
2053-05-20
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1363
3140X4QR0
174210.52000000
PA
USD
171240.89000000
0.049778653507
Long
DBT
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 4.900000% 11/17/2045
94974BGQ7
30000.00000000
PA
USD
27266.70000000
0.007926258801
Long
DBT
CORP
US
N
2
2045-11-17
Fixed
4.90000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.393000% 06/02/2028
95000U2S1
290000.00000000
PA
USD
265618.18000000
0.077213540220
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR4035
3140L2PV9
79552.42000000
PA
USD
65399.91000000
0.019011343956
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.125000% 07/31/2029
29379VBV4
210000.00000000
PA
USD
196416.81000000
0.057097135666
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.125000% 08/31/2027
91282CFH9
5661000.00000000
PA
USD
5501784.38000000
1.599334238004
Long
SN
UST
US
N
2
2027-08-31
Fixed
3.12500000
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-13.00000000
NC
USD
-3087987.50000000
-0.89765861294
N/A
DO
US
N
1
3 MONTH SOFR FUT MAR24
N/A
Short
Interest Rate Futures
CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Mar 2024
2024-06-21
-3073637.42000000
USD
-14350.08000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1629
31418AY36
35202.68000000
PA
USD
34809.51000000
0.010118906395
Long
DBT
USGA
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 3.125000% 01/15/2032
86964WAK8
380000.00000000
PA
USD
315320.69000000
0.091661748377
Long
DBT
NUSS
BR
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT9637
3138WXV79
41488.71000000
PA
USD
40356.82000000
0.011731474646
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
MICRON TECHNOLOGY, INC.
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 2.703000% 04/15/2032
595112BS1
260000.00000000
PA
USD
218358.88000000
0.063475557898
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
2.70300000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 4.926000% 05/15/2037
11135FBV2
33000.00000000
PA
USD
31935.10000000
0.009283333423
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8672
3140XCT65
414810.65000000
PA
USD
397552.26000000
0.115565950407
Long
DBT
USGA
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS6541
3138WGHT4
52323.74000000
PA
USD
49100.89000000
0.014273320993
Long
DBT
USGA
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0191
3140FXF98
35381.15000000
PA
USD
33802.02000000
0.009826035367
Long
DBT
USGA
US
N
2
2057-06-01
Fixed
4.00000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY COMPANY LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC DELIVERY CO LLC 4.150000% 06/01/2032
68233JCF9
300000.00000000
PA
USD
287937.14000000
0.083701522013
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.15000000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 3.137000% 11/15/2035
11135FBP5
70000.00000000
PA
USD
57468.87000000
0.016705840335
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786835
3622ACPU8
99536.12000000
PA
USD
100544.69000000
0.029227711240
Long
DBT
USGA
US
N
2
2053-08-20
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 03/31/2028
91282CGT2
779000.00000000
PA
USD
770510.12000000
0.223982462875
Long
SN
UST
US
N
2
2028-03-31
Fixed
3.62500000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 7.950000% 01/09/2025
22550L2L4
250000.00000000
PA
USD
255505.37000000
0.074273809733
Long
DBT
NUSS
CH
N
2
2025-01-09
Fixed
7.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORPORATON REMIC POOL # 4194 BI IO
3137B1J94
45746.01000000
PA
USD
7243.03000000
0.002105503426
Long
DBT
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5783
3140X9M93
47400.18000000
PA
USD
44247.47000000
0.012862462217
Long
DBT
USGA
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
LOWE'S COMPANIES, INC.
WAFCR4OKGSC504WU3E95
LOWE'S COS INC 4.500000% 04/15/2030
548661DU8
30000.00000000
PA
USD
29825.76000000
0.008670161505
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 4.693000% 09/15/2027
89115A2H4
1061000.00000000
PA
USD
1060886.94000000
0.308393184575
Long
DBT
NUSS
CA
N
2
2027-09-15
Fixed
4.69300000
N
N
N
N
N
N
SCHLUMBERGER HOLDINGS CORPORATION
529900IKZG65COT1D505
SCHLUMBERGER HOLDINGS CORP 144A 3.900000% 05/17/2028
806851AK7
456000.00000000
PA
USD
442703.42000000
0.128691109644
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0434
3140XFPU9
83012.58000000
PA
USD
71921.52000000
0.020907135111
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786107
3622ABU83
84315.16000000
PA
USD
76612.83000000
0.022270869526
Long
DBT
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 4.456000% 06/08/2032
89115A2E1
140000.00000000
PA
USD
136030.62000000
0.039543248691
Long
DBT
NUSS
CA
N
2
2032-06-08
Fixed
4.45600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1539
3140XGV97
83839.98000000
PA
USD
77062.25000000
0.022401513103
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM8700
3138L9U26
93193.90000000
PA
USD
85672.82000000
0.024904551837
Long
DBT
USGA
US
N
2
2030-06-01
Fixed
2.93000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4166
3140XKTY6
95099.82000000
PA
USD
95682.56000000
0.027814320521
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4718
36179TG33
1932.00000000
PA
USD
1770.39000000
0.000514641277
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5059
3140XLTR9
570320.93000000
PA
USD
532629.85000000
0.154832159250
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA6954
3133KNWP4
88889.48000000
PA
USD
78648.56000000
0.022862643478
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 5.100000% 09/15/2045
96949LAC9
70000.00000000
PA
USD
65926.40000000
0.019164391300
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4587
31418ECZ1
88636.28000000
PA
USD
78207.38000000
0.022734395217
Long
DBT
USGA
US
N
2
2042-04-01
Fixed
2.50000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.500000% 04/01/2025
38141GXJ8
80000.00000000
PA
USD
78180.54000000
0.022726592998
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2014-47 AI
3136AKTB9
94433.44000000
PA
USD
3971.99000000
0.001154632599
Long
DBT
USGA
US
N
2
2044-08-25
Floating
0.25499880
N
N
N
N
N
N
STORE MASTER FUNDING LLC
N/A
STORE MASTER FUNDING I-VII AND XIV STR 2019-1 A1
86212XAA8
313926.25000000
PA
USD
289414.32000000
0.084130928981
Long
ABS-MBS
US
N
2
2049-11-20
Fixed
2.82000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS4693
3132A5GA7
280164.47000000
PA
USD
254037.62000000
0.073847144007
Long
DBT
USGA
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 784825
3622AAHA5
11051.28000000
PA
USD
10351.22000000
0.003009034779
Long
DBT
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2707
31418CAH7
308545.53000000
PA
USD
287601.58000000
0.083603976824
Long
DBT
USGA
US
N
2
2036-08-01
Fixed
3.00000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 144A 1.538000% 11/16/2026
87020PAP2
400000.00000000
PA
USD
364671.20000000
0.106007632340
Long
DBT
NUSS
SE
N
2
2026-11-16
Fixed
1.53800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1626
3140XGYY9
89464.61000000
PA
USD
76569.03000000
0.022258137140
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.550000% 03/15/2026
674599DC6
170000.00000000
PA
USD
171229.10000000
0.049775226228
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99124
3132H7D68
170104.71000000
PA
USD
160034.64000000
0.046521066864
Long
DBT
USGA
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-188 PA
38383CRU6
210547.31000000
PA
USD
171261.08000000
0.049784522613
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.00000000
N
N
N
N
N
N
TRANSCONTINENTAL GAS PIPE LINE COMPANY, LLC
N/A
TRANSCONTINENTAL GAS PIPE LINE CO LLC 3.250000% 05/15/2030
893574AP8
100000.00000000
PA
USD
90643.46000000
0.026349485733
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4703
3133KLGL5
155041.01000000
PA
USD
128345.03000000
0.037309095845
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.350000% 04/15/2050
437076CD2
50000.00000000
PA
USD
38862.50000000
0.011297085187
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB3467
31416YZ92
153446.55000000
PA
USD
150982.90000000
0.043889782776
Long
DBT
USGA
US
N
2
2035-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6287
36179U6Y3
16299.94000000
PA
USD
16418.81000000
0.004772845165
Long
DBT
USGA
US
N
2
2049-11-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3736
36179SEH6
27782.10000000
PA
USD
26189.99000000
0.007613265952
Long
DBT
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 09/30/2025
91282CAM3
10000.00000000
PA
USD
9312.50000000
0.002707085385
Long
SN
UST
US
N
2
2025-09-30
Fixed
0.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BZ0011
3140NUAM1
100000.00000000
PA
USD
105302.29000000
0.030610715743
Long
DBT
USGA
US
N
2
2033-12-01
Fixed
5.17000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.125000% 07/25/2028
172967KU4
40000.00000000
PA
USD
38410.41000000
0.011165665457
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3234
3140QNSY9
89160.96000000
PA
USD
79307.44000000
0.023054175765
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
TSMC ARIZONA CORPORATION
2549005GOBWLCSY63Q97
TSMC ARIZONA CORP 2.500000% 10/25/2031
872898AC5
250000.00000000
PA
USD
215206.50000000
0.062559180789
Long
DBT
CORP
TW
N
2
2031-10-25
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 4.750000% 08/09/2024
22550L2J9
250000.00000000
PA
USD
248451.49000000
0.072223291026
Long
DBT
NUSS
CH
N
2
2024-08-09
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5130
3133KYVX4
475638.51000000
PA
USD
394134.00000000
0.114572283649
Long
DBT
USGA
US
N
2
2041-10-01
Fixed
1.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.545000% 11/08/2032
46647PCR5
110000.00000000
PA
USD
91781.61000000
0.026680338805
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2023-25J 1
83162CU84
537000.00000000
PA
USD
566787.55000000
0.164761588564
Long
ABS-MBS
US
N
2
2048-10-01
Fixed
5.82000000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2019-3 RMLT 2019-3 A2
76119NAB3
25836.61000000
PA
USD
25057.45000000
0.007284043672
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.94099840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0470
3140QKQY7
159857.00000000
PA
USD
142625.49000000
0.041460336068
Long
DBT
USGA
US
N
2
2041-05-01
Fixed
2.50000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-1 MCMLT 2019-1 A1
59981AAC0
149593.90000000
PA
USD
143285.51000000
0.041652199745
Long
ABS-MBS
US
N
2
2069-10-25
Floating
3.25000080
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 2.750000% 03/27/2027
654106AJ2
40000.00000000
PA
USD
38091.92000000
0.011073082411
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0145
3140FXET5
216345.34000000
PA
USD
196257.38000000
0.057050790364
Long
DBT
USGA
US
N
2
2057-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5020
36179TSH9
25237.15000000
PA
USD
24381.85000000
0.007087650986
Long
DBT
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.400000% 05/01/2026
172967KN0
354000.00000000
PA
USD
341590.29000000
0.099298156458
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3194
3140X6RQ6
700363.21000000
PA
USD
702861.52000000
0.204317438829
Long
DBT
USGA
US
N
2
2049-08-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0191
3140XFF97
85378.82000000
PA
USD
73577.07000000
0.021388393120
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-176 IN
38383CED8
1181851.64000000
PA
USD
161186.24000000
0.046855829767
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LIMITED
5493003UOETFYRONLG31
RELIANCE INDUSTRIES LTD 144A 3.625000% 01/12/2052
759470BD8
250000.00000000
PA
USD
183149.08000000
0.053240289708
Long
DBT
NUSS
IN
N
2
2052-01-12
Fixed
3.62500000
N
N
N
N
N
N
MICROSOFT CORPORATION
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP 3.300000% 02/06/2027
594918BY9
70000.00000000
PA
USD
68174.91000000
0.019818019065
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785789
3622ABKA9
84018.16000000
PA
USD
72689.48000000
0.021130376270
Long
DBT
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5153
3133KYWN5
88860.44000000
PA
USD
75817.70000000
0.022039730218
Long
DBT
USGA
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-103 AD
38380PXV1
116288.36000000
PA
USD
88567.17000000
0.025745921243
Long
DBT
USGA
US
N
2
2063-01-16
Fixed
1.45000000
N
N
N
N
N
N
TACO BELL FUNDING, LLC
N/A
TACO BELL FUNDING LLC BELL 2021-1A A2II
87342RAH7
582622.50000000
PA
USD
499951.28000000
0.145332703757
Long
ABS-MBS
US
Y
2
2051-08-25
Fixed
2.29400000
N
N
N
N
N
N
PFIZER INC.
765LHXWGK1KXCLTFYQ30
PFIZER INC 1.700000% 05/28/2030
717081EY5
50000.00000000
PA
USD
42575.73000000
0.012376497876
Long
DBT
CORP
US
N
2
2030-05-28
Fixed
1.70000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2021-25H 1
83162CL68
1437058.50000000
PA
USD
1168250.82000000
0.339603191610
Long
ABS-MBS
US
N
2
2046-08-01
Fixed
1.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2773
31418CCK8
212662.50000000
PA
USD
197955.32000000
0.057544370881
Long
DBT
USGA
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
TRICON AMERICAN HOMES TRUST
N/A
TRICON AMERICAN HOMES 2019-SFR1 TRUST TAH 2019-SFR1 A
89612LAA4
268699.85000000
PA
USD
255143.19000000
0.074168526277
Long
ABS-MBS
US
N
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29 WFCM 2015-C29 A4
94989KAV5
606000.00000000
PA
USD
586417.78000000
0.170467973397
Long
ABS-MBS
US
N
2
2048-06-15
Fixed
3.63700000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0067
3140XFCD1
69687.10000000
PA
USD
68055.03000000
0.019783170700
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB9107
31417GDM5
34361.13000000
PA
USD
32614.49000000
0.009480827838
Long
DBT
USGA
US
N
2
2033-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7509
3132DVKW4
45147.56000000
PA
USD
40646.22000000
0.011815601412
Long
DBT
USGA
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB5497
3140QRDB6
180579.13000000
PA
USD
187060.81000000
0.054377405103
Long
DBT
USGA
US
N
2
2053-01-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8669
3132A9T23
18190.25000000
PA
USD
17397.62000000
0.005057379098
Long
DBT
USGA
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25H 1
83162CQ48
454879.51000000
PA
USD
426047.61000000
0.123849370064
Long
ABS-MBS
US
N
2
2047-08-01
Fixed
3.80000000
N
N
N
N
N
N
UNION PACIFIC CORPORATION
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 2.891000% 04/06/2036
907818FQ6
20000.00000000
PA
USD
16881.55000000
0.004907360783
Long
DBT
CORP
US
N
2
2036-04-06
Fixed
2.89100000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.250000% 11/01/2039
20030NCY5
30000.00000000
PA
USD
24300.01000000
0.007063860611
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 692307
36296JDL6
19537.45000000
PA
USD
19872.78000000
0.005776892597
Long
DBT
USGA
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ3137
3140KNPX0
302106.58000000
PA
USD
261672.44000000
0.076066538331
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-2 SCRT 2017-2 MA
35563PBC2
182662.57000000
PA
USD
167926.18000000
0.048815088084
Long
ABS-MBS
US
N
2
2056-08-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BE3776
3140FPFS3
45139.05000000
PA
USD
44648.74000000
0.012979108891
Long
DBT
USGA
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 2.450000% 10/29/2026
00774MAV7
190000.00000000
PA
USD
175925.04000000
0.051140306555
Long
DBT
NUSS
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3833
3140QPHK6
91143.97000000
PA
USD
80805.60000000
0.023489681488
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99045
3132H7BP8
94310.67000000
PA
USD
88727.38000000
0.025792493286
Long
DBT
USGA
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0584
3140XFUJ8
87294.48000000
PA
USD
72358.17000000
0.021034066529
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 5.375000% 06/26/2026
279158AL3
140000.00000000
PA
USD
137245.02000000
0.039896267160
Long
DBT
NUSS
CO
N
2
2026-06-26
Fixed
5.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS0070
3138W9CG3
21948.87000000
PA
USD
21295.74000000
0.006190538151
Long
DBT
USGA
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C25 A5
61765TAF0
510000.00000000
PA
USD
492320.39000000
0.143114451859
Long
ABS-MBS
US
N
2
2048-10-15
Fixed
3.63500000
N
N
N
N
N
N
LOWE'S COMPANIES, INC.
WAFCR4OKGSC504WU3E95
LOWE'S COS INC 1.700000% 09/15/2028
548661ED5
80000.00000000
PA
USD
70756.52000000
0.020568476912
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
1.70000000
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 4.300000% 12/14/2045
92826CAF9
10000.00000000
PA
USD
9316.79000000
0.002708332462
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST
N/A
HARBORVIEW MORTGAGE LOAN TRUST 2005-9 HVMLT 2005-9 2A1B
41161PSL8
128243.93000000
PA
USD
116086.66000000
0.033745664513
Long
ABS-MBS
US
N
2
2035-06-20
Floating
6.21240120
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.841000% 04/25/2025
06051GKS7
100000.00000000
PA
USD
99350.49000000
0.028880564784
Long
DBT
CORP
US
N
2
2025-04-25
Fixed
3.84100000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 4.125000% 11/15/2025
125523AG5
200000.00000000
PA
USD
197468.59000000
0.057402881520
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
FIRSTENERGY CORP.
549300SVYJS666PQJH88
FIRSTENERGY CORP 1.600000% 01/15/2026
337932AN7
30000.00000000
PA
USD
27901.57000000
0.008110811531
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.60000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.250000% 10/15/2030
20030NCU3
40000.00000000
PA
USD
39423.33000000
0.011460114953
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
CAMERON LNG, LLC
549300C39FLHGVD73K22
CAMERON LNG LLC 144A 2.902000% 07/15/2031
133434AA8
60000.00000000
PA
USD
52637.25000000
0.015301318682
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
WENDYS FUNDING LLC
N/A
WENDY'S FUNDING LLC WEN 2019-1A A2I
95058XAG3
305994.49000000
PA
USD
291930.68000000
0.084862419062
Long
ABS-MBS
US
N
2
2049-06-15
Fixed
3.78300000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786150
3622ABWK4
90210.02000000
PA
USD
80868.40000000
0.023507937054
Long
DBT
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.400000% 04/01/2033
161175CJ1
110000.00000000
PA
USD
101517.16000000
0.029510402174
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
ALPHABET INC.
5493006MHB84DD0ZWV18
ALPHABET INC 0.450000% 08/15/2025
02079KAH0
20000.00000000
PA
USD
18774.02000000
0.005457489951
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.45000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.000000% 07/31/2030
91282CHR5
770000.00000000
PA
USD
774210.94000000
0.225058268055
Long
SN
UST
US
N
2
2030-07-31
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U90503
3132H3RY1
47246.94000000
PA
USD
44450.20000000
0.012921394557
Long
DBT
USGA
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 2.150000% 02/03/2032
444859BR2
30000.00000000
PA
USD
24668.81000000
0.007171068460
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM6898
3140JBUY0
298235.26000000
PA
USD
250898.96000000
0.072934755216
Long
DBT
USGA
US
N
2
2032-02-01
Floating
2.14999920
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6933
36179VV23
58273.91000000
PA
USD
54815.71000000
0.015934583351
Long
DBT
USGA
US
N
2
2050-10-20
Fixed
3.50000000
N
N
N
N
N
N
TRICON RESIDENTIAL TRUST
N/A
TRICON RESIDENTIAL 2021-SFR1 TRUST TCN 2021-SFR1 A
89614YAA4
850351.04000000
PA
USD
775647.36000000
0.225475826347
Long
ABS-MBS
US
Y
2
2038-07-17
Fixed
1.94300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3572
3140X66J5
159862.01000000
PA
USD
157633.33000000
0.045823021097
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5940
3140X9S63
164653.23000000
PA
USD
135225.88000000
0.039309315816
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
FORD MOTOR CO 6.100000% 08/19/2032
345370DB3
90000.00000000
PA
USD
90722.80000000
0.026372549374
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.974000% 02/07/2030
06051GHQ5
80000.00000000
PA
USD
75719.73000000
0.022011250953
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97400000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.119000% 05/04/2026
10373QAT7
170000.00000000
PA
USD
164435.03000000
0.047800232659
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
3.11900000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 11/15/2051
912810TB4
780000.00000000
PA
USD
493106.25000000
0.143342896436
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2591
3132DP2Y3
94119.09000000
PA
USD
93600.85000000
0.027209180471
Long
DBT
USGA
US
N
2
2053-03-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4719
36179TG41
75455.21000000
PA
USD
71057.22000000
0.020655888518
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS7844
3138WHWE8
27791.64000000
PA
USD
25320.14000000
0.007360406009
Long
DBT
USGA
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
MARS, INCORPORATED
54930073HKEO6GZBSS03
MARS INC 144A 3.200000% 04/01/2030
571676AB1
30000.00000000
PA
USD
27700.18000000
0.008052268721
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4305
31418DYB2
1045623.40000000
PA
USD
858476.81000000
0.249553828346
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25K 1
83162CR47
527207.50000000
PA
USD
534504.10000000
0.155376991979
Long
ABS-MBS
US
N
2
2047-11-01
Fixed
5.13000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS4347
3138WDZM6
18231.95000000
PA
USD
17580.98000000
0.005110680700
Long
DBT
USGA
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
US 5YR FUTR OPTN Feb24P 106.5
N/A
US 5YR FUTR OPTN Feb24P 106.5 LONG
01JJ1HKR2
33.00000000
NC
USD
1804.69000000
0.000524612072
N/A
DIR
US
N
1
US 5YR FUTR OPTN Feb24P 106.5
N/A
Put
Purchased
N/A
N/A
33000.00000000
106.50000000
USD
2024-01-29
XXXX
-19908.65000000
N
N
N
THE HERSHEY COMPANY
21X2CX66SU2BR6QTAD08
HERSHEY CO/THE 0.900000% 06/01/2025
427866BF4
20000.00000000
PA
USD
18956.47000000
0.005510527023
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.90000000
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 GSMBS 2018-RPL1 A1A
36256BAC4
122289.19000000
PA
USD
117547.68000000
0.034170373870
Long
ABS-MBS
US
N
2
2057-10-25
Fixed
3.75000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 3.750000% 02/15/2028
161175BJ2
200000.00000000
PA
USD
188809.41000000
0.054885712164
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
EQT CORPORATION
4NT01YGM4X7ZX86ISY52
EQT CORP 6.125000% 02/01/2025
26884LAH2
56000.00000000
PA
USD
56249.20000000
0.016351289910
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
6.12500000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20C 1
83162CWX7
363471.90000000
PA
USD
337145.30000000
0.098006025723
Long
ABS-MBS
US
N
2
2035-03-01
Fixed
2.72000000
N
N
N
N
N
N
2023-12-31
NEW COVENANT FUNDS
Glenn Kurdziel
Glenn Kurdziel
CFO