0001752724-20-083451.txt : 20200429
0001752724-20-083451.hdr.sgml : 20200429
20200429101225
ACCESSION NUMBER: 0001752724-20-083451
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200229
FILED AS OF DATE: 20200429
PERIOD START: 20200229
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: JPMorgan Institutional Trust
CENTRAL INDEX KEY: 0001303608
IRS NUMBER: 201491791
STATE OF INCORPORATION: DE
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21638
FILM NUMBER: 20827967
BUSINESS ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
BUSINESS PHONE: 800-480-4111
MAIL ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
0001303608
S000007337
JPMorgan Core Bond Trust
C000020141
JPMorgan Core Bond Trust
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001303608
XXXXXXXX
S000007337
C000020141
JPMorgan Institutional Trust
811-21638
0001303608
5493005FRK56SHN6MJ34
277 Park Avenue
New York
10172
800-480-4111
JPMorgan Core Bond Trust
S000007337
549300Q7485FUJKEMM46
2020-02-29
2020-02-29
N
2075978385.52
16284147.20
2059694238.32
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
881168.10000000
USD
N
Niagara Mohawk Power Corp.
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp.
65364UAK2
493000.00000000
PA
USD
531301.54000000
0.025795165618
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
3.50800000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UJY5
158270.00000000
PA
USD
168280.48000000
0.008170168021
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
3.87500000
N
Y
N
N
N
N
America Movil SAB de CV
5493000FNR3UCEAONM59
America Movil SAB de CV
02364WBH7
880000.00000000
PA
USD
976393.00000000
0.047404754639
Long
DBT
CORP
MX
N
2
2029-04-22
Fixed
3.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31283LA48
15272.21000000
PA
USD
16320.76000000
0.000792387515
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
10.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3385, Class SN
31397PAT7
51021.42000000
PA
USD
6185.77000000
0.000300324673
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
4.34149900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402DNT3
13708.98000000
PA
USD
14429.14000000
0.000700547670
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
3.90499900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-5, Class Z
31358TPN3
6093.24000000
PA
USD
6397.92000000
0.000310624746
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
6.50000000
N
N
N
N
N
N
CSFB Mortgage-Backed Pass-Through Certificates
N/A
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A23
225458QV3
2544435.34000000
PA
USD
2576100.07000000
0.125071965638
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1196, Class B
312908LC8
4.68000000
PA
USD
11.07000000
0.000000537458
Long
ABS-MBS
USGSE
US
N
2
2022-01-15
Floating
1104.54287900
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JL6
500000.00000000
PA
USD
540660.42000000
0.026249547624
Long
DBT
CORP
US
N
2
2025-03-26
Fixed
3.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HTD7
52652.76000000
PA
USD
61927.92000000
0.003006655980
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
7.00000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AB4
729000.00000000
PA
USD
753736.49000000
0.036594581660
Long
DBT
CORP
CH
Y
2
2023-01-09
Fixed
3.57400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402CPA4
416590.23000000
PA
USD
478263.78000000
0.023220134867
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2016-1A, Class C
68268GAC2
1800000.00000000
PA
USD
1833793.56000000
0.089032319743
Long
ABS-O
CORP
US
Y
2
2029-02-20
Fixed
6.00000000
N
N
N
N
N
N
Spruce ABS Trust
N/A
Spruce ABS Trust, Series 2016-E1, Class A
85209BAA3
430324.40000000
PA
USD
440315.24000000
0.021377699262
Long
ABS-O
CORP
US
Y
2
2028-06-15
Fixed
4.32000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
5493004BO35O1811XR94
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class X
61751NAP7
478751.89000000
PA
USD
499.20000000
0.000024236607
Long
ABS-MBS
CORP
US
Y
3
2044-02-12
Variable
0.21669100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-88, Class VI
31396XUU6
1220893.65000000
PA
USD
259906.04000000
0.012618671022
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
4.91325100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4217, Class KY
3137B2KH2
2000000.00000000
PA
USD
2218115.00000000
0.107691469866
Long
ABS-MBS
USGSE
US
N
2
2043-06-15
Fixed
3.00000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAF3
945000.00000000
PA
USD
1024981.78000000
0.049763783426
Long
DBT
CORP
NL
N
2
2026-07-21
Fixed
3.75000000
N
N
N
N
N
N
Macquarie Bank Ltd.
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
55608PAQ7
1000000.00000000
PA
USD
1099400.30000000
0.053376869223
Long
DBT
CORP
AU
Y
2
2025-07-29
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LAF61
7000000.00000000
PA
USD
7933407.23000000
0.385174026435
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
3.12000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCV4
1445000.00000000
PA
USD
1729512.70000000
0.083969390593
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
4.27200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDV25
534779.90000000
PA
USD
569059.06000000
0.027628327030
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
4.00000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-1, Class A
90931EAA2
889460.08000000
PA
USD
1021248.09000000
0.049582509432
Long
ABS-O
CORP
US
N
2
2031-08-25
Fixed
4.55000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BY4
725000.00000000
PA
USD
843384.02000000
0.040947049533
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
5.12500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHF9
547000.00000000
PA
USD
575988.60000000
0.027964762404
Long
DBT
CORP
US
N
2
2024-03-05
Variable
3.55000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325CU7
515000.00000000
PA
USD
624276.56000000
0.030309186110
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-79, Class OK
38376CXX2
146716.22000000
PA
USD
137580.71000000
0.006679666692
Long
ABS-MBS
USGA
US
N
2
2037-11-16
None
0.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A
17307GPS1
183119.22000000
PA
USD
159277.99000000
0.007733089069
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
2.73269200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-25, Class SE
38374XSE6
190749.24000000
PA
USD
27842.81000000
0.001351793362
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Floating
5.95300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2002-75, Class PB
38373V7C8
830575.82000000
PA
USD
875403.99000000
0.042501647754
Long
ABS-MBS
USGA
US
N
2
2032-11-20
Fixed
6.00000000
N
N
N
N
N
N
America Movil SAB de CV
5493000FNR3UCEAONM59
America Movil SAB de CV
02364WBG9
441000.00000000
PA
USD
546619.50000000
0.026538866295
Long
DBT
CORP
MX
N
2
2049-04-22
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31418MZV7
2931729.71000000
PA
USD
3452794.47000000
0.167636263954
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
7.00000000
N
N
N
N
N
N
Exxon Mobil Corp.
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp.
30231GAY8
895000.00000000
PA
USD
936079.45000000
0.045447495680
Long
DBT
CORP
US
N
2
2039-08-16
Fixed
2.99500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3290, Class SB
31397FR79
333433.68000000
PA
USD
60537.52000000
0.002939150815
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Floating
4.79149900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3117, Class OK
31396HVU0
189823.58000000
PA
USD
175094.14000000
0.008500977317
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-62, Class HJ
31396QTN9
146873.10000000
PA
USD
158472.87000000
0.007693999771
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
6.00000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AN7
400000.00000000
PA
USD
473069.17000000
0.022967931899
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.75000000
N
N
N
N
N
N
Campbell Soup Co.
5493007JDSMX8Z5Z1902
Campbell Soup Co.
134429BH1
335000.00000000
PA
USD
409014.24000000
0.019858007678
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.80000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAD7
390000.00000000
PA
USD
402798.67000000
0.019556236188
Long
DBT
CORP
IE
N
2
2023-01-23
Fixed
3.30000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2015-2, Class AA
009088AA3
224430.83000000
PA
USD
249751.50000000
0.012125659010
Long
ABS-O
CORP
CA
Y
2
2027-12-15
Fixed
3.75000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2
17307GXU7
239469.25000000
PA
USD
194454.66000000
0.009440947902
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.96524200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-27, Class FD
31359B3C9
12820.84000000
PA
USD
12950.08000000
0.000628737982
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
2.50674800
N
N
N
N
N
N
Rockwell Collins, Inc.
XO75O7GICH1NPWLBRL05
Rockwell Collins, Inc.
774341AL5
199000.00000000
PA
USD
255807.51000000
0.012419683720
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
4.35000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-48
31396VD39
108175.44000000
PA
USD
103272.38000000
0.005013966543
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402REL9
521290.56000000
PA
USD
551605.83000000
0.026780957082
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
4.03899800
N
N
N
N
N
N
General Mills, Inc.
2TGYMUGI08PO8X8L6150
General Mills, Inc.
370334BP8
450000.00000000
PA
USD
510178.74000000
0.024769634759
Long
DBT
CORP
US
N
2
2043-02-15
Fixed
4.15000000
N
N
N
N
N
N
HERO Funding
549300Z5C0ID42MSJA91
HERO Funding, Series 2017-3A, Class A2
42771AAB2
1847006.12000000
PA
USD
1943397.86000000
0.094353706673
Long
ABS-O
CORP
KY
Y
2
2048-09-20
Fixed
3.95000000
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2586, Class WI
31393MWB3
94448.28000000
PA
USD
18930.45000000
0.000919090302
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.50000000
N
N
N
N
N
N
Potomac Electric Power Co.
549300BXF2DWUNN57U06
Potomac Electric Power Co.
737679DB3
1085000.00000000
PA
USD
1616755.15000000
0.078494910551
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.50000000
N
N
N
N
N
N
Reynolds American, Inc.
02S2RPPVO9RP4NEU2740
Reynolds American, Inc.
761713BW5
100000.00000000
PA
USD
126774.66000000
0.006155023286
Long
DBT
CORP
US
N
2
2041-08-04
Fixed
7.00000000
N
N
N
N
N
N
United Technologies Corp.
I07WOS4YJ0N7YRFE7309
United Technologies Corp.
913017BT5
2799000.00000000
PA
USD
3564754.39000000
0.173072018345
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Prime Money Market Fund
549300YD7H8SEEU7VG41
JPMorgan Prime Money Market Fund, Class Institutional
4812A2603
58417087.75000000
NS
USD
58446296.29000000
2.837620031295
Long
STIV
RF
US
N
1
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1
5899292M9
877421.58000000
PA
USD
882730.59000000
0.042857360746
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
2.26675100
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co., Series 08-A
842400FH1
200000.00000000
PA
USD
283796.92000000
0.013778594643
Long
DBT
CORP
US
N
2
2038-02-01
Fixed
5.95000000
N
N
N
N
N
N
Texas Eastern Transmission LP
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AD2
90000.00000000
PA
USD
95263.33000000
0.004625119992
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1987, Class PE
3133TBEZ9
21388.28000000
PA
USD
24953.79000000
0.001211528853
Long
ABS-MBS
USGSE
US
N
2
2027-09-15
Fixed
7.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
706451BG5
250000.00000000
PA
USD
250125.00000000
0.012143792770
Long
DBT
NUSS
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9P63
7746334.24000000
PA
USD
8648020.95000000
0.419869162573
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.08000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-18
31397NBW4
2537.16000000
PA
USD
20.86000000
0.000001012771
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8C44
3455670.35000000
PA
USD
3698007.42000000
0.179541572297
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
2.97000000
N
N
N
N
N
N
Capital One Bank USA NA
LKE37K2B8CFZUR7F9816
Capital One Bank USA NA
140420NB2
300000.00000000
PA
USD
313869.24000000
0.015238632713
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.37500000
N
N
N
N
N
N
Duquesne Light Holdings, Inc.
4CUJ1D8WDXK9X7QI6B93
Duquesne Light Holdings, Inc.
266233AG0
750000.00000000
PA
USD
791620.64000000
0.038433891073
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
3.61600000
N
N
N
N
N
N
Deutsche Telekom International Finance BV
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PBA0
175000.00000000
PA
USD
190460.19000000
0.009247012806
Long
DBT
CORP
NL
Y
2
2027-01-19
Fixed
3.60000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LLL7
107537.52000000
PA
USD
114219.96000000
0.005545481357
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
4.27700200
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2474, Class NR
31392R3C3
133635.14000000
PA
USD
151492.99000000
0.007355120346
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3852, Class TP
3137ABB59
748641.09000000
PA
USD
838740.27000000
0.040721591311
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.50000100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class QX
31339NHV1
62423.65000000
PA
USD
14745.02000000
0.000715883927
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
6.99149900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31410GVM2
307426.15000000
PA
USD
343442.12000000
0.016674422524
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
6.50000000
N
N
N
N
N
N
Toledo Edison Co. (The)
N/A
Toledo Edison Co. (The)
889175BD6
300000.00000000
PA
USD
438501.31000000
0.021289631336
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
6.15000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS9, Class A3
76110HCC1
3765.17000000
PA
USD
0.04000000
0.000000001942
Long
ABS-MBS
CORP
US
N
3
2018-05-25
Floating
5.92324900
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp., Series C
337932AJ6
289000.00000000
PA
USD
362654.79000000
0.017607214859
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
4.85000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2016-CA, Class D
26208BAN0
2617935.28000000
PA
USD
2659419.87000000
0.129117216551
Long
ABS-O
CORP
US
Y
2
2024-03-15
Fixed
4.18000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QS6G6
114969.80000000
PA
USD
120859.29000000
0.005867826775
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
3.65000000
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QSZC3
11730.04000000
PA
USD
12427.77000000
0.000603379364
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
3.84500200
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WRUE8
1050592.90000000
PA
USD
1112437.29000000
0.054009826764
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2351, Class PZ
313399HV2
45668.36000000
PA
USD
51434.58000000
0.002497194925
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-6, Class GS
31397M5Z6
503963.24000000
PA
USD
101382.08000000
0.004922190785
Long
ABS-MBS
USGSE
US
N
2
2039-02-25
Floating
4.92324800
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
96949LAE5
409000.00000000
PA
USD
431182.71000000
0.020934306751
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.85000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
783000.00000000
PA
USD
869418.31000000
0.042211037629
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1455, Class WB
312914CC6
6820.46000000
PA
USD
7038.84000000
0.000341741986
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Floating
3.83687600
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PCQ3
400000.00000000
PA
USD
499281.79000000
0.024240578077
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 329, Class 1
3136FAWE6
42963.89400000
PA
USD
39761.90000000
0.001930475857
Long
ABS-MBS
USGSE
US
N
2
2033-01-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-54, Class ZQ
31358QKR5
8726.67000000
PA
USD
9060.16000000
0.000439878882
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
7.50000000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599CS2
1210000.00000000
PA
USD
1220883.18000000
0.059274971851
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-24, Class DY
31397LCG2
93.43000000
PA
USD
93.55000000
0.000004541936
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-16, Class FC
31396PXY2
90774.60000000
PA
USD
94328.33000000
0.004579724905
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
2.37674900
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967AR2
250000.00000000
PA
USD
325900.00000000
0.015822736886
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2018-1, Class AA
909318AA5
1019798.12000000
PA
USD
1108442.34000000
0.053815868364
Long
ABS-O
CORP
US
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1079, Class S
312905WH1
20.07000000
PA
USD
20.36000000
0.000000988496
Long
ABS-MBS
USGSE
US
N
2
2021-05-15
Floating
28.36109900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-91, Class PI
38374MSK6
207353.02000000
PA
USD
35071.71000000
0.001702762931
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
6.00000000
N
N
N
N
N
N
Ohio State University (The)
JFC10ZULKO4X2E3HBY86
Ohio State University, General Receipts, Series 2016A
677632G96
325000.00000000
PA
USD
436016.75000000
0.021169003723
Long
DBT
MUN
US
N
2
2056-12-01
Fixed
4.04800000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8J70
4235000.00000000
PA
USD
4668238.13000000
0.226647142238
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.24000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
65557FAD8
945000.00000000
PA
USD
1008623.63000000
0.048969580592
Long
DBT
CORP
FI
Y
2
2022-09-21
Fixed
4.25000000
N
N
N
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CV0
500000.00000000
PA
USD
571753.03000000
0.027759121687
Long
DBT
CORP
US
N
2
2028-03-14
Fixed
3.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400RV24
13604.02000000
PA
USD
15064.10000000
0.000731375546
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K065, Class AM
3137F1G51
1322000.00000000
PA
USD
1464331.01000000
0.071094582038
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Fixed
3.32600000
N
N
N
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
Deutsche Telekom AG
251566AA3
685000.00000000
PA
USD
725113.50000000
0.035204909860
Long
DBT
CORP
DE
Y
2
2050-01-21
Fixed
3.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1686, Class SH
3133T4EV4
3242.60000000
PA
USD
3899.73000000
0.000189335384
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
15.46593800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-134, Class SC
31358FKA6
41.07000000
PA
USD
42.27000000
0.000002052246
Long
ABS-MBS
USGSE
US
N
2
2020-11-25
Floating
19.15987700
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-118, Class MT
3136A12F1
445024.62000000
PA
USD
540670.20000000
0.026250022451
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128K7XQ6
525575.39000000
PA
USD
591882.45000000
0.028736423056
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2004-6, Class 15PO
57643MDJ0
126.77000000
PA
USD
126.01000000
0.000006117898
Long
ABS-MBS
CORP
US
N
3
2019-07-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3085, Class WF
31396FSM6
138471.95000000
PA
USD
140365.80000000
0.006814885306
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
2.45850100
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAH3
3945000.00000000
PA
USD
4699021.42000000
0.228141698538
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31416BXJ2
53770.16000000
PA
USD
56176.33000000
0.002727411134
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBK2
100000.00000000
PA
USD
116637.29000000
0.005662844893
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
4.65000000
N
N
N
N
N
N
Academic Loan Funding Trust
N/A
Academic Loan Funding Trust, Series 2013-1A, Class A
00389VAA0
924245.09000000
PA
USD
912912.27000000
0.044322708342
Long
ABS-O
CORP
US
Y
2
2044-12-26
Floating
2.42674900
N
N
N
N
N
N
CMS Energy Corp.
549300IA9XFBAGNIBW29
CMS Energy Corp.
125896BM1
400000.00000000
PA
USD
434111.32000000
0.021076493390
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
3.87500000
N
N
N
N
N
N
John Sevier Combined Cycle Generation LLC
N/A
John Sevier Combined Cycle Generation LLC
478045AA5
735856.12000000
PA
USD
946781.29000000
0.045967079597
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
4.62600000
N
N
N
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust, Series 2012-SHOW, Class A
05538UAA1
4400000.00000000
PA
USD
4728730.16000000
0.229584084473
Long
ABS-MBS
CORP
US
Y
2
2036-11-05
Fixed
3.43020000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BFY1
637000.00000000
PA
USD
702867.67000000
0.034124854889
Long
DBT
CORP
US
N
2
2026-06-03
Fixed
4.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class MY
3139205U0
245338.45000000
PA
USD
291782.25000000
0.014166289567
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
CRH America, Inc.
549300RN11MJ182CNF63
CRH America, Inc.
12626PAN3
893000.00000000
PA
USD
1147753.73000000
0.055724471557
Long
DBT
CORP
US
Y
2
2045-05-18
Fixed
5.12500000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBY8
770000.00000000
PA
USD
767470.37000000
0.037261373835
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2018-2, Class C
26208JAF0
1304296.57000000
PA
USD
1312898.15000000
0.063742381057
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
3.63000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2344, Class ZD
313399C47
565377.35000000
PA
USD
651751.40000000
0.031643114199
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
Teachers Insurance & Annuity Association of America
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BF3
400000.00000000
PA
USD
492916.95000000
0.023931559395
Long
DBT
CORP
US
Y
2
2047-05-15
Fixed
4.27000000
N
N
N
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080AH9
353000.00000000
PA
USD
371063.19000000
0.018015450210
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.20000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A
94988LAA0
2500000.00000000
PA
USD
2497431.00000000
0.121252511830
Long
ABS-MBS
CORP
US
Y
2
2028-03-18
Variable
2.70960100
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAE3
200000.00000000
PA
USD
204892.08000000
0.009947693992
Long
DBT
CORP
CH
Y
2
2023-08-15
Variable
2.85900100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381UQF7
2383733.23000000
PA
USD
2460915.17000000
0.119479635579
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
2.98000000
N
N
N
N
N
N
BAMLL Re-REMIC Trust
N/A
BAMLL Re-REMIC Trust, Series 2016-FR16, Class A
05523HAA7
2600000.00000000
PA
USD
2558974.34000000
0.124240496108
Long
ABS-MBS
CORP
US
Y
2
2021-05-27
Variable
0.92711200
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAC7
800000.00000000
PA
USD
871714.51000000
0.042322520196
Long
DBT
CORP
FR
Y
2
2024-07-11
Fixed
4.62500000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2C6
675000.00000000
PA
USD
725859.21000000
0.035241114748
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-41, Class PE
31393BE50
85586.95000000
PA
USD
89260.88000000
0.004333695668
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Fixed
5.50000000
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AL0
620000.00000000
PA
USD
719137.80000000
0.034914784273
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.30000000
N
N
N
N
N
N
Commercial Mortgage Trust
549300NMFC2YLCA2NF13
Commercial Mortgage Trust, Series 2013-300P, Class A1
12625XAA5
3500000.00000000
PA
USD
3780671.65000000
0.183554994700
Long
ABS-MBS
CORP
US
Y
2
2030-08-10
Fixed
4.35300000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31283YKV9
90616.34000000
PA
USD
98800.15000000
0.004796835771
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P
92922FFA1
20230.34400000
PA
USD
18589.13000000
0.000902518910
Long
ABS-MBS
CORP
US
N
3
2033-10-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K065, Class A2
3137F1G44
2467000.00000000
PA
USD
2726729.46000000
0.132385157431
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Fixed
3.24300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209DBS2
3599.34000000
PA
USD
3611.80000000
0.000175356124
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
8.00000000
N
N
N
N
N
N
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust
N/A
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-8, Class APO
1729734K2
76593.71900000
PA
USD
68466.43000000
0.003324106497
Long
ABS-MBS
CORP
US
N
3
2035-11-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDZ47
664385.92000000
PA
USD
710745.23000000
0.034507317483
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
4.00000000
N
N
N
N
N
N
Rogers Communications, Inc.
54930030NVF3Y2OL0A78
Rogers Communications, Inc.
775109BN0
560000.00000000
PA
USD
668095.77000000
0.032436648001
Long
DBT
CORP
CA
N
2
2049-05-01
Fixed
4.35000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31406UL48
81409.09000000
PA
USD
92597.99000000
0.004495715348
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBP9
500000.00000000
PA
USD
576147.06000000
0.027972455779
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3424, Class PI
31397T4Y5
273168.45000000
PA
USD
41903.22000000
0.002034438860
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
5.14149800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9YD8
4758287.30000000
PA
USD
5317470.09000000
0.258167935369
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.10000000
N
N
N
N
N
N
Kinder Morgan, Inc.
549300WR7IX8XE0TBO16
Kinder Morgan, Inc.
49456BAP6
1090000.00000000
PA
USD
1216464.92000000
0.059060461371
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
Walt Disney Co. (The)
549300GZKULIZ0WOW665
Walt Disney Co. (The)
254687DZ6
100000.00000000
PA
USD
147693.34000000
0.007170643935
Long
DBT
CORP
US
N
2
2034-12-15
Fixed
6.20000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CQX4
2719.57000000
PA
USD
3118.68000000
0.000151414707
Long
ABS-MBS
USGA
US
N
2
2026-08-20
Fixed
8.00000000
N
N
N
N
N
N
CK Hutchison International 19 Ltd.
254900FPY8WXG61CMU70
CK Hutchison International 19 Ltd.
12564CAB2
1215000.00000000
PA
USD
1359281.25000000
0.065994322104
Long
DBT
CORP
KY
Y
2
2029-04-11
Fixed
3.62500000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1997-1, Class 2Z
911760KE5
363294.95000000
PA
USD
411914.93000000
0.019998838775
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Fixed
7.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LL2
38462000.00000000
PA
USD
37444312.02000000
1.817954884922
Long
DBT
UST
US
N
2
2023-02-15
None
0.00000000
N
N
N
N
N
N
Delta Air Lines Pass-Through Trust
N/A
Delta Air Lines Pass-Through Trust, Series 2012-1, Class A
247358AA2
164100.24000000
PA
USD
165061.11000000
0.008013864724
Long
ABS-O
CORP
US
N
2
2020-05-07
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5G20
1930370.90000000
PA
USD
2062790.81000000
0.100150341328
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
3.38000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-35, Class UC
31393BL86
11980.28000000
PA
USD
12638.41000000
0.000613606124
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
3.75000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BT5
850000.00000000
PA
USD
972256.28000000
0.047203913178
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2172, Class QC
3133TLLL0
136208.08000000
PA
USD
158954.31000000
0.007717374115
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
7.00000000
N
N
N
N
N
N
Pepperdine University
549300G0RVHY0VSFWD76
Pepperdine University, Series 2020
71338QAC0
600000.00000000
PA
USD
692381.54000000
0.033615743886
Long
DBT
CORP
US
N
2
2059-12-01
Fixed
3.30100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-4, Class QM
31393UQ89
27058.27000000
PA
USD
29883.87000000
0.001450888653
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
10.94649800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3549, Class FA
31398EP99
38101.13000000
PA
USD
39005.53000000
0.001893753416
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
2.85850100
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AF2
1250000.00000000
PA
USD
1364738.83000000
0.066259292501
Long
DBT
CORP
FR
Y
2
2025-03-17
Fixed
4.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2399, Class TH
31339MWA2
141136.30000000
PA
USD
164948.75000000
0.008008409545
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
Allergan, Inc.
6T6CAG8O6TSUTMO6BA21
Allergan, Inc.
018490AN2
453000.00000000
PA
USD
457700.80000000
0.022221783771
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
3.37500000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AC3
226000.00000000
PA
USD
249899.50000000
0.012132844543
Long
DBT
NUSS
CO
N
2
2023-09-18
Fixed
5.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-93, Class AS
38375Y2X9
275082.90000000
PA
USD
33864.05000000
0.001644129957
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Floating
4.05299900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CYW7
3113.30000000
PA
USD
3499.44000000
0.000169900946
Long
ABS-MBS
USGA
US
N
2
2027-12-20
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2095, Class PE
3133TGWC9
171953.20000000
PA
USD
192827.61000000
0.009361953168
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-101, Class E
3136AGA69
3000000.00000000
PA
USD
3227148.60000000
0.156680954869
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
3.00000000
N
N
N
N
N
N
Shire Acquisitions Investments Ireland DAC
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAD1
1713000.00000000
PA
USD
1837350.52000000
0.089205013337
Long
DBT
CORP
IE
N
2
2026-09-23
Fixed
3.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828WJ5
8840000.00000000
PA
USD
9415981.25000000
0.457154322948
Long
DBT
UST
US
N
2
2024-05-15
Fixed
2.50000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-3, Class CX
9393365L3
970214.53000000
PA
USD
190613.00000000
0.009254431869
Long
ABS-MBS
CORP
US
N
3
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAC9
600000.00000000
PA
USD
626429.45000000
0.030413710848
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3511, Class SA
31397YVF5
283461.36000000
PA
USD
54560.16000000
0.002648944633
Long
ABS-MBS
USGSE
US
N
2
2039-02-15
Floating
4.34149900
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3
36242DLW1
322483.29000000
PA
USD
332873.96000000
0.016161328890
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467P8
475000.00000000
PA
USD
481987.54000000
0.023400926750
Long
DBT
CORP
US
N
2
2020-07-24
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-27, Class SA
38375JJ55
379414.10000000
PA
USD
47212.96000000
0.002292231493
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
4.55299900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-101, Class J
31358NWF5
310.50000000
PA
USD
327.54000000
0.000015902360
Long
ABS-MBS
USGSE
US
N
2
2022-06-25
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-136, Class PK
31358PQU4
6215.69000000
PA
USD
6481.33000000
0.000314674376
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Fixed
6.00000000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2019-1, Class A
12326QAA2
1756650.88000000
PA
USD
1807775.57000000
0.087769123026
Long
ABS-O
CORP
US
Y
2
2034-07-15
Fixed
4.21200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-22, Class UD
31393ANT0
1118129.36000000
PA
USD
1230254.70000000
0.059729967541
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
4.00000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-4A, Class A3
14686YAD9
1202000.00000000
PA
USD
1212658.61000000
0.058875661612
Long
ABS-O
CORP
US
Y
2
2023-09-15
Fixed
2.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3152, Class MO
31396R2P1
245103.18000000
PA
USD
227268.05000000
0.011034067376
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
None
0.00000000
N
N
N
N
N
N
Suncor Energy, Inc.
549300W70ZOQDVLCHY06
Suncor Energy, Inc.
71644EAJ1
1195000.00000000
PA
USD
1744423.39000000
0.084693317947
Long
DBT
CORP
CA
N
2
2038-05-15
Fixed
6.80000000
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAL3
794000.00000000
PA
USD
864115.38000000
0.041953575629
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31288LGJ4
56771.35000000
PA
USD
60074.90000000
0.002916690200
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-225, Class UB
31359GDE3
17857.11000000
PA
USD
19258.52000000
0.000935018394
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Fixed
6.50000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GAQ2
1277000.00000000
PA
USD
1345670.64000000
0.065333514798
Long
DBT
CORP
US
Y
2
2022-04-11
Fixed
3.87500000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAY6
935000.00000000
PA
USD
1000202.82000000
0.048560742725
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
3.70000000
N
N
N
N
N
N
Ovintiv, Inc.
N/A
Ovintiv, Inc.
012873AK1
760000.00000000
PA
USD
923044.64000000
0.044814643980
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
7.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
9128334W7
3050000.00000000
PA
USD
2508414.21000000
0.121785756513
Long
DBT
UST
US
N
2
2033-08-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 243, Class 17
31282YWT2
1072.11000000
PA
USD
5.39000000
0.000000261689
Long
ABS-MBS
USGSE
US
N
2
2020-12-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 383, Class 32
3136FFPD5
65997.69000000
PA
USD
15703.12000000
0.000762400540
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2596, Class QG
31393NXU8
201768.33000000
PA
USD
224510.30000000
0.010900176143
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833PA2
1592000.00000000
PA
USD
1485292.32000000
0.072112272412
Long
DBT
UST
US
N
2
2026-08-15
None
0.00000000
N
N
N
N
N
N
OneBeacon US Holdings, Inc.
N/A
OneBeacon US Holdings, Inc.
68245JAB6
500000.00000000
PA
USD
533986.50000000
0.025925522830
Long
DBT
CORP
US
N
2
2022-11-09
Fixed
4.60000000
N
N
N
N
N
N
General Electric Co.
3C7474T6CDKPR9K6YT90
General Electric Co.
369604BD4
107000.00000000
PA
USD
109337.67000000
0.005308441804
Long
DBT
CORP
US
N
2
2022-10-09
Fixed
2.70000000
N
N
N
N
N
N
HERO
N/A
HERO, Series 2018-1ASI, Class A
42772AAA3
1299087.88000000
PA
USD
1297464.02000000
0.062993040222
Long
ABS-O
CORP
KY
Y
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
Ryder System, Inc.
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKA6
517000.00000000
PA
USD
519423.26000000
0.025218464485
Long
DBT
CORP
US
N
2
2020-09-01
Fixed
2.87500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
549300CLH5NTWN3BHD63
Westlake Automobile Receivables Trust, Series 2017-1A, Class D
96042EAF4
947000.00000000
PA
USD
952149.22000000
0.046227697407
Long
ABS-O
CORP
US
Y
2
2022-10-17
Fixed
3.46000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-46, Class UC
31395D5M7
430646.49000000
PA
USD
464448.19000000
0.022549375599
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591CS9
6839000.00000000
PA
USD
10565451.08000000
0.512962112697
Long
DBT
USGA
US
N
2
2036-04-01
Fixed
5.88000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K070, Class A2
3137FCJK1
1748000.00000000
PA
USD
1944449.50000000
0.094404764737
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Variable
3.30300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4HK2
3567323.37000000
PA
USD
3860847.41000000
0.187447599656
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
3.25000000
N
N
N
N
N
N
GTP Acquisition Partners I LLC
N/A
GTP Acquisition Partners I LLC
36246MAU3
1436000.00000000
PA
USD
1532492.16000000
0.074403866918
Long
DBT
CORP
US
Y
2
2025-06-16
Fixed
3.48200000
N
N
N
N
N
N
Drive Auto Receivables Trust
549300RZ091I85JWZO63
Drive Auto Receivables Trust, Series 2017-3, Class D
26207KAG6
4800000.00000000
PA
USD
4853266.56000000
0.235630438232
Long
ABS-O
CORP
US
Y
2
2023-12-15
Fixed
3.53000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC - GNMA, Series 8, Class ZA
3129145M2
31321.56000000
PA
USD
32758.93000000
0.001590475391
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-247, Class FE
31359FP77
13882.70000000
PA
USD
13986.02000000
0.000679033797
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
2.62675100
N
N
N
N
N
N
Korea Southern Power Co. Ltd.
9884001B6VSIQS4ZY558
Korea Southern Power Co. Ltd.
50065AAB0
228000.00000000
PA
USD
231063.75000000
0.011218352010
Long
DBT
CORP
KR
Y
2
2021-01-29
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-31, Class DB
31397SHK3
2135297.20000000
PA
USD
2294084.95000000
0.111379878980
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class GZ
31392KPH3
83807.18000000
PA
USD
100423.70000000
0.004875660577
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
7.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828A83
880000.00000000
PA
USD
889040.63000000
0.043163718840
Long
DBT
UST
US
N
2
2020-12-31
Fixed
2.37500000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Trust, Series 2016-1A, Class C
36251DAE1
451389.76000000
PA
USD
457042.65000000
0.022189829999
Long
ABS-O
CORP
US
Y
2
2021-10-15
Fixed
6.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-68, Class BC
31394E3Z9
7748.21000000
PA
USD
7747.21000000
0.000376133984
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2552, Class ME
31393HXK3
309697.01000000
PA
USD
361994.03000000
0.017575134370
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31371HDQ8
19422.21000000
PA
USD
21893.66000000
0.001062956801
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JSFW4
1628071.52000000
PA
USD
1728539.54000000
0.083922142803
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-8, Class 2A1
12669FZW6
2420.96620000
PA
USD
2437.00000000
0.000118318532
Long
ABS-MBS
CORP
US
N
2
2019-06-25
Fixed
4.50000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAM6
129000.00000000
PA
USD
157807.30000000
0.007661685752
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2455, Class GK
31392K5C6
307846.81000000
PA
USD
361970.53000000
0.017573993424
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
Becton Dickinson and Co.
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co.
075887BX6
600000.00000000
PA
USD
760234.61000000
0.036910071206
Long
DBT
CORP
US
N
2
2047-06-06
Fixed
4.66900000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284P2
1005600.00000000
PA
USD
1024769.25000000
0.049753464904
Long
DBT
UST
US
N
2
2021-05-15
Fixed
2.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 323, Class 300
3132HTZ66
2574948.70000000
PA
USD
2736881.76000000
0.132878060688
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Fixed
3.00000000
N
N
N
N
N
N
Realty Income Corp.
549300CUWDAUZSH43859
Realty Income Corp.
756109AT1
556000.00000000
PA
USD
751201.75000000
0.036471517763
Long
DBT
CORP
US
N
2
2047-03-15
Fixed
4.65000000
N
N
N
N
N
N
American International Group, Inc.
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874DC8
605000.00000000
PA
USD
690255.15000000
0.033512505747
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.87500000
N
N
N
N
N
N
ANZ New Zealand Int'l Ltd.
213800VD256NU2D97H12
ANZ New Zealand Int'l Ltd.
00182EBM0
1245000.00000000
PA
USD
1277758.24000000
0.062036306954
Long
DBT
CORP
NZ
Y
2
2030-02-13
Fixed
2.55000000
N
N
N
N
N
N
Sherwin-Williams Co. (The)
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co. (The)
824348AV8
381000.00000000
PA
USD
404929.86000000
0.019659707371
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.12500000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAA1
269000.00000000
PA
USD
279623.27000000
0.013575960198
Long
DBT
CORP
CH
Y
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138EGBP8
312759.63000000
PA
USD
362026.27000000
0.017576699651
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2006-A2, Class 5A3
466247K93
343041.13000000
PA
USD
356419.25000000
0.017304473808
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
4.11070000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-56
31395NWL7
279809.55000000
PA
USD
257895.17000000
0.012521041482
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2136, Class PG
3133TKA26
67949.83000000
PA
USD
76478.27000000
0.003713088504
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410XDA1
80413.23000000
PA
USD
85746.25000000
0.004163057234
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
4.26800200
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851AU3
1013000.00000000
PA
USD
1098096.27000000
0.053313557399
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
4.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-84, Class XM
31394FN50
1304300.91000000
PA
USD
1475830.17000000
0.071652876555
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Fixed
5.75000000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2020-NPL2, Class A1A
91834UAA2
3230000.00000000
PA
USD
3250271.48000000
0.157803591403
Long
ABS-O
CORP
US
Y
3
2050-02-25
Variable
2.98140100
N
N
N
N
N
N
Oportun Funding XIII LLC
N/A
Oportun Funding XIII LLC, Series 2019-A, Class A
68377FAA6
3010000.00000000
PA
USD
3077332.20000000
0.149407234469
Long
ABS-O
CORP
US
Y
2
2025-08-08
Fixed
3.08000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 1999-4, Class ZB
3837H1U90
301453.96000000
PA
USD
301425.44000000
0.014634475078
Long
ABS-MBS
USGA
US
N
2
2029-02-20
Fixed
6.00000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2005-4, Class 2A1
45254NPE1
113641.60000000
PA
USD
111694.33000000
0.005422859758
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.22675100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-61, Class SK
31394ATX4
41108.87000000
PA
USD
48702.33000000
0.002364541740
Long
ABS-MBS
USGSE
US
N
2
2032-11-25
Floating
8.50000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BG4
219000.00000000
PA
USD
227329.09000000
0.011037030922
Long
DBT
CORP
US
N
2
2024-09-08
Fixed
3.25000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91086QBG2
316000.00000000
PA
USD
346612.50000000
0.016828347312
Long
DBT
NUSS
MX
N
2
2026-01-21
Fixed
4.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-57
38375LUK4
178233.92000000
PA
USD
168522.61000000
0.008181923649
Long
ABS-MBS
USGA
US
N
2
2037-03-20
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-116, Class JY
38378VB61
1300000.00000000
PA
USD
1559616.11000000
0.075720758983
Long
ABS-MBS
USGA
US
N
2
2043-08-16
Fixed
4.00000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
Truist Bank
86787GAJ1
400000.00000000
PA
USD
432255.80000000
0.020986406232
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.30000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2006-A2, Class 4A1
466247K51
267981.62000000
PA
USD
279287.76000000
0.013559670887
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.67524800
N
N
N
N
N
N
Parker-Hannifin Corp.
5493002CONDB4N2HKI23
Parker-Hannifin Corp.
70109HAN5
592000.00000000
PA
USD
727901.86000000
0.035340287235
Long
DBT
CORP
US
N
2
2044-11-21
Fixed
4.45000000
N
N
N
N
N
N
Progressive Corp. (The)
529900TACNVLY9DCR586
Progressive Corp. (The), Series B
743315AU7
360000.00000000
PA
USD
371365.20000000
0.018030113066
Long
DBT
CORP
US
N
2
2023-03-15
Variable
5.37500200
N
N
N
N
N
N
NCUA Guaranteed Notes Trust
N/A
NCUA Guaranteed Notes Trust, Series 2010-A1, Class A
62889AAA1
219904.36000000
PA
USD
219886.11000000
0.010675667577
Long
ABS-O
CORP
US
N
2
2020-12-07
Floating
2.01962900
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBG9
1069000.00000000
PA
USD
1130609.71000000
0.054892114031
Long
DBT
CORP
US
N
2
2025-02-05
Fixed
3.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1570, Class F
3133T0PQ1
1484.08000000
PA
USD
1511.87000000
0.000073402642
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
Floating
2.53599800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402AF27
18606.50000000
PA
USD
19540.69000000
0.000948718000
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
4.52700000
N
N
N
N
N
N
Aviation Capital Group LLC
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
490000.00000000
PA
USD
514670.81000000
0.024987728781
Long
DBT
CORP
US
Y
2
2023-05-01
Fixed
3.87500000
N
N
N
N
N
N
Chase Funding Trust
N/A
Chase Funding Trust, Series 2003-6, Class 1A7
161546HC3
471518.56420000
PA
USD
496625.47000000
0.024111611362
Long
ABS-O
CORP
US
N
3
2034-11-25
Variable
5.01685200
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHD4
4975000.00000000
PA
USD
5375609.34000000
0.260990648028
Long
DBT
CORP
US
N
2
2028-12-20
Variable
3.41899900
N
N
N
N
N
N
Southern Natural Gas Co. LLC
N/A
Southern Natural Gas Co. LLC
843452AZ6
351000.00000000
PA
USD
516851.78000000
0.025093616828
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
8.00000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities Trust
N/A
First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2
32052WAB5
1196725.09000000
PA
USD
308847.94000000
0.014994844101
Long
ABS-MBS
CORP
US
N
3
2037-08-25
Floating
4.02324800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31406N4K7
1221.51000000
PA
USD
1345.54000000
0.000065327172
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
4.50000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38145GAH3
469000.00000000
PA
USD
504248.44000000
0.024481713383
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
APT Pipelines Ltd.
261700SS8OEHDOCOUJ33
APT Pipelines Ltd.
00205GAD9
732000.00000000
PA
USD
813179.09000000
0.039480573129
Long
DBT
CORP
AU
Y
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-26CB, Class A9
02147WAJ8
1070469.78000000
PA
USD
856879.37000000
0.041602260862
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.50000000
N
N
N
N
N
N
Packaging Corp. of America
549300XZP8MFZFY8TJ84
Packaging Corp. of America
695156AV1
845000.00000000
PA
USD
944739.80000000
0.045867963429
Long
DBT
CORP
US
N
2
2049-12-15
Fixed
4.05000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280AN9
552000.00000000
PA
USD
577177.93000000
0.028022505440
Long
DBT
CORP
GB
N
2
2022-03-30
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-42, Class AO
31397LPC7
72150.45000000
PA
USD
65947.50000000
0.003201810189
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
None
0.00000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254AL4
700000.00000000
PA
USD
766765.08000000
0.037227131373
Long
DBT
CORP
GB
Y
2
2024-01-26
Fixed
5.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828F96
1100000.00000000
PA
USD
1118906.25000000
0.054323900566
Long
DBT
UST
US
N
2
2021-10-31
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L96D9
6086441.04000000
PA
USD
6806780.53000000
0.330475291106
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.08000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H15, Class FJ
38376RDE3
3450310.83000000
PA
USD
3446811.18000000
0.167345769865
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
2.17437800
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBM2
555000.00000000
PA
USD
670592.46000000
0.032557864537
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
4.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2000-2, Class ZE
31359XSV2
144068.63000000
PA
USD
168222.23000000
0.008167339931
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LAAD1
2838760.64000000
PA
USD
3080556.99000000
0.149563800912
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
2.96000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402HGD7
267620.81000000
PA
USD
300013.97000000
0.014565946945
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833DQ0
1094000.00000000
PA
USD
1149501.69000000
0.055809336580
Long
DBT
CORP
US
N
2
2049-09-11
Fixed
2.95000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS12, Class A2A
76110HDT3
41.37000000
PA
USD
0.01000000
0.000000000485
Long
ABS-MBS
CORP
US
N
3
2018-06-25
Floating
5.97325000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2638, Class DS
31393WXE4
11357.86000000
PA
USD
11935.67000000
0.000579487468
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
6.94149800
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAU2
230000.00000000
PA
USD
286257.40000000
0.013898053151
Long
DBT
CORP
CA
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
06738EAE5
1000000.00000000
PA
USD
1060918.39000000
0.051508538027
Long
DBT
CORP
GB
N
2
2025-03-16
Fixed
3.65000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3102, Class HS
31396H5V7
45951.95000000
PA
USD
68667.29000000
0.003333858430
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
18.48550000
N
N
N
N
N
N
Liberty Mutual Group, Inc.
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBG8
408000.00000000
PA
USD
480131.29000000
0.023310804150
Long
DBT
CORP
US
Y
2
2029-02-01
Fixed
4.56900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404YDK5
25104.36000000
PA
USD
25452.82000000
0.001235757207
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
3.79500100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-25, Class SA
31393XRE9
240707.97000000
PA
USD
344845.87000000
0.016742575843
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Floating
15.05143800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2420, Class XK
31339DMW5
194281.53000000
PA
USD
226912.88000000
0.011016823554
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3966, Class NA
3137AJXA7
547494.28000000
PA
USD
610417.63000000
0.029636322646
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
China Southern Power Grid International Finance BVI Co. Ltd.
N/A
China Southern Power Grid International Finance BVI Co. Ltd.
16892DAC2
1234000.00000000
PA
USD
1338118.75000000
0.064966863775
Long
DBT
CORP
VG
Y
2
2027-05-08
Fixed
3.50000000
N
N
N
N
N
N
Apache Corp.
72ZZ1XRHOOU9P9X16K08
Apache Corp.
037411AZ8
56000.00000000
PA
USD
57115.97000000
0.002773031498
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
3.25000000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29364DAU4
175000.00000000
PA
USD
192863.27000000
0.009363684493
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
Allergan Finance LLC
2549006TBOV0H6GV7T12
Allergan Finance LLC
942683AH6
480000.00000000
PA
USD
541570.46000000
0.026293730881
Long
DBT
CORP
US
N
2
2042-10-01
Fixed
4.62500000
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAF2
200000.00000000
PA
USD
206148.25000000
0.010008682170
Long
DBT
CORP
GB
N
2
2023-01-10
Fixed
3.57100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-101, Class AE
3136AGC26
3348863.00000000
PA
USD
3610493.26000000
0.175292681448
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
3.00000000
N
N
N
N
N
N
Rockwell Collins, Inc.
XO75O7GICH1NPWLBRL05
Rockwell Collins, Inc.
774341AJ0
350000.00000000
PA
USD
372233.35000000
0.018072262526
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-61, Class Z
313921M70
337679.96000000
PA
USD
402646.98000000
0.019548871502
Long
ABS-MBS
USGSE
US
N
2
2031-11-25
Fixed
7.00000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280AU3
939000.00000000
PA
USD
1016781.29000000
0.049365642292
Long
DBT
CORP
GB
N
2
2025-08-18
Fixed
4.25000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co., Series B
842400GJ6
400000.00000000
PA
USD
446619.74000000
0.021683788384
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.65000000
N
N
N
N
N
N
FNMA, Grantor Trust
N/A
FNMA, Grantor Trust, Series 2017-T1, Class A
3136AV6R5
4854867.13000000
PA
USD
5256185.01000000
0.255192489846
Long
ABS-O
USGSE
US
N
2
2027-06-25
Fixed
2.89800000
N
N
N
N
N
N
UBS-BAMLL Trust
N/A
UBS-BAMLL Trust, Series 2012-WRM, Class A
90269PAA9
2236000.00000000
PA
USD
2317046.73000000
0.112494693964
Long
ABS-MBS
CORP
US
Y
2
2030-06-10
Fixed
3.66300000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 243, Class 16
31282YWS4
778.26000000
PA
USD
3.21000000
0.000000155848
Long
ABS-MBS
USGSE
US
N
2
2020-11-15
Fixed
4.50000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-57CB, Class 3A2
12668AYH2
775572.96000000
PA
USD
96093.88000000
0.004665443938
Long
ABS-MBS
CORP
US
N
3
2035-12-25
Floating
3.47325100
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833BA7
1130000.00000000
PA
USD
1278777.73000000
0.062085804106
Long
DBT
CORP
US
N
2
2045-02-09
Fixed
3.45000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGE4
1180000.00000000
PA
USD
1435798.23000000
0.069709290014
Long
DBT
CORP
US
N
2
2044-11-04
Fixed
4.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-81, Class GE
31396XAU8
213324.80000000
PA
USD
241572.05000000
0.011728539387
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
CNOOC Finance 2015 Australia Pty. Ltd.
N/A
CNOOC Finance 2015 Australia Pty. Ltd.
12634GAA1
1852000.00000000
PA
USD
1854574.28000000
0.090041242311
Long
DBT
CORP
AU
N
2
2020-05-05
Fixed
2.62500000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AK5
533000.00000000
PA
USD
555985.63000000
0.026993600295
Long
DBT
NUSS
CO
N
2
2025-01-16
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DTT6
87527.55000000
PA
USD
91028.86000000
0.004419532681
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
4.56800000
N
N
N
N
N
N
Credit Suisse Group Funding Guernsey Ltd.
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd.
225433AT8
800000.00000000
PA
USD
850054.30000000
0.041270897601
Long
DBT
CORP
GG
N
2
2023-06-09
Fixed
3.80000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-46, Class MG
38373Q2Q3
446057.74000000
PA
USD
505907.49000000
0.024562261746
Long
ABS-MBS
USGA
US
N
2
2033-05-20
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-62, Class PB
31359XEP0
44642.25000000
PA
USD
51399.75000000
0.002495503897
Long
ABS-MBS
USGSE
US
N
2
2029-12-18
Fixed
7.50000000
N
N
N
N
N
N
Baltimore Gas & Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co.
059165EH9
376000.00000000
PA
USD
411804.80000000
0.019993491865
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
3.50000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1
92922FNH7
60918.36000000
PA
USD
62237.16000000
0.003021669859
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
4.46571700
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2436, Class MC
3133TVR99
107470.08000000
PA
USD
123235.16000000
0.005983177391
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
7.00000000
N
N
N
N
N
N
Aviation Capital Group LLC
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAA9
700000.00000000
PA
USD
726067.52000000
0.035251228385
Long
DBT
CORP
US
Y
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCZ2
918000.00000000
PA
USD
1013128.01000000
0.049188272276
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-71, Class HJ
31398TDU2
339399.53000000
PA
USD
396455.51000000
0.019248270089
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9LH3
8725119.75000000
PA
USD
9713123.08000000
0.471580824924
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.04000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-60, Class DZ
31395NTE7
4850507.14000000
PA
USD
6005042.31000000
0.291550182462
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LG3
15768000.00000000
PA
USD
15474002.17000000
0.751276664376
Long
DBT
UST
US
N
2
2022-02-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L96Z0
1829861.66000000
PA
USD
1971319.08000000
0.095709306911
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
2.79000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31414HWF0
34379.90000000
PA
USD
35531.81000000
0.001725101198
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Variable
3.78500000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2004-8
57643MEH3
660.28800000
PA
USD
460.71000000
0.000022367883
Long
ABS-MBS
CORP
US
N
3
2019-08-25
None
0.00000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBA7
350000.00000000
PA
USD
362631.91000000
0.017606104015
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
2.90000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2040, Class PE
3133TD3W4
95978.08000000
PA
USD
111348.84000000
0.005406085909
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1144, Class KB
312907DL9
1578.15000000
PA
USD
1648.45000000
0.000080033723
Long
ABS-MBS
USGSE
US
N
2
2021-09-15
Fixed
8.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3218, Class AO
31397BHE4
103155.31000000
PA
USD
87240.92000000
0.004235624801
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A
31393LFK4
1081500.87000000
PA
USD
1312249.35000000
0.063710881235
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
Covidien International Finance SA
549300938QUWMPITJ642
Covidien International Finance SA
22303QAP5
399000.00000000
PA
USD
416458.97000000
0.020219455987
Long
DBT
CORP
LU
N
2
2023-06-15
Fixed
2.95000000
N
N
N
N
N
N
Regional Management Issuance Trust
N/A
Regional Management Issuance Trust, Series 2018-1, Class A
75907PAA8
1705000.00000000
PA
USD
1719765.13000000
0.083496137339
Long
ABS-O
CORP
US
Y
2
2027-07-15
Fixed
3.83000000
N
N
N
N
N
N
Assurant, Inc.
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621XAH1
660000.00000000
PA
USD
710288.41000000
0.034485138463
Long
DBT
CORP
US
N
2
2023-09-27
Fixed
4.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-47, Class PE
31393CRH8
163244.62000000
PA
USD
184872.79000000
0.008975739532
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Fixed
5.75000000
N
N
N
N
N
N
nVent Finance SARL
549300KO1OQ4MVFB6X02
nVent Finance SARL
67078AAD5
450000.00000000
PA
USD
495349.66000000
0.024049669644
Long
DBT
CORP
LU
N
2
2028-04-15
Fixed
4.55000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2011-75, Class SM
38377WFA7
827175.35000000
PA
USD
152947.53000000
0.007425739566
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Floating
4.95299900
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AM9
285000.00000000
PA
USD
310849.76000000
0.015092034255
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
N
N
N
N
N
N
Continental Airlines Pass-Through Trust
N/A
Continental Airlines Pass-Through Trust, Series 1999-2, Class A-1
210805CT2
12788.52000000
PA
USD
12787.50000000
0.000620844577
Long
ABS-O
CORP
US
N
2
2020-03-15
Fixed
7.25600000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAK7
375000.00000000
PA
USD
458945.90000000
0.022282234491
Long
DBT
CORP
US
N
2
2042-09-01
Fixed
4.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36183SYB1
1487023.51000000
PA
USD
1620275.42000000
0.078665822812
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
4.25000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AA6
965000.00000000
PA
USD
1023340.64000000
0.049684104609
Long
DBT
CORP
CH
Y
2
2030-08-13
Variable
3.12599900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31410KLP7
226373.60000000
PA
USD
234408.44000000
0.011380739705
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
6.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JC6
1200000.00000000
PA
USD
1328515.12000000
0.064500598937
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
4.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203CRH7
996.86000000
PA
USD
1012.73000000
0.000049168948
Long
ABS-MBS
USGA
US
N
2
2023-03-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31283YQW1
43516.84000000
PA
USD
48362.97000000
0.002348065508
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402BEZ3
128426.48000000
PA
USD
143975.37000000
0.006990133162
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31408EQC9
96126.24000000
PA
USD
99798.83000000
0.004845322579
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Variable
4.03099900
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2006-GG7, Class AM
20173MAG5
46323.49000000
PA
USD
46581.55000000
0.002261575972
Long
ABS-MBS
CORP
US
N
2
2038-07-10
Variable
5.72499400
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd.
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd.
052528AK2
263000.00000000
PA
USD
298152.15000000
0.014475553917
Long
DBT
CORP
AU
Y
2
2026-05-19
Fixed
4.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2306, Class K
3133TSJA2
11527.32700000
PA
USD
11271.53000000
0.000547242876
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
None
0.00000000
N
N
N
N
N
N
ASB Bank Ltd.
549300IBZWZL1KTPF918
ASB Bank Ltd.
00216LAC7
905000.00000000
PA
USD
959249.08000000
0.046572401968
Long
DBT
CORP
NZ
Y
2
2024-05-23
Fixed
3.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36201SRB7
14750.78000000
PA
USD
16370.61000000
0.000794807777
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAT9
815000.00000000
PA
USD
873793.78000000
0.042423470617
Long
DBT
CORP
FR
Y
2
2024-03-28
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAR9
1265000.00000000
PA
USD
1540926.85000000
0.074813378672
Long
DBT
CORP
US
N
2
2039-04-22
Variable
4.45700200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-101, Class DO
3136AGZH8
1882072.47000000
PA
USD
1712091.40000000
0.083123570875
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
None
0.00000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT
35563PJE0
4271337.80000000
PA
USD
4650616.37000000
0.225791590007
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-4, Class QI
31393UQ97
286013.44000000
PA
USD
14618.80000000
0.000709755833
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
5.47324900
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
413875AR6
850000.00000000
PA
USD
936288.77000000
0.045457658354
Long
DBT
CORP
US
N
2
2025-04-27
Fixed
3.83200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-30, Class LS
31397SMD3
563662.80000000
PA
USD
33765.94000000
0.001639366628
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Variable
2.16599400
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828RC6
13000000.00000000
PA
USD
13213281.25000000
0.641516638934
Long
DBT
UST
US
N
2
2021-08-15
Fixed
2.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3404, Class SC
31397PTW0
366012.40000000
PA
USD
75560.51000000
0.003668530434
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Floating
4.34149900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36213GR52
43682.84000000
PA
USD
48479.78000000
0.002353736739
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LE8
6100000.00000000
PA
USD
6014601.83000000
0.292014305720
Long
DBT
UST
US
N
2
2021-08-15
None
0.00000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AC2
1162000.00000000
PA
USD
1290609.81000000
0.062660262187
Long
DBT
CORP
CH
Y
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2014-M3, Class A2
3136AJLC8
1929524.00000000
PA
USD
2071945.06000000
0.100594788364
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Variable
3.47800000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Republic of Panama
698299BH6
325000.00000000
PA
USD
405132.81000000
0.019669560775
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JRE51
96602.65000000
PA
USD
102494.87000000
0.004976217736
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Variable
4.19299900
N
Y
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599CX1
670000.00000000
PA
USD
643293.24000000
0.031232462956
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
4.30000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1998-1, Class 2E
911760LH7
425943.22000000
PA
USD
489792.66000000
0.023779872317
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-72, Class US
38375LV72
255744.20000000
PA
USD
42192.37000000
0.002048477352
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
4.90299800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2543, Class YX
31393HGW6
283422.35000000
PA
USD
322166.89000000
0.015641491052
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1890, Class H
3133T85L7
15122.92000000
PA
USD
17045.63000000
0.000827580603
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3315, Class HZ
31397H3E6
244620.84000000
PA
USD
270937.37000000
0.013154251973
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Fixed
6.00000000
N
N
N
N
N
N
American Campus Communities Operating Partnership LP
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AD0
500000.00000000
PA
USD
554596.38000000
0.026926150963
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.62500000
N
N
N
N
N
N
Alimentation Couche-Tard, Inc.
549300OSW32RVX8CCZ87
Alimentation Couche-Tard, Inc.
01626PAN6
810000.00000000
PA
USD
803004.30000000
0.038986577961
Long
DBT
CORP
CA
Y
2
2050-01-25
Fixed
3.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296QYC8
75012.23000000
PA
USD
83403.50000000
0.004049314623
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381PSZ2
1442717.55000000
PA
USD
1454676.54000000
0.070625848872
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Fixed
3.87000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LQ1
11355000.00000000
PA
USD
10924871.92000000
0.530412316388
Long
DBT
UST
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-72, Class SM
38373AGM2
599735.28000000
PA
USD
120697.50000000
0.005859971725
Long
ABS-MBS
USGA
US
N
2
2039-08-16
Floating
4.59150100
N
N
N
N
N
N
OnDeck Asset Securitization Trust LLC
N/A
OnDeck Asset Securitization Trust LLC, Series 2018-1A, Class A
68235RAC8
1801000.00000000
PA
USD
1806664.69000000
0.087715188807
Long
ABS-O
CORP
US
Y
2
2022-04-18
Fixed
3.50000000
N
N
N
N
N
N
National Australia Bank Ltd.
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd.
63254AAP3
800000.00000000
PA
USD
869718.48000000
0.042225611152
Long
DBT
CORP
AU
N
2
2026-01-14
Fixed
3.37500000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAE1
1205000.00000000
PA
USD
1353054.94000000
0.065692029177
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3260, Class CS
31397ELL7
276943.54000000
PA
USD
51019.26000000
0.002477030767
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
Floating
4.48150000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-143, Class MA
31358QQP3
3353.44000000
PA
USD
3462.95000000
0.000168129324
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
5.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
585000.00000000
PA
USD
657090.62000000
0.031902338112
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
JB Hunt Transport Services, Inc.
549300XCD1MPI1C5GK90
JB Hunt Transport Services, Inc.
445658CF2
515000.00000000
PA
USD
572292.11000000
0.027785294504
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.87500000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAN8
455000.00000000
PA
USD
505509.42000000
0.024542935091
Long
DBT
CORP
CA
N
2
2035-03-15
Fixed
4.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828VB3
2221000.00000000
PA
USD
2281123.16000000
0.110750572466
Long
DBT
UST
US
N
2
2023-05-15
Fixed
1.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-46, Class TC
38373Q2J9
336243.34000000
PA
USD
373604.41000000
0.018138828717
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
6.50000000
N
N
N
N
N
N
Westpac Banking Corp.
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp.
961214EG4
580000.00000000
PA
USD
678344.08000000
0.032934212631
Long
DBT
CORP
AU
N
2
2039-07-24
Fixed
4.42100000
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833CR9
686000.00000000
PA
USD
750543.57000000
0.036439562534
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
3.20000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-28CB, Class 3A5
12667GYN7
73863.19640000
PA
USD
52162.94000000
0.002532557455
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-112, Class SA
38374EZ91
457375.26000000
PA
USD
60741.26000000
0.002949042574
Long
ABS-MBS
USGA
US
N
2
2033-12-16
Floating
4.89150000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31384VRC8
18399.12000000
PA
USD
20183.57000000
0.000979930400
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
8.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-10, Class 1A1
576434VU5
4732.62000000
PA
USD
4762.42000000
0.000231219756
Long
ABS-MBS
CORP
US
N
2
2019-09-25
Fixed
4.50000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2017-1, Class AA
023761AA7
481662.44000000
PA
USD
529633.80000000
0.025714195347
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
3.65000000
N
N
N
N
N
N
CMS Energy Corp.
549300IA9XFBAGNIBW29
CMS Energy Corp.
125896BQ2
475000.00000000
PA
USD
504072.44000000
0.024473168425
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128HDR92
7377.61000000
PA
USD
7755.52000000
0.000376537442
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Variable
4.32000000
N
Y
N
N
N
N
WFRBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4
92936QAG3
791610.15000000
PA
USD
811346.26000000
0.039391587591
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Fixed
3.44000000
N
N
N
N
N
N
McDonald's Corp.
UE2136O97NLB5BYP9H04
McDonald's Corp.
58013MEZ3
700000.00000000
PA
USD
880567.36000000
0.042752333992
Long
DBT
CORP
US
N
2
2035-12-09
Fixed
4.70000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust, Series 2005-5, Class 1CB1
05948KA33
495274.03000000
PA
USD
501345.50000000
0.024340773046
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-90, Class SI
38374JXC5
645336.24000000
PA
USD
88364.28000000
0.004290164935
Long
ABS-MBS
USGA
US
N
2
2034-10-20
Floating
4.45299800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8AZ7
3473787.54000000
PA
USD
3794875.66000000
0.184244612107
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.11000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCH2
443000.00000000
PA
USD
492603.84000000
0.023916357624
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.55000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91086QBF4
2113000.00000000
PA
USD
2396934.38000000
0.116373310921
Long
DBT
NUSS
MX
N
2
2046-01-23
Fixed
4.60000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAD2
974000.00000000
PA
USD
1092349.97000000
0.053034569387
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
5.00000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR3, Class C
02665XAC3
500000.00000000
PA
USD
544111.80000000
0.026417115214
Long
ABS-O
CORP
US
Y
2
2036-12-17
Fixed
4.59600000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2325, Class PM
3133TU3J5
71182.68000000
PA
USD
84294.01000000
0.004092549681
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
7.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-1CB, Class 1A6
12667F2M6
687659.83000000
PA
USD
105861.93000000
0.005139691514
Long
ABS-MBS
CORP
US
N
3
2035-03-25
Floating
5.47324900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-32, Class PI
383742YT4
138067.26000000
PA
USD
10793.12000000
0.000524015642
Long
ABS-MBS
USGA
US
N
2
2037-10-16
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2141
3133TKGP9
19505.78000000
PA
USD
1979.86000000
0.000096123976
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
7.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 2003-2, Class Z
911760TM8
3688898.44000000
PA
USD
4161961.67000000
0.202066966667
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
Provident Funding Mortgage Loan Trust
N/A
Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1
743873AX9
5458.14000000
PA
USD
5449.86000000
0.000264595584
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.28225800
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGT1
300000.00000000
PA
USD
354469.31000000
0.017209802474
Long
DBT
CORP
US
N
2
2046-06-14
Fixed
4.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 374, Class 5
3136FCZ82
139514.13000000
PA
USD
26341.49000000
0.001278902931
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
5.50000000
N
N
N
N
N
N
Eaton Corp.
0NZWDMRCE180888QQE14
Eaton Corp.
278062AD6
170000.00000000
PA
USD
206041.74000000
0.010003511014
Long
DBT
CORP
US
N
2
2032-11-02
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class SA
31392BVQ6
16343.61000000
PA
USD
23566.49000000
0.001144174196
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Floating
19.90056200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381QTL0
2380000.00000000
PA
USD
2426900.68000000
0.117828201625
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
4.25000000
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-2, Class A
00108GAA3
2304396.06000000
PA
USD
2318994.87000000
0.112589277906
Long
ABS-O
CORP
US
Y
2
2023-02-21
Fixed
2.82000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS
362341LM9
562689.64000000
PA
USD
76610.98000000
0.003719531694
Long
ABS-MBS
CORP
US
Y
3
2035-09-25
Variable
2.68141300
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A
31392W7D6
188318.87000000
PA
USD
249048.03000000
0.012091504912
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Variable
7.49999900
N
N
N
N
N
N
Healthcare Trust of America Holdings LP
549300IYGAS4GE6VDL07
Healthcare Trust of America Holdings LP
42225UAG9
1604000.00000000
PA
USD
1676961.90000000
0.081418002186
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-36, Class SN
31393X5J2
2696.88000000
PA
USD
2702.44000000
0.000131205882
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
10.94649800
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282S8
3000000.00000000
PA
USD
3054375.00000000
0.148292641848
Long
DBT
UST
US
N
2
2022-08-31
Fixed
1.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3047, Class OD
31396CJT8
944000.00000000
PA
USD
1059323.19000000
0.051431089639
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-52, Class FD
31358QTJ4
2375.35000000
PA
USD
2376.32000000
0.000115372464
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Floating
1.68147000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2004-C, Class 1A1
05946XLS0
68196.33000000
PA
USD
69841.04000000
0.003390845043
Long
ABS-MBS
CORP
US
N
2
2034-12-20
Variable
4.38362600
N
N
N
N
N
N
Southern Co. Gas Capital Corp.
E8CD46SWUD2TSN8PA636
Southern Co. Gas Capital Corp.
001192AJ2
563000.00000000
PA
USD
576273.57000000
0.027978597952
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3229, Class HE
31397BRQ6
427354.89000000
PA
USD
457060.93000000
0.022190717510
Long
ABS-MBS
USGSE
US
N
2
2026-10-15
Fixed
5.00000000
N
N
N
N
N
N
Mitsubishi UFJ Lease & Finance Co. Ltd.
353800MZ3QX9RLMH7B09
Mitsubishi UFJ Lease & Finance Co. Ltd.
60682LAA0
606000.00000000
PA
USD
617822.30000000
0.029995826006
Long
DBT
CORP
JP
Y
2
2022-09-19
Fixed
2.65200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M5, Class A2
3136AWWF0
3376000.00000000
PA
USD
3773552.36000000
0.183209346794
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Variable
3.17499800
N
N
N
N
N
N
University of Southern California
0GMCSQ6M60R4T46U5511
University of Southern California, Series A
914886AD8
570000.00000000
PA
USD
639074.43000000
0.031027635952
Long
DBT
CORP
US
N
2
2120-10-01
Fixed
3.22600000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2965, Class GD
31395T7F5
754.30000000
PA
USD
753.66000000
0.000036590868
Long
ABS-MBS
USGSE
US
N
2
2020-04-15
Fixed
4.50000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2017-1, Class D
26208EAG9
2664782.59000000
PA
USD
2698168.59000000
0.130998501612
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
3.84000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-28CB, Class 1A4
12667GWT6
1773980.60000000
PA
USD
1788190.01000000
0.086818226546
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2015-SFR3, Class E
74332NAJ2
1200000.00000000
PA
USD
1200548.64000000
0.058287711722
Long
ABS-O
CORP
US
Y
2
2032-11-12
Fixed
5.66000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1642, Class PJ
3133T2DL1
70533.26000000
PA
USD
74700.69000000
0.003626785403
Long
ABS-MBS
USGSE
US
N
2
2023-11-15
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A6
17307GBJ6
24954.39000000
PA
USD
24602.22000000
0.001194459815
Long
ABS-MBS
CORP
US
N
3
2033-10-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2744, Class PE
31394PR88
21382.02000000
PA
USD
22523.92000000
0.001093556489
Long
ABS-MBS
USGSE
US
N
2
2034-02-15
Fixed
5.50000000
N
N
N
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556BN1
369000.00000000
PA
USD
385086.47000000
0.018696293014
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.00000000
N
N
N
N
N
N
Gold Key Resorts LLC
549300MORAF4RGEXUA95
Gold Key Resorts LLC, Series 2014-A, Class A
38061LAA7
315027.04000000
PA
USD
315286.50000000
0.015307441955
Long
ABS-O
CORP
US
Y
2
2031-03-17
Fixed
3.22000000
N
N
N
N
N
N
Airbus SE
MINO79WLOO247M1IL051
Airbus SE
009279AC4
150000.00000000
PA
USD
186093.56000000
0.009035009009
Long
DBT
CORP
NL
Y
2
2047-04-10
Fixed
3.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607, Class BO
31398LQM3
107874.00000000
PA
USD
100271.36000000
0.004868264334
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAZ7
532000.00000000
PA
USD
567713.63000000
0.027563005199
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2344, Class ZJ
313399C70
52051.63000000
PA
USD
57888.76000000
0.002810551145
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF
31394FSB2
867448.42000000
PA
USD
864178.40000000
0.041956635306
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Floating
1.84675000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 351, Class 7
3136FCHW9
205846.81000000
PA
USD
28419.94000000
0.001379813540
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Variable
5.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 2A3
9393363R2
1090493.34000000
PA
USD
166408.63000000
0.008079288027
Long
ABS-MBS
CORP
US
N
3
2035-04-25
Floating
3.37325000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-37, Class Z
31392DCF7
64378.40000000
PA
USD
72604.77000000
0.003525026610
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Fixed
6.50000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3
36242DCH4
101581.93990000
PA
USD
104448.44000000
0.005071065309
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-46, Class QB
31393YT96
166874.13000000
PA
USD
253775.07000000
0.012321006937
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
17.49300100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L7C61
3966849.28000000
PA
USD
4356722.57000000
0.211522782796
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
3.29000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405H4U9
112130.78000000
PA
USD
117111.32000000
0.005685859474
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
3.74800000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAX2
483000.00000000
PA
USD
528690.17000000
0.025668381265
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-38, Class ZK
38374NQB6
1120918.22000000
PA
USD
1275152.87000000
0.061909813907
Long
ABS-MBS
USGA
US
N
2
2036-08-20
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-17, Class JO
38375JTE5
87556.53000000
PA
USD
78183.92000000
0.003795899340
Long
ABS-MBS
USGA
US
N
2
2037-04-16
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2462, Class JG
31392MQP0
136343.72000000
PA
USD
159997.23000000
0.007768008815
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591EJ7
304000.00000000
PA
USD
487079.07000000
0.023648125092
Long
DBT
USGA
US
N
2
2060-09-15
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-13, Class ST
31392B5S1
4323.38000000
PA
USD
5395.24000000
0.000261943734
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Floating
10.00000100
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822BD5
1260000.00000000
PA
USD
1337698.85000000
0.064946477254
Long
DBT
CORP
JP
N
2
2024-03-07
Fixed
3.40700000
N
N
N
N
N
N
Flagship Credit Auto Trust
549300A2KXZJ0K08VV65
Flagship Credit Auto Trust, Series 2018-2, Class A
33844NAA8
894499.19000000
PA
USD
898611.92000000
0.043628413542
Long
ABS-O
CORP
US
Y
2
2022-10-17
Fixed
2.97000000
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
96950FAQ7
512000.00000000
PA
USD
550126.58000000
0.026709138170
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8BP8
4400874.22000000
PA
USD
4611451.61000000
0.223890105832
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
2.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1995-19, Class Z
31359LZB4
68816.08000000
PA
USD
73238.08000000
0.003555774378
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Fixed
6.50000000
N
N
N
N
N
N
Reckitt Benckiser Treasury Services plc
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services plc
75625QAC3
700000.00000000
PA
USD
713945.88000000
0.034662711907
Long
DBT
CORP
GB
Y
2
2022-06-24
Fixed
2.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400RXM8
6766.42000000
PA
USD
7500.82000000
0.000364171528
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-16, Class OP
38374MM63
94351.90000000
PA
USD
88367.35000000
0.004290313987
Long
ABS-MBS
USGA
US
N
2
2036-03-20
None
0.00000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAC7
350000.00000000
PA
USD
453442.86000000
0.022015056971
Long
DBT
CORP
US
N
2
2036-10-01
Fixed
6.65000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGA1
1189000.00000000
PA
USD
1277294.28000000
0.062013781280
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.24800000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-68, Class DP
38374L4C2
73650.42000000
PA
USD
92744.04000000
0.004502806206
Long
ABS-MBS
USGA
US
N
2
2035-06-17
Floating
12.43734800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-62, Class SA
31358UVD5
5899.27000000
PA
USD
6666.65000000
0.000323671828
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
18.11634100
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAC6
795000.00000000
PA
USD
913829.45000000
0.044367238253
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.15000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833PD6
6550000.00000000
PA
USD
6034780.21000000
0.292993984142
Long
DBT
UST
US
N
2
2027-05-15
None
0.00000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4
92922FPH5
689019.59000000
PA
USD
706991.77000000
0.034325083638
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3211, Class SO
31397BAA9
211296.30000000
PA
USD
196926.67000000
0.009560966202
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
None
0.00000000
N
N
N
N
N
N
CRH America, Inc.
549300RN11MJ182CNF63
CRH America, Inc.
12626PAM5
417000.00000000
PA
USD
460611.93000000
0.022363121740
Long
DBT
CORP
US
Y
2
2025-05-18
Fixed
3.87500000
N
N
N
N
N
N
Banc of America Mortgage Trust
N/A
Banc of America Mortgage Trust, Series 2004-A, Class 2A2
05948XT27
51857.35000000
PA
USD
52655.36000000
0.002556464887
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
3.87504400
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H16, Class FG
38376RDY9
2347989.27000000
PA
USD
2345519.65000000
0.113877079731
Long
ABS-MBS
USGA
US
N
2
2065-07-20
Floating
2.17437800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CLW1
1250.72000000
PA
USD
1367.04000000
0.000066371016
Long
ABS-MBS
USGA
US
N
2
2025-12-20
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1709, Class FA
3133T4U79
1921.91000000
PA
USD
1911.95000000
0.000092826884
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
0.90000000
N
N
N
N
N
N
Royal Bank of Scotland Group plc
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group plc
780097BG5
290000.00000000
PA
USD
337645.27000000
0.016392980264
Long
DBT
CORP
GB
N
2
2029-05-18
Variable
4.89200000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2544, Class HC
31393FQX7
257436.08000000
PA
USD
295395.52000000
0.014341717061
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
NACC Reperforming Loan REMIC Trust
N/A
NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1
62951MAM2
255479.96000000
PA
USD
258555.73000000
0.012553112262
Long
ABS-MBS
CORP
US
Y
2
2034-10-25
Variable
6.50000200
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class QS
31339NJ23
104787.02000000
PA
USD
160598.85000000
0.007797218005
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
15.18790000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
9128334V9
5500000.00000000
PA
USD
4565992.75000000
0.221683037465
Long
DBT
UST
US
N
2
2033-02-15
None
0.00000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-4A, Class C
30167GAE0
2170000.00000000
PA
USD
2200690.74000000
0.106845506437
Long
ABS-O
CORP
US
Y
2
2024-09-16
Fixed
2.44000000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2015-A, Class C
12633BAC9
36018.60000000
PA
USD
36083.06000000
0.001751864880
Long
ABS-O
CORP
US
Y
2
2021-02-16
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3261, Class OA
31397EPT6
172255.42000000
PA
USD
157043.84000000
0.007624619085
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-163, Class M
31358QLK9
10274.38000000
PA
USD
10874.18000000
0.000527951178
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
7.75000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2015-5, Class E
80284QAH4
4200000.00000000
PA
USD
4203876.18000000
0.204101953668
Long
ABS-O
CORP
US
Y
2
2023-02-15
Fixed
4.67000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3014, Class OD
31395XBJ3
48524.57000000
PA
USD
43729.01000000
0.002123082600
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JVK92
4949654.11000000
PA
USD
5297094.68000000
0.257178690965
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-34, Class AX
31393CDE0
217311.58000000
PA
USD
254129.96000000
0.012338237165
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
Credit Suisse Group Funding Guernsey Ltd.
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd.
225433AC5
340000.00000000
PA
USD
367568.97000000
0.017845802700
Long
DBT
CORP
GG
N
2
2025-03-26
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDY8
485000.00000000
PA
USD
595930.49000000
0.028932959024
Long
DBT
CORP
US
N
2
2045-01-27
Fixed
4.30000000
N
N
N
N
N
N
CWABS, Inc. Asset-Backed Certificates Trust
N/A
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1
126673BC5
78236.70000000
PA
USD
75972.44000000
0.003688530005
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
2.52675000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1
59020UAR6
140393.23000000
PA
USD
137815.99000000
0.006691089747
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
2.08675100
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2013-2, Class A
02377UAB0
324609.16000000
PA
USD
341574.92000000
0.016583768291
Long
ABS-O
CORP
US
N
2
2023-01-15
Fixed
4.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-9
31397MT31
4759.85000000
PA
USD
33.55000000
0.000001628882
Long
ABS-MBS
USGSE
US
N
2
2024-02-25
Fixed
5.00000000
N
N
N
N
N
N
MetLife, Inc.
C4BXATY60WC6XEOZDX54
MetLife, Inc.
59156RBG2
600000.00000000
PA
USD
801963.97000000
0.038936069008
Long
DBT
CORP
US
N
2
2043-11-13
Fixed
4.87500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5
17307GBH0
48206.68800000
PA
USD
49306.73000000
0.002393885902
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1996-14, Class SE
31359KAJ6
61457.19000000
PA
USD
7150.72000000
0.000347173860
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
9.00000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RDD1
1126000.00000000
PA
USD
1226296.14000000
0.059537775907
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.95000000
N
N
N
N
N
N
Lincoln National Corp.
EFQMQROEDSNBRIP7LE47
Lincoln National Corp.
534187BC2
598000.00000000
PA
USD
631127.82000000
0.030641820919
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
4.20000000
N
N
N
N
N
N
LV Tower 52 Issuer
N/A
LV Tower 52 Issuer, Series 2013-1, Class M
50244VAD4
1421655.08000000
PA
USD
1426744.61000000
0.069269728654
Long
ABS-O
CORP
US
Y
3
2019-07-15
Fixed
7.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381BJC4
15371.65000000
PA
USD
17072.36000000
0.000828878368
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
6.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A9
92922FY93
1405313.77800000
PA
USD
1396031.96000000
0.067778601989
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H01, Class FA
38375BE73
675414.30000000
PA
USD
674992.84000000
0.032771506927
Long
ABS-MBS
USGA
US
N
2
2063-01-20
Fixed
1.65000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series D
649902T37
360000.00000000
PA
USD
496245.60000000
0.024093168333
Long
DBT
MUN
US
N
2
2040-03-15
Fixed
5.60000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority STRIPS
88059FBM2
800000.00000000
PA
USD
578694.75000000
0.028096148410
Long
DBT
USGA
US
N
2
2035-06-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-102, Class J
31358EV58
351.96000000
PA
USD
354.32000000
0.000017202553
Long
ABS-MBS
USGSE
US
N
2
2020-08-25
Fixed
6.50000000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2004-1, Class 30PO
55265K6X2
13658.69000000
PA
USD
11805.16000000
0.000573151091
Long
ABS-MBS
CORP
US
N
3
2034-02-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2575, Class ME
31393KSG1
734457.80000000
PA
USD
848713.14000000
0.041205783082
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400FV0
552000.00000000
PA
USD
631431.50000000
0.030656564855
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.05000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAW2
2008000.00000000
PA
USD
2040454.46000000
0.099065891530
Long
DBT
CORP
FR
Y
2
2030-01-22
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3256
31397EBP9
136789.98000000
PA
USD
125308.23000000
0.006083826796
Long
ABS-MBS
USGSE
US
N
2
2036-12-15
None
0.00000000
N
N
N
N
N
N
HSBC Bank plc
MP6I5ZYZBEU3UXPYFY54
HSBC Bank plc
44328MAK0
575000.00000000
PA
USD
590880.87000000
0.028687795450
Long
DBT
CORP
GB
Y
2
2021-01-19
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418BA63
2444549.15000000
PA
USD
2693667.87000000
0.130779987625
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36202SBN7
35458.10000000
PA
USD
39763.04000000
0.001930531205
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128283C2
1650000.00000000
PA
USD
1698275.39000000
0.082452791215
Long
DBT
UST
US
N
2
2022-10-31
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403KWA7
42936.74000000
PA
USD
47499.77000000
0.002306156375
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.50000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-37T1, Class A2
12667G2U6
2995639.12000000
PA
USD
453712.61000000
0.022028153575
Long
ABS-MBS
CORP
US
N
3
2035-09-25
Floating
3.42325100
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2016-1A, Class A
68268GAA6
145485.06000000
PA
USD
145686.24000000
0.007073197433
Long
ABS-O
CORP
US
Y
2
2029-02-20
Fixed
3.66000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391SQG8
82172.66000000
PA
USD
92992.74000000
0.004514880814
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
ONEOK, Inc.
2T3D6M0JSY48PSZI1Q41
ONEOK, Inc.
682680AY9
615000.00000000
PA
USD
635754.50000000
0.030866450377
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
3.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 233, Class 13
31282YDY2
538495.65000000
PA
USD
104035.38000000
0.005051010876
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fiserv, Inc.
GI7UBEJLXYLGR2C7GV83
Fiserv, Inc.
337738AT5
395000.00000000
PA
USD
422070.61000000
0.020491906135
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RGQ9
826000.00000000
PA
USD
946224.62000000
0.045940052770
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QK7
235000.00000000
PA
USD
332699.41000000
0.016152854331
Long
DBT
UST
US
N
2
2040-08-15
Fixed
3.87500000
N
N
N
N
N
N
FirstEnergy Transmission LLC
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAC3
240000.00000000
PA
USD
301460.09000000
0.014636157367
Long
DBT
CORP
US
Y
2
2049-04-01
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1994-40, Class Z
31359G5C6
331234.16000000
PA
USD
356568.80000000
0.017311734594
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
6.50000000
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
96145DAF2
400000.00000000
PA
USD
432718.67000000
0.021008878985
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.75000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust, Series 2004-6, Class 15PO
05948KSR1
6246.18330000
PA
USD
5165.23000000
0.000250776542
Long
ABS-MBS
CORP
US
N
3
2019-07-25
None
0.00000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AM3
770000.00000000
PA
USD
708400.00000000
0.034393454466
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31410GRM7
44090.49000000
PA
USD
52951.12000000
0.002570824300
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
7.50000000
N
N
N
N
N
N
Xylem, Inc.
549300DF5MV96DRYLQ48
Xylem, Inc.
98419MAJ9
197000.00000000
PA
USD
214177.10000000
0.010398490029
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
3.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209UJR8
3955.25000000
PA
USD
4019.18000000
0.000195134788
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G-51, Class SA
31358KV39
103.28000000
PA
USD
119.43000000
0.000005798433
Long
ABS-MBS
USGSE
US
N
2
2021-12-25
Floating
25.78636400
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BK5
200000.00000000
PA
USD
223585.38000000
0.010855270449
Long
DBT
CORP
GB
Y
2
2033-03-15
Variable
4.86600100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-79, Class SY
383742AS2
246155.37000000
PA
USD
33396.42000000
0.001621426101
Long
ABS-MBS
USGA
US
N
2
2037-12-20
Floating
4.90299800
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAQ1
1765000.00000000
PA
USD
1874517.95000000
0.091009525352
Long
DBT
CORP
US
N
2
2024-04-24
Variable
3.73700200
N
N
N
N
N
N
Synchrony Card Funding LLC
N/A
Synchrony Card Funding LLC, Series 2019-A2, Class A
87166PAF8
5000000.00000000
PA
USD
5125488.00000000
0.248847032954
Long
ABS-O
CORP
US
N
2
2025-06-15
Fixed
2.34000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2306, Class SE
3133TSK69
27228.84000000
PA
USD
3858.85000000
0.000187350623
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Floating
8.84999900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8F82
3784942.28000000
PA
USD
4154399.50000000
0.201699816541
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.26000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVY73
6200000.00000000
PA
USD
6614404.22000000
0.321135248957
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
2.52000000
N
N
N
N
N
N
GE Capital International Funding Co. Unlimited Co.
549300G6UZOB126GBY72
GE Capital International Funding Co. Unlimited Co.
36164QMS4
930000.00000000
PA
USD
932538.85000000
0.045275596379
Long
DBT
CORP
IE
N
2
2020-11-15
Fixed
2.34200000
N
N
N
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080AG1
600000.00000000
PA
USD
735211.24000000
0.035695164181
Long
DBT
CORP
US
N
2
2043-10-15
Fixed
5.15000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-130, Class CP
38377LK72
171424.05000000
PA
USD
205866.19000000
0.009994987904
Long
ABS-MBS
USGA
US
N
2
2040-10-16
Fixed
7.00000000
N
N
N
N
N
N
Jersey Central Power & Light Co.
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co.
476556DC6
560000.00000000
PA
USD
630001.05000000
0.030587115227
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JAE8
1650000.00000000
PA
USD
1715325.96000000
0.083280611660
Long
DBT
CORP
AU
Y
2
2021-01-14
Fixed
6.25000000
N
N
N
N
N
N
Duke Realty LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YAZ0
239000.00000000
PA
USD
258201.76000000
0.012535926701
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-16, Class OA
31394V4X5
171305.26000000
PA
USD
158504.65000000
0.007695542719
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
None
0.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
869000.00000000
PA
USD
804433.30000000
0.039055957191
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
TransCanada PipeLines Ltd.
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd.
89352HAT6
394000.00000000
PA
USD
447132.20000000
0.021708668776
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
4.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-54, Class FA
31396WFQ4
239540.58000000
PA
USD
239018.76000000
0.011604574871
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
2.02675000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-10, Class XI
31396YKW1
277179.84000000
PA
USD
51325.36000000
0.002491892196
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
4.60325200
N
N
N
N
N
N
Phillips 66 Partners LP
549300TL5L4IG0H4FX64
Phillips 66 Partners LP
718549AH1
985000.00000000
PA
USD
987536.29000000
0.047945771349
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.15000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KQD88
2042501.59000000
PA
USD
2259948.82000000
0.109722539295
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-39
31393A5Z6
44056.92000000
PA
USD
8277.05000000
0.000401858190
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Variable
6.00000100
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAM1
265000.00000000
PA
USD
284649.54000000
0.013819990108
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-44, Class P
31395NBC0
839451.12000000
PA
USD
778255.72000000
0.037785012237
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
None
0.00000000
N
N
N
N
N
N
Cabela's Credit Card Master Note Trust
549300XS4BMJOXLZFV07
Cabela's Credit Card Master Note Trust, Series 2015-2, Class A1
126802DH7
880000.00000000
PA
USD
882179.58000000
0.042830608717
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.25000000
N
N
N
N
N
N
BXG Receivables Note Trust
N/A
BXG Receivables Note Trust, Series 2012-A, Class A
05606UAA8
115024.85000000
PA
USD
115031.39000000
0.005584877010
Long
ABS-O
CORP
US
Y
2
2027-12-02
Fixed
2.66000000
N
N
N
N
N
N
City of Los Angeles Department of Airports
N/A
City of Los Angeles, Department of Airports, Series 2009C
544435C32
440000.00000000
PA
USD
621830.00000000
0.030190403431
Long
DBT
MUN
US
N
2
2039-05-15
Fixed
6.58200000
N
N
N
N
N
N
Memorial Sloan-Kettering Cancer Center
549300IZ71UAMEHWL382
Memorial Sloan-Kettering Cancer Center, Series 2015
586054AC2
200000.00000000
PA
USD
267675.24000000
0.012995872640
Long
DBT
CORP
US
N
2
2055-07-01
Fixed
4.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3
31393YU78
321746.39000000
PA
USD
383481.70000000
0.018618379993
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Fixed
7.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
313000.00000000
PA
USD
299724.89000000
0.014551911852
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Prudential Insurance Co. of America (The)
X574KRZ6V5A7UBU45C31
Prudential Insurance Co. of America (The)
743917AH9
1750000.00000000
PA
USD
2282755.04000000
0.110829801702
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
8.30000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A6
17307GLD8
29858.78000000
PA
USD
29666.20000000
0.001440320580
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.57603900
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
5365000.00000000
PA
USD
6098286.54000000
0.296077273341
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3274, Class JO
31397F6H0
45362.75000000
PA
USD
42877.42000000
0.002081737143
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2247, Class Z
3133TPGX1
46898.44000000
PA
USD
55051.99000000
0.002672823420
Long
ABS-MBS
USGSE
US
N
2
2030-08-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-72, Class TO
31396KHT2
49148.60000000
PA
USD
44615.81000000
0.002166137534
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
None
0.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-7, Class 30PO
576434TQ7
98024.60500000
PA
USD
85500.39000000
0.004151120511
Long
ABS-MBS
CORP
US
N
3
2034-08-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2353, Class AZ
3133TUYS1
313368.18000000
PA
USD
347289.47000000
0.016861214812
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
6.00000000
N
N
N
N
N
N
Texas Eastern Transmission LP
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AC4
554000.00000000
PA
USD
566047.35000000
0.027482105813
Long
DBT
CORP
US
Y
2
2022-10-15
Fixed
2.80000000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAC4
215000.00000000
PA
USD
259237.56000000
0.012586215719
Long
DBT
CORP
US
N
2
2038-05-25
Fixed
4.98500000
N
N
N
N
N
N
SART
N/A
SART
N/A
3498761.21000000
PA
USD
3568736.43000000
0.173265349953
Long
ABS-MBS
CORP
US
N
2
2024-07-15
Fixed
4.75000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-6, Class 30PO
576434SQ8
161465.11000000
PA
USD
142819.73000000
0.006934025805
Long
ABS-MBS
CORP
US
N
3
2034-07-25
None
0.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3
17307GAV0
11928.51000000
PA
USD
12219.46000000
0.000593265727
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
7.00000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833BZ2
815000.00000000
PA
USD
854192.70000000
0.041471820627
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410RP29
134598.18000000
PA
USD
139884.34000000
0.006791509991
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
3.44000200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A
31392GWB7
180744.49000000
PA
USD
200769.14000000
0.009747521562
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.78914900
N
N
N
N
N
N
Boston Scientific Corp.
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp.
101137AW7
530000.00000000
PA
USD
582754.32000000
0.028293244169
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.75000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS14, Class A1
76110HFL8
6749.76000000
PA
USD
6716.85000000
0.000326109083
Long
ABS-MBS
CORP
US
N
2
2018-07-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-70, Class CO
31396QYP8
366592.90000000
PA
USD
337671.32000000
0.016394245015
Long
ABS-MBS
USGSE
US
N
2
2037-01-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607, Class OP
31398LQS0
457235.83000000
PA
USD
408157.42000000
0.019816408300
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A
31393AP68
48272.18000000
PA
USD
55037.82000000
0.002672135454
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.78065000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2271, Class PC
3133TQKD8
103064.78000000
PA
USD
121980.20000000
0.005922247959
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-53, Class SW
38375LGF1
42402.31000000
PA
USD
56259.33000000
0.002731440859
Long
ABS-MBS
USGA
US
N
2
2037-09-20
Floating
15.26400000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2345, Class NE
313399SN8
38270.31000000
PA
USD
44656.46000000
0.002168111128
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-28, Class S
38374GDC3
203377.43000000
PA
USD
302879.88000000
0.014705089443
Long
ABS-MBS
USGA
US
N
2
2034-04-16
Floating
15.10160000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1963, Class Z
3133TAA28
38545.06000000
PA
USD
44237.32000000
0.002147761506
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-26, Class SC
38375KBN1
399120.68000000
PA
USD
49983.44000000
0.002426740778
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
4.55299900
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAW9
190000.00000000
PA
USD
218983.77000000
0.010631858162
Long
DBT
CORP
US
N
2
2046-05-14
Fixed
4.45000000
N
N
N
N
N
N
Noble Energy, Inc.
02VFQXG2D1LR5ZH3K186
Noble Energy, Inc.
655044AE5
999000.00000000
PA
USD
1140685.58000000
0.055381306544
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31387Y5U3
29683.89000000
PA
USD
35169.01000000
0.001707486934
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3720, Class A
3137A1XL2
129053.83000000
PA
USD
136400.53000000
0.006622367896
Long
ABS-MBS
USGSE
US
N
2
2025-09-15
Fixed
4.50000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF
362341LL1
744736.56000000
PA
USD
657388.64000000
0.031916807250
Long
ABS-MBS
CORP
US
Y
2
2035-09-25
Floating
1.97674900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LALA5
4022000.00000000
PA
USD
4586917.25000000
0.222698940680
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-205, Class H
31359EK34
9562.83800000
PA
USD
9323.81000000
0.000452679326
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-12, Class SP
38373SNF0
133917.66000000
PA
USD
21553.51000000
0.001046442214
Long
ABS-MBS
USGA
US
N
2
2033-02-20
Floating
6.05300000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAB3
300000.00000000
PA
USD
334359.33000000
0.016233444934
Long
DBT
CORP
CH
Y
2
2025-09-24
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-53, Class US
31395NJD0
540572.55000000
PA
USD
99065.22000000
0.004809705157
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
4.95325100
N
N
N
N
N
N
Conagra Brands, Inc.
54930035UDEIH090K650
Conagra Brands, Inc.
205887CD2
220000.00000000
PA
USD
267019.29000000
0.012964025680
Long
DBT
CORP
US
N
2
2038-11-01
Fixed
5.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284N7
1198000.00000000
PA
USD
1366094.38000000
0.066325105667
Long
DBT
UST
US
N
2
2028-05-15
Fixed
2.87500000
N
N
N
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAF8
443000.00000000
PA
USD
480195.87000000
0.023313939567
Long
DBT
CORP
LU
N
2
2024-06-15
Fixed
3.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHP98
71559.06000000
PA
USD
76234.88000000
0.003701271702
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
4.21200000
N
Y
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-2, Class MS
38374DPT0
156005.42000000
PA
USD
30055.85000000
0.001459238436
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
5.50149800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3422, Class AI
31397RCW4
1323117.90000000
PA
USD
10824.96000000
0.000525561503
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Variable
0.24999800
N
Y
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AT7
500000.00000000
PA
USD
547439.70000000
0.026578687739
Long
DBT
CORP
GB
Y
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
Brookfield Finance, Inc.
N/A
Brookfield Finance, Inc.
11271LAC6
337000.00000000
PA
USD
373354.19000000
0.018126680312
Long
DBT
CORP
CA
N
2
2028-01-25
Fixed
3.90000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCY5
715000.00000000
PA
USD
773235.78000000
0.037541289654
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31371PAK6
123617.93000000
PA
USD
151862.55000000
0.007373062815
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-76, Class GF
31397MRZ2
119.55000000
PA
USD
119.52000000
0.000005802803
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
2.27675200
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2535, Class BK
31393GQV9
35418.18000000
PA
USD
36461.28000000
0.001770227799
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-21, Class KA
31358T4H9
10260.80000000
PA
USD
10903.14000000
0.000529357212
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.70000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAA2
884000.00000000
PA
USD
948204.92000000
0.046036198109
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.00000000
N
N
N
N
N
N
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust
N/A
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-5, Class APO
1729732E8
35399.09200000
PA
USD
31208.58000000
0.001515204510
Long
ABS-MBS
CORP
US
N
3
2035-08-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G95-1, Class C
31359LMA0
10107.36000000
PA
USD
11491.15000000
0.000557905624
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
8.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1863, Class Z
3133T7DV8
13853.50000000
PA
USD
14830.88000000
0.000720052507
Long
ABS-MBS
USGSE
US
N
2
2026-07-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KPLB, Class A
3137BJQ71
353000.00000000
PA
USD
375564.18000000
0.018233977306
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Fixed
2.77000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A
31393LFM0
303812.20000000
PA
USD
372866.59000000
0.018103006896
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
7.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCW0
768000.00000000
PA
USD
801792.00000000
0.038927719711
Long
DBT
NUSS
MX
Y
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-19, Class IP
31397NUK9
961524.32000000
PA
USD
221879.14000000
0.010772430969
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31418AHQ4
607232.58000000
PA
USD
641073.16000000
0.031124676084
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2054, Class PV
3133TE4B7
64930.09000000
PA
USD
74862.73000000
0.003634652591
Long
ABS-MBS
USGSE
US
N
2
2028-05-15
Fixed
7.50000000
N
N
N
N
N
N
ACC
N/A
ACC
N/A
2154299.22000000
PA
USD
2154299.22000000
0.104593156591
Long
ABS-MBS
CORP
US
N
3
2021-01-15
Fixed
0.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCP5
350000.00000000
PA
USD
359975.00000000
0.017477108655
Long
DBT
NUSS
MX
N
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
313615TX4
1335.05000000
PA
USD
1435.82000000
0.000069710346
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
7.00000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAB7
1575000.00000000
PA
USD
1751760.77000000
0.085049554317
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CX
9393367B3
977950.79000000
PA
USD
199999.93000000
0.009710175727
Long
ABS-MBS
CORP
US
N
3
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KQEA2
3651347.51000000
PA
USD
4025336.34000000
0.195433684529
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
5.00000000
N
N
N
N
N
N
CenterPoint Energy Resources Corp.
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp.
15189WAG5
335000.00000000
PA
USD
340245.68000000
0.016519232499
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
4.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGK9
1855000.00000000
PA
USD
1904708.21000000
0.092475289514
Long
DBT
CORP
US
N
2
2023-04-24
Variable
2.88100100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31409JPF1
26050.58000000
PA
USD
27174.76000000
0.001319358936
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
4.42000100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2568, Class KG
31393KKC8
95976.07000000
PA
USD
100442.83000000
0.004876589356
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
5.50000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners I LLC
N/A
Pretium Mortgage Credit Partners I LLC, Series 2018-NPL4, Class A1
74141GAA7
1230929.45000000
PA
USD
1242559.39000000
0.060327371261
Long
ABS-O
CORP
US
Y
3
2058-09-25
Variable
4.82640100
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-6, Class 7A1
576434SK1
278278.75000000
PA
USD
288962.29000000
0.014029377983
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L94G4
2787354.23000000
PA
USD
3080113.47000000
0.149542267618
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
3.03000000
N
N
N
N
N
N
Renew
N/A
Renew, Series 2017-1A, Class A
75973LAA6
722686.29000000
PA
USD
763415.52000000
0.037064507235
Long
ABS-O
CORP
KY
Y
2
2052-09-20
Fixed
3.67000000
N
Y
N
N
N
N
Ohio State University (The)
JFC10ZULKO4X2E3HBY86
Ohio State University, General Receipts, Series A
677632PA3
1563000.00000000
PA
USD
2410786.83000000
0.117045859776
Long
DBT
MUN
US
N
2
2111-06-01
Fixed
4.80000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9
362341NB1
601439.52000000
PA
USD
640078.16000000
0.031076367942
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Fixed
6.00000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DG2
895000.00000000
PA
USD
938793.72000000
0.045579275920
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202EWE5
796310.65000000
PA
USD
914661.21000000
0.044407620946
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2006-1, Class A1
07387AGZ2
792471.43000000
PA
USD
814350.93000000
0.039537467010
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
3.84000100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31389DS73
245709.16000000
PA
USD
274593.31000000
0.013331751135
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-49, Class SC
31398P5R6
440864.86000000
PA
USD
556594.53000000
0.027023162935
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Floating
9.40650100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-93, Class G
31358ED82
17.20000000
PA
USD
17.22000000
0.000000836046
Long
ABS-MBS
USGSE
US
N
2
2020-08-25
Fixed
5.50000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661DR5
418000.00000000
PA
USD
463433.39000000
0.022500106150
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-29, Class J
31359PFV3
15220.04000000
PA
USD
17549.74000000
0.000852055595
Long
ABS-MBS
USGSE
US
N
2
2027-04-20
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202C5F6
13793.76000000
PA
USD
15605.05000000
0.000757639153
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LUY9
279307.05000000
PA
USD
296110.84000000
0.014376446488
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Variable
4.31500000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406YB58
67249.82000000
PA
USD
70229.84000000
0.003409721632
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
4.52099900
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1996-2, Class 1Z
911760HH2
184995.65000000
PA
USD
207803.36000000
0.010089039243
Long
ABS-MBS
USGSE
US
N
2
2026-06-15
Fixed
6.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410DVM9
24845.06000000
PA
USD
26851.42000000
0.001303660490
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.50000000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2003-7, Class 3A
07384MYS5
61094.42000000
PA
USD
62609.73000000
0.003039758466
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
4.31448500
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
Total Capital International SA
89153VAU3
815000.00000000
PA
USD
892211.57000000
0.043317670817
Long
DBT
CORP
FR
N
2
2049-07-12
Fixed
3.46100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-116, Class SB
31393T4W3
492153.77000000
PA
USD
97458.55000000
0.004731699889
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Floating
5.97325000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 355, Class 11
3136FCNL6
174863.22000000
PA
USD
34608.50000000
0.001680273671
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Fixed
6.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
338000.00000000
PA
USD
341598.16000000
0.016584896614
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Prosper Marketplace Issuance Trust
N/A
Prosper Marketplace Issuance Trust, Series 2019-3A, Class A
74362DAA6
860295.20000000
PA
USD
865866.47000000
0.042038592616
Long
ABS-O
CORP
US
Y
2
2025-07-15
Fixed
3.19000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AQ0
1591000.00000000
PA
USD
1687800.88000000
0.081944244373
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.55000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210ASU2
4968.78000000
PA
USD
5514.42000000
0.000267730029
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RBG3
321000.00000000
PA
USD
353680.60000000
0.017171509897
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.75000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWL4
2093000.00000000
PA
USD
2288145.29000000
0.111091503167
Long
DBT
CORP
US
N
2
2028-06-05
Variable
3.69100100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3131, Class BK
31396JMX0
450834.34000000
PA
USD
481272.24000000
0.023366198295
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RK6
25900000.00000000
PA
USD
30265566.47000000
1.469420358950
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-66, Class SB
31359U4D4
32170.16000000
PA
USD
1832.55000000
0.000088971943
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Floating
6.52325000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAG6
820000.00000000
PA
USD
873090.52000000
0.042389326714
Long
DBT
CORP
KY
Y
2
2026-05-01
Fixed
4.37500000
N
N
N
N
N
N
Continental Airlines Pass-Through Trust
N/A
Continental Airlines Pass-Through Trust, Series 2012-2, Class A
210795QB9
148274.71000000
PA
USD
160109.77000000
0.007773472733
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities Trust
N/A
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19
32051GYZ2
580319.68000000
PA
USD
470032.19000000
0.022820483800
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR12, Class 2P
93363NAR6
80803.57000000
PA
USD
81455.46000000
0.003954735537
Long
ABS-MBS
CORP
US
N
3
2036-10-25
Variable
3.33482800
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York and New Jersey, Consolidated
73358WJA3
2060000.00000000
PA
USD
2815196.00000000
0.136680287181
Long
DBT
MUN
US
N
2
2062-10-01
Fixed
4.45800000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BH2
1185000.00000000
PA
USD
1644637.52000000
0.079848624587
Long
DBT
CORP
US
N
2
2046-11-30
Fixed
4.90000000
N
N
N
N
N
N
Harborwalk Funding Trust
N/A
Harborwalk Funding Trust
41161EAA6
900000.00000000
PA
USD
1144803.86000000
0.055581252726
Long
DBT
CORP
US
Y
2
2069-02-15
Variable
5.07700100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1899, Class ZE
3133T86T9
43363.80000000
PA
USD
50068.97000000
0.002430893336
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
8.00000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DD7
125000.00000000
PA
USD
146878.09000000
0.007131062818
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.10000000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2014-D, Class C
12632YAC0
903.44000000
PA
USD
904.50000000
0.000043914285
Long
ABS-O
CORP
US
Y
2
2020-11-16
Fixed
4.35000000
N
N
N
N
N
N
Thornburg Mortgage Securities Trust
N/A
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1
885220DW0
135447.10000000
PA
USD
137752.00000000
0.006687982975
Long
ABS-MBS
CORP
US
N
2
2043-09-25
Floating
2.26675100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M10, Class A2
3136B2HA3
3335000.00000000
PA
USD
3759874.00000000
0.182545250166
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
3.38400000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1541, Class O
3133T0BX1
14991.73000000
PA
USD
14801.10000000
0.000718606661
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
1.18000100
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2006-A, Class 3A2
058927AG9
196351.09000000
PA
USD
190630.77000000
0.009255294618
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
3.89613600
N
N
N
N
N
N
Sierra Timeshare Receivables Funding LLC
N/A
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C
82652MAC4
2755524.25000000
PA
USD
2795004.57000000
0.135699975171
Long
ABS-O
CORP
US
Y
3
2036-05-20
Fixed
3.12000000
N
N
N
N
N
N
Western Union Co. (The)
28ID94QU1140NC23S047
Western Union Co. (The)
959802AU3
1100000.00000000
PA
USD
1144930.99000000
0.055587425002
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-61, Class Z
31358QW27
5190.00000000
PA
USD
5427.76000000
0.000263522609
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.00000000
N
N
N
N
N
N
Martin Marietta Materials, Inc.
5299005MZ4WZECVATV08
Martin Marietta Materials, Inc.
573284AQ9
770000.00000000
PA
USD
827972.95000000
0.040198828282
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.45000000
N
N
N
N
N
N
Jefferies Group LLC
NY9Q8VBNB6D1L6YV0J84
Jefferies Group LLC
472319AE2
749000.00000000
PA
USD
902960.65000000
0.043839548278
Long
DBT
CORP
US
N
2
2027-06-08
Fixed
6.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5EA4
1474885.64000000
PA
USD
1591936.94000000
0.077289964227
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
3.69000000
N
N
N
N
N
N
Thornburg Mortgage Securities Trust
N/A
Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A
885220GF4
339557.65000000
PA
USD
348507.03000000
0.016920328440
Long
ABS-MBS
CORP
US
N
2
2044-12-25
Variable
3.54722000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2018-2, Class B
12326RAB8
2056519.51000000
PA
USD
2117332.44000000
0.102798386314
Long
ABS-O
CORP
US
Y
2
2033-06-15
Fixed
5.43700000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526BL2
1000000.00000000
PA
USD
1026388.71000000
0.049832091137
Long
DBT
CORP
DE
N
2
2022-11-16
Fixed
3.30000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
03523TBT4
780000.00000000
PA
USD
909590.39000000
0.044161428093
Long
DBT
CORP
US
N
2
2048-10-06
Fixed
4.43900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5FJ4
1936783.38000000
PA
USD
2093172.40000000
0.101625394733
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
3.76000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RN0
2300000.00000000
PA
USD
2872125.00000000
0.139444241119
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31405FTF9
32324.92000000
PA
USD
36117.03000000
0.001753514154
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.00000000
N
N
N
N
N
N
Lincoln National Corp.
EFQMQROEDSNBRIP7LE47
Lincoln National Corp.
534187BJ7
650000.00000000
PA
USD
685177.65000000
0.033265988575
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.05000000
N
N
N
N
N
N
Prudential Financial, Inc.
5PRBRS5FEH7NREC8OR45
Prudential Financial, Inc.
744320AY8
300000.00000000
PA
USD
339606.70000000
0.016488209447
Long
DBT
CORP
US
N
2
2047-12-07
Fixed
3.90500000
N
N
N
N
N
N
Enable Midstream Partners LP
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AM2
594000.00000000
PA
USD
562347.42000000
0.027302470897
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.15000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H09, Class HA
38375BR95
634512.32000000
PA
USD
633042.98000000
0.030734803653
Long
ABS-MBS
USGA
US
N
2
2063-04-20
Fixed
1.65000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BT0
1475000.00000000
PA
USD
1588501.88000000
0.077123188988
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAG2
406000.00000000
PA
USD
450621.67000000
0.021878085670
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.12500000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1
126694LU0
1026100.09000000
PA
USD
944436.48000000
0.045853236972
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.56852200
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AR0
475000.00000000
PA
USD
531894.62000000
0.025823960183
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-36, Class SH
38374D3F4
405739.43000000
PA
USD
6203.07000000
0.000301164604
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Floating
4.65300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CPT4
4236.35000000
PA
USD
4689.45000000
0.000227676997
Long
ABS-MBS
USGA
US
N
2
2026-06-20
Fixed
8.00000000
N
N
N
N
N
N
GTP Acquisition Partners I LLC
N/A
GTP Acquisition Partners I LLC
36246MAT6
1236000.00000000
PA
USD
1241459.41000000
0.060273966247
Long
DBT
CORP
US
Y
2
2020-06-15
Fixed
2.35000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class PU
3139204T4
28013.42000000
PA
USD
33335.09000000
0.001618448475
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
Mead Johnson Nutrition Co.
E4BJRFT3MF4GJDY1SC50
Mead Johnson Nutrition Co.
582839AH9
153000.00000000
PA
USD
171906.22000000
0.008346200945
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
Albemarle Corp.
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp.
012725AD9
150000.00000000
PA
USD
190536.34000000
0.009250709957
Long
DBT
CORP
US
N
2
2044-12-01
Fixed
5.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402Q4R9
195953.60000000
PA
USD
206821.28000000
0.010041358379
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
4.37500100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4F73
2226805.60000000
PA
USD
2341131.29000000
0.113664020923
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
3.02000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBS9
740000.00000000
PA
USD
797643.31000000
0.038726297095
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
Digital Realty Trust LP
CD4SPTZ3YBTHY0C1AH38
Digital Realty Trust LP
25389JAR7
252000.00000000
PA
USD
276824.26000000
0.013440065755
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QX9
5900000.00000000
PA
USD
7167347.67000000
0.347981148689
Long
DBT
UST
US
N
2
2042-08-15
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-21, Class PE
31392CPT5
91870.94000000
PA
USD
107094.97000000
0.005199556711
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Fixed
6.50000000
N
N
N
N
N
N
Public Service Co. of Colorado
5BANEF6PGSEK0SNMQF44
Public Service Co. of Colorado
744448CM1
214000.00000000
PA
USD
235484.68000000
0.011432992121
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
3.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381URD1
1906986.64000000
PA
USD
1973215.92000000
0.095801400192
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
2.98000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAL7
334000.00000000
PA
USD
366579.91000000
0.017797782951
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2086, Class GB
3133TGE96
38000.53000000
PA
USD
42527.53000000
0.002064749670
Long
ABS-MBS
USGSE
US
N
2
2028-09-15
Fixed
6.00000000
N
N
N
N
N
N
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2018-1, Class AA
11042TAA1
582762.56000000
PA
USD
646886.66000000
0.031406926715
Long
ABS-O
CORP
US
Y
2
2031-09-20
Fixed
3.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4822, Class ZB
3137FH3G6
3716057.10000000
PA
USD
4176502.22000000
0.202772923393
Long
ABS-MBS
USGSE
US
N
2
2048-07-15
Fixed
4.00000000
N
N
N
N
N
N
Enable Midstream Partners LP
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AL4
325000.00000000
PA
USD
323662.94000000
0.015714125620
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822AA2
243000.00000000
PA
USD
246000.29000000
0.011943534405
Long
DBT
CORP
JP
N
2
2021-03-01
Fixed
2.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UB56
149486.00000000
PA
USD
158562.40000000
0.007698346533
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
4.34599900
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1
31395N5A1
286390.59000000
PA
USD
286377.33000000
0.013903875860
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Floating
1.84675000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2001-35, Class SA
38373RTZ2
88834.73000000
PA
USD
292.25000000
0.000014188999
Long
ABS-MBS
USGA
US
N
2
2031-08-16
Floating
6.59149900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-72, Class IE
31393DXG1
357661.29000000
PA
USD
66531.15000000
0.003230146919
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Fixed
5.50000000
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AH9
783000.00000000
PA
USD
869162.61000000
0.042198623165
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-77, Class PC
31396KGX4
689352.28000000
PA
USD
792013.79000000
0.038452978857
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-109, Class PC
31394UZE5
462381.20000000
PA
USD
515308.45000000
0.025018686774
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-4, Class PC
31359SGY0
5471.57000000
PA
USD
5527.41000000
0.000268360706
Long
ABS-MBS
USGSE
US
N
2
2021-03-25
Fixed
7.00000000
N
N
N
N
N
N
Ladder Capital Commercial Mortgage Trust
N/A
Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2
50184BAC2
998000.00000000
PA
USD
1147947.10000000
0.055733859843
Long
ABS-MBS
CORP
US
Y
2
2036-02-15
Fixed
3.98510000
N
N
N
N
N
N
Memorial Health Services
549300FTIZOMIONZZ882
Memorial Health Services
58601VAC6
1340000.00000000
PA
USD
1515331.60000000
0.073570706360
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.44700000
N
N
N
N
N
N
First Investors Auto Owner Trust
5493007KMCTYB1D1L534
First Investors Auto Owner Trust, Series 2015-2A, Class D
32058MAJ4
358453.20000000
PA
USD
359575.62000000
0.017457718398
Long
ABS-O
CORP
US
Y
2
2021-12-15
Fixed
4.22000000
N
N
N
N
N
N
Quest Diagnostics, Inc.
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics, Inc.
74834LAZ3
150000.00000000
PA
USD
163696.36000000
0.007947604889
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-148, Class MA
31398S6Q1
88791.08000000
PA
USD
89849.36000000
0.004362266900
Long
ABS-MBS
USGSE
US
N
2
2039-02-25
Fixed
4.00000000
N
N
N
N
N
N
Southern Co. Gas Capital Corp.
E8CD46SWUD2TSN8PA636
Southern Co. Gas Capital Corp.
001192AM5
254000.00000000
PA
USD
274382.52000000
0.013321517091
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.25000000
N
N
N
N
N
N
Wells Fargo Mortgage-Backed Securities Trust
N/A
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7
94985JAG5
251489.78000000
PA
USD
252754.57000000
0.012271460748
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAK5
400000.00000000
PA
USD
451799.32000000
0.021935261632
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
6.10000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RD2
10188000.00000000
PA
USD
14438306.25000000
0.700992699857
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1608, Class L
3133T1W81
149160.57000000
PA
USD
159795.73000000
0.007758225809
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2089, Class PJ
3133TGKG3
60396.90000000
PA
USD
6265.27000000
0.000304184469
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
7.00000000
N
N
N
N
N
N
Pennsylvania Electric Co.
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co.
708696BY4
150000.00000000
PA
USD
160929.74000000
0.007813283010
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3331
31397J5M2
153695.05000000
PA
USD
143071.33000000
0.006946241210
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2835, Class QO
31395FEZ3
21710.78000000
PA
USD
20100.15000000
0.000975880284
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1981, Class Z
3133TAUE0
59166.30000000
PA
USD
64414.92000000
0.003127402058
Long
ABS-MBS
USGSE
US
N
2
2027-05-15
Fixed
6.00000000
N
N
N
N
N
N
Anheuser-Busch InBev Finance, Inc.
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance, Inc.
03524BAF3
70000.00000000
PA
USD
83846.60000000
0.004070827525
Long
DBT
CORP
US
N
2
2044-02-01
Fixed
4.62500000
N
N
N
N
N
N
Pfizer, Inc.
765LHXWGK1KXCLTFYQ30
Pfizer, Inc.
717081EU3
950000.00000000
PA
USD
1127140.88000000
0.054723699228
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
3.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H24, Class FG
38375BXB3
24670.19000000
PA
USD
24620.90000000
0.001195366746
Long
ABS-MBS
USGA
US
N
2
2060-04-20
Floating
2.16438100
N
N
N
N
N
N
Evergy Metro, Inc.
1128SIJQ26096WL7IO82
Evergy Metro, Inc.
485134BM1
1400000.00000000
PA
USD
1926580.92000000
0.093537229174
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
5.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810PZ5
300000.00000000
PA
USD
447414.85000000
0.021722391686
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
Lendingpoint Asset Securitization Trust
N/A
Lendingpoint Asset Securitization Trust, Series 2019-2, Class A
52605WAA7
3376948.92000000
PA
USD
3387452.58000000
0.164463856672
Long
ABS-O
CORP
US
Y
2
2025-11-10
Fixed
3.07100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-75, Class FA
3136A0GK7
197305.04000000
PA
USD
199047.50000000
0.009663934398
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Floating
2.17675100
N
N
N
N
N
N
Resolution Funding Corp.
N/A
Resolution Funding Corp. STRIPS
76116EHJ2
510000.00000000
PA
USD
455104.91000000
0.022095750987
Long
DBT
USGA
US
N
2
2027-10-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-130, Class SX
31393UWF6
12918.96000000
PA
USD
14674.29000000
0.000712449922
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
9.02868100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2
31393U4Q3
100796.50000000
PA
USD
118410.81000000
0.005748950878
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Fixed
7.00000000
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAJ9
2235000.00000000
PA
USD
2761657.05000000
0.134080923207
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440BH6
275000.00000000
PA
USD
337456.09000000
0.016383795406
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810PW2
447000.00000000
PA
USD
659709.14000000
0.032029469604
Long
DBT
UST
US
N
2
2038-02-15
Fixed
4.37500000
N
N
N
N
N
N
Deutsche Telekom International Finance BV
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PAR4
232000.00000000
PA
USD
298250.44000000
0.014480325984
Long
DBT
CORP
NL
Y
2
2042-03-06
Fixed
4.87500000
N
N
N
N
N
N
DXC Technology Co.
549300DOVZ3EDJB7O259
DXC Technology Co.
23355LAC0
478000.00000000
PA
USD
512005.90000000
0.024858345014
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403R2E7
117436.10000000
PA
USD
136500.07000000
0.006627200652
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
8.00000000
N
N
N
N
N
N
DuPont de Nemours, Inc.
5493004JF0SDFLM8GD76
DuPont de Nemours, Inc.
26078JAE0
215000.00000000
PA
USD
261620.44000000
0.012701906677
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.31900000
N
N
N
N
N
N
Coca-Cola Femsa SAB de CV
5493008KEVFYPMGTXO33
Coca-Cola Femsa SAB de CV
191241AH1
790000.00000000
PA
USD
831857.99000000
0.040387450453
Long
DBT
CORP
MX
N
2
2030-01-22
Fixed
2.75000000
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAG3
440000.00000000
PA
USD
626864.83000000
0.030434848937
Long
DBT
CORP
US
N
2
2037-12-15
Fixed
6.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3611
31398LSE9
52121.37000000
PA
USD
48553.72000000
0.002357326592
Long
ABS-MBS
USGSE
US
N
2
2034-07-15
None
0.00000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York and New Jersey, Consolidated, Series 164
73358WCW2
1825000.00000000
PA
USD
2718337.50000000
0.131977720257
Long
DBT
MUN
US
N
2
2040-11-01
Fixed
5.64700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400JBY4
24440.84000000
PA
USD
27471.25000000
0.001333753791
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1343, Class LA
312911GW4
3283.69000000
PA
USD
3474.49000000
0.000168689601
Long
ABS-MBS
USGSE
US
N
2
2022-08-15
Fixed
8.00000000
N
N
N
N
N
N
Toorak Mortgage Corp. Ltd.
N/A
Toorak Mortgage Corp. Ltd., Series 2019-2, Class A1
89052LAA1
2795000.00000000
PA
USD
2814384.72000000
0.136640898811
Long
ABS-MBS
CORP
US
N
2
2022-09-25
Variable
3.72100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L74C7
2771604.59000000
PA
USD
3028617.84000000
0.147042108661
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.14000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-14, Class ES
31396PC33
662660.80000000
PA
USD
120841.90000000
0.005866982474
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
4.81325000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A
92922FAS7
45701.40060000
PA
USD
46658.28000000
0.002265301282
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
4.41466200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YXX4
151569.44000000
PA
USD
158657.04000000
0.007702941390
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
3.56299900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-72, Class SX
31392BJG2
9323.95000000
PA
USD
12756.91000000
0.000619359406
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Floating
13.67743000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403R4H8
59216.50000000
PA
USD
67293.14000000
0.003267142216
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2313, Class LA
3133TTK67
47717.55000000
PA
USD
54360.16000000
0.002639234454
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H15, Class FD
38376RDD5
1571140.64000000
PA
USD
1569396.20000000
0.076195591112
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
2.17437800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1250, Class J
3129093W2
1233.54000000
PA
USD
1285.15000000
0.000062395183
Long
ABS-MBS
USGSE
US
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAE9
350000.00000000
PA
USD
394349.14000000
0.019146003938
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4ZC4
164546.50000000
PA
USD
172896.45000000
0.008394277499
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
3.89300000
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H7EG5
8581210.22000000
PA
USD
9277872.77000000
0.450449032549
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-4, Class C
26209AAF8
1960000.00000000
PA
USD
1994377.42000000
0.096828809970
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
2.51000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-81, Class TA
3136AFK60
2000000.00000000
PA
USD
2101614.60000000
0.102035271104
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
3.00000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2C4
1055000.00000000
PA
USD
1056407.01000000
0.051289506488
Long
DBT
CORP
US
Y
2
2020-04-20
Fixed
2.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828T67
20000000.00000000
PA
USD
20096875.00000000
0.975721280668
Long
DBT
UST
US
N
2
2021-10-31
Fixed
1.25000000
N
N
N
N
N
N
AstraZeneca plc
PY6ZZQWO2IZFZC3IOL08
AstraZeneca plc
046353AD0
300000.00000000
PA
USD
443478.80000000
0.021531292934
Long
DBT
CORP
GB
N
2
2037-09-15
Fixed
6.45000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2015-A, Class B2
17323MAD7
438954.92000000
PA
USD
467892.19000000
0.022716584884
Long
ABS-MBS
CORP
US
Y
2
2058-06-25
Variable
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1573, Class PZ
3133T0R71
44115.30000000
PA
USD
47221.67000000
0.002292654371
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1700, Class GA
3133T4BL9
11765.73400000
PA
USD
11605.91000000
0.000563477325
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York and New Jersey, Consolidated
73358WCX0
440000.00000000
PA
USD
655380.00000000
0.031819285979
Long
DBT
MUN
US
N
2
2040-11-01
Fixed
5.64700000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2018-1, Class A
90931VAA4
692305.77000000
PA
USD
741685.79000000
0.036009509382
Long
ABS-O
CORP
US
N
2
2030-03-01
Fixed
3.70000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BF6
442000.00000000
PA
USD
466316.66000000
0.022640091491
Long
DBT
CORP
US
N
2
2028-01-12
Fixed
3.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RE0
17780000.00000000
PA
USD
24780875.00000000
1.203133675812
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.62500000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661DS3
403000.00000000
PA
USD
493691.95000000
0.023969186339
Long
DBT
CORP
US
N
2
2049-04-05
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31402RR84
684.68000000
PA
USD
686.02000000
0.000033306885
Long
ABS-MBS
USGSE
US
N
2
2020-08-01
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-17, Class JI
38375JTD7
816481.69000000
PA
USD
156977.75000000
0.007621410356
Long
ABS-MBS
USGA
US
N
2
2037-04-16
Floating
5.15149900
N
N
N
N
N
N
Guardian Life Insurance Co. of America (The)
N1YIDVMMKBHFYCCAIX69
Guardian Life Insurance Co. of America (The)
401378AC8
208000.00000000
PA
USD
282927.33000000
0.013736375270
Long
DBT
CORP
US
Y
2
2077-01-24
Fixed
4.85000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2011-1, Class A
023767AA4
99590.23000000
PA
USD
102628.82000000
0.004982721128
Long
ABS-O
CORP
US
N
2
2021-01-31
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3387, Class SA
31397PFM7
215511.25000000
PA
USD
40340.82000000
0.001958582941
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
4.76150000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RC4
22214400.00000000
PA
USD
30879751.39000000
1.499239586900
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AL9
828000.00000000
PA
USD
969946.91000000
0.047091791196
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.15000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2K9
1065000.00000000
PA
USD
1092197.04000000
0.053027144499
Long
DBT
CORP
FR
Y
2
2031-01-13
Variable
3.05200100
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
25272KAK9
1410000.00000000
PA
USD
1651291.24000000
0.080171668652
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-132, Class OA
31393UVB6
25587.75000000
PA
USD
24528.75000000
0.001190892781
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31390LY75
31493.19000000
PA
USD
33729.20000000
0.001637582868
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWM2
493000.00000000
PA
USD
506451.94000000
0.024588695281
Long
DBT
CORP
US
N
2
2023-07-24
Variable
2.90499800
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2005-8, Class 30PO
05946X3C5
92045.03060000
PA
USD
71766.08000000
0.003484307460
Long
ABS-MBS
CORP
US
N
3
2036-01-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8K60
2000000.00000000
PA
USD
2294012.98000000
0.111376384772
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.55000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2015-3, Class C
33843LAC9
619418.45000000
PA
USD
624765.08000000
0.030332904194
Long
ABS-O
CORP
US
Y
2
2022-03-15
Fixed
4.65000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HN6
600000.00000000
PA
USD
777267.70000000
0.037737042981
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
4.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KJ02, Class A2
3137BLVZ8
22717.87000000
PA
USD
22762.80000000
0.001105154327
Long
ABS-MBS
USGSE
US
N
2
2020-09-25
Fixed
2.59700000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746RW3
993000.00000000
PA
USD
1051896.51000000
0.051070517673
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
3.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MD0
1021000.00000000
PA
USD
1351812.53000000
0.065631709059
Long
DBT
CORP
US
N
2
2048-07-23
Fixed
4.65000000
N
N
N
N
N
N
ITC Holdings Corp.
549300HTO5U9D3SLE207
ITC Holdings Corp.
465685AM7
900000.00000000
PA
USD
928298.86000000
0.045069741067
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.70000000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAC2
925000.00000000
PA
USD
1191510.22000000
0.057848888336
Long
DBT
CORP
IT
Y
2
2040-10-01
Fixed
5.70000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-40, Class SA
38375QKS7
2466748.33000000
PA
USD
424130.98000000
0.020591938944
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
4.74149900
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BC7
291000.00000000
PA
USD
339245.08000000
0.016470652472
Long
DBT
CORP
US
N
2
2035-02-12
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4240, Class B
3137B3TZ1
2500650.00000000
PA
USD
2704067.37000000
0.131284892664
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
3.00000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority STRIPS
88059FAV3
5000000.00000000
PA
USD
4624157.60000000
0.224506993026
Long
DBT
USGA
US
N
2
2025-11-01
None
0.00000000
N
N
N
N
N
N
Nevada Power Co.
MJZFGXRJ52U8U4MKJ519
Nevada Power Co.
641423CA4
305000.00000000
PA
USD
419938.61000000
0.020388395626
Long
DBT
CORP
US
N
2
2041-05-15
Fixed
5.45000000
N
N
N
N
N
N
Brixmor Operating Partnership LP
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAA1
400000.00000000
PA
USD
432969.24000000
0.021021044383
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.85000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2001-2, Class A
36228FEC6
471605.69000000
PA
USD
473948.49000000
0.023010623673
Long
ABS-MBS
CORP
US
Y
2
2032-06-19
Variable
7.49999900
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746RE3
702000.00000000
PA
USD
769448.45000000
0.037357411390
Long
DBT
CORP
US
N
2
2024-01-16
Fixed
4.48000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404J2J3
89314.87000000
PA
USD
92540.32000000
0.004492915418
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
4.37600200
N
N
N
N
N
N
Mid-Atlantic Interstate Transmission LLC
N/A
Mid-Atlantic Interstate Transmission LLC
59524QAA3
315000.00000000
PA
USD
359129.95000000
0.017436080721
Long
DBT
CORP
US
Y
2
2028-05-15
Fixed
4.10000000
N
N
N
N
N
N
Fiserv, Inc.
GI7UBEJLXYLGR2C7GV83
Fiserv, Inc.
337738AV0
375000.00000000
PA
USD
444932.92000000
0.021601891762
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
4.40000000
N
N
N
N
N
N
Blackstone Holdings Finance Co. LLC
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co. LLC
09256BAH0
429000.00000000
PA
USD
525035.13000000
0.025490925800
Long
DBT
CORP
US
Y
2
2045-07-15
Fixed
4.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3064, Class MC
31396ER57
3094883.00000000
PA
USD
3789904.28000000
0.184003247156
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQAD4
1577770.16000000
PA
USD
1670638.00000000
0.081110971178
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381QER3
2596639.53000000
PA
USD
2634928.59000000
0.127928142972
Long
ABS-MBS
USGSE
US
N
2
2021-02-01
Fixed
4.48000000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAT5
175000.00000000
PA
USD
198925.30000000
0.009658001479
Long
DBT
CORP
CA
N
2
2029-04-01
Fixed
4.20000000
N
N
N
N
N
N
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2019-1, Class AA
11043XAA1
694934.22000000
PA
USD
755961.26000000
0.036702596236
Long
ABS-O
CORP
US
Y
2
2032-12-15
Fixed
3.30000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
425000.00000000
PA
USD
452349.25000000
0.021961961226
Long
DBT
CORP
FR
Y
2
2025-01-09
Fixed
3.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A
31397KYA3
864976.95000000
PA
USD
957591.85000000
0.046491941968
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
2.26811200
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3481, Class SJ
31397Y4R9
426987.65000000
PA
USD
79110.86000000
0.003840903107
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Floating
4.19150200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WSPZ5
906713.09000000
PA
USD
960310.70000000
0.046623944570
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DB1
273000.00000000
PA
USD
323433.92000000
0.015703006494
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.10000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-31, Class NO
38376XM59
1183661.37000000
PA
USD
1116173.61000000
0.054191228447
Long
ABS-MBS
USGA
US
N
2
2040-03-20
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140HNWP3
4539542.18000000
PA
USD
4934214.79000000
0.239560547298
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHY72
84523.30000000
PA
USD
89003.24000000
0.004321187016
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
4.08700100
N
Y
N
N
N
N
Resolution Funding Corp.
N/A
Resolution Funding Corp. STRIPS
76116EGH7
388000.00000000
PA
USD
357995.12000000
0.017380983708
Long
DBT
USGA
US
N
2
2026-01-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-15, Class OT
31395BVH3
5667.46000000
PA
USD
5620.63000000
0.000272886620
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8UK8
2898743.28000000
PA
USD
3246937.74000000
0.157641735340
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.17000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3179, Class OA
31396UFA3
210957.51000000
PA
USD
196426.95000000
0.009536704348
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
None
0.00000000
N
N
N
N
N
N
Grupo Televisa SAB
549300O4AF0C816ILN62
Grupo Televisa SAB
40049JBB2
221000.00000000
PA
USD
248555.94000000
0.012067613501
Long
DBT
CORP
MX
N
2
2026-01-30
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-1, Class KA
31358R6V0
20277.88000000
PA
USD
21574.42000000
0.001047457413
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
7.90000000
N
N
N
N
N
N
Walt Disney Co. (The)
549300GZKULIZ0WOW665
Walt Disney Co. (The)
254687CP9
430000.00000000
PA
USD
523104.73000000
0.025397203151
Long
DBT
CORP
US
N
2
2023-04-26
Fixed
8.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
312941XL6
486397.85000000
PA
USD
547433.42000000
0.026578382840
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBC3
268000.00000000
PA
USD
282397.91000000
0.013710671455
Long
DBT
CORP
US
Y
2
2025-01-15
Fixed
5.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-90
38374CUL3
35731.85000000
PA
USD
33997.47000000
0.001650607617
Long
ABS-MBS
USGA
US
N
2
2033-10-20
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1084, Class F
312905C42
91.79000000
PA
USD
91.98000000
0.000004465711
Long
ABS-MBS
USGSE
US
N
2
2021-05-15
Floating
2.60849900
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747WAL3
559000.00000000
PA
USD
589293.86000000
0.028610744693
Long
DBT
CORP
US
N
2
2021-07-28
Fixed
5.50000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BS7
1054000.00000000
PA
USD
1122154.61000000
0.054481611353
Long
DBT
CORP
GB
N
2
2024-05-18
Variable
3.94999900
N
N
N
N
N
N
ANZ New Zealand Int'l Ltd.
213800VD256NU2D97H12
ANZ New Zealand Int'l Ltd.
00182EAX7
402000.00000000
PA
USD
404408.02000000
0.019634371572
Long
DBT
CORP
NZ
Y
2
2020-08-06
Fixed
2.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-64, Class DM
31398RM85
197682.51000000
PA
USD
218766.60000000
0.010621314364
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828QN3
2250000.00000000
PA
USD
2305722.65000000
0.111944899738
Long
DBT
UST
US
N
2
2021-05-15
Fixed
3.12500000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Trust
N/A
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class XC
55312VBD9
404427.38000000
PA
USD
12.38000000
0.000000601060
Long
ABS-MBS
CORP
US
Y
3
2049-12-12
Variable
0.73541200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-42, Class Z
31358MQ49
1316.38000000
PA
USD
1351.27000000
0.000065605368
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
7.00000000
N
N
N
N
N
N
American Municipal Power, Inc.
EARKGGZJJEMVD66XQ486
American Municipal Power, Inc., Meldahl Hydroelectric Project, Series 2010B
02765UDV3
1315000.00000000
PA
USD
2262575.85000000
0.109850083954
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
7.49900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2484, Class LZ
31392R3H2
148964.71000000
PA
USD
178157.80000000
0.008649720753
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1996-59, Class J
31359KL96
4078.78000000
PA
USD
4266.48000000
0.000207141425
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Fixed
6.50000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325BQ7
922000.00000000
PA
USD
981930.00000000
0.047673580948
Long
DBT
NUSS
CO
N
2
2024-02-26
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-27, Class SA
31358TRH4
3683.30000000
PA
USD
4409.25000000
0.000214073036
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Floating
15.50000200
N
N
N
N
N
N
Korea Gas Corp.
988400TFZILHBD5M3R71
Korea Gas Corp.
50066AAK9
653000.00000000
PA
USD
656877.19000000
0.031891975895
Long
DBT
NUSS
KR
Y
2
2021-07-18
Fixed
1.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LAG52
1847241.84000000
PA
USD
2098377.43000000
0.101878103601
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.35000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9X98
4902589.66000000
PA
USD
5265894.45000000
0.255663891854
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
2.78000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2000-20, Class SA
31359X4V8
77249.48000000
PA
USD
10364.16000000
0.000503189250
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
7.47325100
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11
17307GRM2
201442.81000000
PA
USD
206799.01000000
0.010040277151
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
Westpac Banking Corp.
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp.
961214CX9
690000.00000000
PA
USD
727470.40000000
0.035319339466
Long
DBT
CORP
AU
N
2
2026-05-13
Fixed
2.85000000
N
N
N
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
92857WBS8
1105000.00000000
PA
USD
1326307.06000000
0.064393395647
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402HJY8
23549.76000000
PA
USD
26221.06000000
0.001273055947
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LS7
20600000.00000000
PA
USD
19708688.88000000
0.956874496870
Long
DBT
UST
US
N
2
2024-08-15
None
0.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2006-A3, Class 6A1
46628KAT7
74811.64000000
PA
USD
75766.72000000
0.003678542115
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.12447700
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp.
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp.
637432NL5
306000.00000000
PA
USD
323158.65000000
0.015689641888
Long
DBT
CORP
US
N
2
2024-02-07
Fixed
2.95000000
N
N
N
N
N
N
KeyBank NA
HUX2X73FUCYHUVH1BK78
KeyBank NA
49306SAA4
729000.00000000
PA
USD
753576.16000000
0.036586797495
Long
DBT
CORP
US
N
2
2022-05-22
Fixed
3.18000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-54CB, Class 1A11
12668APD1
1357815.16000000
PA
USD
1296524.20000000
0.062947411119
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC Trust, Series 2009-RR5, Class 8A1
05531UAQ3
57712.83000000
PA
USD
58373.57000000
0.002834089104
Long
ABS-MBS
CORP
US
Y
2
2034-11-26
Variable
5.50000100
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust, Series 2019-1A, Class A
252722AA1
4879024.94000000
PA
USD
4995582.89000000
0.242540023517
Long
ABS-O
CORP
US
Y
2
2032-02-20
Fixed
2.89000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-16, Class IS
31396YTG7
101938.10000000
PA
USD
11662.03000000
0.000566202001
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
4.57324900
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2003-A14, Class A1
45660NXN0
67.31000000
PA
USD
47.45000000
0.000002303739
Long
ABS-MBS
CORP
US
N
2
2019-02-25
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-25, Class J
31358TWE5
16158.48000000
PA
USD
17160.97000000
0.000833180463
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.50000000
N
N
N
N
N
N
Pepco Holdings LLC
0IYTXJPU5BH89F2Z1F31
Pepco Holdings LLC
713291AH5
316000.00000000
PA
USD
432948.20000000
0.021020022872
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
7.45000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BJ8
400000.00000000
PA
USD
419643.68000000
0.020374076510
Long
DBT
CORP
GB
Y
2
2024-03-15
Variable
3.88500100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406H3D7
339476.56000000
PA
USD
351703.42000000
0.017075516038
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
3.49200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381TR44
2432903.21000000
PA
USD
2503042.01000000
0.121524931391
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
3.16000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CGP2
10183.57000000
PA
USD
11072.99000000
0.000537603581
Long
ABS-MBS
USGA
US
N
2
2025-05-20
Fixed
8.50000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class A
00908PAB3
641624.00000000
PA
USD
682092.12000000
0.033116183330
Long
ABS-O
CORP
CA
Y
2
2030-01-15
Fixed
3.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-71, Class DS
31393EKS7
346218.28000000
PA
USD
395694.36000000
0.019211315574
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
5.26000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1343, Class LB
312911GX2
4146.39000000
PA
USD
4375.91000000
0.000212454349
Long
ABS-MBS
USGSE
US
N
2
2022-08-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-63, Class H
31358EKU5
46.49000000
PA
USD
46.75000000
0.000002269754
Long
ABS-MBS
USGSE
US
N
2
2020-06-25
Fixed
9.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-60, Class K
31358EKM3
5.27000000
PA
USD
5.25000000
0.000000254892
Long
ABS-MBS
USGSE
US
N
2
2020-06-25
Fixed
5.50000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2013-1, Class A
009089AA1
600334.38000000
PA
USD
653688.92000000
0.031737182531
Long
ABS-O
CORP
CA
Y
2
2025-05-15
Fixed
4.12500000
N
N
N
N
N
N
CVS Pass-Through Trust
N/A
CVS Pass-Through Trust, Series 2013
12665UAA2
653821.35000000
PA
USD
745156.49000000
0.036178014976
Long
ABS-O
CORP
US
Y
2
2036-01-10
Fixed
4.70400000
N
N
N
N
N
N
Southwestern Public Service Co.
OL6FE7QD5EQ3DOYEO258
Southwestern Public Service Co.
845743BN2
200000.00000000
PA
USD
256221.54000000
0.012439785247
Long
DBT
CORP
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 218, Class 2
31364HVN4
2040.10000000
PA
USD
184.59000000
0.000008962009
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
7.50000000
N
N
N
N
N
N
Citibank Credit Card Issuance Trust
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3
17305EDT9
800000.00000000
PA
USD
1189862.16000000
0.057768873547
Long
ABS-O
CORP
US
N
2
2039-06-15
Fixed
6.15000000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2016-C, Class C
12636AAC8
164114.05000000
PA
USD
164240.96000000
0.007974045707
Long
ABS-O
CORP
US
Y
2
2022-06-15
Fixed
3.27000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-65, Class IQ
38373APX8
130038.93000000
PA
USD
8448.33000000
0.000410173988
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Fixed
6.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MF5
355000.00000000
PA
USD
375861.59000000
0.018248416828
Long
DBT
CORP
US
N
2
2025-04-24
Variable
3.35200000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2013-SFS, Class A2
12625EAC3
1060000.00000000
PA
USD
1101028.04000000
0.053455897458
Long
ABS-MBS
CORP
US
Y
2
2035-04-12
Variable
2.98680100
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2017-1A, Class C
22530LAE6
574000.00000000
PA
USD
576512.69000000
0.027990207443
Long
ABS-O
CORP
US
Y
2
2026-02-17
Fixed
3.48000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828G38
400000.00000000
PA
USD
424250.00000000
0.020597717472
Long
DBT
UST
US
N
2
2024-11-15
Fixed
2.25000000
N
N
N
N
N
N
BOC Aviation Ltd.
254900H06V5RMEB3KE72
BOC Aviation Ltd.
09681LAJ9
310000.00000000
PA
USD
330712.19000000
0.016056373021
Long
DBT
CORP
SG
Y
2
2024-10-10
Fixed
3.50000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BE3
660000.00000000
PA
USD
836127.33000000
0.040594730734
Long
DBT
CORP
US
N
2
2055-02-12
Fixed
4.00000000
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAD1
569000.00000000
PA
USD
756180.66000000
0.036713248303
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
6.35000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31371KNW7
12316.77000000
PA
USD
13742.28000000
0.000667200002
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
6.50000000
N
N
N
N
N
N
Continental Credit Card
N/A
Continental Credit Card, Series 2017-1A, Class A
21134RAA3
359155.30000000
PA
USD
363296.43000000
0.017638367056
Long
ABS-O
CORP
US
Y
2
2024-01-15
Fixed
4.29000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2500, Class MC
31392UXE9
149950.34000000
PA
USD
174156.52000000
0.008455455026
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
Hess Corp.
UASVRYNXNK17ULIGK870
Hess Corp.
42809HAC1
510000.00000000
PA
USD
570505.61000000
0.027698558328
Long
DBT
CORP
US
N
2
2040-01-15
Fixed
6.00000000
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92553PAP7
464000.00000000
PA
USD
498669.75000000
0.024210862987
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2990, Class UZ
31395V4P1
1830874.95000000
PA
USD
2103873.97000000
0.102144965541
Long
ABS-MBS
USGSE
US
N
2
2035-06-15
Fixed
5.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LNWS6
4699603.57000000
PA
USD
5307776.97000000
0.257697325712
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
3.57000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526BX6
1000000.00000000
PA
USD
1031886.25000000
0.050099001628
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1084, Class S
312905D33
64.76900000
PA
USD
70.00000000
0.000003398562
Long
ABS-MBS
USGSE
US
N
2
2021-05-15
Floating
37.76175000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2512, Class PG
31392WB41
67595.77000000
PA
USD
70459.71000000
0.003420882026
Long
ABS-MBS
USGSE
US
N
2
2022-10-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-44, Class ZQ
31358PKY2
1305.37000000
PA
USD
1356.85000000
0.000065876282
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
8.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LM0
13900000.00000000
PA
USD
13455028.75000000
0.653253696576
Long
DBT
UST
US
N
2
2023-08-15
None
0.00000000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2003-12, Class 30PO
55265K4C0
19927.67200000
PA
USD
19016.41000000
0.000923263737
Long
ABS-MBS
CORP
US
N
3
2033-12-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-128
3136AHNE6
2378990.65000000
PA
USD
2185632.00000000
0.106114391123
Long
ABS-MBS
USGSE
US
N
2
2043-12-25
None
0.00000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2012-CR2, Class XA
12624KAE6
2352088.70000000
PA
USD
77416.18000000
0.003758624875
Long
ABS-MBS
CORP
US
N
3
2045-08-15
Variable
1.63319400
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2
92922FNJ3
51009.05730000
PA
USD
51981.89000000
0.002523767316
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
4.46571700
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381TNR7
898497.66000000
PA
USD
985941.30000000
0.047868333156
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
3.64000000
N
N
N
N
N
N
Barrick Gold Corp.
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp.
725906AN1
295000.00000000
PA
USD
420596.83000000
0.020420352796
Long
DBT
CORP
CA
N
2
2035-10-15
Fixed
6.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-110
31396LVP2
448811.55000000
PA
USD
414015.46000000
0.020100821388
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1470, Class F
312914LG7
640.41000000
PA
USD
646.78000000
0.000031401748
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Floating
2.03600200
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR3, Class A
02665XAA7
2722565.35000000
PA
USD
2902410.94000000
0.140914650631
Long
ABS-O
CORP
US
Y
2
2036-12-17
Fixed
3.67800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LC2
14685000.00000000
PA
USD
14537837.94000000
0.705825052550
Long
DBT
UST
US
N
2
2021-02-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3171, Class MO
31396TUG6
42853.21000000
PA
USD
39962.44000000
0.001940212253
Long
ABS-MBS
USGSE
US
N
2
2036-06-15
None
0.00000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2004-7, Class 1A1
45254NKF3
824656.77000000
PA
USD
841270.06000000
0.040844414881
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
2.36675200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-111, Class EO
31396LSR2
47338.13000000
PA
USD
43617.13000000
0.002117650726
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2692, Class SC
31394KZD9
54485.01000000
PA
USD
70327.86000000
0.003414480590
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Floating
9.96966700
N
N
N
N
N
N
Royal Bank of Scotland Group plc
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group plc
780097BL4
640000.00000000
PA
USD
730533.12000000
0.035468037265
Long
DBT
CORP
GB
N
2
2030-05-08
Variable
4.44499900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-66, Class CB
3136A6ZU1
3000000.00000000
PA
USD
3259307.10000000
0.158242278847
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KS01, Class A2
3137B1U75
962800.62000000
PA
USD
984983.26000000
0.047821819456
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
2.52200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31418MEF5
49538.22000000
PA
USD
52393.01000000
0.002543727560
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M8, Class A2
3136AW7J0
3815000.00000000
PA
USD
4174441.29000000
0.202672863395
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Variable
3.06100100
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAX8
689000.00000000
PA
USD
718856.42000000
0.034901123022
Long
DBT
CORP
JP
N
2
2023-01-17
Fixed
3.10200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L16H7
2500000.00000000
PA
USD
2520905.68000000
0.122392228569
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
2.12000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325CX1
581000.00000000
PA
USD
642368.13000000
0.031187548037
Long
DBT
NUSS
CO
N
2
2026-01-28
Fixed
4.50000000
N
N
N
N
N
N
Apache Corp.
72ZZ1XRHOOU9P9X16K08
Apache Corp.
037411BA2
556000.00000000
PA
USD
525819.34000000
0.025528999898
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.75000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHS1
1000000.00000000
PA
USD
1280441.20000000
0.062166567065
Long
DBT
CORP
US
N
2
2050-03-15
Variable
4.33000100
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities Trust
N/A
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1
32051GAA3
230773.55000000
PA
USD
232263.98000000
0.011276624252
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
3.91133200
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833DG2
150000.00000000
PA
USD
179313.06000000
0.008705809661
Long
DBT
CORP
US
N
2
2047-11-13
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140H26Q6
1676719.29000000
PA
USD
1805609.98000000
0.087663981692
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCK6
282000.00000000
PA
USD
275514.00000000
0.013376451459
Long
DBT
NUSS
MX
N
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
CSFB Mortgage-Backed Pass-Through Certificates
N/A
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A18
225458QQ4
1206443.60000000
PA
USD
1259543.89000000
0.061151983948
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3852, Class QN
3137ABAC5
225402.60000000
PA
USD
245689.42000000
0.011928441388
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.50000100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Other
36179ACQ7
921359.40000000
PA
USD
933931.99000000
0.045343234574
Long
ABS-MBS
USGA
US
N
2
2063-04-20
Variable
4.38099800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3957, Class B
3137AHAX6
309266.67000000
PA
USD
338584.47000000
0.016438579265
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RDF6
2000000.00000000
PA
USD
2679426.30000000
0.130088546646
Long
DBT
CORP
US
N
2
2040-08-15
Fixed
6.00000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCL3
845000.00000000
PA
USD
1063915.90000000
0.051654069822
Long
DBT
CORP
US
N
2
2038-10-15
Fixed
4.60000000
N
N
N
N
N
N
Constellation Brands, Inc.
5493005GKEG8QCVY7037
Constellation Brands, Inc.
21036PBB3
325000.00000000
PA
USD
367544.37000000
0.017844608348
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-77, Class S
31392F6E2
54696.16000000
PA
USD
70214.74000000
0.003408988513
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Floating
11.50095600
N
N
N
N
N
N
TC PipeLines LP
6HL0C5LCIE4TN8UZHL06
TC PipeLines LP
87233QAC2
391000.00000000
PA
USD
416591.84000000
0.020225906945
Long
DBT
CORP
US
N
2
2027-05-25
Fixed
3.90000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2006-IQ12, Class X1
61750WAA1
441022.38000000
PA
USD
21.39000000
0.000001038503
Long
ABS-MBS
CORP
US
Y
3
2043-12-15
Variable
0.58436300
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1706, Class K
3133T4UA2
66413.02000000
PA
USD
71167.15000000
0.003455228872
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406VQ74
86535.90000000
PA
USD
88550.49000000
0.004299205598
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
4.13500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3004, Class EK
31395VXP9
1233142.82000000
PA
USD
1553965.02000000
0.075446393502
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-39, Class PD
31359PSF4
107020.14000000
PA
USD
123021.68000000
0.005972812746
Long
ABS-MBS
USGSE
US
N
2
2027-05-20
Fixed
7.50000000
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473QAZ6
1256000.00000000
PA
USD
1658054.53000000
0.080500032439
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.80000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-76, Class SA
38375LT67
519103.59000000
PA
USD
66192.82000000
0.003213720695
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
4.88300000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2006-A4, Class 2A5
45661EDV3
295508.16000000
PA
USD
292122.35000000
0.014182801726
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-36, Class ZB
31359T5E4
37931.14000000
PA
USD
42397.42000000
0.002058432713
Long
ABS-MBS
USGSE
US
N
2
2028-07-18
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class APO
31394JY76
103338.20700000
PA
USD
88629.60000000
0.004303046459
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1466, Class PZ
312914MW1
28770.61000000
PA
USD
30541.21000000
0.001482803099
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
911596AL8
1277000.00000000
PA
USD
1679905.86000000
0.081560934081
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
7.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
65000.00000000
PA
USD
67752.36000000
0.003289437759
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAR2
937000.00000000
PA
USD
970636.46000000
0.047125269466
Long
DBT
CORP
LU
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAE1
264000.00000000
PA
USD
292139.51000000
0.014183634860
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.00000000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust, Series 2020-A, Class A4
80286KAD4
3955000.00000000
PA
USD
3936818.87000000
0.191136082082
Long
ABS-O
CORP
US
Y
2
2024-03-20
Fixed
1.76000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1
12669FXJ7
138793.82000000
PA
USD
145062.64000000
0.007042921094
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
4.53571200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-43, Class SA
38374UF97
261838.55000000
PA
USD
34734.61000000
0.001686396424
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Floating
4.30300100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9YA4
3683096.56000000
PA
USD
4119043.19000000
0.199983236024
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.10000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust, Series 2011-C3, Class A4
92935VAG3
1645442.32000000
PA
USD
1678426.36000000
0.081489103031
Long
ABS-MBS
CORP
US
Y
2
2044-03-15
Fixed
4.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2434, Class TC
3133TVTX4
143470.84000000
PA
USD
169308.96000000
0.008220101646
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3318, Class AO
31397HCU0
13339.63000000
PA
USD
12382.37000000
0.000601175153
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
None
0.00000000
N
N
N
N
N
N
Diageo Investment Corp.
S4G8DPIPDVCF6CB81Z61
Diageo Investment Corp.
386088AF5
255000.00000000
PA
USD
294609.22000000
0.014303541492
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H4CL3
2190236.17000000
PA
USD
2361379.45000000
0.114647087226
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAM1
790000.00000000
PA
USD
909440.54000000
0.044154152741
Long
DBT
CORP
US
N
2
2042-11-06
Fixed
4.40000000
N
N
N
N
N
N
MRCD 2019-MARK Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust, Series 2019-PARK, Class A
55348UAG3
2050000.00000000
PA
USD
2136882.28000000
0.103747548555
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138M1MA3
794693.16000000
PA
USD
856859.53000000
0.041601297612
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912834KV9
500000.00000000
PA
USD
345869.70000000
0.016792283707
Long
DBT
UST
US
N
2
2041-11-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617K1Y72
4872588.25000000
PA
USD
5152872.78000000
0.250176588550
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822BK9
760000.00000000
PA
USD
887446.19000000
0.043086307350
Long
DBT
CORP
JP
N
2
2039-07-18
Fixed
3.75100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-42, Class GB
31393BUX1
79600.63000000
PA
USD
87817.63000000
0.004263624588
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
4.00000000
N
N
N
N
N
N
Baxalta, Inc.
5493000JW8DCO3T45R55
Baxalta, Inc.
07177MAN3
50000.00000000
PA
USD
70210.82000000
0.003408798194
Long
DBT
CORP
US
N
2
2045-06-23
Fixed
5.25000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XBK1
1230000.00000000
PA
USD
1277644.04000000
0.062030762441
Long
DBT
CORP
US
N
2
2023-05-09
Fixed
3.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVZ64
5456000.00000000
PA
USD
5716311.27000000
0.277532031873
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
2.24000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners I LLC
N/A
Pretium Mortgage Credit Partners I LLC, Series 2020-CFL1, Class A1
74142FAA8
3479214.34000000
PA
USD
3507402.93000000
0.170287553596
Long
ABS-MBS
CORP
US
Y
2
2060-02-27
Variable
3.10489900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2043, Class CJ
3133TDML7
13474.05000000
PA
USD
15331.82000000
0.000744373592
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H07, Class HA
38375BQ96
1087184.93000000
PA
USD
1085856.28000000
0.052719294922
Long
ABS-MBS
USGA
US
N
2
2063-03-20
Floating
2.14438000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3134
31396J5T8
48442.19000000
PA
USD
45670.42000000
0.002217339794
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
None
0.00000000
N
N
N
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Nomura Holdings, Inc.
65535HAP4
1094000.00000000
PA
USD
1123683.60000000
0.054555845187
Long
DBT
CORP
JP
N
2
2025-01-16
Fixed
2.64800000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2234, Class PZ
3133TNXB5
46507.71000000
PA
USD
55384.24000000
0.002688954455
Long
ABS-MBS
USGSE
US
N
2
2030-05-15
Fixed
7.50000000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AM7
125000.00000000
PA
USD
148791.13000000
0.007223942623
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
4.12500000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2019-1, Class B
12326QAB0
3562104.87000000
PA
USD
3674907.83000000
0.178420066514
Long
ABS-O
CORP
US
Y
3
2034-07-15
Fixed
5.19300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-160, Class PA
38381AH74
5533768.14000000
PA
USD
5739115.76000000
0.278639210287
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
VOLT LXXXIII LLC
N/A
VOLT LXXXIII LLC, Series 2019-NPL9, Class A1A
92870EAA1
3301823.16000000
PA
USD
3324010.42000000
0.161383682983
Long
ABS-O
CORP
US
Y
3
2049-11-26
Variable
3.32690000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4QU0
2500000.00000000
PA
USD
2685463.65000000
0.130381665396
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
3.59000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BU7
324000.00000000
PA
USD
412483.79000000
0.020026457438
Long
DBT
CORP
US
N
2
2056-08-08
Fixed
3.95000000
N
N
N
N
N
N
UDR, Inc.
P3CH2EG5X6Z1XWU1OO74
UDR, Inc.
90265EAR1
305000.00000000
PA
USD
318690.95000000
0.015472731052
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
3.00000000
N
N
N
N
N
N
DH Europe Finance II SARL
222100KDGL314CKTZ511
DH Europe Finance II SARL
23291KAJ4
1000000.00000000
PA
USD
1080548.79000000
0.052461611529
Long
DBT
CORP
LU
N
2
2039-11-15
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-66, Class SG
31394EKR8
133147.19000000
PA
USD
191718.01000000
0.009308081094
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
13.30812400
N
N
N
N
N
N
Hydro-Quebec
6THEVG93PYJH84S4D167
Hydro-Quebec
448814EJ8
350000.00000000
PA
USD
449202.92000000
0.021809204086
Long
DBT
NUSS
CA
N
2
2024-07-07
Fixed
8.05000000
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BC7
1131000.00000000
PA
USD
1215866.04000000
0.059031385211
Long
DBT
CORP
US
Y
2
2023-08-01
Fixed
4.12500000
N
N
N
N
N
N
BNZ International Funding Ltd.
549300HVMZ89HDMELW08
BNZ International Funding Ltd.
05579HAH5
632000.00000000
PA
USD
653374.90000000
0.031721936578
Long
DBT
CORP
NZ
Y
2
2022-11-03
Fixed
2.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403KJW4
88012.56000000
PA
USD
96273.08000000
0.004674144259
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LJ7
1905000.00000000
PA
USD
1862258.56000000
0.090414320987
Long
DBT
UST
US
N
2
2022-08-15
None
0.00000000
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2019-2, Class D
21872GAL9
2000000.00000000
PA
USD
2158001.80000000
0.104772920167
Long
ABS-O
CORP
US
Y
3
2052-06-15
Fixed
4.21900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403EDC8
116662.10000000
PA
USD
123333.14000000
0.005987934408
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
4.06000100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LJJ5
92924.86000000
PA
USD
98567.95000000
0.004785562253
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
4.51100200
N
Y
N
N
N
N
General Electric Co.
3C7474T6CDKPR9K6YT90
General Electric Co.
36962G3P7
95000.00000000
PA
USD
121834.83000000
0.005915190115
Long
DBT
CORP
US
N
2
2038-01-14
Fixed
5.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-14, Class J
31358TV97
7434.08000000
PA
USD
7841.51000000
0.000380712333
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-165, Class SD
31359D4W0
3603.95000000
PA
USD
3918.06000000
0.000190225322
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
12.65820100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-73, Class AE
38374H4S6
33023.06000000
PA
USD
35834.95000000
0.001739818917
Long
ABS-MBS
USGA
US
N
2
2034-08-17
Floating
11.43339800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31371LPA1
21672.46000000
PA
USD
23094.51000000
0.001121259144
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-13, Class SJ
31392A7G7
319817.42000000
PA
USD
12102.12000000
0.000587568765
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Floating
1.59999800
N
N
N
N
N
N
S&P Global, Inc.
Y6X4K52KMJMZE7I7MY94
S&P Global, Inc.
78409VAQ7
960000.00000000
PA
USD
1062338.26000000
0.051577473987
Long
DBT
CORP
US
N
2
2049-12-01
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2412, Class SP
31339DW95
131383.00000000
PA
USD
171620.53000000
0.008332330440
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
12.78299900
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp., Series C
337932AM9
1040000.00000000
PA
USD
1048894.16000000
0.050924750891
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828X96
15000000.00000000
PA
USD
15001171.80000000
0.728320326430
Long
DBT
UST
US
N
2
2020-05-15
Fixed
1.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A
31392MEN8
291267.94000000
PA
USD
330671.54000000
0.016054399427
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Variable
5.38520800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-95, Class J
31358EL59
1.92000000
PA
USD
4.66000000
0.000000226247
Long
ABS-MBS
USGSE
US
N
2
2020-08-25
Fixed
1118.04000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650CX6
779000.00000000
PA
USD
871742.40000000
0.042323874281
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2008-2, Class 1A6
52522UAF0
590631.61000000
PA
USD
381964.95000000
0.018544740422
Long
ABS-MBS
CORP
US
N
2
2038-03-25
Fixed
6.00000000
N
N
N
N
N
N
Boardwalk Pipelines LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AG3
410000.00000000
PA
USD
435599.53000000
0.021148747318
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
4.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class OE
31339NKQ8
50257.40000000
PA
USD
54932.88000000
0.002667040523
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.37500000
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
124857AJ2
140000.00000000
PA
USD
158756.92000000
0.007707790653
Long
DBT
CORP
US
N
2
2042-07-01
Fixed
4.85000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCT7
402000.00000000
PA
USD
420090.00000000
0.020395745746
Long
DBT
NUSS
MX
Y
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2125, Class JZ
3133TJHS5
58482.44000000
PA
USD
63515.43000000
0.003083731012
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
BAMLL Re-REMIC Trust
N/A
BAMLL Re-REMIC Trust, Series 2014-FRR5, Class A714
05525HAN7
1950000.00000000
PA
USD
1909718.85000000
0.092718560574
Long
ABS-MBS
CORP
US
Y
2
2047-01-27
None
0.00000000
N
N
N
N
N
N
O'Reilly Automotive, Inc.
549300K2RLMQL149Q332
O'Reilly Automotive, Inc.
67103HAF4
432000.00000000
PA
USD
480537.64000000
0.023330532807
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1991-24, Class Z
31358F6Z7
346.47000000
PA
USD
348.23000000
0.000016906878
Long
ABS-MBS
USGSE
US
N
2
2021-03-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-97, Class KI
31396XB94
631765.47000000
PA
USD
75281.11000000
0.003654965314
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4
31396WVA1
11806.13000000
PA
USD
21647.91000000
0.001051025419
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
29.21472000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128LXDY3
347508.08000000
PA
USD
367953.40000000
0.017864467121
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-54, Class WA
38378MRL1
1837749.21000000
PA
USD
2084489.83000000
0.101203848183
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Variable
4.78581800
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR2, Class A
02665UAA3
3639061.63000000
PA
USD
3910085.11000000
0.189838134090
Long
ABS-O
CORP
US
Y
3
2036-10-17
Fixed
3.78600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2000-52
31358SU66
12340.22000000
PA
USD
2596.18000000
0.000126046864
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Fixed
8.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405KZ20
30766.70000000
PA
USD
30947.26000000
0.001502517190
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
3.18800200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406QGE1
17788.19000000
PA
USD
18489.10000000
0.000897662364
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Variable
3.54499900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2464, Class SI
31392MWQ1
270234.79000000
PA
USD
46703.22000000
0.002267483159
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
6.34150100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2423, Class MT
31339WCD6
129265.15000000
PA
USD
153618.63000000
0.007458322072
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31415RBR4
142506.00000000
PA
USD
167490.99000000
0.008131837574
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31410GFH1
9613.22000000
PA
USD
10777.18000000
0.000523241741
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2018-1, Class B
90932NAA1
197751.88000000
PA
USD
208775.52000000
0.010136238482
Long
ABS-O
CORP
US
N
2
2026-03-01
Fixed
4.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381QZH2
2000000.00000000
PA
USD
2038075.18000000
0.098950375355
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
4.25000000
N
N
N
N
N
N
Colony American Finance Ltd.
N/A
Colony American Finance Ltd., Series 2016-1, Class A
19625GAA7
429333.64000000
PA
USD
429917.88000000
0.020872898122
Long
ABS-O
CORP
KY
Y
2
2048-06-15
Fixed
2.54400000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284M9
1212000.00000000
PA
USD
1329743.91000000
0.064560257792
Long
DBT
UST
US
N
2
2025-04-30
Fixed
2.87500000
N
N
N
N
N
N
P -stla7.25
N/A
P -stla7.25
N/A
2600000.00000000
PA
USD
2600000.00000000
0.126232328645
Long
ABS-MBS
CORP
US
N
3
2022-10-11
Fixed
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1
31392GVX0
441147.36000000
PA
USD
494240.24000000
0.023995806309
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.26590000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-55, Class SA
38375QK73
220994.14000000
PA
USD
37987.39000000
0.001844321807
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Floating
4.55299900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 204, Class E
3129087F7
0.08000000
PA
USD
0.21000000
0.000000010195
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Floating
1558.74939100
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XAV7
82000.00000000
PA
USD
100814.87000000
0.004894652231
Long
DBT
CORP
US
N
2
2034-07-08
Fixed
4.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-79, Class SP
31394BGL2
39919.58000000
PA
USD
42163.72000000
0.002047086369
Long
ABS-MBS
USGSE
US
N
2
2034-11-25
Floating
15.32643800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LAAW9
3886159.56000000
PA
USD
4332114.13000000
0.210328020994
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.97000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGT0
526000.00000000
PA
USD
552333.92000000
0.026816306504
Long
DBT
CORP
US
N
2
2025-10-01
Variable
3.09300100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H05, Class FB
38375BL75
209547.33000000
PA
USD
209135.02000000
0.010153692529
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Floating
2.13437900
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4
92922FY44
219701.90900000
PA
USD
218250.82000000
0.010596272783
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31408EN81
20340.19000000
PA
USD
21248.48000000
0.001031632734
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.50000000
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
124857AQ6
792000.00000000
PA
USD
868140.56000000
0.042149001723
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2015-SFR3, Class D
74332NAG8
295000.00000000
PA
USD
295514.33000000
0.014347485393
Long
ABS-O
CORP
US
Y
3
2032-11-12
Fixed
4.67300000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2004-2CB, Class 1A9
12667FAQ8
5377298.69000000
PA
USD
5540994.95000000
0.269020267518
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
5.75000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2016-2, Class C
33843NAG6
3000000.00000000
PA
USD
3077881.20000000
0.149433888911
Long
ABS-O
CORP
US
Y
2
2022-09-15
Fixed
6.22000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828G53
5100000.00000000
PA
USD
5183074.21000000
0.251642895026
Long
DBT
UST
US
N
2
2021-11-30
Fixed
1.87500000
N
N
N
N
N
N
Arizona Public Service Co.
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co.
040555CM4
200000.00000000
PA
USD
264404.04000000
0.012837052950
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.05000000
N
N
N
N
N
N
General Electric Co.
3C7474T6CDKPR9K6YT90
General Electric Co.
36962G6S8
573000.00000000
PA
USD
594781.33000000
0.028877166277
Long
DBT
CORP
US
N
2
2023-01-09
Fixed
3.10000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1505, Class Q
312915ZZ7
6598.80000000
PA
USD
7028.85000000
0.000341256962
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138NJAF5
391972.96000000
PA
USD
396770.61000000
0.019263568476
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Variable
3.37200000
N
N
N
N
N
N
Time Warner Entertainment Co. LP
N/A
Time Warner Entertainment Co. LP
88731EAJ9
700000.00000000
PA
USD
1017669.04000000
0.049408743349
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAK6
259000.00000000
PA
USD
277703.32000000
0.013482744906
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.12500000
N
N
N
N
N
N
Otis Worldwide Corp.
549300ZLBKR8VSU25153
Otis Worldwide Corp.
68902VAF4
1430000.00000000
PA
USD
1468434.18000000
0.071293794616
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
2.56500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1638, Class H
3133T2W48
100242.06000000
PA
USD
107459.92000000
0.005217275360
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WAX6
629000.00000000
PA
USD
690133.09000000
0.033506579625
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.05000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1865, Class D
3133T7HX0
38823.46480000
PA
USD
37966.10000000
0.001843288158
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403JD45
10666.62000000
PA
USD
11220.00000000
0.000544741048
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Variable
3.90200000
N
N
N
N
N
N
Enbridge, Inc.
98TPTUM4IVMFCZBCUR27
Enbridge, Inc.
29250NAW5
400000.00000000
PA
USD
420000.00000000
0.020391376165
Long
DBT
CORP
CA
N
2
2078-03-01
Variable
6.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3138
31396N7B6
219822.92000000
PA
USD
200784.28000000
0.009748256622
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H31, Class FD
38375BD74
1104041.39000000
PA
USD
1100498.96000000
0.053430210150
Long
ABS-MBS
USGA
US
N
2
2062-12-20
Floating
2.07438100
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
549300J9CNONESCISQ91
Credit Acceptance Auto Loan Trust, Series 2018-1A, Class A
22534BAA2
1543000.00000000
PA
USD
1552373.42000000
0.075369119897
Long
ABS-O
CORP
US
Y
2
2027-02-16
Fixed
3.01000000
N
N
N
N
N
N
Kabbage Funding LLC
N/A
Kabbage Funding LLC, Series 2019-1, Class B
48283PAF8
3070000.00000000
PA
USD
3111908.26000000
0.151085933149
Long
ABS-O
CORP
US
Y
3
2024-03-15
Fixed
4.07100000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO2
17307GBP2
22559.57500000
PA
USD
20228.63000000
0.000982118103
Long
ABS-MBS
CORP
US
N
3
2033-10-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-64, Class SX
31393DJU6
46147.32000000
PA
USD
57129.48000000
0.002773687421
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
9.61250000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GFD1
685000.00000000
PA
USD
981526.63000000
0.047653996973
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
SITE Centers Corp.
W2AVA6SODOQ1LCYJQR54
SITE Centers Corp.
23317HAF9
330000.00000000
PA
USD
370976.86000000
0.018011258812
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
4.70000000
N
N
N
N
N
N
RFMSI Trust
N/A
RFMSI Trust, Series 2005-SA4, Class 1A1
76111XYC1
173050.48000000
PA
USD
160420.34000000
0.007788551184
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.01602000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-58, Class NI
38374LM73
1033924.75000000
PA
USD
190084.38000000
0.009228766894
Long
ABS-MBS
USGA
US
N
2
2035-08-20
Floating
5.50000100
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAK7
343000.00000000
PA
USD
359711.96000000
0.017464337827
Long
DBT
CORP
US
N
2
2023-02-06
Fixed
3.35000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class SW
31392KMK9
87298.96000000
PA
USD
16386.27000000
0.000795568084
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
6.34150100
N
N
N
N
N
N
NatWest Markets plc
RR3QWICWWIPCS8A4S074
NatWest Markets plc
63906AAA8
1025000.00000000
PA
USD
1075426.64000000
0.052212926559
Long
DBT
CORP
GB
Y
2
2022-09-29
Fixed
3.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2359, Class ZB
3133TV5T9
165824.50000000
PA
USD
201910.76000000
0.009802948235
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
8.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAF7
872000.00000000
PA
USD
901263.43000000
0.043757146727
Long
DBT
CORP
JP
N
2
2026-07-14
Fixed
2.63200000
N
N
N
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MassMutual Global Funding II
57629WBR0
626000.00000000
PA
USD
645846.95000000
0.031356447864
Long
DBT
CORP
US
Y
2
2022-10-17
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDJ2
3429000.00000000
PA
USD
3649439.64000000
0.177183563079
Long
DBT
CORP
US
N
2
2023-02-25
Fixed
3.75000000
N
N
N
N
N
N
Halliburton Co.
ENYF8GB5SMQZ25S06U51
Halliburton Co.
406216BE0
540000.00000000
PA
USD
582745.35000000
0.028292808668
Long
DBT
CORP
US
N
2
2043-08-01
Fixed
4.75000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR2, Class D
02665UAD7
2000000.00000000
PA
USD
2178006.60000000
0.105744171123
Long
ABS-O
CORP
US
Y
3
2036-10-17
Fixed
5.14900000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2004-2, Class 14A
07384MM66
41305.87000000
PA
USD
41751.84000000
0.002027089226
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
4.15367600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2075, Class PH
3133TGCG2
127306.77000000
PA
USD
144278.51000000
0.007004850881
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1695, Class EB
3133T4SX5
22222.36000000
PA
USD
23848.10000000
0.001157846614
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1999-1, Class 2Z
911760MJ2
848166.83000000
PA
USD
976612.96000000
0.047415433894
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.50000000
N
N
N
N
N
N
Republic of South Africa
N/A
Republic of South Africa
836205AR5
640000.00000000
PA
USD
706800.00000000
0.034315773033
Long
DBT
NUSS
ZA
N
2
2025-09-16
Fixed
5.87500000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-54CB, Class 1A2
12668ANU5
3417579.25000000
PA
USD
512322.47000000
0.024873714771
Long
ABS-MBS
CORP
US
N
3
2035-11-25
Floating
3.22324900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1745, Class D
3133T54P5
14563.53000000
PA
USD
16016.33000000
0.000777607166
Long
ABS-MBS
USGSE
US
N
2
2024-08-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-27, Class J
31359NR78
6849.49000000
PA
USD
7899.42000000
0.000383523915
Long
ABS-MBS
USGSE
US
N
2
2027-04-18
Fixed
7.50000000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc., Series B
25746UCR8
331000.00000000
PA
USD
338094.35000000
0.016414783500
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HSEN7
3000000.00000000
PA
USD
3480151.29000000
0.168964462066
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.81000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L74J2
2493425.05000000
PA
USD
2684367.83000000
0.130328462354
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
3.11000000
N
N
N
N
N
N
Schlumberger Holdings Corp.
529900IKZG65COT1D505
Schlumberger Holdings Corp.
806851AK7
1126000.00000000
PA
USD
1213109.38000000
0.058897546899
Long
DBT
CORP
US
Y
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBD0
875000.00000000
PA
USD
882533.89000000
0.042847810785
Long
DBT
CORP
JP
N
2
2026-05-25
Variable
2.22599900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3275, Class FL
31397FDQ2
49169.28000000
PA
USD
49258.81000000
0.002391559343
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
2.09850100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-65, Class SA
38374N3Q8
491000.12000000
PA
USD
68100.10000000
0.003306320847
Long
ABS-MBS
USGA
US
N
2
2036-11-20
Floating
5.15300000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAA8
500000.00000000
PA
USD
542826.81000000
0.026354727798
Long
DBT
CORP
JP
Y
2
2024-04-02
Fixed
4.43600000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1370, Class JA
3129115U0
6303.81000000
PA
USD
6368.84000000
0.000309212886
Long
ABS-MBS
USGSE
US
N
2
2022-09-15
Floating
2.80850000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDZ6
946000.00000000
PA
USD
1046179.74000000
0.050792963369
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
N
N
N
N
N
N
Texas Health Resources
54930008C10TUBW7Z611
Texas Health Resources
882484AA6
300000.00000000
PA
USD
396377.70000000
0.019244492343
Long
DBT
CORP
US
N
2
2055-11-15
Fixed
4.33000000
N
N
N
N
N
N
vMobo, Inc.
N/A
vMobo, Inc.
91834VAA0
3100000.00000000
PA
USD
3100000.00000000
0.150507776461
Long
ABS-MBS
CORP
US
N
2
2024-05-31
Fixed
7.50000000
N
Y
N
N
N
N
Markel Corp.
549300SCNO12JLWIK605
Markel Corp.
570535AR5
200000.00000000
PA
USD
218187.64000000
0.010593205337
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
Progress Energy, Inc.
549300FBMTW0JYWMNB26
Progress Energy, Inc.
743263AG0
300000.00000000
PA
USD
436762.49000000
0.021205210068
Long
DBT
CORP
US
N
2
2031-10-30
Fixed
7.00000000
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAK5
230000.00000000
PA
USD
250856.47000000
0.012179306293
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
4.20000000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
2027A0HR3
832000.00000000
PA
USD
935100.57000000
0.045399970180
Long
DBT
CORP
AU
Y
2
2025-12-09
Fixed
4.50000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A
12669FYY3
241469.63000000
PA
USD
245550.25000000
0.011921684560
Long
ABS-MBS
CORP
US
N
2
2034-06-20
Variable
3.85267000
N
N
N
N
N
N
Mid-State Capital Corp. Trust
N/A
Mid-State Capital Corp. Trust, Series 2006-1, Class M1
59548PAB5
656391.30000000
PA
USD
739719.91000000
0.035914064147
Long
ABS-O
CORP
US
Y
3
2040-10-15
Fixed
6.08300000
N
N
N
N
N
N
Csma Sfr Holdings Ii jul23
N/A
Csma Sfr Holdings Ii jul23
N/A
2976535.76000000
PA
USD
2973559.22000000
0.144368963347
Long
ABS-MBS
CORP
US
N
3
2023-07-25
Fixed
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2435, Class CJ
31392K2Z8
202475.68000000
PA
USD
236150.81000000
0.011465333329
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
Goodgreen
N/A
Goodgreen, Series 2019-2A, Class A
38218EAA5
2485344.26000000
PA
USD
2550176.70000000
0.123813362806
Long
ABS-O
CORP
KY
Y
2
2054-10-15
Fixed
2.76000000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390RK44
8800.71000000
PA
USD
9322.86000000
0.000452633202
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31416BYW2
125506.74000000
PA
USD
131309.40000000
0.006375188974
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138NXRT6
1565831.88000000
PA
USD
1636306.47000000
0.079444144648
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAE0
1216000.00000000
PA
USD
1302260.00000000
0.063225889346
Long
DBT
NUSS
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31400FEM5
136481.85000000
PA
USD
143606.10000000
0.006972204773
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
4.63299800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138EGU44
788465.90000000
PA
USD
815766.38000000
0.039606188376
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Variable
4.22500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-116, Class HI
31396X6G4
548996.05000000
PA
USD
24296.37000000
0.001179610524
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Floating
1.76958400
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp.
N/A
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4
22541QPB2
79010.72000000
PA
USD
80802.77000000
0.003923046853
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
5.25000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1
59020UNN1
201991.50000000
PA
USD
204980.81000000
0.009952001913
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
3.65357500
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967ME8
1000000.00000000
PA
USD
1131709.87000000
0.054945527784
Long
DBT
CORP
US
N
2
2030-03-20
Variable
3.98000200
N
N
N
N
N
N
GMACM Mortgage Loan Trust
N/A
GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4
36185N7E4
798116.39000000
PA
USD
803838.72000000
0.039027089800
Long
ABS-MBS
CORP
US
N
2
2035-06-19
Variable
3.88318300
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-128, Class BP
31396PES6
158773.28000000
PA
USD
172663.16000000
0.008382951060
Long
ABS-MBS
USGSE
US
N
2
2037-01-25
Fixed
5.50000000
N
N
N
N
N
N
B2R Mortgage Trust
549300JNS8TBD8XLZ117
B2R Mortgage Trust, Series 2015-2, Class A
05605GAA0
601925.94000000
PA
USD
603834.95000000
0.029316727636
Long
ABS-O
CORP
US
Y
2
2048-11-15
Fixed
3.33600000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H08, Class FC
38375BM82
1022985.66000000
PA
USD
1022699.94000000
0.049652998050
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Floating
2.18437900
N
N
N
N
N
N
Grupo Televisa SAB
549300O4AF0C816ILN62
Grupo Televisa SAB
40049JBC0
200000.00000000
PA
USD
269187.50000000
0.013069294218
Long
DBT
CORP
MX
N
2
2046-01-31
Fixed
6.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1591, Class PV
3133T1WB4
28750.12000000
PA
USD
30535.41000000
0.001482521504
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Fixed
6.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJV9
147818.01000000
PA
USD
152315.67000000
0.007395062197
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
3.56400000
N
N
N
N
N
N
Synchrony Card Issuance Trust
N/A
Synchrony Card Issuance Trust, Series 2018-A1, Class A
87166PAA9
2600000.00000000
PA
USD
2682719.78000000
0.130248448050
Long
ABS-O
CORP
US
N
2
2024-09-15
Fixed
3.38000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1829, Class ZB
3133T6J36
11279.58000000
PA
USD
12075.00000000
0.000586252064
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
6.50000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141EC31
685000.00000000
PA
USD
875903.51000000
0.042525899898
Long
DBT
CORP
US
N
2
2044-07-08
Fixed
4.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-36, Class SA
31393X5V5
479136.49000000
PA
USD
714764.36000000
0.034702449844
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
15.05143800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-33, Class TI
38374UJV4
149255.42000000
PA
USD
32393.44000000
0.001572730524
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
6.00000000
N
N
N
N
N
N
Emera US Finance LP
N/A
Emera US Finance LP
29103DAM8
700000.00000000
PA
USD
822234.87000000
0.039920239358
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
4.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132FPDJ2
619175.53000000
PA
USD
658131.59000000
0.031952878138
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
4.00000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-3A, Class D
30167EAD7
3540000.00000000
PA
USD
3632028.67000000
0.176338244892
Long
ABS-O
CORP
US
Y
2
2025-08-15
Fixed
3.11000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BP4
550000.00000000
PA
USD
615634.00000000
0.029889582081
Long
DBT
CORP
GB
Y
2
2030-05-21
Variable
4.30499900
N
N
N
N
N
N
Springleaf Funding Trust
N/A
Springleaf Funding Trust, Series 2016-AA, Class B
85172NAB8
2040000.00000000
PA
USD
2048652.66000000
0.099463921483
Long
ABS-O
CORP
US
Y
2
2029-11-15
Fixed
3.80000000
N
N
N
N
N
N
VOLT LXXXV LLC
N/A
VOLT LXXXV LLC, Series 2020-NPL1, Class A1A
91834TAA5
2716019.42000000
PA
USD
2727963.39000000
0.132445065837
Long
ABS-O
CORP
US
Y
3
2050-01-25
Variable
3.22819900
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust, Series 2017-1A, Class A2
42771XAC0
1798402.01000000
PA
USD
1932501.65000000
0.093824685919
Long
ABS-O
CORP
KY
Y
2
2047-09-20
Fixed
4.46000000
N
Y
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175AZ7
528000.00000000
PA
USD
695721.31000000
0.033777892711
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YX48
198896.64000000
PA
USD
205566.23000000
0.009980424578
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
3.81499900
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp.
N/A
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-25, Class 1P
22541QYW6
194895.44000000
PA
USD
189061.42000000
0.009179101270
Long
ABS-MBS
CORP
US
N
3
2033-10-25
None
0.00000000
N
N
N
N
N
N
Ohio University
549300P1K3IH2L5SFY61
Ohio State University, General Receipts
677704A65
200000.00000000
PA
USD
311712.00000000
0.015133896779
Long
DBT
MUN
US
N
2
2114-12-01
Fixed
5.59000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2259, Class ZM
3133TQC54
86938.75000000
PA
USD
102314.42000000
0.004967456727
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3920, Class LP
3137AF3W0
797718.42000000
PA
USD
914107.77000000
0.044380750938
Long
ABS-MBS
USGSE
US
N
2
2034-01-15
Fixed
5.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
250000.00000000
PA
USD
271850.00000000
0.013198560977
Long
DBT
NUSS
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138EQLH3
1490502.62000000
PA
USD
1643763.02000000
0.079806166828
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
202712BL8
711000.00000000
PA
USD
764624.05000000
0.037123182449
Long
DBT
CORP
AU
Y
2
2039-09-12
Fixed
3.74300000
N
N
N
N
N
N
Enbridge, Inc.
98TPTUM4IVMFCZBCUR27
Enbridge, Inc.
29250NAR6
215000.00000000
PA
USD
232833.93000000
0.011304295835
Long
DBT
CORP
CA
N
2
2027-07-15
Fixed
3.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400JA25
21261.58000000
PA
USD
23937.04000000
0.001162164730
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607
31398LQT8
216953.57000000
PA
USD
197920.80000000
0.009609232104
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-141, Class WC
38378GPG7
365821.89000000
PA
USD
405426.94000000
0.019683841050
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Variable
3.69821200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M3, Class A2
3136AVYL7
1181268.00000000
PA
USD
1257341.42000000
0.061045052057
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.48299900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H18, Class JA
38375B7P1
2039206.61000000
PA
USD
2045318.32000000
0.099302036290
Long
ABS-MBS
USGA
US
N
2
2063-08-20
Floating
2.33438000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BM0
991000.00000000
PA
USD
1022180.00000000
0.049627754497
Long
DBT
CORP
GB
N
2
2023-11-22
Variable
3.03300000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BZ6
800000.00000000
PA
USD
992238.18000000
0.048174052319
Long
DBT
CORP
US
N
2
2037-02-06
Fixed
4.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-1, Class BI
31396YCX8
309376.50000000
PA
USD
55947.21000000
0.002716287153
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Floating
4.28325100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2256, Class MC
3133TPS67
59472.03000000
PA
USD
70925.09000000
0.003443476642
Long
ABS-MBS
USGSE
US
N
2
2030-09-15
Fixed
7.25000000
N
N
N
N
N
N
Bank of New York Mellon Corp. (The)
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp. (The)
06406FAC7
254000.00000000
PA
USD
269865.91000000
0.013102231631
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
2.80000000
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F
57643QAE5
1500826.80000000
PA
USD
1032787.96000000
0.050142780456
Long
ABS-MBS
CORP
US
Y
2
2035-05-25
Floating
1.97674900
N
N
N
N
N
N
Impac Secured Assets Trust
N/A
Impac Secured Assets Trust, Series 2006-2, Class 2A1
45256VAQ0
84847.28000000
PA
USD
84816.10000000
0.004117897619
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
1.97674900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-59, Class F
31358QZF5
2056.44000000
PA
USD
2067.69000000
0.000100388201
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Floating
1.73599900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2210, Class Z
3133TNDG6
105656.94000000
PA
USD
127304.47000000
0.006180746036
Long
ABS-MBS
USGSE
US
N
2
2030-01-15
Fixed
8.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-H01, Class FD
38375UCP3
1269373.16000000
PA
USD
1274968.81000000
0.061900877629
Long
ABS-MBS
USGA
US
N
2
2064-01-20
Floating
2.38438100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class PD
3139204E7
36459.01700000
PA
USD
43033.45000000
0.002089312539
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
Brooklyn Union Gas Co. (The)
83BQ1DXS6VA5GZFK8S35
Brooklyn Union Gas Co. (The)
114259AQ7
440000.00000000
PA
USD
543181.82000000
0.026371963852
Long
DBT
CORP
US
Y
2
2048-03-15
Fixed
4.27300000
N
N
N
N
N
N
Cargill, Inc.
QXZYQNMR4JZ5RIRN4T31
Cargill, Inc.
141781BG8
115000.00000000
PA
USD
121157.51000000
0.005882305623
Long
DBT
CORP
US
Y
2
2023-03-01
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 134, Class B
31282YAK5
144.38000000
PA
USD
7.00000000
0.000000339856
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
9.00000000
N
N
N
N
N
N
Truist Financial Corp.
549300DRQQI75D2JP341
Truist Financial Corp.
867914BS1
265000.00000000
PA
USD
293701.41000000
0.014259466504
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2571, Class SK
31393LAX1
20270.60000000
PA
USD
27617.77000000
0.001340867468
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Floating
27.34772000
N
N
N
N
N
N
Synchrony Card Funding LLC
N/A
Synchrony Card Funding LLC, Series 2019-A1, Class A
87166PAE1
4681000.00000000
PA
USD
4845602.22000000
0.235258327660
Long
ABS-O
CORP
US
N
2
2025-03-15
Fixed
2.95000000
N
N
N
N
N
N
Province of Quebec Canada
549300WN65YFEQH74Y36
Province of Quebec
74815HCC4
377000.00000000
PA
USD
501387.40000000
0.024342807328
Long
DBT
NUSS
CA
N
2
2026-03-06
Variable
7.36499900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-73, Class MI
38375LD23
266237.23000000
PA
USD
32041.57000000
0.001555646920
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
4.35300100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H32, Class FH
38376RMJ2
1796150.52000000
PA
USD
1809190.03000000
0.087837796326
Long
ABS-MBS
USGA
US
N
2
2065-12-20
Floating
2.39438200
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JLW39
137272.56000000
PA
USD
143841.13000000
0.006983615690
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
4.69400000
N
Y
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCQ5
1895000.00000000
PA
USD
2301049.36000000
0.111718007323
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140K22K9
3695654.78000000
PA
USD
3826470.72000000
0.185778580568
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1541, Class M
3133T0BV5
5499.05000000
PA
USD
6480.48000000
0.000314633108
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
23.40892400
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-35, Class E
31358PHT7
13564.82000000
PA
USD
14162.99000000
0.000687625849
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
7.50000000
N
N
N
N
N
N
International Business Machines Corp.
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp.
459200JZ5
1530000.00000000
PA
USD
1672078.22000000
0.081180895148
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.30000000
N
N
N
N
N
N
Allergan, Inc.
6T6CAG8O6TSUTMO6BA21
Allergan, Inc.
018490AQ5
525000.00000000
PA
USD
541535.26000000
0.026292021889
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-39, Class WC
31395DFA2
417713.16000000
PA
USD
452630.26000000
0.021975604513
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
92940PAE4
170000.00000000
PA
USD
187235.57000000
0.009090454617
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
3.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-20
31359N4H1
31465.19000000
PA
USD
715.19000000
0.000034723115
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Floating
1.84000000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
2027A0JX8
600000.00000000
PA
USD
636545.63000000
0.030904860447
Long
DBT
CORP
AU
Y
2
2023-03-16
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-33, Class ID
31359S6G0
105364.87000000
PA
USD
18331.25000000
0.000889998605
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.00000000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2004-8, Class 1A1
57643MEE0
300.98000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2019-08-25
Fixed
4.75000000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAP4
170000.00000000
PA
USD
178004.59000000
0.008642282271
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-99, Class SC
31398F4S7
110406.89000000
PA
USD
14529.68000000
0.000705428977
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
4.55325100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31385XNG8
35217.66000000
PA
USD
39293.65000000
0.001907741900
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class UD
31392BWF9
13882.67000000
PA
USD
17598.54000000
0.000854424878
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
18.80637500
N
N
N
N
N
N
Pacific Life Insurance Co.
8WC3XYHE06SQFW7CQK10
Pacific Life Insurance Co.
69448FAA9
266000.00000000
PA
USD
298521.16000000
0.014493469683
Long
DBT
CORP
US
Y
2
2067-10-24
Variable
4.29999800
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCN9
620000.00000000
PA
USD
847142.10000000
0.041129507683
Long
DBT
CORP
US
N
2
2058-10-15
Fixed
4.95000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2002-QS16, Class A3
76110GW49
440.94000000
PA
USD
396.87000000
0.000019268393
Long
ABS-MBS
CORP
US
N
2
2017-10-25
Floating
13.22134100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-15, Class NO
31396PXT3
20658.73000000
PA
USD
20335.78000000
0.000987320332
Long
ABS-MBS
USGSE
US
N
2
2022-03-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2396, Class FM
31339LJW1
185793.78000000
PA
USD
184711.12000000
0.008967890309
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Floating
2.10849800
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013XW20
1000000.00000000
PA
USD
1074589.98000000
0.052172305966
Long
DBT
CORP
CA
N
2
2023-10-05
Fixed
3.70000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HR7
95000.00000000
PA
USD
99722.08000000
0.004841596298
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.35000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8M27
3989837.88000000
PA
USD
4282637.48000000
0.207925885324
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
3.04000000
N
N
N
N
N
N
Exelon Generation Co. LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co. LLC
30161MAJ2
235000.00000000
PA
USD
278447.05000000
0.013518853663
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
5.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-40, Class SB
38375KA77
808399.88000000
PA
USD
135377.88000000
0.006572717322
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
5.10300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-49, Class Z
313921AG3
26979.87000000
PA
USD
31324.48000000
0.001520831559
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class NG
31339NLX2
133377.32000000
PA
USD
155853.83000000
0.007566843034
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KQD96
1877759.51000000
PA
USD
2070930.94000000
0.100545551930
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
5.00000000
N
N
N
N
N
N
RBSSP Resecuritization Trust
N/A
RBSSP Resecuritization Trust, Series 2009-12, Class 1A1
74928UAA5
136319.23000000
PA
USD
136996.31000000
0.006651293548
Long
ABS-MBS
CORP
US
Y
2
2033-11-25
Variable
5.44893100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-106, Class A7
31396XF25
144740.77000000
PA
USD
164631.08000000
0.007992986382
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
6.18484000
N
N
N
N
N
N
Nomura Asset Acceptance Corp. Alternative Loan Trust
N/A
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1
65535VAT5
39287.74000000
PA
USD
40946.05000000
0.001987967400
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
5.50000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAR8
540000.00000000
PA
USD
579848.95000000
0.028152185854
Long
DBT
CORP
FR
Y
2
2023-07-20
Fixed
3.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
9128334X5
9500000.00000000
PA
USD
7739487.27000000
0.375759038696
Long
DBT
UST
US
N
2
2034-02-15
None
0.00000000
N
N
N
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust, Series 2012-TFT, Class A
05490AAA1
483000.00000000
PA
USD
483369.69000000
0.023468031371
Long
ABS-MBS
CORP
US
Y
2
2030-06-05
Fixed
2.89220000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-80, Class SA
31397MRK5
507413.79000000
PA
USD
85423.82000000
0.004147402969
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
4.22325000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
2873000.00000000
PA
USD
3190032.04000000
0.154878912639
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31297GXZ9
103139.44000000
PA
USD
120838.82000000
0.005866832938
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M8, Class A2
3136B2GX4
2580000.00000000
PA
USD
2904558.07000000
0.141018895715
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
3.32500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-40, Class TJ
38373QXZ9
711730.07000000
PA
USD
803707.23000000
0.039020705842
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
6.50000000
N
N
N
N
N
N
Welltower, Inc.
T6IZ0MBEG5ACZDTR7D06
Welltower, Inc.
95040QAK0
414000.00000000
PA
USD
429955.41000000
0.020874720237
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1994-37, Class L
31359GP34
51738.34000000
PA
USD
55313.47000000
0.002685518509
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-77, Class FG
31396XJE5
68375.85000000
PA
USD
68519.78000000
0.003326696687
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
2.12675000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAT6
244000.00000000
PA
USD
257839.85000000
0.012518355647
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.90000000
N
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2016-SFR1, Class A
89613BAA5
1764858.05000000
PA
USD
1780103.25000000
0.086425607106
Long
ABS-O
CORP
US
Y
3
2033-11-17
Fixed
2.58900000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
22535WAE7
500000.00000000
PA
USD
530394.56000000
0.025751130926
Long
DBT
CORP
FR
Y
2
2023-04-24
Fixed
3.75000000
N
N
N
N
N
N
AIG SunAmerica Global Financing X
549300Q3UB1GMKCGGR05
AIG SunAmerica Global Financing X
00139PAA6
520000.00000000
PA
USD
760101.90000000
0.036903628017
Long
DBT
CORP
US
Y
2
2032-03-15
Fixed
6.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LYA31
673367.31000000
PA
USD
725641.08000000
0.035230524341
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Public Service Co. of Oklahoma
F3TJNSIZRGXRH8GEIK79
Public Service Co. of Oklahoma, Series G
744533BJ8
2490000.00000000
PA
USD
3723591.39000000
0.180783696954
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.62500000
N
N
N
N
N
N
SoFi Consumer Loan Program LLC
N/A
SoFi Consumer Loan Program LLC, Series 2016-2, Class A
83402QAA0
154942.02000000
PA
USD
155530.89000000
0.007551164008
Long
ABS-O
CORP
US
Y
2
2025-10-27
Fixed
3.09000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAE7
242000.00000000
PA
USD
259297.26000000
0.012589114208
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR2, Class E
02665UAE5
850000.00000000
PA
USD
941955.38000000
0.045732777345
Long
ABS-O
CORP
US
Y
2
2036-10-17
Fixed
6.23100000
N
N
N
N
N
N
CD Commercial Mortgage Trust
5493006ZXL5DGZK5G872
CD Commercial Mortgage Trust, Series 2007-CD4, Class XC
12513YBD1
62858.20000000
PA
USD
2570.40000000
0.000124795222
Long
ABS-MBS
CORP
US
Y
3
2049-12-11
Variable
1.30038500
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282U3
569000.00000000
PA
USD
592804.65000000
0.028781196692
Long
DBT
UST
US
N
2
2024-08-31
Fixed
1.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 383, Class 33
3136FFPE3
173301.12000000
PA
USD
34549.33000000
0.001677400915
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3997, Class PF
3137AMCU9
93849.99000000
PA
USD
93989.50000000
0.004563274405
Long
ABS-MBS
USGSE
US
N
2
2039-11-15
Floating
2.10849800
N
N
N
N
N
N
VOLT LXXXVII LLC
N/A
VOLT LXXXVII LLC, Series 2020-NPL3, Class A1A
92870GAA6
3164074.49000000
PA
USD
3177821.13000000
0.154286062022
Long
ABS-O
CORP
US
Y
2
2050-02-25
Variable
2.98140100
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2017-1A, Class B
22530LAC0
393549.88000000
PA
USD
394393.22000000
0.019148144062
Long
ABS-O
CORP
US
Y
2
2025-12-15
Fixed
3.04000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 299, Class 300
3132HTJV9
3975423.30000000
PA
USD
4186764.75000000
0.203271178416
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Fixed
3.00000000
N
N
N
N
N
N
COBALT CMBS Commercial Mortgage Trust
N/A
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1
190749AG6
492410.81310000
PA
USD
6559.90000000
0.000318489020
Long
ABS-MBS
CORP
US
N
3
2048-08-15
Variable
0.89212300
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-60, Class HT
31396QPL7
394213.26000000
PA
USD
462893.61000000
0.022473899348
Long
ABS-MBS
USGSE
US
N
2
2039-08-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1671, Class QC
3133T36V5
14101.36000000
PA
USD
16271.42000000
0.000789992014
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
10.00000100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31403MJ75
62360.29000000
PA
USD
69857.94000000
0.003391665554
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1
589929Y36
86902.66000000
PA
USD
88039.49000000
0.004274396090
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
2.24674900
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCZ5
400000.00000000
PA
USD
531284.82000000
0.025794353847
Long
DBT
CORP
US
N
2
2055-03-15
Fixed
4.67200000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2033, Class SN
3133TCX78
10584.60000000
PA
USD
1986.93000000
0.000096467231
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
26.78279000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RHS4
500000.00000000
PA
USD
537923.01000000
0.026116643916
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58
31395ND20
152182.93000000
PA
USD
140870.18000000
0.006839373406
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2
36298XAD4
2321099.75000000
PA
USD
402462.45000000
0.019539912406
Long
ABS-MBS
CORP
US
Y
3
2036-04-25
Variable
4.42082200
N
N
N
N
N
N
EQM Midstream Partners LP
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAA8
700000.00000000
PA
USD
612500.00000000
0.029737423575
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
4.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122BU1
975000.00000000
PA
USD
1329449.02000000
0.064545940619
Long
DBT
CORP
US
Y
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Other
36179ACJ3
1062595.32000000
PA
USD
1074219.69000000
0.052154328055
Long
ABS-MBS
USGA
US
N
2
2063-05-20
Variable
4.35800200
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAE2
2080000.00000000
PA
USD
2111099.27000000
0.102495760328
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.25000000
N
N
N
N
N
N
Enbridge, Inc.
98TPTUM4IVMFCZBCUR27
Enbridge, Inc.
29250NAJ4
350000.00000000
PA
USD
405555.93000000
0.019690103630
Long
DBT
CORP
CA
N
2
2044-06-10
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407WSP9
424763.28000000
PA
USD
440428.10000000
0.021383178716
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
3.54899900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1502, Class PX
312915HW4
58491.12000000
PA
USD
61862.16000000
0.003003463273
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-44
31397LMA4
8411.55000000
PA
USD
7443.21000000
0.000361374511
Long
ABS-MBS
USGSE
US
N
2
2038-05-25
None
0.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWB6
830000.00000000
PA
USD
912271.97000000
0.044291621204
Long
DBT
CORP
US
N
2
2027-01-26
Fixed
3.85000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VER1
962000.00000000
PA
USD
1129233.76000000
0.054825310426
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2399, Class OH
31339MTG3
122749.05000000
PA
USD
143208.73000000
0.006952912103
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
549300G1IXWLFE766Q13
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4
90349GBF1
857000.00000000
PA
USD
896816.82000000
0.043541259829
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.24430000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAS2
750000.00000000
PA
USD
798305.09000000
0.038758427107
Long
DBT
CORP
NL
Y
2
2024-03-16
Fixed
3.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 368, Class 3
3136FCG91
230.90000000
PA
USD
1.74000000
0.000000084478
Long
ABS-MBS
USGSE
US
N
2
2020-11-25
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BFC9
850000.00000000
PA
USD
883233.16000000
0.042881760970
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
3.50000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6
92922FBV9
801247.19000000
PA
USD
820678.56000000
0.039844679114
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
4.33091500
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBR9
1809000.00000000
PA
USD
1998095.87000000
0.097009344048
Long
DBT
CORP
US
Y
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1995-2, Class Z
31359LMW2
14574.14000000
PA
USD
16273.37000000
0.000790086688
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
8.50000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBW8
1832000.00000000
PA
USD
1932270.89000000
0.093813482314
Long
DBT
CORP
US
Y
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-12, Class IE
38374XPH2
647127.56000000
PA
USD
115558.73000000
0.005610479839
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
5.50000000
N
N
N
N
N
N
Constellation Brands, Inc.
5493005GKEG8QCVY7037
Constellation Brands, Inc.
21036PBD9
220000.00000000
PA
USD
287564.56000000
0.013961516940
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
5.25000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR3, Class E
02665XAE9
2380000.00000000
PA
USD
2665095.20000000
0.129392758906
Long
ABS-O
CORP
US
Y
3
2036-12-17
Fixed
6.41800000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G-28, Class S
31358JQC8
19.21000000
PA
USD
19.38000000
0.000000940916
Long
ABS-MBS
USGSE
US
N
2
2021-09-25
Floating
13.47324800
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141EA58
1786000.00000000
PA
USD
1788208.28000000
0.086819113571
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
5.37500000
N
N
N
N
N
N
Regency Centers LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RAZ6
745000.00000000
PA
USD
789702.71000000
0.038340773854
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
Office Properties Income Trust
N/A
Office Properties Income Trust
38376AAB9
784000.00000000
PA
USD
813002.35000000
0.039471992244
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
4.00000000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
26138EAX7
250000.00000000
PA
USD
266821.45000000
0.012954420371
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.43000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-39, Class LW
31393A6T9
192675.90000000
PA
USD
200450.80000000
0.009732065870
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36202SD54
35825.00000000
PA
USD
40800.78000000
0.001980914411
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
7.00000000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29279FAA7
800000.00000000
PA
USD
922040.52000000
0.044765893055
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-44, Class GO
31395NBG1
352206.54000000
PA
USD
325115.31000000
0.015784639484
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-79, Class DO
31396KYB2
193951.47000000
PA
USD
185717.43000000
0.009016747561
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-91, Class SD
31393EQX0
72607.34000000
PA
USD
89634.00000000
0.004351810979
Long
ABS-MBS
USGSE
US
N
2
2033-09-25
Floating
9.78874900
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JAK4
700000.00000000
PA
USD
768425.00000000
0.037307721976
Long
DBT
CORP
AU
Y
2
2028-11-28
Variable
3.76300100
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YY0
13554900.00000000
PA
USD
14082270.33000000
0.683706837063
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3129413U9
528514.72000000
PA
USD
594518.16000000
0.028864389137
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS12, Class A5
76110HDW6
12.59000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
3
2018-06-25
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M5CE8
245671.83000000
PA
USD
278077.73000000
0.013500922847
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31401A3J4
103393.60000000
PA
USD
120264.61000000
0.005838954528
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-14, Class FB
3136A4XU8
124557.61000000
PA
USD
124818.17000000
0.006060033944
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Floating
2.07675000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408GW7
191000.00000000
PA
USD
239335.61000000
0.011619958222
Long
DBT
CORP
US
N
2
2042-05-30
Fixed
4.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1498, Class I
312915RW3
37516.12000000
PA
USD
37989.63000000
0.001844430561
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Floating
2.80850000
N
N
N
N
N
N
General Electric Co.
3C7474T6CDKPR9K6YT90
General Electric Co.
36962GT95
1114000.00000000
PA
USD
1298859.01000000
0.063060768236
Long
DBT
CORP
US
N
2
2026-01-05
Fixed
5.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-247, Class SU
31359FP36
6440.46000000
PA
USD
7225.33000000
0.000350796242
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
11.91399800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2444, Class ES
31392KUY0
109108.20000000
PA
USD
21150.68000000
0.001026884457
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
6.29150000
N
N
N
N
N
N
Analog Devices, Inc.
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654AP0
300000.00000000
PA
USD
338246.45000000
0.016422168092
Long
DBT
CORP
US
N
2
2036-12-05
Fixed
4.50000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-4F, Class AP
36242DY56
6170.11000000
PA
USD
5901.72000000
0.000286533791
Long
ABS-MBS
CORP
US
N
3
2035-05-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-47, Class SI
31397LYN3
45389.52000000
PA
USD
1370.93000000
0.000066559879
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Floating
4.87325200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-11, Class SK
38373SQC4
215288.39000000
PA
USD
3003.32000000
0.000145813875
Long
ABS-MBS
USGA
US
N
2
2033-02-16
Floating
6.04149800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 345, Class 6
3136FCCH7
62200.06000000
PA
USD
9448.02000000
0.000458709832
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Variable
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9LN0
9000000.00000000
PA
USD
9691823.16000000
0.470546694731
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
2.79000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LZ1
1500000.00000000
PA
USD
1402949.90000000
0.068114474172
Long
DBT
UST
US
N
2
2026-05-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2015-M10, Class A2
3136AN6U6
8555000.00000000
PA
USD
9318175.30000000
0.452405756477
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Variable
3.09200000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D
92937EAJ3
400000.00000000
PA
USD
415488.64000000
0.020172345597
Long
ABS-MBS
CORP
US
Y
3
2045-03-15
Variable
4.26056000
N
N
N
N
N
N
JPMorgan U.S. Government Money Market Fund
549300NQ5E5B7ZV4T516
JPMorgan U.S. Government Money Market Fund, Share Class IM
4812C2270
618800.00000000
NS
USD
618800.00000000
0.030043294217
Long
STIV
RF
US
N
1
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P
93363EAM7
62928.22000000
PA
USD
52856.20000000
0.002566215849
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Variable
3.82690800
N
N
N
N
N
N
Progress Energy, Inc.
549300FBMTW0JYWMNB26
Progress Energy, Inc.
743263AS4
673000.00000000
PA
USD
691356.92000000
0.033565997667
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
3.15000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RCM4
500000.00000000
PA
USD
873602.37000000
0.042414177490
Long
DBT
CORP
NL
Y
2
2110-09-30
Fixed
5.80000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust, Series 2020-1, Class A
91679UAA0
5270000.00000000
PA
USD
5299419.25000000
0.257291550920
Long
ABS-O
CORP
US
Y
2
2030-04-22
Fixed
2.32200000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-64CB, Class 1A9
12668AZU2
569067.11000000
PA
USD
568418.37000000
0.027597220957
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650CZ1
2382000.00000000
PA
USD
2931593.00000000
0.142331465780
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2015-2, Class A
48250BAA9
1021242.20000000
PA
USD
114203.47000000
0.005544680752
Long
ABS-MBS
CORP
US
Y
3
2041-07-25
Variable
4.15819400
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust, Series 2016-3A, Class A1
42770XAA5
820906.95000000
PA
USD
847289.50000000
0.041136664085
Long
ABS-O
CORP
US
Y
2
2042-09-20
Fixed
3.08000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBZ5
490000.00000000
PA
USD
479715.41000000
0.023290612804
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
3.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2283, Class K
3133TRJM8
43792.97000000
PA
USD
46720.85000000
0.002268339112
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
Hartford Financial Services Group, Inc. (The)
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group, Inc. (The)
416515BB9
400000.00000000
PA
USD
489586.54000000
0.023769865006
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128287C8
5000000.00000000
PA
USD
5100390.60000000
0.247628531706
Long
DBT
UST
US
N
2
2022-07-15
Fixed
1.75000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2004-1
05946XGF4
138222.46000000
PA
USD
115371.94000000
0.005601411017
Long
ABS-MBS
CORP
US
N
3
2034-03-25
None
0.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2F9
1395000.00000000
PA
USD
1487861.52000000
0.072237009373
Long
DBT
CORP
US
N
2
2027-06-17
Variable
3.19600100
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YAB5
742000.00000000
PA
USD
751022.48000000
0.036462814044
Long
DBT
CORP
JP
Y
2
2021-04-12
Fixed
2.63200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31412BTY8
82786.42000000
PA
USD
84820.30000000
0.004118101532
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Variable
4.74999800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-46, Class SK
31393YT54
442881.21000000
PA
USD
591703.29000000
0.028727724678
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
12.02643700
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 20 Year
3128P7RY1
266619.33000000
PA
USD
281597.27000000
0.013671799666
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400KQ66
36222.19000000
PA
USD
39929.51000000
0.001938613472
Long
ABS-MBS
USGSE
US
N
2
2027-03-01
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4048, Class FJ
3137AQUG1
796584.21000000
PA
USD
795185.09000000
0.038606948313
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
2.18088000
N
Y
N
N
N
N
Truist Financial Corp.
549300DRQQI75D2JP341
Truist Financial Corp.
867914BK8
253000.00000000
PA
USD
255730.16000000
0.012415928308
Long
DBT
CORP
US
N
2
2021-03-03
Fixed
2.90000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAA9
425000.00000000
PA
USD
601192.82000000
0.029188449858
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1970, Class PG
3133TAK43
4516.71000000
PA
USD
5165.15000000
0.000250772658
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class HC
31392BVX1
9773.69000000
PA
USD
10025.47000000
0.000486745547
Long
ABS-MBS
USGSE
US
N
2
2022-02-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-90, Class PM
3136AF6A7
1694000.00000000
PA
USD
1956300.48000000
0.094980140430
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Fixed
3.50000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325BR5
200000.00000000
PA
USD
258562.50000000
0.012553440952
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
85325WAA6
570000.00000000
PA
USD
580953.18000000
0.028205797209
Long
DBT
CORP
GB
Y
2
2026-01-30
Variable
2.81900200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371HKW7
54203.97000000
PA
USD
61335.59000000
0.002977897828
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
6.50000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-2, Class A
023764AA1
241823.50000000
PA
USD
261479.81000000
0.012695078965
Long
ABS-O
CORP
US
N
2
2028-06-15
Fixed
3.65000000
N
N
N
N
N
N
Masco Corp.
5GCSNMQXHEYA1JO8QN11
Masco Corp.
574599AY2
600000.00000000
PA
USD
788639.82000000
0.038289169592
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
549300JDZNIORD1CFR68
Credit Acceptance Auto Loan Trust, Series 2018-3A, Class B
22534DAC4
2097000.00000000
PA
USD
2178877.99000000
0.105786477888
Long
ABS-O
CORP
US
Y
2
2027-10-15
Fixed
3.89000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-2, Class AA
90932JAA0
1314000.00000000
PA
USD
1406108.64000000
0.068267833828
Long
ABS-O
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
International Flavors & Fragrances, Inc.
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances, Inc.
459506AL5
365000.00000000
PA
USD
429871.43000000
0.020870642933
Long
DBT
CORP
US
N
2
2048-09-26
Fixed
5.00000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-2A, Class C
14686UAE5
4675000.00000000
PA
USD
4781126.24000000
0.232127961085
Long
ABS-O
CORP
US
Y
2
2024-06-17
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DQT9
225570.84000000
PA
USD
236353.50000000
0.011475174110
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Variable
3.78400000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2005-6, Class 2A7
05946XP23
205079.93740000
PA
USD
201298.92000000
0.009773242855
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A
12669FNP4
43213.62000000
PA
USD
44207.89000000
0.002146332653
Long
ABS-MBS
CORP
US
N
2
2034-05-20
Variable
3.58799400
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296NA23
242250.07000000
PA
USD
278134.30000000
0.013503669371
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-1, Class A
90931MAA4
907151.53000000
PA
USD
974986.51000000
0.047336468290
Long
ABS-O
CORP
US
N
2
2028-07-07
Fixed
3.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2169, Class TB
3133TL5G9
204622.50000000
PA
USD
235209.98000000
0.011419655190
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.00000000
N
N
N
N
N
N
Eaton Corp.
0NZWDMRCE180888QQE14
Eaton Corp.
278058AP7
300000.00000000
PA
USD
354055.70000000
0.017189721338
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
7.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-56, Class S
31394D6N5
513988.95000000
PA
USD
118931.95000000
0.005774252691
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
5.08325000
N
N
N
N
N
N
Hutchison Whampoa International 12 II Ltd.
2549005GEGKY2Q53V676
Hutchison Whampoa International 12 II Ltd.
44842CAB9
539000.00000000
PA
USD
560728.44000000
0.027223867968
Long
DBT
CORP
KY
Y
2
2022-11-08
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-21, Class LO
31392CNN0
10291.24500000
PA
USD
9588.20000000
0.000465515697
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
None
0.00000000
N
N
N
N
N
N
CVS Pass-Through Trust
N/A
CVS Pass-Through Trust
126650BY5
855979.24000000
PA
USD
1018937.82000000
0.049470343755
Long
ABS-O
CORP
US
Y
2
2034-01-10
Fixed
5.92600000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust, Series 2018-B, Class A3
98162QAC4
6900000.00000000
PA
USD
6986581.20000000
0.339204774670
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.87000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1996-1, Class 1Z
92260MAH6
238577.69000000
PA
USD
269105.80000000
0.013065327609
Long
ABS-MBS
USGSE
US
N
2
2026-02-15
Fixed
6.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138NJAD0
680282.21000000
PA
USD
696912.59000000
0.033835730422
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Variable
4.30700000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBA6
720000.00000000
PA
USD
748616.77000000
0.036346014669
Long
DBT
CORP
JP
N
2
2030-09-13
Variable
2.86899800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31385WZX0
402962.05000000
PA
USD
410742.91000000
0.019941936155
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Variable
3.28700200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-36, Class SE
38375KHZ8
230385.00000000
PA
USD
31462.62000000
0.001527538379
Long
ABS-MBS
USGA
US
N
2
2037-06-16
Floating
4.81150100
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2005-7, Class 30PO
05946XV83
165298.52360000
PA
USD
146146.64000000
0.007095550265
Long
ABS-MBS
CORP
US
N
3
2035-11-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-53, Class CI
31397LC23
225159.66000000
PA
USD
36812.41000000
0.001787275475
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Floating
5.57325000
N
N
N
N
N
N
Canadian Natural Resources Ltd.
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd.
136385AE1
350000.00000000
PA
USD
468963.99000000
0.022768621733
Long
DBT
CORP
CA
N
2
2033-06-30
Fixed
6.45000000
N
N
N
N
N
N
Acre
N/A
Acre
N/A
3785000.00000000
PA
USD
3785000.00000000
0.183765139969
Long
ABS-MBS
USGA
US
N
2
2020-12-15
Fixed
6.71199800
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBF1
265000.00000000
PA
USD
274573.75000000
0.013330801479
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GVR2
1415000.00000000
PA
USD
1545595.80000000
0.075040060376
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
Invesco Finance plc
549300OYQ3LAJYXXO449
Invesco Finance plc
46132FAD2
390000.00000000
PA
USD
433967.91000000
0.021069530706
Long
DBT
CORP
GB
N
2
2026-01-15
Fixed
3.75000000
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust, Series 2019-1A, Class A
35041JAA3
1300994.28000000
PA
USD
1340445.24000000
0.065079816948
Long
ABS-O
CORP
US
Y
2
2034-11-15
Fixed
3.86000000
N
N
N
N
N
N
Nevada Power Co.
MJZFGXRJ52U8U4MKJ519
Nevada Power Co., Series N
641423BP2
100000.00000000
PA
USD
149244.69000000
0.007245963367
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.65000000
N
N
N
N
N
N
Corning, Inc.
549300X2937PB0CJ7I56
Corning, Inc.
219350BP9
1043000.00000000
PA
USD
1101075.15000000
0.053458184691
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.90000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2710, Class HB
31394MHQ6
258231.78000000
PA
USD
267987.52000000
0.013011034114
Long
ABS-MBS
USGSE
US
N
2
2023-11-15
Fixed
5.50000000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAF0
513000.00000000
PA
USD
645619.65000000
0.031345412245
Long
DBT
CORP
NL
Y
2
2045-05-27
Fixed
4.40000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAP6
769000.00000000
PA
USD
1036654.20000000
0.050330489871
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.15000000
N
N
N
N
N
N
Entergy Corp.
4XM3TW50JULSLG8BNC79
Entergy Corp.
29364GAJ2
336000.00000000
PA
USD
353932.75000000
0.017183752006
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.95000000
N
N
N
N
N
N
Reliance Standard Life Global Funding II
N/A
Reliance Standard Life Global Funding II
75951AAJ7
390000.00000000
PA
USD
421174.10000000
0.020448379772
Long
DBT
CORP
US
Y
2
2023-09-19
Fixed
3.85000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAT4
813000.00000000
PA
USD
836679.19000000
0.040621524031
Long
DBT
CORP
FR
Y
2
2024-11-21
Fixed
2.37500000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
26138EAW9
500000.00000000
PA
USD
525499.88000000
0.025513489828
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.13000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-59, Class BG
31394AVD5
123770.41000000
PA
USD
114855.78000000
0.005576350987
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
None
0.00000000
N
N
N
N
N
N
Kabbage Funding LLC
N/A
Kabbage Funding LLC, Series 2019-1, Class A
48283PAE1
6044000.00000000
PA
USD
6164267.74000000
0.299280719696
Long
ABS-O
CORP
US
Y
2
2024-03-15
Fixed
3.82500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3747, Class PY
31398QUH8
1000000.00000000
PA
USD
1182049.80000000
0.057389576472
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
Qwest Corp.
549300R2L4N683OO1509
Qwest Corp.
74913GAX3
741000.00000000
PA
USD
783607.50000000
0.038044845949
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
6.75000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGU8
325000.00000000
PA
USD
408222.22000000
0.019819554398
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-119
31396LM80
49124.83000000
PA
USD
46177.23000000
0.002241945874
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MN2S8
691243.40000000
PA
USD
731929.61000000
0.035535838105
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBG9
900000.00000000
PA
USD
1148262.04000000
0.055749150463
Long
DBT
CORP
US
N
2
2055-05-15
Fixed
4.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-68, Class KI
38374L3B5
1457299.74000000
PA
USD
327230.54000000
0.015887335795
Long
ABS-MBS
USGA
US
N
2
2035-09-20
Floating
4.65300000
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JAP3
700000.00000000
PA
USD
840998.54000000
0.040831232342
Long
DBT
CORP
AU
Y
2
2030-01-15
Variable
5.03300200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210APW1
9913.63000000
PA
USD
10816.80000000
0.000525165327
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
7.50000000
N
N
N
N
N
N
World Financial Network Credit Card Master Trust
N/A
World Financial Network Credit Card Master Trust, Series 2019-A, Class A
981464HA1
2245000.00000000
PA
USD
2325701.02000000
0.112914867494
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
3.14000000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
2027A0HT9
600000.00000000
PA
USD
636341.12000000
0.030894931303
Long
DBT
CORP
AU
Y
2
2026-05-18
Fixed
2.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-103, Class MB
31398GJB6
209550.09000000
PA
USD
219566.88000000
0.010660168675
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
4.36406000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO3
17307GCA4
28228.15400000
PA
USD
26887.46000000
0.001305410264
Long
ABS-MBS
CORP
US
N
3
2033-09-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-52, Class NS
31359W5E7
9820.03000000
PA
USD
12427.75000000
0.000603378393
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
18.82509800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-109
31396LQW3
68299.72000000
PA
USD
62471.04000000
0.003033024943
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3122, Class ZB
31396JMD4
24572.91000000
PA
USD
41004.15000000
0.001990788207
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
Fixed
6.00000000
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440BP8
379000.00000000
PA
USD
421610.56000000
0.020469570296
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
3.95000000
N
N
N
N
N
N
UDR, Inc.
P3CH2EG5X6Z1XWU1OO74
UDR, Inc.
90265EAL4
382000.00000000
PA
USD
407349.49000000
0.019777182575
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.95000000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Trust
N/A
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class XW
50180CAU4
2165830.92000000
PA
USD
510.70000000
0.000024794942
Long
ABS-MBS
CORP
US
Y
3
2038-11-15
Variable
0.82559200
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828J43
12700000.00000000
PA
USD
12910343.75000000
0.626808751988
Long
DBT
UST
US
N
2
2022-02-28
Fixed
1.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1116, Class I
312906C40
50.08000000
PA
USD
50.05000000
0.000002429972
Long
ABS-MBS
USGSE
US
N
2
2021-08-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2132, Class SB
3133TJVQ3
12050.51000000
PA
USD
19226.05000000
0.000933441946
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Floating
23.37833500
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00080QAF2
1216000.00000000
PA
USD
1353395.07000000
0.065708542793
Long
DBT
CORP
NL
Y
2
2025-07-28
Fixed
4.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36223NYF5
71.96000000
PA
USD
72.13000000
0.000003501976
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
7.50000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AP4
612000.00000000
PA
USD
626735.21000000
0.030428555770
Long
DBT
CORP
GB
N
2
2023-11-07
Variable
2.90700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2423, Class MC
31339WBV7
150697.27000000
PA
USD
178225.55000000
0.008653010077
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJX5
410319.06000000
PA
USD
430241.91000000
0.020888630069
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
3.77700100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132FYA80
3656696.01000000
PA
USD
4016415.36000000
0.195000562961
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1699, Class FC
3133T4J72
4481.80000000
PA
USD
4454.65000000
0.000216277247
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
2.27625100
N
N
N
N
N
N
NBCUniversal Media LLC
VTBDOQJ6KOGQ6K786R46
NBCUniversal Media LLC
63946BAG5
800000.00000000
PA
USD
1165250.38000000
0.056573949585
Long
DBT
CORP
US
N
2
2041-04-01
Fixed
5.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A
31398F7A3
616838.27000000
PA
USD
724366.50000000
0.035168642341
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
6.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-8, Class 6A1
576434UW2
2648.61000000
PA
USD
2727.89000000
0.000132441502
Long
ABS-MBS
CORP
US
N
2
2019-09-25
Fixed
5.50000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2004-2, Class 30PO
06051GCR8
91843.66000000
PA
USD
81342.00000000
0.003949226952
Long
ABS-MBS
CORP
US
N
3
2034-09-20
None
0.00000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408GU1
150000.00000000
PA
USD
201280.28000000
0.009772337867
Long
DBT
CORP
US
N
2
2041-04-15
Fixed
5.50000000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2018-1, Class A
123262AN7
1441952.33000000
PA
USD
1471313.51000000
0.071433588667
Long
ABS-O
CORP
US
Y
2
2033-02-15
Fixed
4.33500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-48, Class GH
31392DS45
350304.75000000
PA
USD
398797.65000000
0.019361983083
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-130, Class GI
31396PAS0
262505.34000000
PA
USD
47081.65000000
0.002285856275
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-71, Class SC
38375XML5
107053.70000000
PA
USD
13993.31000000
0.000679387733
Long
ABS-MBS
USGA
US
N
2
2038-08-20
Floating
4.35300100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1065, Class J
312905PC0
341.65000000
PA
USD
351.04000000
0.000017043306
Long
ABS-MBS
USGSE
US
N
2
2021-04-15
Fixed
9.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CYH0
7907.10000000
PA
USD
8882.74000000
0.000431264982
Long
ABS-MBS
USGA
US
N
2
2027-11-20
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-48, Class Z
313920YX2
91638.69000000
PA
USD
93627.06000000
0.004545677618
Long
ABS-MBS
USGSE
US
N
2
2021-09-25
Fixed
6.50000000
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAJ7
265000.00000000
PA
USD
297639.50000000
0.014450664300
Long
DBT
CORP
NL
Y
2
2025-09-14
Fixed
4.62500000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2005-A2, Class A4
45660LDY2
1279183.69200000
PA
USD
118866.35000000
0.005771067753
Long
ABS-MBS
CORP
US
N
3
2035-03-25
Floating
3.42325100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2038, Class PN
3133TDA22
44667.13000000
PA
USD
7010.62000000
0.000340371879
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31401YSJ5
41507.57000000
PA
USD
42184.45000000
0.002048092829
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
3.28799900
N
N
N
N
N
N
Tricolor Auto Securitization Trust
N/A
Tricolor Auto Securitization Trust, Series 2018-2A, Class A
89614SAA7
1038648.78000000
PA
USD
1040379.17000000
0.050511340501
Long
ABS-O
CORP
US
Y
2
2021-10-15
Fixed
3.96000000
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060AW6
895000.00000000
PA
USD
1089701.10000000
0.052905964376
Long
DBT
CORP
JP
N
2
2028-11-26
Fixed
5.00000000
N
N
N
N
N
N
Home Equity Mortgage Loan Asset-Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3
456606KH4
48231.31000000
PA
USD
47741.01000000
0.002317868793
Long
ABS-O
CORP
US
N
3
2036-03-25
Floating
1.82675200
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2567, Class QD
31393KA39
301757.18000000
PA
USD
354021.22000000
0.017188047303
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
Cargill, Inc.
QXZYQNMR4JZ5RIRN4T31
Cargill, Inc.
141781BB9
600000.00000000
PA
USD
619634.36000000
0.030083803142
Long
DBT
CORP
US
Y
2
2022-03-01
Fixed
3.30000000
N
N
N
N
N
N
GE Capital International Funding Co. Unlimited Co.
549300G6UZOB126GBY72
GE Capital International Funding Co. Unlimited Co.
36164QNA2
3583000.00000000
PA
USD
4091421.93000000
0.198642199112
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.41800000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAH3
149000.00000000
PA
USD
167246.70000000
0.008119977076
Long
DBT
CORP
US
N
2
2025-05-25
Fixed
4.41700000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CX40
6001.68000000
PA
USD
6773.37000000
0.000328853179
Long
ABS-MBS
USGA
US
N
2
2027-10-20
Fixed
8.00000000
N
N
N
N
N
N
Royal Bank of Scotland Group plc
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group plc
780097BK6
480000.00000000
PA
USD
517489.43000000
0.025124575306
Long
DBT
CORP
GB
N
2
2025-03-22
Variable
4.26899900
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHC6
1747000.00000000
PA
USD
1810349.43000000
0.087894086234
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00399800
N
N
N
N
N
N
Jackson National Life Global Funding
635400PQXLYXWJI5QD78
Jackson National Life Global Funding
46849LSQ5
675000.00000000
PA
USD
728480.04000000
0.035368358392
Long
DBT
CORP
US
Y
2
2026-04-29
Fixed
3.05000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36241KYC6
7272.57000000
PA
USD
7477.69000000
0.000363048546
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
9.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296SLS3
98963.75000000
PA
USD
115304.48000000
0.005598135774
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
American Tower Trust #1
5493004YGM0MQZJOEJ36
American Tower Trust #1
03027WAJ1
750000.00000000
PA
USD
773651.78000000
0.037561486826
Long
DBT
CORP
US
Y
2
2023-03-15
Fixed
3.07000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3621, Class BO
31398LZP6
154134.95000000
PA
USD
142692.00000000
0.006927824399
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
None
0.00000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAB8
985000.00000000
PA
USD
1057094.44000000
0.051322881830
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-30, Class PM
313920BG4
100409.30000000
PA
USD
119804.74000000
0.005816627428
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-33, Class IA
31393BFR1
348243.00000000
PA
USD
79199.97000000
0.003845229477
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1760, Class ZD
3133T5X32
126521.83000000
PA
USD
125268.64000000
0.006081904666
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
1.24999900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-56, Class FC
31395NXA0
505337.80000000
PA
USD
502185.86000000
0.024381573277
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
1.91675200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31378HQW4
27254.39000000
PA
USD
28170.25000000
0.001367690867
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
7.00000000
N
N
N
N
N
N
American Water Capital Corp.
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp.
03040WAU9
795000.00000000
PA
USD
876854.54000000
0.042572073256
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3117, Class EO
31396HUN7
324893.02000000
PA
USD
298567.78000000
0.014495733126
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
None
0.00000000
N
N
N
N
N
N
Spirit Airlines Pass-Through Trust
N/A
Spirit Airlines Pass-Through Trust, Series 2017-1, Class AA
84858WAA4
356580.17000000
PA
USD
382941.43000000
0.018592149401
Long
ABS-O
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 265, Class 2
31364HJ81
2508.12000000
PA
USD
2770.61000000
0.000134515596
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
9.00000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
780082AD5
337000.00000000
PA
USD
389686.91000000
0.018919648496
Long
DBT
CORP
CA
N
2
2026-01-27
Fixed
4.65000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-33, Class CI
38374UKD2
139965.93000000
PA
USD
21332.00000000
0.001035687705
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-17, Class C
31359VSW4
28182.27000000
PA
USD
31387.86000000
0.001523908714
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Fixed
6.35000000
N
N
N
N
N
N
VNDO Mortgage Trust
N/A
VNDO Mortgage Trust, Series 2012-6AVE, Class A
91830CAA6
1398491.00000000
PA
USD
1449984.56000000
0.070398049041
Long
ABS-MBS
CORP
US
Y
2
2030-11-15
Fixed
2.99560000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 393, Class 6
3136FGCE5
53093.61000000
PA
USD
8775.34000000
0.000426050616
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1
576433VM5
179551.79000000
PA
USD
178158.67000000
0.008649762993
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
4.31977000
N
N
N
N
N
N
Tyson Foods, Inc.
WD6L6041MNRW1JE49D58
Tyson Foods, Inc.
902494AZ6
300000.00000000
PA
USD
372063.15000000
0.018063999164
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
4.87500000
N
N
N
N
N
N
Broadcom Corp.
N/A
Broadcom Corp.
11134LAF6
1747000.00000000
PA
USD
1829937.60000000
0.088845109431
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2010-M3, Class A3
31398M6U5
58050.00000000
PA
USD
57992.48000000
0.002815586843
Long
ABS-MBS
USGSE
US
N
2
2020-03-25
Variable
4.33199900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403K4Q3
104578.56000000
PA
USD
110003.02000000
0.005340745143
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
4.70999900
N
N
N
N
N
N
Evergy, Inc.
549300PGTHDQY6PSUI61
Evergy, Inc.
30034WAB2
985000.00000000
PA
USD
1015946.05000000
0.049325090642
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.90000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4
3623417C7
1132121.42000000
PA
USD
919667.51000000
0.044650681294
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-230, Class FA
31359FE38
6207.36000000
PA
USD
6171.39000000
0.000299626511
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
2.26087900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-140, Class K
31358FRF8
7.65000000
PA
USD
19.17000000
0.000000930720
Long
ABS-MBS
USGSE
US
N
2
2020-12-25
Fixed
652.14540000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2
31392GVR3
554535.16000000
PA
USD
664021.20000000
0.032238823979
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.00000000
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473QBA0
370000.00000000
PA
USD
389382.91000000
0.018904889024
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.85000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2E3
290000.00000000
PA
USD
304967.24000000
0.014806432640
Long
DBT
CORP
FR
Y
2
2023-03-01
Fixed
3.50000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAJ2
151000.00000000
PA
USD
156205.09000000
0.007583897021
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.37500000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2003-3, Class 1A1
576434DT8
111339.84000000
PA
USD
116070.12000000
0.005635308282
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
6.50000000
N
N
N
N
N
N
Delmarva Power & Light Co.
NJ98T8DDD027ZFXUDB24
Delmarva Power & Light Co.
247109BR1
235000.00000000
PA
USD
271598.61000000
0.013186355768
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-75, Class WA
38378J4C3
1230430.82000000
PA
USD
1400553.14000000
0.067998109328
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Variable
5.14939000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-4A, Class B
30166EAC0
1124733.17000000
PA
USD
1131103.21000000
0.054916073898
Long
ABS-O
CORP
US
Y
2
2022-11-15
Fixed
3.64000000
N
N
N
N
N
N
Dai-ichi Life Insurance Co. Ltd. (The)
3538001235ACEIORUV72
Dai-ichi Life Insurance Co. Ltd. (The)
23380YAD9
526000.00000000
PA
USD
558875.00000000
0.027133881796
Long
DBT
CORP
JP
Y
2
2026-07-24
Variable
4.00000000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A
05524UAA7
560000.00000000
PA
USD
582118.32000000
0.028262365800
Long
ABS-MBS
CORP
US
Y
2
2030-12-10
Fixed
2.95900000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38148LAE6
1984000.00000000
PA
USD
2147253.08000000
0.104251060184
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L7EW2
9759641.70000000
PA
USD
10693569.53000000
0.519182378192
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2201, Class C
3133TMGW0
52261.43000000
PA
USD
59962.36000000
0.002911226282
Long
ABS-MBS
USGSE
US
N
2
2029-11-15
Fixed
8.00000000
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1
86359LDX4
281335.97000000
PA
USD
284100.10000000
0.013793314304
Long
ABS-MBS
CORP
US
N
2
2034-10-19
Floating
2.30675000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHU6
1000000.00000000
PA
USD
1171061.93000000
0.056856105542
Long
DBT
CORP
US
N
2
2040-04-23
Variable
4.07800100
N
N
N
N
N
N
Nomura Asset Acceptance Corp. Alternative Loan Trust
N/A
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5
65535VAX6
33811.34000000
PA
USD
35506.42000000
0.001723868491
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Fixed
7.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LF5
11340000.00000000
PA
USD
11156268.75000000
0.541646839731
Long
DBT
UST
US
N
2
2021-11-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58, Class FL
31395NC96
37904.04000000
PA
USD
37919.94000000
0.001841047049
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
2.08675100
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust, Series 2003-5, Class AI6
64352VED9
385099.71000000
PA
USD
398759.20000000
0.019360116301
Long
ABS-O
CORP
US
N
3
2033-11-25
Variable
5.05669000
N
N
N
N
N
N
Headlands Residential LLC
N/A
Headlands Residential LLC, Series 2019-RPL1, Class NOTE
42210BAA1
4600000.00000000
PA
USD
4671903.98000000
0.226825122539
Long
ABS-MBS
CORP
US
Y
2
2024-06-25
Variable
3.96699800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381RAB0
5000000.00000000
PA
USD
5125519.15000000
0.248848545315
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
4.34000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2011-22, Class WA
38377QRC3
452263.36000000
PA
USD
528460.65000000
0.025657237864
Long
ABS-MBS
USGA
US
N
2
2037-02-20
Variable
5.87821000
N
N
N
N
N
N
Union Carbide Corp.
QE84C8O80MNLK8IFRL44
Union Carbide Corp.
905581AS3
850000.00000000
PA
USD
1293678.63000000
0.062809256147
Long
DBT
CORP
US
N
2
2096-10-01
Fixed
7.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-4, Class C
31359RA69
3095.54900000
PA
USD
3012.05000000
0.000146237725
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
3136195D6
13411.69900000
PA
USD
13513.55000000
0.000656094955
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Variable
2.72400100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36200MGS6
38113.50000000
PA
USD
42975.83000000
0.002086515037
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8A95
3989366.76000000
PA
USD
4260000.49000000
0.206826839185
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
2.92000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381UM20
1281296.12000000
PA
USD
1320213.75000000
0.064097559989
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
2.94000000
N
N
N
N
N
N
MRCD 2019-MARK Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust, Series 2019-PARK, Class D
55348UAQ1
2685000.00000000
PA
USD
2691013.86000000
0.130651133063
Long
ABS-MBS
CORP
US
Y
3
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAK6
312000.00000000
PA
USD
335570.03000000
0.016292225504
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2075, Class PM
3133TGCK3
143098.22000000
PA
USD
158494.77000000
0.007695063036
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
6.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KFSY9
3073166.95000000
PA
USD
3221217.66000000
0.156393002420
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-157, Class OP
38377NF41
1272943.08000000
PA
USD
1178206.58000000
0.057202984699
Long
ABS-MBS
USGA
US
N
2
2040-12-20
None
0.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-J1, Class 1A4
12667FT47
283630.93000000
PA
USD
7033.31000000
0.000341473499
Long
ABS-MBS
CORP
US
N
3
2035-02-25
Floating
3.47325100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-50, Class AI
38375K3J9
296121.50000000
PA
USD
52165.59000000
0.002532686115
Long
ABS-MBS
USGA
US
N
2
2037-08-20
Floating
5.12799800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391REW8
15159.67000000
PA
USD
17070.18000000
0.000828772527
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-103, Class VG
3136AGNN8
3500000.00000000
PA
USD
3622933.65000000
0.175896673525
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Fixed
3.00000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BB4
200000.00000000
PA
USD
218937.21000000
0.010629597632
Long
DBT
CORP
GB
N
2
2026-05-25
Fixed
3.90000000
N
N
N
N
N
N
Schlumberger Holdings Corp.
529900IKZG65COT1D505
Schlumberger Holdings Corp.
806851AG6
13000.00000000
PA
USD
14286.78000000
0.000693635964
Long
DBT
CORP
US
Y
2
2025-12-21
Fixed
4.00000000
N
N
N
N
N
N
Tri-State Generation & Transmission Association, Inc.
549300VDHNFNPADSSV98
Tri-State Generation & Transmission Association, Inc.
89566EAK4
417000.00000000
PA
USD
492090.90000000
0.023891453927
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3102, Class FB
31396H5M7
166742.65000000
PA
USD
166823.30000000
0.008099420627
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
1.95850100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138EPR30
3471695.31000000
PA
USD
3858552.85000000
0.187336196713
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Variable
3.78299900
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2015-B, Class C
126189AC3
1136608.91000000
PA
USD
1143139.52000000
0.055500447529
Long
ABS-O
CORP
US
Y
2
2021-05-17
Fixed
4.20000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2004-QA6, Class NB2
76110HH44
699180.67000000
PA
USD
615914.68000000
0.029903209347
Long
ABS-MBS
CORP
US
N
2
2034-12-26
Variable
4.03743200
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833KZ2
1535000.00000000
PA
USD
1531208.49000000
0.074341543589
Long
DBT
UST
US
N
2
2020-05-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-34, Class ED
31393CDP5
988178.09000000
PA
USD
1149827.52000000
0.055825155919
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KJ09, Class A2
3137BSRZ8
1988380.36000000
PA
USD
2052445.78000000
0.099648080856
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
2.83800000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31412QDW6
283191.13000000
PA
USD
326707.69000000
0.015861950959
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fortis, Inc.
549300MQYQ9Y065XPR71
Fortis, Inc.
349553AM9
500000.00000000
PA
USD
530540.17000000
0.025758200422
Long
DBT
CORP
CA
N
2
2026-10-04
Fixed
3.05500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVYM0
4550000.00000000
PA
USD
4810166.04000000
0.233537869384
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.39000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2019-SFR4, Class D
74331AAG7
5000000.00000000
PA
USD
5090195.00000000
0.247133526195
Long
ABS-O
CORP
US
Y
3
2036-10-17
Fixed
3.13600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-188, Class PZ
31358Q4G7
27183.46000000
PA
USD
28663.55000000
0.001391641024
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.50000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBW2
530000.00000000
PA
USD
562704.72000000
0.027319818132
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-60, Class AX
31396WSA5
1827951.75000000
PA
USD
479457.30000000
0.023278081332
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
5.52325000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1994-1, Class 1
911760DD5
131776.74000000
PA
USD
139214.27000000
0.006758977493
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Variable
5.27192600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2367, Class ME
31339GK42
92512.79000000
PA
USD
102757.61000000
0.004988973998
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-17, Class SI
31358UWA0
16269.92000000
PA
USD
17337.83000000
0.000841767174
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
6.00000100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1807, Class G
3133T6RU7
36.19000000
PA
USD
36.64000000
0.000001778904
Long
ABS-MBS
USGSE
US
N
2
2020-10-15
Fixed
9.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381E7J6
20251.24000000
PA
USD
21959.20000000
0.001066138827
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
7.00000000
N
N
N
N
N
N
Oportun Funding X LLC
N/A
Oportun Funding X LLC, Series 2018-C, Class A
68376PAA5
5756000.00000000
PA
USD
5968072.91000000
0.289755284981
Long
ABS-O
CORP
US
Y
2
2024-10-08
Fixed
4.10000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2262, Class Z
3133TQ5B9
13950.34000000
PA
USD
16757.94000000
0.000813612995
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
7.50000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
400000.00000000
PA
USD
521090.63000000
0.025299416792
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-7, Class SG
31396PRZ6
784962.10000000
PA
USD
262734.51000000
0.012755995774
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Floating
4.87325200
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAD7
452000.00000000
PA
USD
457448.85000000
0.022209551373
Long
DBT
CORP
GB
N
2
2021-01-08
Fixed
3.12500000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XCD6
640000.00000000
PA
USD
664157.21000000
0.032245427386
Long
DBT
CORP
US
N
2
2024-11-07
Fixed
3.50000000
N
N
N
N
N
N
Hydro-Quebec
6THEVG93PYJH84S4D167
Hydro-Quebec
448814DX8
1000000.00000000
PA
USD
1130396.25000000
0.054881750357
Long
DBT
NUSS
CA
N
2
2022-01-15
Fixed
8.40000000
N
N
N
N
N
N
Daimler Finance North America LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851BR4
305000.00000000
PA
USD
305000.00000000
0.014808023167
Long
DBT
CORP
US
Y
2
2020-03-02
Fixed
2.25000000
N
N
N
N
N
N
Massachusetts Mutual Life Insurance Co.
R6ZXK5P01NP6HXSY1S07
Massachusetts Mutual Life Insurance Co.
575767AN8
523000.00000000
PA
USD
560883.39000000
0.027231390930
Long
DBT
CORP
US
Y
2
2070-10-15
Fixed
3.72900000
N
N
N
N
N
N
Welltower, Inc.
T6IZ0MBEG5ACZDTR7D06
Welltower, Inc.
95040QAJ3
670000.00000000
PA
USD
715593.05000000
0.034742683486
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.10000000
N
N
N
N
N
N
Alexandria Real Estate Equities, Inc.
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities, Inc.
015271AS8
653000.00000000
PA
USD
788779.82000000
0.038295966718
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
Alabama Power Co.
0RL818ELFOHP5JHOFU19
Alabama Power Co.
010392EZ7
239000.00000000
PA
USD
342621.70000000
0.016634590398
Long
DBT
CORP
US
N
2
2038-05-15
Fixed
6.12500000
N
N
N
N
N
N
VNDO Mortgage Trust
N/A
VNDO Mortgage Trust, Series 2013-PENN, Class A
91830MAA4
5000000.00000000
PA
USD
5051185.00000000
0.245239555756
Long
ABS-MBS
CORP
US
Y
2
2029-12-13
Fixed
3.80800000
N
N
N
N
N
N
Citigroup Global Markets Mortgage Securities VII, Inc.
549300VB2N1G56GWKB41
Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A
79549AYG8
41890.95000000
PA
USD
43054.92000000
0.002090354927
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
4.24000100
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2012-2, Class A
48247KAA5
3227924.28000000
PA
USD
66269.29000000
0.003217433382
Long
ABS-O
CORP
US
Y
3
2038-08-25
Variable
0.75934100
N
N
N
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556BF8
343000.00000000
PA
USD
374063.72000000
0.018161128629
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-61, Class ZC
31359QPC2
101537.86000000
PA
USD
107253.94000000
0.005207274847
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31409JS50
81343.18000000
PA
USD
92817.17000000
0.004506356733
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G-35, Class M
31358JY39
273.38000000
PA
USD
275.11000000
0.000013356836
Long
ABS-MBS
USGSE
US
N
2
2021-10-25
Fixed
8.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2430, Class WF
31339NW36
285057.27000000
PA
USD
336546.71000000
0.016339644192
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBB2
535000.00000000
PA
USD
627573.81000000
0.030469270551
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.65000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCS8
696000.00000000
PA
USD
778935.93000000
0.037818037042
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 233, Class 11
31282YDW6
374840.20000000
PA
USD
73292.27000000
0.003558405351
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2019-NPL8, Class A1A
91833HAA2
3006174.85000000
PA
USD
3023120.06000000
0.146775186518
Long
ABS-O
CORP
US
Y
3
2049-11-25
Variable
3.27750100
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-22T1, Class A2
12667GGP2
3987081.53000000
PA
USD
624567.15000000
0.030323294515
Long
ABS-MBS
CORP
US
N
3
2035-06-25
Floating
3.44324900
N
N
N
N
N
N
Citigroup Global Markets Mortgage Securities VII, Inc.
549300VB2N1G56GWKB41
Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class PO1
79549AXS3
662.70300000
PA
USD
614.49000000
0.000029834039
Long
ABS-MBS
CORP
US
N
3
2033-06-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-H08, Class XI
38376R2M7
8288094.83000000
PA
USD
951474.12000000
0.046194920697
Long
ABS-MBS
USGA
US
N
2
2067-03-20
Variable
2.08626100
N
N
N
N
N
N
International Flavors & Fragrances, Inc.
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances, Inc.
459506AK7
300000.00000000
PA
USD
343984.83000000
0.016700771580
Long
DBT
CORP
US
N
2
2028-09-26
Fixed
4.45000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SK5
1290000.00000000
PA
USD
1505823.05000000
0.073109057741
Long
DBT
UST
US
N
2
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
United Technologies Corp.
I07WOS4YJ0N7YRFE7309
United Technologies Corp.
913017CA5
543000.00000000
PA
USD
659376.69000000
0.032013328858
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.15000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23
12669G3R0
392129.66000000
PA
USD
361671.77000000
0.017559488358
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31403QVP2
85139.47000000
PA
USD
95472.92000000
0.004635295774
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H03, Class FA
38375BF64
2752.60000000
PA
USD
2742.56000000
0.000133153744
Long
ABS-MBS
USGA
US
N
2
2060-08-20
Floating
2.03438200
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3
12669GBC4
192943.41000000
PA
USD
200327.16000000
0.009726063037
Long
ABS-MBS
CORP
US
N
2
2034-11-20
Variable
3.93442600
N
N
N
N
N
N
Citizens Bank NA
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA
17401QAQ4
720000.00000000
PA
USD
767101.85000000
0.037243481859
Long
DBT
CORP
US
N
2
2023-03-29
Fixed
3.70000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-4, Class 10A1
576434QG2
275446.71000000
PA
USD
280770.79000000
0.013631673322
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Fixed
5.00000000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2004-1, Class 12A1
07384MG48
289259.39000000
PA
USD
297899.28000000
0.014463276852
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
4.22925100
N
N
N
N
N
N
Engs Commercial Finance Trust
N/A
Engs Commercial Finance Trust, Series 2016-1A, Class A2
29332JAB2
53962.27000000
PA
USD
54029.81000000
0.002623195666
Long
ABS-O
CORP
US
Y
2
2022-02-22
Fixed
2.63000000
N
N
N
N
N
N
National Australia Bank Ltd.
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd.
632525AS0
1025000.00000000
PA
USD
1120268.65000000
0.054390046306
Long
DBT
CORP
AU
Y
2
2034-08-02
Variable
3.93300000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 2A1
576433LY0
32590.89000000
PA
USD
31987.03000000
0.001552998955
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
4.35835800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31373UED5
9302.35000000
PA
USD
9491.74000000
0.000460832478
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Variable
4.06900100
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGA2
1000000.00000000
PA
USD
1068748.00000000
0.051888672605
Long
DBT
CORP
US
N
2
2024-09-09
Fixed
3.30000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-3A, Class C
14686XAE9
5240000.00000000
PA
USD
5335235.43000000
0.259030458537
Long
ABS-O
CORP
US
Y
2
2024-10-15
Fixed
2.71000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4374, Class NC
3137BCSN9
607326.09000000
PA
USD
612771.98000000
0.029750628447
Long
ABS-MBS
USGSE
US
N
2
2046-02-15
Variable
3.75000100
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CL4
615000.00000000
PA
USD
664189.59000000
0.032246999464
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128LUJ31
43960.15000000
PA
USD
46440.34000000
0.002254720100
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
3.88000100
N
Y
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DB8
200000.00000000
PA
USD
234873.58000000
0.011403322669
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
6.95000000
N
N
N
N
N
N
Telefonica Emisiones SA
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAP8
316000.00000000
PA
USD
326819.32000000
0.015867370696
Long
DBT
CORP
ES
N
2
2021-02-16
Fixed
5.46200000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent, Series 2015-SFR1, Class A
02666AAA6
3874973.37000000
PA
USD
4111807.87000000
0.199631954758
Long
ABS-O
CORP
US
Y
3
2052-04-17
Fixed
3.46700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4A23
56180.76000000
PA
USD
59134.31000000
0.002871023713
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
3.93400100
N
Y
N
N
N
N
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
Credit Suisse AG
22546QAP2
402000.00000000
PA
USD
431895.57000000
0.020968916743
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Series 2007-42, Class AO
31396VM96
35448.34000000
PA
USD
32691.20000000
0.001587187039
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31407LE60
40287.06000000
PA
USD
45427.42000000
0.002205541927
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
7.50000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent, Series 2015-SFR1, Class E
02666AAE8
1275000.00000000
PA
USD
1408457.95000000
0.068381894933
Long
ABS-O
CORP
US
Y
3
2052-04-17
Fixed
5.63900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-118, Class A2
31396L4T4
247168.62000000
PA
USD
244726.74000000
0.011881702412
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
1.72087900
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-2A, Class D
96041LAF9
2500000.00000000
PA
USD
2565110.50000000
0.124538412171
Long
ABS-O
CORP
US
Y
2
2024-11-15
Fixed
3.20000000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAD5
634000.00000000
PA
USD
656772.63000000
0.031886899413
Long
DBT
CORP
NL
Y
2
2022-05-27
Fixed
2.90000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132G7H73
497809.27000000
PA
USD
517522.01000000
0.025126157095
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2176, Class OJ
3133TLTY4
98844.27000000
PA
USD
115043.67000000
0.005585473215
Long
ABS-MBS
USGSE
US
N
2
2029-08-15
Fixed
7.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-20CB, Class 3A8
12667GQN6
1800873.54000000
PA
USD
239169.51000000
0.011611893918
Long
ABS-MBS
CORP
US
N
3
2035-07-25
Floating
3.12324800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-53, Class NC
31394ABD7
58269.90000000
PA
USD
61296.95000000
0.002976021822
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8NF7
1541362.61000000
PA
USD
1645241.49000000
0.079877947871
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
2.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQH88
1004016.49000000
PA
USD
1063124.29000000
0.051615636448
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
FMR LLC
6X064LF7Y6B4DKF2GZ26
FMR LLC
30251BAB4
500000.00000000
PA
USD
764643.12000000
0.037124108315
Long
DBT
CORP
US
Y
2
2039-11-15
Fixed
6.45000000
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2013-2, Class A
48248XAA6
3151323.99490000
PA
USD
134422.88000000
0.006526351217
Long
ABS-O
CORP
US
Y
3
2039-03-25
Variable
2.13029600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M8RN6
1897417.17000000
PA
USD
2091839.04000000
0.101560658911
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844BV9
600000.00000000
PA
USD
708646.63000000
0.034405428573
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-28, Class PK
31392CA46
238132.53000000
PA
USD
277169.38000000
0.013456821640
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Fixed
6.50000000
N
N
N
N
N
N
Swiss Re Finance Luxembourg SA
549300CLQZ6TM98LW631
Swiss Re Finance Luxembourg SA
87089NAA8
600000.00000000
PA
USD
678900.00000000
0.032961203045
Long
DBT
CORP
LU
Y
2
2049-04-02
Variable
5.00000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp.
N/A
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1
2254W0GJ8
266722.79000000
PA
USD
276280.85000000
0.013413682713
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Variable
6.73310200
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
9128334Y3
1650000.00000000
PA
USD
1330364.44000000
0.064590385079
Long
DBT
UST
US
N
2
2034-08-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-91, Class WA
38378TTL4
814636.74000000
PA
USD
894344.55000000
0.043421228906
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Variable
4.47768000
N
N
N
N
N
N
PPL Capital Funding, Inc.
549300MROK5WY0D2NU17
PPL Capital Funding, Inc.
69352PAF0
200000.00000000
PA
USD
210037.37000000
0.010197502429
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-81, Class PI
31359RLD2
27465.77000000
PA
USD
2641.45000000
0.000128244763
Long
ABS-MBS
USGSE
US
N
2
2027-12-18
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP
31394PPU1
244627.81000000
PA
USD
203736.63000000
0.009891595859
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
None
0.00000000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2015-C, Class D
12635JAD8
889523.77000000
PA
USD
896288.78000000
0.043515623014
Long
ABS-O
CORP
US
Y
2
2021-08-16
Fixed
4.63000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2016-4A, Class D
23341JAD0
725179.84000000
PA
USD
728869.41000000
0.035387262654
Long
ABS-O
CORP
US
Y
2
2022-10-17
Fixed
3.77000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-51, Class SY
31393Y4T9
86844.36000000
PA
USD
108658.27000000
0.005275456326
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Floating
10.98650200
N
N
N
N
N
N
CNA Financial Corp.
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117AS9
463000.00000000
PA
USD
502288.74000000
0.024386568193
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.95000000
N
N
N
N
N
N
Duke Energy Corp.
I1BZKREC126H0VB1BL91
Duke Energy Corp.
26441CBE4
1098000.00000000
PA
USD
1205674.29000000
0.058536566620
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-22, Class AO
31395BA52
263958.31000000
PA
USD
244773.48000000
0.011883971681
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
None
0.00000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2K6
2800000.00000000
PA
USD
2948928.61000000
0.143173125172
Long
DBT
CORP
US
Y
2
2026-11-12
Fixed
2.95000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1994-1, Class 2ZB
911760DS2
170898.26000000
PA
USD
184645.23000000
0.008964691290
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Fixed
6.50000000
N
N
N
N
N
N
Credit Suisse Group Funding Guernsey Ltd.
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd.
225433AD3
250000.00000000
PA
USD
250132.50000000
0.012144156901
Long
DBT
CORP
GG
N
2
2020-03-26
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-94, Class H
31358EN32
3.06000000
PA
USD
4.77000000
0.000000231587
Long
ABS-MBS
USGSE
US
N
2
2020-08-25
Fixed
505.00000000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DE2
700000.00000000
PA
USD
916056.23000000
0.044475350416
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
7.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-58, Class BE
38374BNE9
598832.01000000
PA
USD
677522.19000000
0.032894309135
Long
ABS-MBS
USGA
US
N
2
2033-01-20
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140J73J2
4471995.72000000
PA
USD
4839444.94000000
0.234959386202
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585AAG7
200000.00000000
PA
USD
213610.65000000
0.010370988374
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
3.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H28, Class FA
38375BYE6
65954.13000000
PA
USD
66005.69000000
0.003204635366
Long
ABS-MBS
USGA
US
N
2
2062-09-20
Floating
2.31437900
N
N
N
N
N
N
Impac Secured Assets Trust
N/A
Impac Secured Assets Trust, Series 2006-1, Class 2A1
45254TTN4
220934.67000000
PA
USD
216379.02000000
0.010505395217
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.97674900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 310
3132HTSS6
1353888.73000000
PA
USD
1231558.53000000
0.059793269655
Long
ABS-MBS
USGSE
US
N
2
2043-09-15
None
0.00000000
N
N
N
N
N
N
Plains All American Pipeline LP
N/A
Plains All American Pipeline LP
72650RBE1
610000.00000000
PA
USD
557963.32000000
0.027089618916
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.70000000
N
N
N
N
N
N
AstraZeneca plc
PY6ZZQWO2IZFZC3IOL08
AstraZeneca plc
046353AG3
240000.00000000
PA
USD
286101.57000000
0.013890487465
Long
DBT
CORP
GB
N
2
2042-09-18
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225BYK8
69156.49000000
PA
USD
83934.63000000
0.004075101461
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
7.00000000
N
N
N
N
N
N
Goodgreen Trust
N/A
Goodgreen Trust, Series 2017-1A, Class A
38217VAA8
565955.87000000
PA
USD
600562.71000000
0.029157857454
Long
ABS-O
CORP
US
Y
2
2052-10-15
Fixed
3.74000000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-36, Class DE
313920LG3
102497.78000000
PA
USD
120210.17000000
0.005836311417
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Fixed
7.00000000
N
N
N
N
N
N
Steel Dynamics, Inc.
549300HGGKEL4FYTTQ83
Steel Dynamics, Inc.
858119BK5
909000.00000000
PA
USD
953802.06000000
0.046307944269
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2230, Class Z
3133TNSS4
60248.52000000
PA
USD
71632.57000000
0.003477825429
Long
ABS-MBS
USGSE
US
N
2
2030-04-15
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3194, Class SA
31396UD64
41163.13000000
PA
USD
8885.28000000
0.000431388301
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Floating
5.44150100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8CB8
3866178.68000000
PA
USD
4253617.22000000
0.206516925709
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-147, Class SA
31397QW95
1241857.05000000
PA
USD
280342.77000000
0.013610892567
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Floating
4.90325000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BC3
190000.00000000
PA
USD
201110.16000000
0.009764078388
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
4.50000000
N
N
N
N
N
N
SART
N/A
SART
N/A
3581844.80000000
PA
USD
3653481.70000000
0.177379808712
Long
ABS-MBS
CORP
US
N
2
2025-06-15
Fixed
4.75700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NFGD3
125702.44000000
PA
USD
131272.68000000
0.006373406186
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
3.84599900
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410GNM1
66528.40000000
PA
USD
71922.63000000
0.003491908102
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CK1
275000.00000000
PA
USD
322149.04000000
0.015640624419
Long
DBT
CORP
US
Y
2
2047-08-15
Fixed
4.60000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1602, Class SA
3133T1D82
17946.12000000
PA
USD
21537.85000000
0.001045681907
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Floating
17.30218700
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-108, Class GU
3136AGMM1
4000000.00000000
PA
USD
4304336.00000000
0.208979367904
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
3.00000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
549300CLH5NTWN3BHD63
Westlake Automobile Receivables Trust, Series 2017-1A, Class C
96042EAE7
32192.93000000
PA
USD
32209.93000000
0.001563820949
Long
ABS-O
CORP
US
Y
2
2022-10-17
Fixed
2.70000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H29, Class FA
38375BZQ8
1005916.47000000
PA
USD
1006974.90000000
0.048889533274
Long
ABS-MBS
USGA
US
N
2
2062-10-20
Floating
2.24938100
N
N
N
N
N
N
Nomura Asset Acceptance Corp. Alternative Loan Trust
N/A
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2
65535VAU2
83503.27000000
PA
USD
87097.72000000
0.004228672313
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
ONEOK, Inc.
2T3D6M0JSY48PSZI1Q41
ONEOK, Inc.
682680AV5
850000.00000000
PA
USD
966483.26000000
0.046923627887
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
5.20000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H15, Class FA
38375BUB6
2754.51000000
PA
USD
2754.39000000
0.000133728101
Long
ABS-MBS
USGA
US
N
2
2062-05-20
Floating
2.18437900
N
N
N
N
N
N
Mylan NV
549300A0CD4KNFGIIS89
Mylan NV
62854AAN4
300000.00000000
PA
USD
326172.43000000
0.015835963607
Long
DBT
CORP
NL
N
2
2026-06-15
Fixed
3.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-52, Class SX
31393CV67
56351.80000000
PA
USD
89333.40000000
0.004337216579
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
18.06975000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XAW6
1091000.00000000
PA
USD
1118559.16000000
0.054307049036
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CZN6
5459.49000000
PA
USD
6106.38000000
0.000296470218
Long
ABS-MBS
USGA
US
N
2
2028-02-20
Fixed
7.50000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LBE0
653000.00000000
PA
USD
736749.09000000
0.035769828176
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
3.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402TVS1
31976.17000000
PA
USD
36336.19000000
0.001764154568
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JT9
865000.00000000
PA
USD
962589.21000000
0.046734568271
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1798, Class F
3133T6MS7
46572.38000000
PA
USD
48358.85000000
0.002347865479
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Fixed
5.00000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8
92922FEV6
378996.24000000
PA
USD
387201.77000000
0.018798992724
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-14, Class NI
38374XAF2
260138.72000000
PA
USD
63778.78000000
0.003096516891
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
6.50000000
N
N
N
N
N
N
Bear Stearns Commercial Mortgage Securities Trust
N/A
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR8, Class X1
07383F6S2
180577.28000000
PA
USD
340.21000000
0.000016517500
Long
ABS-MBS
CORP
US
Y
3
2041-06-11
Variable
0.61731400
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828T34
6240000.00000000
PA
USD
6254868.73000000
0.303679478906
Long
DBT
UST
US
N
2
2021-09-30
Fixed
1.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-27, Class SN
31396Y4G4
141669.88000000
PA
USD
26473.72000000
0.001285322816
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Floating
5.27325100
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AQ3
441000.00000000
PA
USD
521185.47000000
0.025304021359
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202C5G4
1862.25000000
PA
USD
1900.74000000
0.000092282629
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31287UNA6
20357.01000000
PA
USD
22992.77000000
0.001116319576
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292J5A4
84236.25000000
PA
USD
97677.79000000
0.004742344187
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H21, Class CF
38375BWA6
43835.14000000
PA
USD
43994.42000000
0.002135968493
Long
ABS-MBS
USGA
US
N
2
2061-05-20
Floating
2.43438100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-92
3136AGGA4
1216537.99000000
PA
USD
1089545.17000000
0.052898393835
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
None
0.00000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2017-2A, Class C
22533YAE5
604000.00000000
PA
USD
611102.25000000
0.029669561560
Long
ABS-O
CORP
US
Y
2
2026-06-15
Fixed
3.35000000
N
N
N
N
N
N
Oportun Funding VI LLC
N/A
Oportun Funding VI LLC, Series 2017-A, Class A
68376GAA5
1455000.00000000
PA
USD
1457138.56000000
0.070745382148
Long
ABS-O
CORP
US
Y
2
2023-06-08
Fixed
3.23000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7
576433UM6
358272.41000000
PA
USD
368041.32000000
0.017868735715
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Variable
4.69189800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 365, Class 8
3136FCZH2
267578.56000000
PA
USD
57213.32000000
0.002777757928
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Fixed
5.50000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PDT6
815000.00000000
PA
USD
895274.61000000
0.043466384152
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381TYT1
518145.62000000
PA
USD
532941.29000000
0.025874776949
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
2.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3149, Class SO
31396RJA6
29491.66000000
PA
USD
26237.81000000
0.001273869174
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746SK8
500000.00000000
PA
USD
513776.52000000
0.024944310201
Long
DBT
CORP
US
N
2
2023-01-24
Fixed
3.06900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31418MZT2
100995.61000000
PA
USD
123378.92000000
0.005990157068
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
7.00000000
N
N
N
N
N
N
Southern Natural Gas Co. LLC
N/A
Southern Natural Gas Co. LLC
84346LAA8
367000.00000000
PA
USD
443024.69000000
0.021509245486
Long
DBT
CORP
US
Y
2
2047-03-15
Fixed
4.80000000
N
N
N
N
N
N
Delta Air Lines Pass-Through Trust
N/A
Delta Air Lines Pass-Through Trust, Series 2015-1, Class AA
24736XAA6
265606.73000000
PA
USD
293705.56000000
0.014259667990
Long
ABS-O
CORP
US
N
2
2027-07-30
Fixed
3.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1935, Class FL
3133T8Z83
2768.31000000
PA
USD
2796.01000000
0.000135748789
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Floating
2.35850000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-38, Class SW
38374NPR2
169211.67000000
PA
USD
11409.72000000
0.000553952124
Long
ABS-MBS
USGA
US
N
2
2036-06-20
Floating
4.85300200
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810PV4
300000.00000000
PA
USD
426128.23000000
0.020688907220
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAE5
400000.00000000
PA
USD
415430.71000000
0.020169533043
Long
DBT
CORP
ES
N
2
2023-02-23
Fixed
3.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3219, Class DI
31397BF22
173245.44000000
PA
USD
36773.46000000
0.001785384418
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-52, Class KB
313921KW7
34215.08000000
PA
USD
38657.94000000
0.001876877610
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Fixed
6.50000000
N
N
N
N
N
N
Royal Bank of Scotland Group plc
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group plc
780097BM2
900000.00000000
PA
USD
935659.36000000
0.045427099935
Long
DBT
CORP
GB
N
2
2029-11-01
Variable
3.75400100
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-3, Class 2A1
576434NV2
212911.08000000
PA
USD
219943.55000000
0.010678456341
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Fixed
6.25000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38148LAC0
557000.00000000
PA
USD
595452.83000000
0.028909768203
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RT7
11193300.00000000
PA
USD
12560544.13000000
0.609825667145
Long
DBT
UST
US
N
2
2046-08-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31404ADZ4
473491.89000000
PA
USD
504059.42000000
0.024472536293
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7
9393366B4
1162239.93660000
PA
USD
1162320.36000000
0.056431694490
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-130, Class CA
3136A2B85
829889.32000000
PA
USD
997581.65000000
0.048433482574
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828P79
3000000.00000000
PA
USD
3054257.82000000
0.148286952654
Long
DBT
UST
US
N
2
2023-02-28
Fixed
1.50000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AD2
961000.00000000
PA
USD
1054451.95000000
0.051194586574
Long
DBT
CORP
US
Y
2
2039-01-15
Fixed
3.70100000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4
9393363L5
3576724.12000000
PA
USD
476256.91000000
0.023122699531
Long
ABS-MBS
CORP
US
N
3
2035-04-25
Floating
3.42325100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-19, Class SD
38375JTV7
462350.97000000
PA
USD
47752.63000000
0.002318432955
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Floating
4.55299900
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967KN0
1000000.00000000
PA
USD
1081248.02000000
0.052495559772
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2163, Class PC
3133TLFS2
21925.16000000
PA
USD
2407.73000000
0.000116897447
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.50000000
N
N
N
N
N
N
Dominion Energy Gas Holdings LLC
549300BFOD6TDMVV4O24
Dominion Energy Gas Holdings LLC
257375AK1
382000.00000000
PA
USD
383981.19000000
0.018642630680
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
2.80000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBB3
359000.00000000
PA
USD
419887.22000000
0.020385900595
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class AA
00908PAA5
453291.20000000
PA
USD
489996.00000000
0.023789744656
Long
ABS-O
CORP
CA
Y
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
Life Storage LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAB0
859000.00000000
PA
USD
959478.97000000
0.046583563334
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-59, Class SD
38374NQ34
320728.56000000
PA
USD
60925.28000000
0.002957976910
Long
ABS-MBS
USGA
US
N
2
2036-10-20
Floating
5.05300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-14, Class KI
38374XBQ7
267608.57000000
PA
USD
49962.76000000
0.002425736746
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138WTRM0
2951785.57000000
PA
USD
3133470.66000000
0.152132806981
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Liberty Mutual Insurance Co.
CNC20I6IOMGF7KY49D67
Liberty Mutual Insurance Co.
53079QAB3
100000.00000000
PA
USD
128556.74000000
0.006241544866
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
8.50000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833CX6
1125000.00000000
PA
USD
1217776.16000000
0.059124123248
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-90, Class AO
31396KU42
141534.72000000
PA
USD
132520.57000000
0.006433992363
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
None
0.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967LP4
1573000.00000000
PA
USD
1722947.91000000
0.083650664159
Long
DBT
CORP
US
N
2
2028-07-24
Variable
3.66800000
N
N
N
N
N
N
Invesco Finance plc
549300OYQ3LAJYXXO449
Invesco Finance plc
46132FAB6
657000.00000000
PA
USD
718561.96000000
0.034886826725
Long
DBT
CORP
GB
N
2
2024-01-30
Fixed
4.00000000
N
N
N
N
N
N
Precision Castparts Corp.
0XOOAY5P5J7Q734SEC89
Precision Castparts Corp.
740189AM7
897000.00000000
PA
USD
961589.47000000
0.046686029999
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.25000000
N
N
N
N
N
N
MASTR Resecuritization Trust
N/A
MASTR Resecuritization Trust, Series 2005-PO, Class 3PO
576435BB6
113360.87000000
PA
USD
96263.10000000
0.004673659721
Long
ABS-MBS
CORP
US
Y
3
2035-05-28
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31381TYU8
841949.56000000
PA
USD
843789.64000000
0.040966742747
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Variable
2.46200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-18, Class Z
31359VRN5
70972.19000000
PA
USD
76427.67000000
0.003710631829
Long
ABS-MBS
USGSE
US
N
2
2029-04-18
Fixed
5.50000000
N
N
N
N
N
N
Spectra Energy Partners LP
2HKVXE7U4NF5B6UGSU72
Spectra Energy Partners LP
84756NAE9
452000.00000000
PA
USD
572638.58000000
0.027802115932
Long
DBT
CORP
US
N
2
2043-09-25
Fixed
5.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58, Class AP
31395NE29
324349.36000000
PA
USD
296845.80000000
0.014412129454
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
Westgate Resorts LLC
5493001B6N5F6HQT6Z27
Westgate Resorts LLC, Series 2017-1A, Class A
96033DAA8
645780.75000000
PA
USD
651647.67000000
0.031638078015
Long
ABS-O
CORP
US
Y
2
2030-12-20
Fixed
3.05000000
N
N
N
N
N
N
BP Capital Markets plc
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QDA3
451000.00000000
PA
USD
490374.38000000
0.023808115344
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128KRW91
570070.17000000
PA
USD
640684.96000000
0.031105828626
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.00000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XCK0
540000.00000000
PA
USD
577912.21000000
0.028058155392
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128Q3NB3
32563.72000000
PA
USD
34505.82000000
0.001675288465
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
4.74999800
N
Y
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-H09, Class TA
38375UFZ8
1284346.08000000
PA
USD
1288497.99000000
0.062557731435
Long
ABS-MBS
USGA
US
N
2
2064-04-20
Floating
2.33438000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAL1
554000.00000000
PA
USD
609318.41000000
0.029582954531
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.85000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB
35563PLJ6
1725000.00000000
PA
USD
1956579.70000000
0.094993696811
Long
ABS-MBS
CORP
US
N
3
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Trust, Series 2018-C, Class D
12655CAD8
2964000.00000000
PA
USD
3092764.46000000
0.150156484514
Long
ABS-O
CORP
US
Y
2
2024-06-17
Fixed
4.40000000
N
N
N
N
N
N
RFMSI Trust
N/A
RFMSI Trust, Series 2004-S9, Class 2A1
76111XRG0
26.65000000
PA
USD
26.77000000
0.000001299707
Long
ABS-MBS
CORP
US
N
2
2019-12-25
Fixed
4.75000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBJ3
250000.00000000
PA
USD
271335.20000000
0.013173566976
Long
DBT
CORP
US
N
2
2025-10-29
Fixed
4.20000000
N
N
N
N
N
N
FREED ABS Trust
549300S83C1QQOPJBY76
FREED ABS Trust, Series 2018-2, Class A
35634BAA3
1049308.03000000
PA
USD
1058849.28000000
0.051408080884
Long
ABS-O
CORP
US
Y
2
2025-10-20
Fixed
3.99000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-83, Class CS
31392GKS3
120367.06000000
PA
USD
127292.31000000
0.006180155657
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Fixed
6.88111000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-65, Class QO
31396KAA0
241825.25000000
PA
USD
224671.79000000
0.010908016627
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
Rmip Frn
N/A
Rmip Frn
N/A
2217073.35000000
PA
USD
2217073.35000000
0.107640896825
Long
ABS-MBS
CORP
US
N
3
2021-08-25
Fixed
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2224, Class CB
3133TNK45
24286.23000000
PA
USD
29183.38000000
0.001416879236
Long
ABS-MBS
USGSE
US
N
2
2030-03-15
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1991-7, Class K
31358FZY8
0.03000000
PA
USD
0.08000000
0.000000003884
Long
ABS-MBS
USGSE
US
N
2
2021-02-25
Fixed
908.50000000
N
N
N
N
N
N
International Lease Finance Corp.
N/A
International Lease Finance Corp.
459745GN9
506000.00000000
PA
USD
551330.42000000
0.026767585680
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2005-E, Class 4A1
05946XXQ1
56193.75000000
PA
USD
56545.44000000
0.002745331755
Long
ABS-MBS
CORP
US
N
2
2035-03-20
Variable
4.43590600
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122CA4
810000.00000000
PA
USD
884158.80000000
0.042926701621
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810FD5
799000.00000000
PA
USD
1668989.39000000
0.081030929686
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AM1
400000.00000000
PA
USD
437163.41000000
0.021224675093
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBH5
506000.00000000
PA
USD
550672.38000000
0.026735637249
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
3.70000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H23, Class FB
38376RHF6
2368127.42000000
PA
USD
2372598.92000000
0.115191802543
Long
ABS-MBS
USGA
US
N
2
2065-09-20
Floating
2.25438100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8K52
3000000.00000000
PA
USD
3304086.24000000
0.160416346199
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
3.34000000
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAA6
740000.00000000
PA
USD
796206.88000000
0.038656557132
Long
DBT
CORP
NL
Y
2
2027-05-25
Fixed
3.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4251, Class KW
3137B4KB1
3684366.00000000
PA
USD
3854349.75000000
0.187132132444
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
2.50000000
N
N
N
N
N
N
Baxalta, Inc.
5493000JW8DCO3T45R55
Baxalta, Inc.
07177MAL7
149000.00000000
PA
USD
154953.54000000
0.007523133148
Long
DBT
CORP
US
N
2
2022-06-23
Fixed
3.60000000
N
N
N
N
N
N
GMAT Trust
N/A
GMAT Trust, Series 2013-1A, Class A
36198GAA8
3977.97000000
PA
USD
3978.39000000
0.000193154397
Long
ABS-O
CORP
US
Y
3
2043-11-25
Variable
6.96690000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418AHB7
1098017.52000000
PA
USD
1183433.98000000
0.057456779651
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-68, Class UC
31394E4A3
10485.09000000
PA
USD
10478.98000000
0.000508763864
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Fixed
5.00000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BK9
615000.00000000
PA
USD
774317.90000000
0.037593827549
Long
DBT
CORP
US
N
2
2035-11-03
Fixed
4.20000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2003-9, Class 8A1
576434LD4
279949.89000000
PA
USD
288823.91000000
0.014022659510
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Fixed
6.00000000
N
N
N
N
N
N
GE Capital Mortgage Services, Inc. Trust
N/A
GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M
36157RD93
77377.63000000
PA
USD
67442.74000000
0.003274405430
Long
ABS-O
CORP
US
N
3
2029-04-25
Variable
6.70500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-165, Class SK
31359D5S8
7840.22000000
PA
USD
8490.23000000
0.000412208270
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
12.49999900
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38148YAC2
505000.00000000
PA
USD
514998.68000000
0.025003647163
Long
DBT
CORP
US
N
2
2022-10-31
Variable
2.87600000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AB6
831000.00000000
PA
USD
856709.06000000
0.041593992159
Long
DBT
NUSS
MX
Y
2
2021-05-26
Fixed
4.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LH1
18545000.00000000
PA
USD
18163283.44000000
0.881843678643
Long
DBT
UST
US
N
2
2022-05-15
None
0.00000000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C
05525MAG1
1300000.00000000
PA
USD
1470942.72000000
0.071415586480
Long
ABS-MBS
CORP
US
Y
3
2046-08-15
Variable
4.21390100
N
N
N
N
N
N
FNMA/FHLMC
N/A
FNMA/FHLMC UMBS, Single Family, 30 Year
01F030645
15000000.00000000
PA
USD
15423897.00000000
0.748844013496
Long
ABS-MBS
USGSE
US
N
2
2049-04-25
Fixed
3.00000000
N
N
N
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
92857WBM1
496000.00000000
PA
USD
625976.44000000
0.030391716806
Long
DBT
CORP
GB
N
2
2048-05-30
Fixed
5.25000000
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp.
337932AL1
1095000.00000000
PA
USD
1118082.05000000
0.054283884918
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.65000000
N
N
N
N
N
N
State Street Corp.
549300ZFEEJ2IP5VME73
State Street Corp.
857477AL7
369000.00000000
PA
USD
387038.31000000
0.018791056594
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-2, Class WA
31397QHL5
280653.08000000
PA
USD
317086.99000000
0.015394857357
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Variable
5.86222600
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2015-SFR3, Class A
74332NAA1
5187380.29000000
PA
USD
5190870.36000000
0.252021405091
Long
ABS-O
CORP
US
Y
3
2032-11-12
Fixed
3.06700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405XXV0
259060.12000000
PA
USD
271264.66000000
0.013170142196
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
3.62000200
N
N
N
N
N
N
Tyson Foods, Inc.
WD6L6041MNRW1JE49D58
Tyson Foods, Inc.
902494AY9
210000.00000000
PA
USD
269900.52000000
0.013103911977
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
5.15000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBB8
475000.00000000
PA
USD
511096.03000000
0.024814170010
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.90000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust, Series 2017-AA, Class A
43283AAA3
199909.89000000
PA
USD
203412.61000000
0.009875864398
Long
ABS-O
CORP
US
Y
2
2028-12-26
Fixed
2.66000000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Republic of Peru
715638BM3
88000.00000000
PA
USD
135767.50000000
0.006591633722
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MBP4
1315000.00000000
PA
USD
1399570.62000000
0.067950407102
Long
DBT
CORP
JP
N
2
2029-07-16
Fixed
3.04000000
N
N
N
N
N
N
Brookfield Finance, Inc.
N/A
Brookfield Finance, Inc.
11271LAD4
411000.00000000
PA
USD
486761.88000000
0.023632725233
Long
DBT
CORP
CA
N
2
2029-03-29
Fixed
4.85000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DYY1
104599.26000000
PA
USD
111062.49000000
0.005392183360
Long
ABS-MBS
USGA
US
N
2
2033-08-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349SF40
186033.97000000
PA
USD
196792.55000000
0.009554454556
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Variable
3.98000200
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-124, Class HB
31396PGJ4
659448.50000000
PA
USD
685849.45000000
0.033298605066
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
3.82833700
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122BR8
633000.00000000
PA
USD
884066.47000000
0.042922218917
Long
DBT
CORP
US
Y
2
2040-10-15
Fixed
5.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-68, Class PG
31394E7B8
441737.79000000
PA
USD
499351.40000000
0.024243957705
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SC3
3757000.00000000
PA
USD
4990792.94000000
0.242307467154
Long
DBT
UST
US
N
2
2048-05-15
Fixed
3.12500000
N
N
N
N
N
N
General Electric Co.
3C7474T6CDKPR9K6YT90
General Electric Co.
369622SM8
191000.00000000
PA
USD
196505.50000000
0.009540518021
Long
DBT
CORP
US
N
2
2021-02-11
Fixed
5.30000000
N
N
N
N
N
N
Consolidated Edison Co. of New York, Inc.
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co. of New York, Inc.
209111FA6
596000.00000000
PA
USD
836575.01000000
0.040616465999
Long
DBT
CORP
US
N
2
2040-06-15
Fixed
5.70000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833CD0
569000.00000000
PA
USD
678642.98000000
0.032948724493
Long
DBT
CORP
US
N
2
2046-08-04
Fixed
3.85000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A
17307GCU0
2572.28000000
PA
USD
2572.19000000
0.000124882128
Long
ABS-O
CORP
US
N
2
2033-12-25
Floating
2.38675000
N
N
N
N
N
N
Public Service Electric & Gas Co.
549300RUHPVD434XUK18
Public Service Electric & Gas Co.
74456QAU0
317000.00000000
PA
USD
440135.50000000
0.021368972724
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
5.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LP3
4845000.00000000
PA
USD
4673432.15000000
0.226899316561
Long
DBT
UST
US
N
2
2023-11-15
None
0.00000000
N
N
N
N
N
N
Verizon Owner Trust
549300DBBHVB9QKK8Q94
Verizon Owner Trust, Series 2018-A, Class A1A
92348XAA3
2405000.00000000
PA
USD
2458014.62000000
0.119338811279
Long
ABS-O
CORP
US
N
2
2023-04-20
Fixed
3.23000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-43, Class SA
31359TL71
20721.79000000
PA
USD
4578.08000000
0.000222269884
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
18.42666800
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBK9
110000.00000000
PA
USD
143396.36000000
0.006962021708
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.75000000
N
N
N
N
N
N
General Mills, Inc.
2TGYMUGI08PO8X8L6150
General Mills, Inc.
370334CF9
490000.00000000
PA
USD
542291.83000000
0.026328754040
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YX2
10153900.00000000
PA
USD
10627087.58000000
0.515954619976
Long
DBT
UST
US
N
2
2026-12-31
Fixed
1.75000000
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BN1
200000.00000000
PA
USD
216616.25000000
0.010516912946
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
Dominion Energy Gas Holdings LLC
549300BFOD6TDMVV4O24
Dominion Energy Gas Holdings LLC, Series C
257375AQ8
807000.00000000
PA
USD
876950.95000000
0.042576754048
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.90000000
N
N
N
N
N
N
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2018-1, Class A
11043HAA6
932742.18000000
PA
USD
1039094.10000000
0.050448949201
Long
ABS-O
CORP
US
Y
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2209, Class TC
3133TNCF9
52885.10000000
PA
USD
62881.40000000
0.003052948288
Long
ABS-MBS
USGSE
US
N
2
2030-01-15
Fixed
8.00000000
N
N
N
N
N
N
President & Fellows of Harvard College
6S3X7J22E861RNTJSA74
President & Fellows of Harvard College
740816AN3
643000.00000000
PA
USD
773863.10000000
0.037571746602
Long
DBT
CORP
US
N
2
2056-07-15
Fixed
3.30000000
N
N
N
N
N
N
MVW LLC
N/A
MVW LLC, Series 2019-2A, Class B
55400DAB7
4346898.68000000
PA
USD
4423858.78000000
0.214782305921
Long
ABS-O
CORP
US
Y
3
2038-10-20
Fixed
2.44000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31419AEJ2
86320.93000000
PA
USD
86399.84000000
0.004194789614
Long
ABS-MBS
USGSE
US
N
2
2020-04-01
Variable
4.30300100
N
N
N
N
N
N
Reliance Standard Life Global Funding II
N/A
Reliance Standard Life Global Funding II
75951AAN8
710000.00000000
PA
USD
741331.61000000
0.035992313626
Long
DBT
CORP
US
Y
2
2027-01-21
Fixed
2.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2002-52, Class GH
38373XE69
417080.28000000
PA
USD
417024.47000000
0.020246911519
Long
ABS-MBS
USGA
US
N
2
2032-07-20
Fixed
6.50000000
N
N
N
N
N
N
Roper Technologies, Inc.
54930003T4SXCIWVXY35
Roper Technologies, Inc.
776743AA4
192000.00000000
PA
USD
193682.94000000
0.009403480205
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
3.00000000
N
N
N
N
N
N
LV Tower 52 Issuer
N/A
LV Tower 52 Issuer, Series 2013-1, Class A
50244VAC6
3908405.48000000
PA
USD
3922397.57000000
0.190435915051
Long
ABS-O
CORP
US
Y
3
2019-07-15
Fixed
5.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-14, Class CO
38376WBS3
226442.35000000
PA
USD
209237.46000000
0.010158666082
Long
ABS-MBS
USGA
US
N
2
2035-08-20
None
0.00000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAA8
788000.00000000
PA
USD
841682.50000000
0.040864439213
Long
DBT
NUSS
MX
N
2
2025-01-30
Fixed
3.60000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1
576433UE4
156783.49000000
PA
USD
160698.95000000
0.007802077949
Long
ABS-MBS
CORP
US
N
2
2034-04-21
Variable
4.57548500
N
N
N
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class B
68268XAB7
1863000.00000000
PA
USD
1926994.98000000
0.093557332158
Long
ABS-O
CORP
US
Y
2
2025-04-14
Fixed
3.71000000
N
N
N
N
N
N
ORIX Corp.
35380016EMHNBOVYE123
ORIX Corp.
686330AH4
553000.00000000
PA
USD
568821.42000000
0.027616789396
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.90000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578DAX0
400000.00000000
PA
USD
431955.82000000
0.020971841934
Long
DBT
CORP
FR
N
2
2026-12-02
Fixed
3.37500000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XBW5
1400000.00000000
PA
USD
1477286.80000000
0.071723597246
Long
DBT
CORP
US
N
2
2024-04-13
Fixed
3.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-110, Class GL
31394US60
3377670.00000000
PA
USD
3909373.35000000
0.189803577505
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3819, Class ZQ
3137A8N20
1030794.29000000
PA
USD
1217743.37000000
0.059122531264
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc., Series F
257469AJ5
920000.00000000
PA
USD
1156678.91000000
0.056157797039
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.25000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCK8
396000.00000000
PA
USD
526941.63000000
0.025583488082
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86200000
N
N
N
N
N
N
Boston Gas Co.
FN7P4E7K9JOBORDEUX61
Boston Gas Co.
100743AJ2
308000.00000000
PA
USD
383355.08000000
0.018612232479
Long
DBT
CORP
US
Y
2
2042-02-15
Fixed
4.48700000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class XA
90269CAH3
7014616.35000000
PA
USD
181161.59000000
0.008795557448
Long
ABS-MBS
CORP
US
Y
3
2063-05-10
Variable
1.30676800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H3XA6
527468.67000000
PA
USD
568685.43000000
0.027610186959
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-188, Class W
38379HTQ8
598097.26000000
PA
USD
669623.11000000
0.032510801726
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Variable
4.59866900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381RB45
1894996.40000000
PA
USD
1946078.53000000
0.094483855603
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
4.26000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381RTA2
2590881.15000000
PA
USD
2987609.62000000
0.145051122851
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.54000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
9128337V6
3600000.00000000
PA
USD
2917444.54000000
0.141644545375
Long
DBT
UST
US
N
2
2034-05-15
None
0.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGE3
588000.00000000
PA
USD
603145.86000000
0.029283271700
Long
DBT
CORP
US
N
2
2023-01-20
Variable
3.12400100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410S5Y9
101373.22000000
PA
USD
107930.68000000
0.005240131180
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
4.56599900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407KGJ2
61034.02000000
PA
USD
64249.68000000
0.003119379508
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
3.73399900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-91, Class ES
31396XYW8
916598.60000000
PA
USD
183512.39000000
0.008909690894
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Floating
4.83324800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-23, Class KO
31395B4J9
50672.74000000
PA
USD
47303.00000000
0.002296603016
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
None
0.00000000
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAR0
772000.00000000
PA
USD
849316.66000000
0.041235084518
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
3.50000000
N
N
N
N
N
N
Airbus Finance BV
529900M7QSB704RUUT95
Airbus Finance BV
26824KAA2
557000.00000000
PA
USD
580557.51000000
0.028186587076
Long
DBT
CORP
NL
Y
2
2023-04-17
Fixed
2.70000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-1, Class AA
90931CAA6
995490.70000000
PA
USD
1125804.61000000
0.054658822122
Long
ABS-O
CORP
US
N
2
2031-08-25
Fixed
4.15000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K052, Class A2
3137BMTX4
3560000.00000000
PA
USD
3873525.64000000
0.188063139078
Long
ABS-MBS
USGSE
US
N
2
2025-11-25
Fixed
3.15100000
N
N
N
N
N
N
Scentre Group Trust 1
N/A
Scentre Group Trust 1
806213AB0
420000.00000000
PA
USD
448726.25000000
0.021786061331
Long
DBT
CORP
AU
Y
2
2025-02-12
Fixed
3.50000000
N
N
N
N
N
N
Telefonica Emisiones SA
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAM5
526000.00000000
PA
USD
528482.09000000
0.025658278795
Long
DBT
CORP
ES
N
2
2020-04-27
Fixed
5.13400000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3326, Class JO
31397JJN5
13775.90000000
PA
USD
12504.92000000
0.000607125065
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LN8
14070000.00000000
PA
USD
13648500.23000000
0.662646910209
Long
DBT
UST
US
N
2
2023-05-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-22, Class SA
38374TRY2
604221.37000000
PA
USD
69982.07000000
0.003397692176
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Floating
4.62300100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H26, Class MA
38375BYQ9
27194.31000000
PA
USD
27223.31000000
0.001321716082
Long
ABS-MBS
USGA
US
N
2
2062-07-20
Floating
2.28438000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A
92922FBX5
104547.15000000
PA
USD
107155.69000000
0.005202504721
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
4.39966800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-47, Class PH
38375KE99
2500000.00000000
PA
USD
2942746.50000000
0.142872978195
Long
ABS-MBS
USGA
US
N
2
2037-07-16
Fixed
6.00000000
N
N
N
N
N
N
AIB Group plc
635400AKJBGNS5WNQL34
AIB Group plc
00135TAA2
1165000.00000000
PA
USD
1267892.44000000
0.061557313527
Long
DBT
CORP
IE
Y
2
2023-10-12
Fixed
4.75000000
N
N
N
N
N
N
Baker Hughes a GE Co. LLC
549300XU3XH6F05YEQ93
Baker Hughes a GE Co. LLC
057224AZ0
300000.00000000
PA
USD
360388.00000000
0.017497160175
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
5.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-38, Class SK
31359WVD0
3998.79000000
PA
USD
301.76000000
0.000014650718
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
6.42325000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LD0
20675000.00000000
PA
USD
20430819.57000000
0.991934588634
Long
DBT
UST
US
N
2
2021-05-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-37, Class H
31359E2U4
3050.85700000
PA
USD
2982.04000000
0.000144780712
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-74, Class CS
31394FDF9
166614.13000000
PA
USD
212111.40000000
0.010298198443
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
15.54643800
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VDU5
457000.00000000
PA
USD
607179.96000000
0.029479130868
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-10, Class S
38375PYG0
287697.88000000
PA
USD
35885.94000000
0.001742294527
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Floating
4.18299800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418A3V8
3172879.71000000
PA
USD
3497250.66000000
0.169794651795
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LK4
14400000.00000000
PA
USD
14047648.27000000
0.682025905042
Long
DBT
UST
US
N
2
2022-11-15
None
0.00000000
N
N
N
N
N
N
Camillo Issuer LLC
N/A
Camillo Issuer LLC, Series 2016-SFR, Class 1-A-1
133715AA0
4904320.52000000
PA
USD
4893592.32000000
0.237588289997
Long
ABS-O
USGA
US
N
3
2023-12-05
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3074, Class BH
31396FM83
365404.18000000
PA
USD
396221.02000000
0.019236885389
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Fixed
5.00000000
N
N
N
N
N
N
Brookfield Finance, Inc.
N/A
Brookfield Finance, Inc.
11271LAB8
427000.00000000
PA
USD
528279.39000000
0.025648437528
Long
DBT
CORP
CA
N
2
2047-09-20
Fixed
4.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5RM4
1711928.51000000
PA
USD
1910747.04000000
0.092768480119
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.97000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3617JSLW4
1703700.90000000
PA
USD
1917215.95000000
0.093082551493
Long
ABS-MBS
USGA
US
N
2
2049-07-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-24
38373SF69
25732.56600000
PA
USD
24765.45000000
0.001202384778
Long
ABS-MBS
USGA
US
N
2
2033-03-16
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-7, Class PF
31359SDC1
30310.89000000
PA
USD
35919.56000000
0.001743926808
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Fixed
7.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
9128337T1
10500000.00000000
PA
USD
8676607.17000000
0.421257049156
Long
DBT
UST
US
N
2
2033-05-15
None
0.00000000
N
N
N
N
N
N
Welltower, Inc.
T6IZ0MBEG5ACZDTR7D06
Welltower, Inc.
42217KAX4
350000.00000000
PA
USD
518860.97000000
0.025191164802
Long
DBT
CORP
US
N
2
2041-03-15
Fixed
6.50000000
N
N
N
N
N
N
BOC Aviation Ltd.
254900H06V5RMEB3KE72
BOC Aviation Ltd.
09681LAD2
450000.00000000
PA
USD
458640.95000000
0.022267428896
Long
DBT
CORP
SG
Y
2
2022-09-18
Fixed
2.75000000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VAY3
500000.00000000
PA
USD
578915.75000000
0.028106878158
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2019, Class Z
3133TCC63
48393.93000000
PA
USD
54177.71000000
0.002630376343
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-6, Class SA
38375Y5V0
309264.84000000
PA
USD
39052.88000000
0.001896052301
Long
ABS-MBS
USGA
US
N
2
2039-02-16
Floating
4.44150000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CRE5
2907.05000000
PA
USD
3359.84000000
0.000163123241
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617JSK70
1583619.05000000
PA
USD
1682966.44000000
0.081709527981
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.50000000
N
N
N
N
N
N
Dollar General Corp.
OPX52SQVOZI8IVSWYU66
Dollar General Corp.
256677AF2
235000.00000000
PA
USD
270048.34000000
0.013111088771
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-35, Class G
31358PHW0
13.92000000
PA
USD
122.50000000
0.000005947484
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
1184.77500000
N
N
N
N
N
N
Securitized Asset-Backed Receivables LLC Trust
N/A
Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2
81375WHH2
204598.04000000
PA
USD
189774.24000000
0.009213709320
Long
ABS-O
CORP
US
N
3
2036-01-25
Variable
3.27980200
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
250000.00000000
PA
USD
255233.20000000
0.012391800455
Long
DBT
CORP
CH
Y
2
2025-09-11
Variable
2.59300100
N
N
N
N
N
N
Continental Airlines Pass-Through Trust
N/A
Continental Airlines Pass-Through Trust, Series 2007-1, Class A
21079NAA9
323604.72000000
PA
USD
341789.82000000
0.016594201879
Long
ABS-O
CORP
US
N
2
2022-04-19
Fixed
5.98300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Notes
912828SA9
2453000.00000000
PA
USD
2803724.51000000
0.136123336067
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.12500000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJG8
313000.00000000
PA
USD
389246.70000000
0.018898275907
Long
DBT
CORP
US
N
2
2041-10-15
Fixed
5.37500000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VDD3
306000.00000000
PA
USD
321779.30000000
0.015622673211
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292J5V8
188628.25000000
PA
USD
219094.62000000
0.010637240029
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404EVB9
81046.56000000
PA
USD
85072.75000000
0.004130358206
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Variable
3.71099900
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967EW7
223000.00000000
PA
USD
386879.24000000
0.018783333603
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CSM6
3691.49000000
PA
USD
4217.62000000
0.000204769228
Long
ABS-MBS
USGA
US
N
2
2026-11-20
Fixed
8.00000000
N
N
N
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2
75970QAE0
287131.89000000
PA
USD
117557.08000000
0.005707501521
Long
ABS-O
CORP
US
N
3
2037-06-25
Variable
5.67500000
N
N
N
N
N
N
csma sfr
N/A
csma sfr
N/A
3070992.53000000
PA
USD
3070992.53000000
0.149099437812
Long
ABS-MBS
CORP
US
N
3
2023-04-25
None
0.00000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust, Series 2006-4, Class 1A4
05950AAD8
290697.15940000
PA
USD
284528.13000000
0.013814095544
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31410GH97
47300.94000000
PA
USD
52775.42000000
0.002562293908
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
6.50000000
N
N
N
N
N
N
RBS Commercial Funding, Inc. Trust
N/A
RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class A
74932BAA1
664000.00000000
PA
USD
689996.20000000
0.033499933493
Long
ABS-MBS
CORP
US
Y
2
2031-03-11
Fixed
3.26000000
N
N
N
N
N
N
Mayo Clinic
5493001OHMD58DCY4635
Mayo Clinic, Series 2016
578454AD2
225000.00000000
PA
USD
292649.80000000
0.014208409896
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
4.12800000
N
N
N
N
N
N
AIA Group Ltd.
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd.
00131LAH8
445000.00000000
PA
USD
493922.28000000
0.023980369066
Long
DBT
CORP
HK
Y
2
2029-04-09
Fixed
3.60000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2466, Class PH
31392MN99
210883.90000000
PA
USD
246087.61000000
0.011947773869
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L92X9
8000000.00000000
PA
USD
8832451.44000000
0.428823428044
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.92000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-28, Class BO
38375J8N8
98042.13000000
PA
USD
90372.24000000
0.004387653192
Long
ABS-MBS
USGA
US
N
2
2037-05-20
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-42, Class ZC
31359PX84
7695.48000000
PA
USD
8578.58000000
0.000416497742
Long
ABS-MBS
USGSE
US
N
2
2027-07-18
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-74, Class SH
31393EBW8
60919.97000000
PA
USD
74882.64000000
0.003635619239
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
7.24185000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2296, Class PD
3133TRUS2
56853.28000000
PA
USD
66849.03000000
0.003245580278
Long
ABS-MBS
USGSE
US
N
2
2031-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-179, Class SB
31359EFW6
5287.88000000
PA
USD
6302.69000000
0.000306001244
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
25.21750000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3925, Class FL
3137AFGG1
452719.28000000
PA
USD
453929.31000000
0.022038674554
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
2.10849800
N
N
N
N
N
N
Home Depot, Inc. (The)
QEKMOTMBBKA8I816DO57
Home Depot, Inc. (The)
437076BZ4
1630000.00000000
PA
USD
1731168.77000000
0.084049794274
Long
DBT
CORP
US
N
2
2049-12-15
Fixed
3.12500000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-3, Class AA
023771R91
356590.90000000
PA
USD
378658.31000000
0.018384200089
Long
ABS-O
CORP
US
N
2
2028-10-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2716, Class UN
31394MNE6
174622.77000000
PA
USD
180965.44000000
0.008786034190
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-2, Class NS
38374DPV5
520018.05000000
PA
USD
84839.38000000
0.004119027883
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
4.88149900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-62, Class B
31358Q7C3
4005.14600000
PA
USD
3947.94000000
0.000191676022
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-42, Class SB
38375KYH9
485343.82000000
PA
USD
82080.57000000
0.003985085187
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
5.10300000
N
N
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAE0
175000.00000000
PA
USD
242660.05000000
0.011781362761
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-81, Class SB
31397MUL9
474111.12000000
PA
USD
40819.92000000
0.001981843675
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
4.22325000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-52, Class AP
38373QR86
128242.42900000
PA
USD
119157.98000000
0.005785226650
Long
ABS-MBS
USGA
US
N
2
2033-06-16
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3233, Class OP
31397BYN5
73462.52000000
PA
USD
67787.89000000
0.003291162772
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
Liberty Mutual Group, Inc.
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBJ2
900000.00000000
PA
USD
991746.84000000
0.048150197322
Long
DBT
CORP
US
Y
2
2050-10-15
Fixed
3.95100000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4
36228F2R6
192815.67000000
PA
USD
209151.07000000
0.010154471771
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Fixed
6.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122CC0
545000.00000000
PA
USD
662771.08000000
0.032178129533
Long
DBT
CORP
US
Y
2
2039-06-15
Fixed
4.12500000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAU4
542000.00000000
PA
USD
559176.36000000
0.027148513094
Long
DBT
CORP
JP
N
2
2022-10-18
Fixed
2.77800000
N
N
N
N
N
N
Conix Mortgage Asset Trust
N/A
Conix Mortgage Asset Trust, Series 2013-1
N/A
1078518.87000000
PA
USD
17040.60000000
0.000827336392
Long
ABS-MBS
CORP
US
N
3
2047-12-25
Variable
0.00000000
Y
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XAZ9
550000.00000000
PA
USD
582887.96000000
0.028299732511
Long
DBT
CORP
US
N
2
2025-07-13
Fixed
4.30000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CR4
775000.00000000
PA
USD
848539.81000000
0.041197367755
Long
DBT
CORP
US
N
2
2059-08-01
Fixed
3.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Whole Loan, Series 2007-101, Class A2
31396XC69
327424.32000000
PA
USD
321845.24000000
0.015625874657
Long
ABS-MBS
USGSE
US
N
2
2036-06-27
Floating
1.73173000
N
N
N
N
N
N
Cigna Corp.
549300VIWYMSIGT1U456
Cigna Corp.
125523BY5
300000.00000000
PA
USD
339051.21000000
0.016461239910
Long
DBT
CORP
US
Y
2
2026-02-25
Fixed
4.50000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661CX3
739000.00000000
PA
USD
908373.18000000
0.044102331457
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.65000000
N
N
N
N
N
N
Berkshire Hathaway Finance Corp.
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp.
084664BU4
1000000.00000000
PA
USD
1247594.48000000
0.060571829390
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.40000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H04, Class BA
38375BK84
349414.37000000
PA
USD
348974.98000000
0.016943047832
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Fixed
1.65000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325BK0
200000.00000000
PA
USD
296312.50000000
0.014386237262
Long
DBT
NUSS
CO
N
2
2037-09-18
Fixed
7.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RB6
19710000.00000000
PA
USD
24443479.69000000
1.186752831329
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
BNZ International Funding Ltd.
549300HVMZ89HDMELW08
BNZ International Funding Ltd.
05579HAC6
450000.00000000
PA
USD
454915.56000000
0.022086557875
Long
DBT
CORP
NZ
Y
2
2021-09-14
Fixed
2.10000000
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2019-2, Class A
30312JAA6
1736359.94000000
PA
USD
1748439.28000000
0.084888293003
Long
ABS-O
CORP
US
Y
2
2026-11-18
Fixed
2.62000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2
31393XGQ4
221394.82000000
PA
USD
258395.45000000
0.012545330524
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-179, Class SC
31359EFX4
3514.08000000
PA
USD
3986.62000000
0.000193553971
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
10.50000100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3232, Class ST
31397BP96
232028.00000000
PA
USD
34609.90000000
0.001680341642
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Floating
5.04150100
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGL7
1700000.00000000
PA
USD
1861076.77000000
0.090356944024
Long
DBT
CORP
US
N
2
2028-04-24
Variable
3.70500100
N
N
N
N
N
N
Lendmark Funding Trust
549300PMR5HYNUPR5R97
Lendmark Funding Trust, Series 2019-1A, Class B
52604FAB3
3319000.00000000
PA
USD
3428604.66000000
0.166461827013
Long
ABS-O
CORP
US
Y
3
2027-12-20
Fixed
3.40000000
N
N
N
N
N
N
Alexandria Real Estate Equities, Inc.
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities, Inc.
015271AP4
135000.00000000
PA
USD
149500.87000000
0.007258401136
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.80000000
N
N
N
N
N
N
State of California
N/A
State of California, Various Purpose
13063A7D0
350000.00000000
PA
USD
566569.50000000
0.027507456663
Long
DBT
MUN
US
N
2
2039-10-01
Fixed
7.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1518, Class G
312915YY1
14844.37000000
PA
USD
15993.30000000
0.000776489039
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Floating
7.31800100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF
31394B2B9
314231.78000000
PA
USD
312458.22000000
0.015170126428
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Floating
1.87674800
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2006-2, Class 1A1
52520MGG2
263261.14000000
PA
USD
233680.12000000
0.011345379117
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
5.83191000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAL4
323000.00000000
PA
USD
340447.08000000
0.016529010649
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
5.20000000
N
N
N
N
N
N
2020-03-30
JPMorgan Institutional Trust
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer