0001752724-20-083459.txt : 20200429
0001752724-20-083459.hdr.sgml : 20200429
20200429101244
ACCESSION NUMBER: 0001752724-20-083459
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: 20827973
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
S000007336
JPMorgan Intermediate Bond Trust
C000020140
JPMorgan Intermediate Bond Trust
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001303608
XXXXXXXX
S000007336
C000020140
JPMorgan Institutional Trust
811-21638
0001303608
5493005FRK56SHN6MJ34
277 Park Avenue
New York
10172
800-480-4111
JPMorgan Intermediate Bond Trust
S000007336
5493001V1VDT1J53V683
2020-02-29
2020-02-29
N
141008437.81
1006039.43
140002398.38
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
0.00000000
USD
N
Honda Auto Receivables Owner Trust
N/A
Honda Auto Receivables Owner Trust, Series 2017-3, Class A3
43814PAC4
24961.74000000
PA
USD
24971.65000000
0.017836587293
Long
ABS-O
CORP
US
N
2
2021-09-20
Fixed
1.79000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1
576433UE4
39553.83000000
PA
USD
40541.64000000
0.028957818201
Long
ABS-MBS
CORP
US
N
2
2034-04-21
Variable
4.57548500
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3417, Class EO
31397RH33
296806.94000000
PA
USD
286060.07000000
0.204325121076
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617H9N97
346192.38000000
PA
USD
369384.60000000
0.263841622910
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-122, Class M
31359BPE1
2027.66000000
PA
USD
2148.13000000
0.001534352286
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2344, Class ZD
313399C47
171748.86000000
PA
USD
197987.35000000
0.141417113057
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2125, Class JZ
3133TJHS5
15733.69000000
PA
USD
17087.73000000
0.012205312335
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-50, Class KB
38375QD89
126957.03000000
PA
USD
149413.62000000
0.106722185997
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LQ1
4406000.00000000
PA
USD
4239100.46000000
3.027877028573
Long
DBT
UST
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
Apache Corp.
72ZZ1XRHOOU9P9X16K08
Apache Corp.
037411AZ8
18000.00000000
PA
USD
18358.71000000
0.013113139640
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
3.25000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2016-1A, Class C
30166KAC6
15604.64000000
PA
USD
15631.43000000
0.011165115870
Long
ABS-O
CORP
US
Y
2
2021-10-15
Fixed
5.52000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2423, Class MT
31339WCD6
20829.59000000
PA
USD
24753.87000000
0.017681032815
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1079, Class S
312905WH1
8.30000000
PA
USD
8.42000000
0.000006014182
Long
ABS-MBS
USGSE
US
N
2
2021-05-15
Floating
28.36109900
N
N
N
N
N
N
Chubb INA Holdings, Inc.
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings, Inc.
00440EAU1
130000.00000000
PA
USD
135161.64000000
0.096542374676
Long
DBT
CORP
US
N
2
2022-11-03
Fixed
2.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4096, Class HA
3137ATB92
246590.95000000
PA
USD
251590.56000000
0.179704464288
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402Q4R9
48412.11000000
PA
USD
51097.07000000
0.036497281897
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
4.37500100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2444, Class ES
31392KUY0
24131.30000000
PA
USD
4677.86000000
0.003341271331
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
6.29150000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LP3
744000.00000000
PA
USD
717653.98000000
0.512601204196
Long
DBT
UST
US
N
2
2023-11-15
None
0.00000000
N
N
N
N
N
N
International Flavors & Fragrances, Inc.
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances, Inc.
459506AK7
9000.00000000
PA
USD
10319.54000000
0.007370973725
Long
DBT
CORP
US
N
2
2028-09-26
Fixed
4.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-16, Class IS
31396YTG7
10193.81000000
PA
USD
1166.20000000
0.000832985729
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
4.57324900
N
N
N
N
N
N
Spirit Airlines Pass-Through Trust
N/A
Spirit Airlines Pass-Through Trust, Series 2017-1, Class AA
84858WAA4
41212.78000000
PA
USD
44259.56000000
0.031613429849
Long
ABS-O
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAE9
78000.00000000
PA
USD
80687.94000000
0.057633255525
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.37500000
N
N
N
N
N
N
First Investors Auto Owner Trust
N/A
First Investors Auto Owner Trust, Series 2019-1A, Class A
32059TAA7
57551.43000000
PA
USD
58249.22000000
0.041605872952
Long
ABS-O
CORP
US
Y
2
2024-03-15
Fixed
2.89000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M13, Class A1
3136B3DB3
222858.90000000
PA
USD
253966.77000000
0.181401728069
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Variable
3.69699800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1466, Class PZ
312914MW1
10048.56000000
PA
USD
10666.97000000
0.007619133760
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-46, Class SK
31393YT54
22144.25000000
PA
USD
29585.42000000
0.021132080837
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
12.02643700
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
17835.01000000
PA
USD
15545.09000000
0.011103445497
Long
ABS-O
CORP
US
N
3
2029-04-25
Variable
6.70500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828K74
2500000.00000000
PA
USD
2636718.75000000
1.883338271708
Long
DBT
UST
US
N
2
2025-08-15
Fixed
2.00000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PBT8
112000.00000000
PA
USD
115189.23000000
0.082276611924
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
3.37500000
N
N
N
N
N
N
Eaton Corp.
0NZWDMRCE180888QQE14
Eaton Corp.
278062AG9
140000.00000000
PA
USD
152681.11000000
0.109056067443
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
3.10300000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2196, Class TL
3133TMSB3
203.93000000
PA
USD
240.71000000
0.000171932768
Long
ABS-MBS
USGSE
US
N
2
2029-11-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2063, Class PG
3133TEB78
36668.45000000
PA
USD
41216.54000000
0.029439881371
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-34, Class GE
31393CAU7
174810.21000000
PA
USD
198863.26000000
0.142042752339
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2455, Class GK
31392K5C6
31636.34000000
PA
USD
37198.45000000
0.026569866252
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H26, Class MA
38375BYQ9
6798.57000000
PA
USD
6805.82000000
0.004861216721
Long
ABS-MBS
USGA
US
N
2
2062-07-20
Floating
2.28438000
N
N
N
N
N
N
Oportun Funding VIII LLC
N/A
Oportun Funding VIII LLC, Series 2018-A, Class A
68376HAA3
491000.00000000
PA
USD
497258.68000000
0.355178686761
Long
ABS-O
CORP
US
Y
2
2024-03-08
Fixed
3.61000000
N
N
N
N
N
N
American Express Credit Account Master Trust
549300Y4SA5G3GIJTP18
American Express Credit Account Master Trust, Series 2019-1, Class A
02588QAB4
135000.00000000
PA
USD
139501.24000000
0.099642035860
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
2.87000000
N
N
N
N
N
N
Seasoned Loans Structured Transaction
N/A
Seasoned Loans Structured Transaction, Series 2018-2, Class A1
35564CAN7
423291.70000000
PA
USD
451222.98000000
0.322296607216
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-25, Class DC
3136ACKP5
309129.94000000
PA
USD
317090.53000000
0.226489355660
Long
ABS-MBS
USGSE
US
N
2
2039-06-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-47, Class HF
3136A6GB4
87802.49000000
PA
USD
88239.50000000
0.063027134549
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Floating
2.02675000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31374GNC7
1415.52000000
PA
USD
1588.00000000
0.001134266282
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
7.00000000
N
N
N
N
N
N
World Omni Automobile Lease Securitization Trust
549300JMLWTKGTW3CW74
World Omni Automobile Lease Securitization Trust, Series 2018-B, Class A3
98162CAD3
93000.00000000
PA
USD
94455.74000000
0.067467229913
Long
ABS-O
CORP
US
N
2
2021-12-15
Fixed
3.19000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CSM6
787.09000000
PA
USD
899.27000000
0.000642324710
Long
ABS-MBS
USGA
US
N
2
2026-11-20
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2568, Class KG
31393KKC8
56790.42000000
PA
USD
59433.46000000
0.042451744175
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CZ30
12842.39000000
PA
USD
14350.80000000
0.010250395826
Long
ABS-MBS
USGA
US
N
2
2028-03-20
Fixed
6.00000000
N
N
N
N
N
N
Chevron Corp.
N/A
Chevron Corp.
166764AB6
40000.00000000
PA
USD
40991.82000000
0.029279369835
Long
DBT
CORP
US
N
2
2022-12-05
Fixed
2.35500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209DBS2
1239.06000000
PA
USD
1243.35000000
0.000888091928
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403EDC8
46664.84000000
PA
USD
49333.25000000
0.035237432051
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
4.06000100
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-4, Class A3
26209AAD3
50000.00000000
PA
USD
50349.87000000
0.035963576754
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
2.16000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAL7
28000.00000000
PA
USD
30731.25000000
0.021950516816
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-71, Class SB
38374JBS4
21453.34000000
PA
USD
33946.12000000
0.024246813192
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Floating
21.37633900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-65, Class QO
31396KAA0
23593.05000000
PA
USD
21919.52000000
0.015656531783
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2019-3, Class A
21872NAA8
99653.75000000
PA
USD
103219.27000000
0.073726786965
Long
ABS-O
CORP
US
Y
2
2052-10-15
Fixed
2.70500000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558AZ6
25000.00000000
PA
USD
27134.58000000
0.019381510826
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
Private Export Funding Corp.
CYQE6SAYPFKNQJ6FMH60
Private Export Funding Corp., Series KK
742651DT6
200000.00000000
PA
USD
218727.93000000
0.156231559266
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
3.55000000
N
N
N
N
N
N
First Investors Auto Owner Trust
5493007KMCTYB1D1L534
First Investors Auto Owner Trust, Series 2015-2A, Class D
32058MAJ4
96100.06000000
PA
USD
96400.98000000
0.068856663253
Long
ABS-O
CORP
US
Y
2
2021-12-15
Fixed
4.22000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-40, Class SB
38375KA77
161679.98000000
PA
USD
27075.58000000
0.019339368691
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
5.10300000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp.
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp.
63743HEQ1
200000.00000000
PA
USD
205237.62000000
0.146595788625
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2474, Class NR
31392R3C3
28727.68000000
PA
USD
32566.60000000
0.023261458644
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1491, Class I
312915QG9
4370.46000000
PA
USD
4652.80000000
0.003323371637
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-62, Class SA
31358UVD5
1719.50000000
PA
USD
1943.17000000
0.001387954793
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
18.11634100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31416BYE2
125399.21000000
PA
USD
150443.80000000
0.107458016248
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
8.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202C3P6
1206.98000000
PA
USD
1220.90000000
0.000872056489
Long
ABS-MBS
USGA
US
N
2
2028-06-20
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-36, Class DE
313920LG3
33901.10000000
PA
USD
39759.46000000
0.028399127772
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-5, Class Z
31358TPN3
1642.08000000
PA
USD
1724.19000000
0.001231543187
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-90, Class SI
38374JXC5
125482.05000000
PA
USD
17181.94000000
0.012272604040
Long
ABS-MBS
USGA
US
N
2
2034-10-20
Floating
4.45299800
N
N
N
N
N
N
Invesco Finance plc
549300OYQ3LAJYXXO449
Invesco Finance plc
46132FAD2
125000.00000000
PA
USD
139092.28000000
0.099349926579
Long
DBT
CORP
GB
N
2
2026-01-15
Fixed
3.75000000
N
N
N
N
N
N
O'Reilly Automotive, Inc.
549300K2RLMQL149Q332
O'Reilly Automotive, Inc.
67103HAE7
100000.00000000
PA
USD
109038.48000000
0.077883294330
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.55000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-28, Class S
38374GDC3
11982.50000000
PA
USD
17844.94000000
0.012746167356
Long
ABS-MBS
USGA
US
N
2
2034-04-16
Floating
15.10160000
N
N
N
N
N
N
Eli Lilly & Co.
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co.
532457BV9
70000.00000000
PA
USD
78594.43000000
0.056137916856
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.37500000
N
N
N
N
N
N
American Honda Finance Corp.
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp.
02665WBT7
200000.00000000
PA
USD
200335.60000000
0.143094405751
Long
DBT
CORP
US
N
2
2020-07-20
Fixed
1.95000000
N
N
N
N
N
N
Boston Scientific Corp.
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp.
101137AW7
50000.00000000
PA
USD
54976.82000000
0.039268484423
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.75000000
N
N
N
N
N
N
Newfield Exploration Co.
T8W3X1PFLPW2YE0UIP44
Newfield Exploration Co.
651290AR9
100000.00000000
PA
USD
105999.12000000
0.075712360092
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
5.37500000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
Truist Bank
07330NAR6
250000.00000000
PA
USD
250302.02000000
0.178784094341
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
2.25000000
N
N
N
N
N
N
UBS-BAMLL Trust
N/A
UBS-BAMLL Trust, Series 2012-WRM, Class A
90269PAA9
116000.00000000
PA
USD
120204.57000000
0.085858936268
Long
ABS-MBS
CORP
US
Y
2
2030-06-10
Fixed
3.66300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810FJ2
500000.00000000
PA
USD
724824.22000000
0.517722716458
Long
DBT
UST
US
N
2
2029-08-15
Fixed
6.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2259, Class ZM
3133TQC54
18689.29000000
PA
USD
21994.61000000
0.015710166578
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
7.00000000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AR6
42000.00000000
PA
USD
44444.25000000
0.031745349018
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.62500000
N
N
N
N
N
N
Caterpillar Financial Services Corp.
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp.
14912L5F4
58000.00000000
PA
USD
59784.46000000
0.042702454166
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
2.85000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CE7
200000.00000000
PA
USD
204305.74000000
0.145930171457
Long
DBT
CORP
GB
N
2
2025-11-07
Variable
2.63300000
N
N
N
N
N
N
Protective Life Global Funding
635400EVYITCJYWL2I50
Protective Life Global Funding
74368CAH7
200000.00000000
PA
USD
205593.65000000
0.146850091411
Long
DBT
CORP
US
Y
2
2022-08-22
Fixed
2.61500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-116, Class SB
31393T4W3
66123.08000000
PA
USD
13094.00000000
0.009352696919
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Floating
5.97325000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3997, Class PF
3137AMCU9
28155.01000000
PA
USD
28196.86000000
0.020140269257
Long
ABS-MBS
USGSE
US
N
2
2039-11-15
Floating
2.10849800
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABC0
200000.00000000
PA
USD
204625.00000000
0.146158210407
Long
DBT
CORP
US
Y
2
2022-11-01
Fixed
2.85000000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2004-8
57643MEH3
168.87500000
PA
USD
117.83000000
0.000084162843
Long
ABS-MBS
CORP
US
N
3
2019-08-25
None
0.00000000
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CJ4
154000.00000000
PA
USD
165775.60000000
0.118409114356
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617LMSM9
496343.84000000
PA
USD
541902.60000000
0.387066654764
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31283LA48
7449.83000000
PA
USD
7961.32000000
0.005686559724
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
10.00000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp, Series X
91159HHR4
68000.00000000
PA
USD
74410.83000000
0.053149682334
Long
DBT
CORP
US
N
2
2027-04-27
Fixed
3.15000000
N
N
N
N
N
N
Allstate Corp. (The)
OBT0W1ED8G0NWVOLOJ77
Allstate Corp. (The)
020002AZ4
61000.00000000
PA
USD
64728.76000000
0.046234036522
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.15000000
N
N
N
N
N
N
Federal Express Corp. Pass-Through Trust
N/A
Federal Express Corp. Pass-Through Trust, Series 1998
31331FAX9
113470.24000000
PA
USD
118909.32000000
0.084933773546
Long
ABS-O
CORP
US
N
2
2022-01-15
Fixed
6.72000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406P5W5
96149.00000000
PA
USD
100966.59000000
0.072117757387
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
3.49800100
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7C2
100000.00000000
PA
USD
102375.13000000
0.073123840151
Long
DBT
CORP
CA
N
2
2024-11-01
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-36, Class ZB
31359T5E4
3829.33000000
PA
USD
4280.22000000
0.003057247625
Long
ABS-MBS
USGSE
US
N
2
2028-07-18
Fixed
6.00000000
N
N
N
N
N
N
GM Financial Automobile Leasing Trust
N/A
GM Financial Automobile Leasing Trust, Series 2018-3, Class A3
36256GAD1
94132.65000000
PA
USD
94677.60000000
0.067625698627
Long
ABS-O
CORP
US
N
2
2021-06-21
Fixed
3.18000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAQ3
32000.00000000
PA
USD
33479.98000000
0.023913861753
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.37500000
N
N
N
N
N
N
Jersey Central Power & Light Co.
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co.
476556DC6
200000.00000000
PA
USD
225000.38000000
0.160711803943
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410PSM6
38887.81000000
PA
USD
40975.51000000
0.029267720034
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Variable
3.83600200
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2015-SFR3, Class D
74332NAG8
200000.00000000
PA
USD
200348.70000000
0.143103762734
Long
ABS-O
CORP
US
Y
3
2032-11-12
Fixed
4.67300000
N
N
N
N
N
N
Welltower, Inc.
T6IZ0MBEG5ACZDTR7D06
Welltower, Inc.
42217KBC9
100000.00000000
PA
USD
109774.38000000
0.078408928182
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NFF28
70339.58000000
PA
USD
73382.41000000
0.052415109204
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Variable
3.78799900
N
Y
N
N
N
N
GTP Acquisition Partners I LLC
N/A
GTP Acquisition Partners I LLC
36246MAT6
174000.00000000
PA
USD
174768.56000000
0.124832547172
Long
DBT
CORP
US
Y
2
2020-06-15
Fixed
2.35000000
N
N
N
N
N
N
Healthcare Trust of America Holdings LP
549300IYGAS4GE6VDL07
Healthcare Trust of America Holdings LP
42225UAG9
68000.00000000
PA
USD
71093.15000000
0.050779951502
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31418XEZ7
170827.62000000
PA
USD
192606.92000000
0.137574014608
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138EGT38
211274.16000000
PA
USD
218575.52000000
0.156122696846
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Variable
4.26300100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-76, Class SA
38375LT67
51910.36000000
PA
USD
6619.28000000
0.004727976146
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
4.88300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-22, Class SA
38374TRY2
89514.28000000
PA
USD
10367.71000000
0.007405380279
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Floating
4.62300100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2306, Class SE
3133TSK69
7711.66000000
PA
USD
1092.89000000
0.000780622341
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Floating
8.84999900
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2004-1
05946XGF4
13475.65000000
PA
USD
11247.90000000
0.008034076651
Long
ABS-MBS
CORP
US
N
3
2034-03-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36207UDY1
2025.99000000
PA
USD
2059.50000000
0.001471046227
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3680, Class MA
3137A02S3
166615.60000000
PA
USD
178048.78000000
0.127175521319
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Fixed
4.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBS9
16000.00000000
PA
USD
17246.34000000
0.012318603252
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31368GC37
1162.24000000
PA
USD
1173.14000000
0.000837942787
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
7.50000000
N
N
N
N
N
N
Zimmer Biomet Holdings, Inc.
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings, Inc.
98956PAF9
50000.00000000
PA
USD
53674.52000000
0.038338286073
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.55000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2347, Class VP
313399PS0
117.02000000
PA
USD
116.91000000
0.000083505712
Long
ABS-MBS
USGSE
US
N
2
2020-03-15
Fixed
6.50000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGL8
30000.00000000
PA
USD
33757.96000000
0.024112415494
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31387Y5U3
12762.26000000
PA
USD
15120.53000000
0.010800193550
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-121, Class DX
31394VBA7
171963.00000000
PA
USD
184223.91000000
0.131586252901
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-134, Class SC
31358FKA6
12.38000000
PA
USD
12.74000000
0.000009099844
Long
ABS-MBS
USGSE
US
N
2
2020-11-25
Floating
19.15987700
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
124857AQ6
208000.00000000
PA
USD
227996.51000000
0.162851860138
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410GAH6
29484.14000000
PA
USD
33704.08000000
0.024073930439
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H3XT5
223665.56000000
PA
USD
238279.19000000
0.170196505743
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LZ1
200000.00000000
PA
USD
187059.99000000
0.133611989626
Long
DBT
UST
US
N
2
2026-05-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-130, Class CP
38377LK72
57141.32000000
PA
USD
68622.03000000
0.049014896026
Long
ABS-MBS
USGA
US
N
2
2040-10-16
Fixed
7.00000000
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473QBA0
200000.00000000
PA
USD
210477.25000000
0.150338317368
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9PP1
1000000.00000000
PA
USD
1091411.94000000
0.779566602164
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
3.03000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1745, Class D
3133T54P5
5146.98000000
PA
USD
5660.42000000
0.004043087879
Long
ABS-MBS
USGSE
US
N
2
2024-08-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-4, Class C
31359RA69
580.79600000
PA
USD
565.13000000
0.000403657370
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617ALMQ0
299155.66000000
PA
USD
318406.83000000
0.227429553839
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Caterpillar, Inc.
WRJR7GS4GTRECRRTVX92
Caterpillar, Inc.
149123BX8
31000.00000000
PA
USD
31752.26000000
0.022679797180
Long
DBT
CORP
US
N
2
2022-06-26
Fixed
2.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1994-9, Class E
31359F6T0
386.06000000
PA
USD
375.51000000
0.000268216833
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-64, Class SX
31393DJU6
9895.95000000
PA
USD
12250.99000000
0.008750557234
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
9.61250000
N
N
N
N
N
N
Ecolab, Inc.
82DYEISM090VG8LTLS26
Ecolab, Inc.
278865BD1
43000.00000000
PA
USD
47601.43000000
0.034000438957
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2003-A1, Class 1A1
466247AA1
170009.19000000
PA
USD
175572.09000000
0.125406487339
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
3.64193600
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
16824.89000000
PA
USD
17549.13000000
0.012534878118
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A
31397KYA3
108121.99000000
PA
USD
119698.84000000
0.085497706742
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
2.26811200
N
N
N
N
N
N
QUALCOMM, Inc.
H1J8DDZKZP6H7RWC0H53
QUALCOMM, Inc.
747525AU7
94000.00000000
PA
USD
101425.16000000
0.072445301775
Long
DBT
CORP
US
N
2
2027-05-20
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402HGD7
45436.46000000
PA
USD
50936.15000000
0.036382341009
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2351, Class PZ
313399HV2
17504.94000000
PA
USD
19715.17000000
0.014082023042
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
Plains All American Pipeline LP
N/A
Plains All American Pipeline LP
72650RBF8
100000.00000000
PA
USD
103626.63000000
0.074017753409
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.60000000
N
N
N
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The)
808513AG0
40000.00000000
PA
USD
41884.08000000
0.029916687488
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
3.22500000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4
90269CAD2
104000.00000000
PA
USD
108176.66000000
0.077267719161
Long
ABS-MBS
CORP
US
N
2
2063-05-10
Fixed
3.52500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2014-M2, Class A2
3136AJDU7
504831.61000000
PA
USD
537164.56000000
0.383682398455
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Variable
3.51299900
N
N
N
N
N
N
CNA Financial Corp.
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117AT7
38000.00000000
PA
USD
43154.60000000
0.030824186227
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9G30
184002.64000000
PA
USD
196247.75000000
0.140174562915
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
2.96000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1608, Class L
3133T1W81
15237.04000000
PA
USD
16323.44000000
0.011659400259
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36202SBN7
9523.24000000
PA
USD
10679.45000000
0.007628047893
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-128
3136AHNE6
237899.25000000
PA
USD
218563.37000000
0.156114018423
Long
ABS-MBS
USGSE
US
N
2
2043-12-25
None
0.00000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAG2
62000.00000000
PA
USD
68814.15000000
0.049152122246
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.12500000
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-2, Class A
00108GAA3
123010.46000000
PA
USD
123789.76000000
0.088419742398
Long
ABS-O
CORP
US
Y
2
2023-02-21
Fixed
2.82000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4DJ3
24832.43000000
PA
USD
26210.46000000
0.018721436420
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Variable
4.33699900
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-107, Class SB
31358NMJ8
5138.58000000
PA
USD
6139.55000000
0.004385317731
Long
ABS-MBS
USGSE
US
N
2
2022-06-25
Floating
25.16989000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAA6
200000.00000000
PA
USD
202883.74000000
0.144914474571
Long
DBT
CORP
IT
Y
2
2020-10-01
Fixed
4.15000000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RBD0
91000.00000000
PA
USD
97490.61000000
0.069634957063
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.05000000
N
N
N
N
N
N
Sherwin-Williams Co. (The)
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co. (The)
824348BD7
110000.00000000
PA
USD
115198.54000000
0.082283261810
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-53, Class ES
38375LFW5
26528.35000000
PA
USD
3744.55000000
0.002674632751
Long
ABS-MBS
USGA
US
N
2
2037-09-20
Floating
4.90299800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-71, Class HJ
31398TDU2
135759.79000000
PA
USD
158582.18000000
0.113271045235
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833PB0
300000.00000000
PA
USD
278593.18000000
0.198991719587
Long
DBT
UST
US
N
2
2026-11-15
None
0.00000000
N
N
N
N
N
N
Steel Dynamics, Inc.
549300HGGKEL4FYTTQ83
Steel Dynamics, Inc.
858119BK5
21000.00000000
PA
USD
22035.03000000
0.015739037512
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.45000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828X47
1000000.00000000
PA
USD
1020703.12000000
0.729061167387
Long
DBT
UST
US
N
2
2022-04-30
Fixed
1.87500000
N
N
N
N
N
N
Southern Co. (The)
549300FC3G3YU2FBZD92
Southern Co. (The)
842587CV7
317000.00000000
PA
USD
340553.86000000
0.243248589981
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1518, Class G
312915YY1
4257.99000000
PA
USD
4587.55000000
0.003276765293
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Floating
7.31800100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210APW1
2662.65000000
PA
USD
2905.23000000
0.002075128736
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31403MJ75
10291.49000000
PA
USD
11528.85000000
0.008234751785
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
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 2005-4, Class CB7
9393366B4
108595.07000000
PA
USD
108602.58000000
0.077571942521
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
Synchrony Card Issuance Trust
N/A
Synchrony Card Issuance Trust, Series 2018-A1, Class A
87166PAA9
260000.00000000
PA
USD
268271.98000000
0.191619560167
Long
ABS-O
CORP
US
N
2
2024-09-15
Fixed
3.38000000
N
N
N
N
N
N
Duke Energy Indiana LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
263901AC4
60000.00000000
PA
USD
60456.83000000
0.043182710224
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
3.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2201, Class C
3133TMGW0
11234.89000000
PA
USD
12890.40000000
0.009207270839
Long
ABS-MBS
USGSE
US
N
2
2029-11-15
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1470, Class F
312914LG7
172.33000000
PA
USD
174.04000000
0.000124312156
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Floating
2.03600200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403R2E7
10380.13000000
PA
USD
12065.19000000
0.008617845222
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
8.00000000
N
N
N
N
N
N
Northern Trust Corp.
549300GLF98S992BC502
Northern Trust Corp.
665859AS3
17000.00000000
PA
USD
18362.98000000
0.013116189588
Long
DBT
CORP
US
N
2
2032-05-08
Variable
3.37500000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAJ7
350000.00000000
PA
USD
351537.42000000
0.251093855582
Long
DBT
CORP
US
N
2
2020-10-20
Fixed
2.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2283, Class K
3133TRJM8
5689.12000000
PA
USD
6069.48000000
0.004335268588
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 243, Class 16
31282YWS4
90.80000000
PA
USD
0.38000000
0.000000271423
Long
ABS-MBS
USGSE
US
N
2
2020-11-15
Fixed
4.50000000
N
N
N
N
N
N
Walt Disney Co. (The)
549300GZKULIZ0WOW665
Walt Disney Co. (The)
254687DF0
50000.00000000
PA
USD
65560.12000000
0.046827854921
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
7.70000000
N
N
N
N
N
N
John Deere Capital Corp.
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp.
24422EUA5
89000.00000000
PA
USD
92436.44000000
0.066024897480
Long
DBT
CORP
US
N
2
2023-01-06
Fixed
2.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3316, Class JO
31397HKD9
4837.93000000
PA
USD
4498.83000000
0.003213394950
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-27, Class SA
38375JJ55
113824.23000000
PA
USD
14163.89000000
0.010116890970
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
4.55299900
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1
126694LU0
99865.66620000
PA
USD
91917.72000000
0.065654389541
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.56852200
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAA2
88000.00000000
PA
USD
94391.44000000
0.067421302129
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-25, Class J
31358TWE5
3684.85000000
PA
USD
3913.46000000
0.002795280684
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-94, Class H
31358EN32
0.03000000
PA
USD
0.05000000
0.000000035713
Long
ABS-MBS
USGSE
US
N
2
2020-08-25
Fixed
505.00000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAF8
20000.00000000
PA
USD
20806.28000000
0.014861373976
Long
DBT
CORP
KY
Y
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
Kabbage Funding LLC
N/A
Kabbage Funding LLC, Series 2019-1, Class A
48283PAE1
150000.00000000
PA
USD
152984.81000000
0.109272992298
Long
ABS-O
CORP
US
Y
2
2024-03-15
Fixed
3.82500000
N
N
N
N
N
N
Westpac Banking Corp.
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp.
961214DQ3
300000.00000000
PA
USD
308673.00000000
0.220476937232
Long
DBT
CORP
AU
N
2
2022-06-28
Fixed
2.50000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BX6
150000.00000000
PA
USD
164910.96000000
0.117791524936
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DTT6
29175.85000000
PA
USD
30342.95000000
0.021673164425
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
4.56800000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-59, Class SD
38374NQ34
25100.11000000
PA
USD
4767.99000000
0.003405648799
Long
ABS-MBS
USGA
US
N
2
2036-10-20
Floating
5.05300000
N
N
N
N
N
N
Cisco Systems, Inc.
8E6NF1YAL0WT6CWXXV93
Cisco Systems, Inc.
17275RBC5
44000.00000000
PA
USD
47434.92000000
0.033881505280
Long
DBT
CORP
US
N
2
2026-02-28
Fixed
2.95000000
N
N
N
N
N
N
Resolution Funding Corp.
N/A
Resolution Funding Corp. STRIPS
76116EGH7
60000.00000000
PA
USD
55360.07000000
0.039542229733
Long
DBT
USGA
US
N
2
2026-01-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HSAH4
300000.00000000
PA
USD
347025.40000000
0.247871039364
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.88000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284V9
2000000.00000000
PA
USD
2286875.00000000
1.633454159687
Long
DBT
UST
US
N
2
2028-08-15
Fixed
2.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H26, Class FG
38376RKA3
619694.43000000
PA
USD
620897.69000000
0.443490752433
Long
ABS-MBS
USGA
US
N
2
2065-10-20
Floating
2.25438100
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGE3
60000.00000000
PA
USD
61545.50000000
0.043960318331
Long
DBT
CORP
US
N
2
2023-01-20
Variable
3.12400100
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JVL0
83000.00000000
PA
USD
90253.50000000
0.064465681334
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
3.70000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-CR25, Class A4
12593PAW2
281000.00000000
PA
USD
310807.10000000
0.222001268261
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
3.75900000
N
N
N
N
N
N
Caterpillar Financial Services Corp.
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp.
14913Q2A6
200000.00000000
PA
USD
200376.66000000
0.143123733820
Long
DBT
CORP
US
N
2
2020-09-04
Fixed
1.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KSMC, Class A2
3137B04Y7
500000.00000000
PA
USD
517017.65000000
0.369291994981
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
2.61500000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR5, Class A7
929227R65
36809.91000000
PA
USD
37616.77000000
0.026868661133
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Variable
4.63241500
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-10, Class XI
31396YKW1
19798.56000000
PA
USD
3666.10000000
0.002618597997
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
4.60325200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31402RR84
203.88000000
PA
USD
204.28000000
0.000145911786
Long
ABS-MBS
USGSE
US
N
2
2020-08-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2306, Class K
3133TSJA2
3169.56700000
PA
USD
3099.23000000
0.002213697790
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
None
0.00000000
N
N
N
N
N
N
General Motors Co.
54930070NSV60J38I987
General Motors Co.
37045VAN0
500000.00000000
PA
USD
522292.51000000
0.373059687579
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.20000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-93, Class AS
38375Y2X9
68770.73000000
PA
USD
8466.01000000
0.006047046406
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Floating
4.05299900
N
N
N
N
N
N
Smithfield Foods, Inc.
CVTIPZRZJC0JQEZLL598
Smithfield Foods, Inc.
832248BB3
7000.00000000
PA
USD
7987.62000000
0.005705345117
Long
DBT
CORP
US
Y
2
2029-04-01
Fixed
5.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
313637YC8
237722.06000000
PA
USD
270978.41000000
0.193552691336
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.80000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-45, Class QA
38375KW24
100169.21000000
PA
USD
13113.34000000
0.009366510968
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
4.99299800
N
N
N
N
N
N
Bank of Nova Scotia (The)
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia (The)
064159SH0
150000.00000000
PA
USD
151812.12000000
0.108435370934
Long
DBT
CORP
CA
N
2
2022-11-15
Fixed
2.00000000
N
N
N
N
N
N
Entergy Mississippi LLC
54930043I78H35DVVW89
Entergy Mississippi LLC
29364NAT5
186000.00000000
PA
USD
197379.11000000
0.140982663357
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M2, Class A2
3136B0YM2
500000.00000000
PA
USD
545979.65000000
0.389978783447
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
2.90200000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283GHW0
1025.42000000
PA
USD
1125.20000000
0.000803700517
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
8.00000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2003-A14, Class A1
45660NXN0
34.06000000
PA
USD
24.01000000
0.000017149706
Long
ABS-MBS
CORP
US
N
2
2019-02-25
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31371EX83
1799.94000000
PA
USD
1963.45000000
0.001402440260
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
8.50000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2020-1A, Class A
30167HAA6
84150.03000000
PA
USD
84402.25000000
0.060286288646
Long
ABS-O
CORP
US
Y
2
2023-06-15
Fixed
2.05000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
5493003R0K8V08JVGR27
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class A3
03066HAD9
98405.81000000
PA
USD
99145.11000000
0.070816722532
Long
ABS-O
CORP
US
N
2
2022-12-19
Fixed
3.07000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAB7
50000.00000000
PA
USD
55611.45000000
0.039721783800
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3819, Class ZQ
3137A8N20
206158.89000000
PA
USD
243548.71000000
0.173960384120
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
GE Capital International Funding Co. Unlimited Co.
549300G6UZOB126GBY72
GE Capital International Funding Co. Unlimited Co.
36164QMS4
349000.00000000
PA
USD
349952.75000000
0.249961967830
Long
DBT
CORP
IE
N
2
2020-11-15
Fixed
2.34200000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CE6
150000.00000000
PA
USD
155811.38000000
0.111291936283
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
2.55000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CYW7
993.93000000
PA
USD
1117.21000000
0.000797993472
Long
ABS-MBS
USGA
US
N
2
2027-12-20
Fixed
8.00000000
N
N
N
N
N
N
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
N/A
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-3, Class 1A1
251510EA7
16079.12000000
PA
USD
16096.60000000
0.011497374463
Long
ABS-MBS
CORP
US
N
2
2020-06-25
Variable
4.28859400
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-50, Class VZ
31394AJV9
289194.96000000
PA
USD
327816.69000000
0.234150767267
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1
59020UAR6
28078.78000000
PA
USD
27563.33000000
0.019687755580
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
2.08675100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-106, Class ST
38376JFW9
175341.67000000
PA
USD
26168.55000000
0.018691501219
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Floating
4.35300100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2441, Class GF
3133TVJF4
24050.07000000
PA
USD
28115.47000000
0.020082134538
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1927, Class PH
3133T8TQ0
39986.54000000
PA
USD
45588.17000000
0.032562420735
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
7.50000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967ML2
350000.00000000
PA
USD
358898.11000000
0.256351401228
Long
DBT
CORP
US
N
2
2031-01-29
Variable
2.66600200
N
N
N
N
N
N
JB Hunt Transport Services, Inc.
549300XCD1MPI1C5GK90
JB Hunt Transport Services, Inc.
445658CF2
60000.00000000
PA
USD
66674.81000000
0.047624048424
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36241KYC6
1448.53000000
PA
USD
1489.39000000
0.001063831775
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
9.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225AA67
249.19000000
PA
USD
250.14000000
0.000178668367
Long
ABS-MBS
USGA
US
N
2
2024-11-15
Fixed
9.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-20, Class IB
31359N4S7
5782.46000000
PA
USD
131.92000000
0.000094226957
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Floating
1.84000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class APO
31394JY76
13852.00900000
PA
USD
11880.39000000
0.008485847483
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
None
0.00000000
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BM3
150000.00000000
PA
USD
158826.12000000
0.113445285107
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402TVS1
8577.92000000
PA
USD
9747.54000000
0.006962409296
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31348SG32
7764.36000000
PA
USD
7829.71000000
0.005592554192
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Variable
4.50000000
N
Y
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H29, Class FA
38375BZQ8
452662.45000000
PA
USD
453138.74000000
0.323664983774
Long
ABS-MBS
USGA
US
N
2
2062-10-20
Floating
2.24938100
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAL2
45000.00000000
PA
USD
47810.99000000
0.034150122107
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
3.37500000
N
N
N
N
N
N
Regions Financial Corp.
CW05CS5KW59QTC0DG824
Regions Financial Corp.
7591EPAM2
107000.00000000
PA
USD
109878.09000000
0.078483005485
Long
DBT
CORP
US
N
2
2022-08-14
Fixed
2.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3117, Class OK
31396HVU0
5666.80000000
PA
USD
5227.08000000
0.003733564610
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140HNWP3
482930.02000000
PA
USD
524916.47000000
0.374933912614
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K088, Class A2
3137FKZZ2
480000.00000000
PA
USD
555526.90000000
0.396798130909
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
3.69000000
N
N
N
N
N
N
Unilever Capital Corp.
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp.
904764BB2
100000.00000000
PA
USD
109204.28000000
0.078001720873
Long
DBT
CORP
US
N
2
2025-03-22
Fixed
3.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617K1XV0
198247.65000000
PA
USD
214079.74000000
0.152911480429
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.50000000
N
N
N
N
N
N
20 Times Square Trust
N/A
20 Times Square Trust, Series 2018-20TS, Class A
90137LAA8
145000.00000000
PA
USD
151705.12000000
0.108358943671
Long
ABS-MBS
CORP
US
Y
2
2035-05-15
Variable
3.09989900
N
N
N
N
N
N
Aon plc
VVT2B79I2Z4U3R6BY589
Aon plc
00185AAK0
143000.00000000
PA
USD
158883.02000000
0.113485927268
Long
DBT
CORP
GB
N
2
2025-12-15
Fixed
3.87500000
N
N
N
N
N
N
General Dynamics Corp.
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp.
369550BG2
100000.00000000
PA
USD
109661.90000000
0.078328586702
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.50000000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust, Series 2019-A, Class A3
34532FAD4
115000.00000000
PA
USD
116516.94000000
0.083224959963
Long
ABS-O
CORP
US
N
2
2022-05-15
Fixed
2.90000000
N
N
N
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585AAG7
67000.00000000
PA
USD
71559.57000000
0.051113102938
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
3.62500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747WAF6
100000.00000000
PA
USD
103568.84000000
0.073976475545
Long
DBT
CORP
US
N
2
2021-01-25
Fixed
5.75000000
N
N
N
N
N
N
John Deere Capital Corp.
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp.
24422ETT6
100000.00000000
PA
USD
105243.32000000
0.075172512198
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
2.65000000
N
N
N
N
N
N
Ingersoll-Rand Global Holding Co. Ltd.
549300UCF0D858BIOV83
Ingersoll-Rand Global Holding Co. Ltd.
45687AAJ1
34000.00000000
PA
USD
37208.63000000
0.026577137556
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.25000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBE2
37000.00000000
PA
USD
40289.39000000
0.028777642716
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CPT4
956.17000000
PA
USD
1058.44000000
0.000756015619
Long
ABS-MBS
USGA
US
N
2
2026-06-20
Fixed
8.00000000
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
96145DAB1
80000.00000000
PA
USD
84010.99000000
0.060006822005
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
3.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHD4
610000.00000000
PA
USD
659119.94000000
0.470791891872
Long
DBT
CORP
US
N
2
2028-12-20
Variable
3.41899900
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAH3
75000.00000000
PA
USD
84184.58000000
0.060130812739
Long
DBT
CORP
US
N
2
2025-05-25
Fixed
4.41700000
N
N
N
N
N
N
Canadian Pacific Railway Co.
54930036474DURYNB481
Canadian Pacific Railway Co.
13645RAP9
55000.00000000
PA
USD
58018.18000000
0.041440847207
Long
DBT
CORP
CA
N
2
2022-01-15
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A5
31393RGG9
500611.80000000
PA
USD
575956.13000000
0.411390188071
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Fixed
5.23100000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-68, Class DP
38374L4C2
24550.20000000
PA
USD
30914.76000000
0.022081593142
Long
ABS-MBS
USGA
US
N
2
2035-06-17
Floating
12.43734800
N
N
N
N
N
N
Bank of New York Mellon Corp. (The)
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp. (The)
06406HCX5
150000.00000000
PA
USD
161162.36000000
0.115113999377
Long
DBT
CORP
US
N
2
2024-09-11
Fixed
3.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833PE4
100000.00000000
PA
USD
91872.09000000
0.065621797242
Long
DBT
UST
US
N
2
2027-08-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31373TSU5
721.10000000
PA
USD
771.38000000
0.000550976275
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A
31392W7D6
20246.71000000
PA
USD
26775.88000000
0.019125300930
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Variable
7.49999900
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust, Series 2020-A, Class A3
98162HAC4
130000.00000000
PA
USD
131097.04000000
0.093639138698
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
1.70000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202C4S9
281.98000000
PA
USD
292.49000000
0.000208917849
Long
ABS-MBS
USGA
US
N
2
2028-08-20
Fixed
8.00000000
N
N
N
N
N
N
Mercedes-Benz Auto Lease Trust
549300U4TNYCTQL3R792
Mercedes-Benz Auto Lease Trust, Series 2019-A, Class A3
58772TAC4
40000.00000000
PA
USD
40475.77000000
0.028910769007
Long
ABS-O
CORP
US
N
2
2021-11-15
Fixed
3.10000000
N
N
N
N
N
N
GM Financial Automobile Leasing Trust
N/A
GM Financial Automobile Leasing Trust, Series 2018-1, Class A4
38014BAE9
76000.00000000
PA
USD
76264.10000000
0.054473423943
Long
ABS-O
CORP
US
N
2
2021-12-20
Fixed
2.68000000
N
N
N
N
N
N
CarMax Auto Owner Trust
549300LQMUNTYT3DC014
CarMax Auto Owner Trust, Series 2019-1, Class A3
14315NAC4
220000.00000000
PA
USD
226164.16000000
0.161543061131
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
3.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-118, Class NT
3136A1Y82
136453.76000000
PA
USD
161877.03000000
0.115624469204
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
7.00000000
N
N
N
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Nomura Holdings, Inc.
65535HAB5
84000.00000000
PA
USD
84012.39000000
0.060007821988
Long
DBT
CORP
JP
N
2
2020-03-04
Fixed
6.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1706, Class K
3133T4UA2
26421.88000000
PA
USD
28313.27000000
0.020223417832
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
Niagara Mohawk Power Corp.
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp.
65364UAK2
28000.00000000
PA
USD
30175.34000000
0.021553445047
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
3.50800000
N
N
N
N
N
N
Stanley Black & Decker, Inc.
549300DJ09SMTO561131
Stanley Black & Decker, Inc.
854502AK7
110000.00000000
PA
USD
120214.22000000
0.085865829007
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K737, Class AM
3137FQXK4
305000.00000000
PA
USD
314124.87000000
0.224371063378
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Fixed
2.09700000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206HPN2
2020.30000000
PA
USD
2031.12000000
0.001450775146
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
7.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series L
06051GFP9
154000.00000000
PA
USD
168085.64000000
0.120059114661
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
3.95000000
N
N
N
N
N
N
Gulf South Pipeline Co. LP
K1LMA2W6NLW5O02TPD38
Gulf South Pipeline Co. LP
402524AE2
50000.00000000
PA
USD
52074.20000000
0.037195219940
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-43, Class EA
31359TL63
41251.11000000
PA
USD
40327.17000000
0.028804627968
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
None
0.00000000
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
1783.86000000
PA
USD
1783.72000000
0.001274063887
Long
ABS-O
CORP
US
N
2
2020-03-15
Fixed
7.25600000
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
6809.43000000
PA
USD
7150.81000000
0.005107633928
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Fixed
7.00000000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2015-C, Class D
12635JAD8
200401.42000000
PA
USD
201925.51000000
0.144230036296
Long
ABS-O
CORP
US
Y
2
2021-08-16
Fixed
4.63000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2040, Class PE
3133TD3W4
33722.22000000
PA
USD
39122.79000000
0.027944371276
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400RV24
6275.60000000
PA
USD
6949.14000000
0.004963586395
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 K083, Class A2
3137FJXV6
297000.00000000
PA
USD
351004.10000000
0.250712919251
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Variable
4.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-77, Class PC
31396KGX4
52144.78000000
PA
USD
59910.42000000
0.042792424053
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2064, Class TE
3133TELZ5
4318.91000000
PA
USD
4978.99000000
0.003556360503
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-101, Class DO
3136AGZH8
250107.93000000
PA
USD
227519.21000000
0.162510937407
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
None
0.00000000
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAV0
200000.00000000
PA
USD
205317.31000000
0.146652709079
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
2.80000000
N
N
N
N
N
N
GM Financial Automobile Leasing Trust
N/A
GM Financial Automobile Leasing Trust, Series 2019-1, Class A3
36256UAD0
91000.00000000
PA
USD
92124.01000000
0.065801737017
Long
ABS-O
CORP
US
N
2
2021-12-20
Fixed
2.98000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31412BPZ9
40040.48000000
PA
USD
42128.80000000
0.030091484494
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-22, Class UD
31393ANT0
81450.60000000
PA
USD
89618.42000000
0.064012060533
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209DEH3
35068.23000000
PA
USD
38919.17000000
0.027798930911
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAK4
500000.00000000
PA
USD
547270.20000000
0.390900589084
Long
DBT
CORP
US
N
2
2028-07-22
Variable
3.59100000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175AY0
160000.00000000
PA
USD
179272.96000000
0.128049920625
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
Canadian Natural Resources Ltd.
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd.
136385AV3
25000.00000000
PA
USD
27165.16000000
0.019403353309
Long
DBT
CORP
CA
N
2
2025-02-01
Fixed
3.90000000
N
N
N
N
N
N
Roper Technologies, Inc.
54930003T4SXCIWVXY35
Roper Technologies, Inc.
776743AD8
15000.00000000
PA
USD
16670.05000000
0.011906974589
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
3.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132G7LR4
375086.23000000
PA
USD
395103.40000000
0.282211879633
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296SLS3
25303.24000000
PA
USD
29481.27000000
0.021057689254
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
GM Financial Consumer Automobile Receivables Trust
N/A
GM Financial Consumer Automobile Receivables Trust, Series 2018-2, Class A3
38013RAD7
134000.00000000
PA
USD
135433.80000000
0.096736771346
Long
ABS-O
CORP
US
N
2
2022-12-16
Fixed
2.81000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWL4
249000.00000000
PA
USD
272216.04000000
0.194436697620
Long
DBT
CORP
US
N
2
2028-06-05
Variable
3.69100100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36241KHA9
60113.46000000
PA
USD
70572.09000000
0.050407772164
Long
ABS-MBS
USGA
US
N
2
2035-12-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class PD
3139204E7
7443.07300000
PA
USD
8785.24000000
0.006275063928
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-68, Class PG
31394E7B8
173775.62000000
PA
USD
196440.29000000
0.140312089130
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
Reperforming Loan REMIC Trust
N/A
Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO
12669GXG1
44819.12200000
PA
USD
34194.91000000
0.024424517290
Long
ABS-MBS
CORP
US
Y
3
2035-03-25
None
0.00000000
N
N
N
N
N
N
Baxalta, Inc.
5493000JW8DCO3T45R55
Baxalta, Inc.
07177MAL7
23000.00000000
PA
USD
23919.00000000
0.017084707316
Long
DBT
CORP
US
N
2
2022-06-23
Fixed
3.60000000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust, Series 2018-2, Class A3
02004VAC7
216352.22000000
PA
USD
218516.15000000
0.156080290429
Long
ABS-O
CORP
US
N
2
2022-11-15
Fixed
2.92000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-55, Class SA
38375QK73
63141.18000000
PA
USD
10853.54000000
0.007752395762
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Floating
4.55299900
N
N
N
N
N
N
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2018-1, Class AA
11042TAA1
61936.11000000
PA
USD
68751.23000000
0.049107180159
Long
ABS-O
CORP
US
Y
2
2031-09-20
Fixed
3.80000000
N
N
N
N
N
N
MASTR Resecuritization Trust
N/A
MASTR Resecuritization Trust, Series 2005-PO, Class 3PO
576435BB6
7869.40000000
PA
USD
6682.49000000
0.004773125373
Long
ABS-MBS
CORP
US
Y
3
2035-05-28
None
0.00000000
N
N
N
N
N
N
US Auto Funding LLC
549300P0OJXVYBPHN411
US Auto Funding LLC, Series 2019-1A, Class B
90352VAB2
100000.00000000
PA
USD
101832.53000000
0.072736275362
Long
ABS-O
CORP
US
Y
2
2022-12-15
Fixed
3.99000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CFP3
484.15000000
PA
USD
497.64000000
0.000355451053
Long
ABS-MBS
USGA
US
N
2
2025-03-20
Fixed
8.50000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBG9
235000.00000000
PA
USD
248543.76000000
0.177528215856
Long
DBT
CORP
US
N
2
2025-02-05
Fixed
3.20000000
N
N
N
N
N
N
Packaging Corp. of America
549300XZP8MFZFY8TJ84
Packaging Corp. of America
695156AU3
100000.00000000
PA
USD
105195.47000000
0.075138334212
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.00000000
N
N
N
N
N
N
CVS Pass-Through Trust
N/A
CVS Pass-Through Trust
126650BY5
43145.83000000
PA
USD
51359.79000000
0.036684935825
Long
ABS-O
CORP
US
Y
2
2034-01-10
Fixed
5.92600000
N
N
N
N
N
N
Aviation Capital Group LLC
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
100000.00000000
PA
USD
105034.86000000
0.075023614749
Long
DBT
CORP
US
Y
2
2023-05-01
Fixed
3.87500000
N
N
N
N
N
N
Cargill, Inc.
QXZYQNMR4JZ5RIRN4T31
Cargill, Inc.
141781BB9
100000.00000000
PA
USD
103272.39000000
0.073764729172
Long
DBT
CORP
US
Y
2
2022-03-01
Fixed
3.30000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1997-1, Class 2Z
911760KE5
173610.03000000
PA
USD
196844.36000000
0.140600705614
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2256, Class MC
3133TPS67
18104.95000000
PA
USD
21591.58000000
0.015422292939
Long
ABS-MBS
USGSE
US
N
2
2030-09-15
Fixed
7.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1981, Class Z
3133TAUE0
15311.62000000
PA
USD
16669.91000000
0.011906874591
Long
ABS-MBS
USGSE
US
N
2
2027-05-15
Fixed
6.00000000
N
N
N
N
N
N
American Express Co.
R4PP93JZOLY261QX3811
American Express Co.
025816BU2
100000.00000000
PA
USD
101952.19000000
0.072821745327
Long
DBT
CORP
US
N
2
2021-05-17
Fixed
3.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-17, Class JI
38375JTD7
94209.43000000
PA
USD
18112.82000000
0.012937506935
Long
ABS-MBS
USGA
US
N
2
2037-04-16
Floating
5.15149900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H24, Class FA
38375BWP3
4604.18000000
PA
USD
4583.15000000
0.003273622490
Long
ABS-MBS
USGA
US
N
2
2060-03-20
Floating
2.18437900
N
N
N
N
N
N
Kellogg Co.
LONOZNOJYIBXOHXWDB86
Kellogg Co.
487836BU1
95000.00000000
PA
USD
103263.34000000
0.073758264997
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.40000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209BDK1
21843.62000000
PA
USD
24193.60000000
0.017280846814
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KF12, Class A
3137BM6D3
87264.18000000
PA
USD
87232.55000000
0.062307896871
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Floating
2.36188100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2500, Class MC
31392UXE9
40274.52000000
PA
USD
46775.96000000
0.033410827629
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225BCA4
1046.43000000
PA
USD
1050.84000000
0.000750587141
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
9.50000000
N
N
N
N
N
N
DT Auto Owner Trust
549300XVMF0FUK76JG97
DT Auto Owner Trust, Series 2019-1A, Class A
23343GAA0
31559.11000000
PA
USD
31695.39000000
0.022639176447
Long
ABS-O
CORP
US
Y
2
2022-09-15
Fixed
3.08000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DC9
40000.00000000
PA
USD
40993.13000000
0.029280305533
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31337NHS0
8774.26000000
PA
USD
9135.43000000
0.006525195357
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Variable
4.15300000
N
Y
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBX8
117000.00000000
PA
USD
123511.80000000
0.088221202943
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
3.00000000
N
N
N
N
N
N
Baker Hughes a GE Co. LLC
N/A
Baker Hughes a GE Co. LLC
05723KAD2
150000.00000000
PA
USD
153364.42000000
0.109544137653
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.77300000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2018-2, Class C
26208JAF0
74318.90000000
PA
USD
74809.02000000
0.053434098890
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
3.63000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2210, Class Z
3133TNDG6
35476.25000000
PA
USD
42744.81000000
0.030531484099
Long
ABS-MBS
USGSE
US
N
2
2030-01-15
Fixed
8.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGK9
100000.00000000
PA
USD
102679.69000000
0.073341379282
Long
DBT
CORP
US
N
2
2023-04-24
Variable
2.88100100
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCT7
70000.00000000
PA
USD
73150.00000000
0.052249104905
Long
DBT
NUSS
MX
Y
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-81, Class LO
31392BNB8
4556.65400000
PA
USD
4370.32000000
0.003121603665
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
None
0.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2020-1, Class A3
26208QAD9
42000.00000000
PA
USD
42316.11000000
0.030225275059
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
2.02000000
N
N
N
N
N
N
Alimentation Couche-Tard, Inc.
549300OSW32RVX8CCZ87
Alimentation Couche-Tard, Inc.
01626PAM8
23000.00000000
PA
USD
23651.45000000
0.016893603447
Long
DBT
CORP
CA
Y
2
2030-01-25
Fixed
2.95000000
N
N
N
N
N
N
Cigna Corp.
549300VIWYMSIGT1U456
Cigna Corp.
125523BS8
200000.00000000
PA
USD
206387.20000000
0.147416903130
Long
DBT
CORP
US
Y
2
2022-11-30
Fixed
3.05000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-14, Class AO
38376WBN4
10516.51000000
PA
USD
10456.89000000
0.007469079187
Long
ABS-MBS
USGA
US
N
2
2032-12-20
None
0.00000000
N
N
N
N
N
N
United Technologies Corp.
I07WOS4YJ0N7YRFE7309
United Technologies Corp.
913017DD8
150000.00000000
PA
USD
167963.91000000
0.119972166151
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
TransCanada PipeLines Ltd.
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd.
89352HAK5
172000.00000000
PA
USD
183387.32000000
0.130988698852
Long
DBT
CORP
CA
N
2
2023-10-16
Fixed
3.75000000
N
N
N
N
N
N
Macquarie Bank Ltd.
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
55608PAQ7
100000.00000000
PA
USD
109940.03000000
0.078527247584
Long
DBT
CORP
AU
Y
2
2025-07-29
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1996-59, Class J
31359KL96
1530.82000000
PA
USD
1601.27000000
0.001143744691
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-72, Class US
38375LV72
51148.84000000
PA
USD
8438.47000000
0.006027375314
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
4.90299800
N
N
N
N
N
N
CNA Financial Corp.
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117AS9
52000.00000000
PA
USD
56412.56000000
0.040293995426
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.95000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
53944YAD5
250000.00000000
PA
USD
270853.09000000
0.193463178584
Long
DBT
CORP
GB
N
2
2027-01-11
Fixed
3.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2163, Class PC
3133TLFS2
3837.87010000
PA
USD
421.46000000
0.000301037699
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833RY8
53000.00000000
PA
USD
48273.53000000
0.034480502161
Long
DBT
UST
US
N
2
2028-02-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-105, Class B
38377DD94
713448.56000000
PA
USD
814861.92000000
0.582034257576
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
5.00000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAE7
300000.00000000
PA
USD
300005.64000000
0.214286071861
Long
DBT
CORP
SE
Y
2
2020-03-04
Fixed
2.20000000
N
N
N
N
N
N
Private Export Funding Corp.
CYQE6SAYPFKNQJ6FMH60
Private Export Funding Corp., Series EE
742651DM1
500000.00000000
PA
USD
518122.50000000
0.370081160033
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.80000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBP7
200000.00000000
PA
USD
202056.20000000
0.144323384697
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
2.80000000
N
N
N
N
N
N
Gold Key Resorts LLC
549300MORAF4RGEXUA95
Gold Key Resorts LLC, Series 2014-A, Class A
38061LAA7
27564.93000000
PA
USD
27587.63000000
0.019705112426
Long
ABS-O
CORP
US
Y
2
2031-03-17
Fixed
3.22000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2019-2, Class A3
80286GAD3
110000.00000000
PA
USD
110643.63000000
0.079029810403
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
2.59000000
N
N
N
N
N
N
Tyson Foods, Inc.
WD6L6041MNRW1JE49D58
Tyson Foods, Inc.
902494AX1
73000.00000000
PA
USD
79676.17000000
0.056910575048
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.95000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833DF4
200000.00000000
PA
USD
211624.41000000
0.151157703331
Long
DBT
CORP
US
N
2
2025-01-13
Fixed
2.75000000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust, Series 2019-A, Class A3
80285JAG1
225000.00000000
PA
USD
229541.78000000
0.163955605515
Long
ABS-O
CORP
US
Y
2
2022-06-20
Fixed
2.77000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2575, Class ME
31393KSG1
157927.16000000
PA
USD
182494.97000000
0.130351316914
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2089, Class PJ
3133TGKG3
7739.52000000
PA
USD
802.86000000
0.000573461604
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K069, Class A2
3137FBU79
500000.00000000
PA
USD
551664.05000000
0.394038999605
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Variable
3.18700100
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286B1
3200000.00000000
PA
USD
3610875.01000000
2.579152251520
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GBY4
250000.00000000
PA
USD
275897.59000000
0.197066331143
Long
DBT
CORP
US
Y
2
2026-12-18
Fixed
3.45000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833RZ5
200000.00000000
PA
USD
180857.16000000
0.129181472669
Long
DBT
UST
US
N
2
2028-08-15
None
0.00000000
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BC7
200000.00000000
PA
USD
215007.26000000
0.153573983365
Long
DBT
CORP
US
Y
2
2023-08-01
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-247, Class SA
31359FP51
6396.24000000
PA
USD
7707.48000000
0.005505248545
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
26.42316800
N
N
N
N
N
N
Washington Mutual MSC Mortgage Pass-Through Certificates Trust
N/A
Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2003-MS7, Class P
939336TX1
249.34300000
PA
USD
229.41000000
0.000163861478
Long
ABS-MBS
CORP
US
N
3
2033-03-25
None
0.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1993-1, Class ZB
911760BX3
95147.58000000
PA
USD
101077.99000000
0.072197327452
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
7.25000000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAF7
50000.00000000
PA
USD
57629.38000000
0.041163137679
Long
DBT
CORP
US
N
2
2028-05-25
Fixed
4.59700000
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAA6
200000.00000000
PA
USD
215191.05000000
0.153705259688
Long
DBT
CORP
NL
Y
2
2027-05-25
Fixed
3.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204JM60
4907.21000000
PA
USD
4954.68000000
0.003538996515
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4YT8
28340.48000000
PA
USD
30288.73000000
0.021634436517
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Variable
4.59299900
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G-14, Class L
31358GJ99
64.02000000
PA
USD
65.49000000
0.000046777770
Long
ABS-MBS
USGSE
US
N
2
2021-06-25
Fixed
8.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K081, Class A1
3137FJEG0
115824.97000000
PA
USD
129116.67000000
0.092224612930
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Fixed
3.87900000
N
N
N
N
N
N
CD Commercial Mortgage Trust
5493006ZXL5DGZK5G872
CD Commercial Mortgage Trust, Series 2007-CD4, Class XC
12513YBD1
10138.42000000
PA
USD
414.58000000
0.000296123498
Long
ABS-MBS
CORP
US
Y
3
2049-12-11
Variable
1.30038500
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1
589929Y36
94144.53000000
PA
USD
95376.10000000
0.068124618651
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
2.24674900
N
N
N
N
N
N
Duke Energy Corp.
I1BZKREC126H0VB1BL91
Duke Energy Corp.
26441CAN5
300000.00000000
PA
USD
322349.49000000
0.230245691309
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2038, Class PN
3133TDA22
6423.53000000
PA
USD
1008.19000000
0.000720123377
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust, Series 2020-1, Class A3
14315XAC2
87000.00000000
PA
USD
88346.33000000
0.063103440385
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
1.89000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1671, Class L
3133T36F0
4063.26000000
PA
USD
4377.48000000
0.003126717863
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406QGB7
24613.92000000
PA
USD
25495.69000000
0.018210895166
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Variable
3.42100100
N
N
N
N
N
N
State Street Corp.
549300ZFEEJ2IP5VME73
State Street Corp.
857477AL7
36000.00000000
PA
USD
37759.83000000
0.026970845097
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.10000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128285B2
3000000.00000000
PA
USD
3026132.82000000
2.161486413815
Long
DBT
UST
US
N
2
2020-09-30
Fixed
2.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2999, Class ND
31395VW88
1098.94000000
PA
USD
1099.37000000
0.000785250833
Long
ABS-MBS
USGSE
US
N
2
2020-07-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407WSP9
53095.41000000
PA
USD
55053.51000000
0.039323262056
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
3.54899900
N
N
N
N
N
N
Philip Morris International, Inc.
HL3H1H2BGXWVG3BSWR90
Philip Morris International, Inc.
718172BQ1
150000.00000000
PA
USD
162973.21000000
0.116407441505
Long
DBT
CORP
US
N
2
2025-08-11
Fixed
3.37500000
N
N
N
N
N
N
LV Tower 52 Issuer
N/A
LV Tower 52 Issuer, Series 2013-1, Class A
50244VAC6
868534.54000000
PA
USD
871643.89000000
0.622592112768
Long
ABS-O
CORP
US
Y
3
2019-07-15
Fixed
5.75000000
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
7165.09000000
PA
USD
7467.52000000
0.005333851481
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H15, Class FJ
38376RDE3
575051.80000000
PA
USD
574468.52000000
0.410327627703
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
2.17437800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-52, Class SX
31393CV67
8901.88000000
PA
USD
14111.97000000
0.010079805891
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
18.06975000
N
N
N
N
N
N
Cenovus Energy, Inc.
549300EIRQ0Z2B9C1W06
Cenovus Energy, Inc.
15135UAG4
21000.00000000
PA
USD
21632.16000000
0.015451278156
Long
DBT
CORP
CA
N
2
2022-08-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2000-2, Class ZE
31359XSV2
38694.84000000
PA
USD
45182.16000000
0.032272418560
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class HC
31392BVX1
5250.28000000
PA
USD
5385.53000000
0.003846741243
Long
ABS-MBS
USGSE
US
N
2
2022-02-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC - GNMA, Series 24, Class ZE
3133T2KA7
10045.36000000
PA
USD
10690.46000000
0.007635912044
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Fixed
6.25000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2016-1, Class C
33843MAE3
400000.00000000
PA
USD
409274.56000000
0.292333963371
Long
ABS-O
CORP
US
Y
2
2022-06-15
Fixed
6.22000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2033, Class SN
3133TCX78
1517.44000000
PA
USD
284.85000000
0.000203460800
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
26.78279000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31411VHW2
42800.84000000
PA
USD
45271.58000000
0.032336288894
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
3.92699900
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122BG2
98000.00000000
PA
USD
102440.61000000
0.073170610779
Long
DBT
CORP
US
Y
2
2022-08-15
Fixed
3.25000000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust, Series 2020-A, Class A3
34531MAD0
55000.00000000
PA
USD
55524.93000000
0.039659984859
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
1.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-140, Class K
31358FRF8
2.88000000
PA
USD
7.22000000
0.000005157054
Long
ABS-MBS
USGSE
US
N
2
2020-12-25
Fixed
652.14540000
N
N
N
N
N
N
Baltimore Gas & Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co.
059165EE6
43000.00000000
PA
USD
44260.88000000
0.031614372690
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.80000000
N
N
N
N
N
N
Analog Devices, Inc.
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654AR6
70000.00000000
PA
USD
70761.43000000
0.050543012704
Long
DBT
CORP
US
N
2
2021-01-12
Fixed
2.95000000
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
27899.78000000
PA
USD
25878.35000000
0.018484219055
Long
ABS-O
CORP
US
N
3
2036-01-25
Variable
3.27980200
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2018-3, Class B
02530AAC6
20327.95000000
PA
USD
20353.97000000
0.014538300940
Long
ABS-O
CORP
US
Y
2
2022-06-13
Fixed
3.49000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-47, Class PE
31393CRH8
79848.06000000
PA
USD
90427.07000000
0.064589657781
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Fixed
5.75000000
N
N
N
N
N
N
Mercedes-Benz Auto Lease Trust
N/A
Mercedes-Benz Auto Lease Trust, Series 2020-A, Class A3
58770FAC6
68000.00000000
PA
USD
68530.30000000
0.048949375719
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
1.84000000
N
N
N
N
N
N
John Deere Capital Corp.
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp.
24422ERH4
33000.00000000
PA
USD
34013.64000000
0.024295040937
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
3.15000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CLW1
630.54000000
PA
USD
689.18000000
0.000492262995
Long
ABS-MBS
USGA
US
N
2
2025-12-20
Fixed
8.00000000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co., Series 122
202795JK7
200000.00000000
PA
USD
214948.05000000
0.153531691233
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
2.95000000
N
N
N
N
N
N
Airbus Finance BV
529900M7QSB704RUUT95
Airbus Finance BV
26824KAA2
43000.00000000
PA
USD
44818.62000000
0.032012751580
Long
DBT
CORP
NL
Y
2
2023-04-17
Fixed
2.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JMZW0
37302.32000000
PA
USD
39368.89000000
0.028120153979
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Variable
3.66199900
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607, Class AO
31398LQK7
31117.86000000
PA
USD
28068.85000000
0.020048835109
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-38, Class ZK
38374NQB6
373639.39000000
PA
USD
425050.94000000
0.303602613182
Long
ABS-MBS
USGA
US
N
2
2036-08-20
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8J70
1000000.00000000
PA
USD
1102299.44000000
0.787343254654
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.24000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967KA8
150000.00000000
PA
USD
169526.78000000
0.121088482741
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2172, Class QC
3133TLLL0
29208.32000000
PA
USD
34086.00000000
0.024346725766
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GQD1
2435.73000000
PA
USD
2703.32000000
0.001930909778
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2543, Class YX
31393HGW6
91799.66000000
PA
USD
104348.90000000
0.074533651714
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-44, Class ZQ
31358PKY2
97.59000000
PA
USD
101.44000000
0.000072455901
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
8.00000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607GAP9
150000.00000000
PA
USD
158150.32000000
0.112962579091
Long
DBT
CORP
CA
N
2
2024-04-02
Fixed
3.10000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LR9
200000.00000000
PA
USD
191863.72000000
0.137043166560
Long
DBT
UST
US
N
2
2024-05-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H21, Class DF
38375BWC2
6307.37000000
PA
USD
6325.49000000
0.004518129741
Long
ABS-MBS
USGA
US
N
2
2061-05-20
Floating
2.38438100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 262, Class 35
3128HXKY0
437573.46000000
PA
USD
475703.56000000
0.339782436232
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Fixed
3.50000000
N
N
N
N
N
N
American International Group, Inc.
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874DD6
161000.00000000
PA
USD
175649.38000000
0.125461693537
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
3.75000000
N
N
N
N
N
N
Schlumberger Investment SA
529900EZ29I5KXPV2J32
Schlumberger Investment SA
806854AB1
47000.00000000
PA
USD
48389.59000000
0.034563400741
Long
DBT
CORP
LU
Y
2
2021-09-14
Fixed
3.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132HBPL3
571131.35000000
PA
USD
608420.20000000
0.434578412255
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust, Series 2019-1, Class A3
03066GAD1
61000.00000000
PA
USD
62190.59000000
0.044421089009
Long
ABS-O
CORP
US
N
2
2023-11-20
Fixed
2.97000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H18, Class FA
38376REW2
444599.09000000
PA
USD
444425.25000000
0.317441168967
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
2.18437900
N
N
N
N
N
N
Sherwin-Williams Co. (The)
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co. (The)
824348AW6
51000.00000000
PA
USD
55807.32000000
0.039861688546
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.45000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-53, Class SW
38375LGF1
21201.25000000
PA
USD
28129.79000000
0.020092362934
Long
ABS-MBS
USGA
US
N
2
2037-09-20
Floating
15.26400000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LN8
685000.00000000
PA
USD
664479.22000000
0.474619883436
Long
DBT
UST
US
N
2
2023-05-15
None
0.00000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2019-4, Class C
33845FAE6
105000.00000000
PA
USD
108057.68000000
0.077182734903
Long
ABS-O
CORP
US
Y
2
2025-12-15
Fixed
2.77000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1084, Class S
312905D33
6.75100000
PA
USD
7.30000000
0.000005214196
Long
ABS-MBS
USGSE
US
N
2
2021-05-15
Floating
37.76175000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-61, Class SH
31394ARP3
25952.52000000
PA
USD
40056.81000000
0.028611516990
Long
ABS-MBS
USGSE
US
N
2
2032-11-25
Floating
17.48405900
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828M56
2000000.00000000
PA
USD
2140234.38000000
1.528712654043
Long
DBT
UST
US
N
2
2025-11-15
Fixed
2.25000000
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAM1
38000.00000000
PA
USD
40817.67000000
0.029154979109
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class SW
31392KMK9
9650.61000000
PA
USD
1811.45000000
0.001293870691
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
6.34150100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-54, Class Z
31358UYY6
8206.48000000
PA
USD
8613.16000000
0.006152151748
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF
31394FSB2
89543.22000000
PA
USD
89205.67000000
0.063717244155
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Floating
1.84675000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1996-14, Class SE
31359KAJ6
18101.94000000
PA
USD
2106.21000000
0.001504409941
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
9.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2004-2CB, Class 1A9
12667FAQ8
721881.94000000
PA
USD
743857.54000000
0.531317712130
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
5.75000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-1, Class A
02528CAA0
27803.86000000
PA
USD
27851.25000000
0.019893409200
Long
ABS-O
CORP
US
Y
2
2022-07-12
Fixed
3.06000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2344, Class ZJ
313399C70
23072.91000000
PA
USD
25660.33000000
0.018328493152
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2020-FP1, Class A
35634TAA4
100000.00000000
PA
USD
100351.72000000
0.071678572053
Long
ABS-O
CORP
US
Y
2
2027-03-18
Fixed
2.52000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1084, Class F
312905C42
8.80000000
PA
USD
8.82000000
0.000006299892
Long
ABS-MBS
USGSE
US
N
2
2021-05-15
Floating
2.60849900
N
N
N
N
N
N
Qwest Corp.
549300R2L4N683OO1509
Qwest Corp.
74913GAX3
148000.00000000
PA
USD
156510.00000000
0.111790942020
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
6.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2466, Class DH
31392MM82
42224.35000000
PA
USD
47296.85000000
0.033782885541
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAE7
27000.00000000
PA
USD
28929.86000000
0.020663831716
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
VOLT LXXXVII LLC
N/A
VOLT LXXXVII LLC, Series 2020-NPL3, Class A1A
92870GAA6
149483.83000000
PA
USD
150133.28000000
0.107236220048
Long
ABS-O
CORP
US
Y
2
2050-02-25
Variable
2.98140100
N
N
N
N
N
N
Republic Services, Inc.
NKNQHM6BLECKVOQP7O46
Republic Services, Inc.
760759AS9
200000.00000000
PA
USD
220590.41000000
0.157561879333
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203YHF4
17185.29000000
PA
USD
18051.59000000
0.012893771970
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2B8
250000.00000000
PA
USD
256274.80000000
0.183050292684
Long
DBT
CORP
US
N
2
2022-07-22
Fixed
2.62500000
N
N
N
N
N
N
First Investors Auto Owner Trust
N/A
First Investors Auto Owner Trust, Series 2018-1A, Class A2
32059RAC7
68000.00000000
PA
USD
68268.03000000
0.048762043214
Long
ABS-O
CORP
US
Y
2
2023-01-17
Fixed
3.22000000
N
N
N
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables Owner Trust, Series 2020-A, Class A2
89232HAB1
220000.00000000
PA
USD
221072.70000000
0.157906366289
Long
ABS-O
CORP
US
N
2
2022-11-15
Fixed
1.67000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AQ3
265000.00000000
PA
USD
313184.01000000
0.223699032033
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-37, Class Z
31392DCF7
23073.90000000
PA
USD
26022.32000000
0.018587053008
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Fixed
6.50000000
N
N
N
N
N
N
General Mills, Inc.
2TGYMUGI08PO8X8L6150
General Mills, Inc.
370334CG7
200000.00000000
PA
USD
230447.43000000
0.164602487290
Long
DBT
CORP
US
N
2
2028-04-17
Fixed
4.20000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-H15, Class FA
38378U8D2
618139.10000000
PA
USD
618863.31000000
0.442037648755
Long
ABS-MBS
USGA
US
N
2
2064-07-20
Floating
2.23438000
N
N
N
N
N
N
Mead Johnson Nutrition Co.
E4BJRFT3MF4GJDY1SC50
Mead Johnson Nutrition Co.
582839AH9
92000.00000000
PA
USD
103368.45000000
0.073833342282
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36223NYF5
26.18000000
PA
USD
26.24000000
0.000018742536
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
7.50000000
N
N
N
N
N
N
Verizon Owner Trust
549300DBBHVB9QKK8Q94
Verizon Owner Trust, Series 2018-A, Class A1A
92348XAA3
100000.00000000
PA
USD
102204.35000000
0.073001856527
Long
ABS-O
CORP
US
N
2
2023-04-20
Fixed
3.23000000
N
N
N
N
N
N
Toyota Motor Credit Corp.
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp.
89236TGL3
150000.00000000
PA
USD
154168.25000000
0.110118292103
Long
DBT
CORP
US
N
2
2024-10-07
Fixed
2.00000000
N
N
N
N
N
N
Southern Co. Gas Capital Corp.
E8CD46SWUD2TSN8PA636
Southern Co. Gas Capital Corp.
001192AJ2
94000.00000000
PA
USD
96216.19000000
0.068724672657
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822AD6
225000.00000000
PA
USD
250136.29000000
0.178665717797
Long
DBT
CORP
JP
N
2
2026-03-01
Fixed
3.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2075, Class PH
3133TGCG2
25077.65000000
PA
USD
28420.84000000
0.020300252230
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2004-QS3, Class CB
76110HRA9
364.76000000
PA
USD
364.76000000
0.000260538393
Long
ABS-MBS
CORP
US
N
2
2019-03-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 218, Class 2
31364HVN4
383.31000000
PA
USD
34.68000000
0.000024771004
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
7.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LF5
1525000.00000000
PA
USD
1500291.87000000
1.071618691794
Long
DBT
UST
US
N
2
2021-11-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-60, Class K
31358EKM3
4.74000000
PA
USD
4.72000000
0.000003371370
Long
ABS-MBS
USGSE
US
N
2
2020-06-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-65, Class PA
3136B7AE1
343697.45000000
PA
USD
352569.42000000
0.251830985811
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202EWE5
71847.60000000
PA
USD
82525.85000000
0.058946025893
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DET2
31876.47000000
PA
USD
33830.94000000
0.024164543173
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Variable
4.06100200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-74, Class CS
31394FDF9
27769.17000000
PA
USD
35352.09000000
0.025251060274
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
15.54643800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-33, Class XS
38375QFE4
34437.17000000
PA
USD
6172.98000000
0.004409195893
Long
ABS-MBS
USGA
US
N
2
2038-04-16
Floating
6.04149800
N
N
N
N
N
N
Advance Auto Parts, Inc.
529900UCNQ5H9FSL0Y70
Advance Auto Parts, Inc.
00751YAC0
30000.00000000
PA
USD
32970.56000000
0.023549996558
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
4.50000000
N
N
N
N
N
N
PNC Financial Services Group, Inc. (The)
CFGNEKW0P8842LEUIA51
PNC Financial Services Group, Inc. (The)
693476BL6
133000.00000000
PA
USD
134613.97000000
0.096151188520
Long
DBT
CORP
US
N
2
2020-08-11
Fixed
4.37500000
N
N
N
N
N
N
DTE Energy Co.
549300IX8SD6XXD71I78
DTE Energy Co., Series B
233331AV9
79000.00000000
PA
USD
82078.68000000
0.058626624221
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
3.30000000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RAS8
28000.00000000
PA
USD
29003.91000000
0.020716723667
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.60000000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2015-B, Class C
126189AC3
190555.74000000
PA
USD
191650.62000000
0.136890954881
Long
ABS-O
CORP
US
Y
2
2021-05-17
Fixed
4.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2586, Class WI
31393MWB3
13344.13000000
PA
USD
2674.59000000
0.001910388701
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371HKW7
9713.60000000
PA
USD
10991.62000000
0.007851022644
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A
31393LFM0
65333.16000000
PA
USD
80182.93000000
0.057272540276
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1720, Class PL
3133T5DV2
76523.99000000
PA
USD
82127.69000000
0.058661630765
Long
ABS-MBS
USGSE
US
N
2
2024-04-15
Fixed
7.50000000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAD0
150000.00000000
PA
USD
150294.46000000
0.107351346647
Long
DBT
CORP
US
Y
2
2020-07-02
Fixed
2.15000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2011-137, Class WA
38377YX39
218449.34000000
PA
USD
256288.61000000
0.183060156801
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Variable
5.56484000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H4CL3
202799.48000000
PA
USD
218646.07000000
0.156173088839
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RAY5
61000.00000000
PA
USD
66462.57000000
0.047472451021
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.90000000
N
N
N
N
N
N
Sinopec Group Overseas Development 2013 Ltd.
529900F9XKMFEV9DNO17
Sinopec Group Overseas Development 2013 Ltd.
82937VAB3
200000.00000000
PA
USD
217416.74000000
0.155295011025
Long
DBT
CORP
VG
Y
2
2023-10-17
Fixed
4.37500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBE9
27000.00000000
PA
USD
29403.31000000
0.021002004494
Long
DBT
CORP
US
Y
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
World Financial Network Credit Card Master Trust
N/A
World Financial Network Credit Card Master Trust, Series 2018-B, Class A
981464GS3
156000.00000000
PA
USD
161057.61000000
0.115039179230
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
3.46000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3152, Class MO
31396R2P1
122551.64000000
PA
USD
113634.07000000
0.081165802382
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CZN6
737.76000000
PA
USD
825.18000000
0.000589404188
Long
ABS-MBS
USGA
US
N
2
2028-02-20
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2990, Class UZ
31395V4P1
528210.37000000
PA
USD
606971.03000000
0.433543308559
Long
ABS-MBS
USGSE
US
N
2
2035-06-15
Fixed
5.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284R8
299000.00000000
PA
USD
328386.09000000
0.234557474586
Long
DBT
UST
US
N
2
2025-05-31
Fixed
2.87500000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JT9
115000.00000000
PA
USD
127974.29000000
0.091408641195
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3171, Class MO
31396TUG6
32963.84000000
PA
USD
30740.18000000
0.021956895278
Long
ABS-MBS
USGSE
US
N
2
2036-06-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-39, Class PD
31359PSF4
20767.09000000
PA
USD
23872.16000000
0.017051250747
Long
ABS-MBS
USGSE
US
N
2
2027-05-20
Fixed
7.50000000
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
10053.93000000
PA
USD
10333.28000000
0.007380787843
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
4.24000100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-79, Class DO
31396KYB2
27623.66000000
PA
USD
26450.92000000
0.018893190621
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
None
0.00000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAB6
80000.00000000
PA
USD
84229.60000000
0.060162969330
Long
DBT
CORP
US
N
2
2023-01-31
Fixed
3.50000000
N
N
N
N
N
N
BA Credit Card Trust
5493006DQ60M1CRKHH19
BA Credit Card Trust, Series 2019-A1, Class A1
05522RDB1
230000.00000000
PA
USD
233093.29000000
0.166492354914
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
1.74000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust, Series 2017-B, Class A3
98161TAD7
74172.49000000
PA
USD
74489.96000000
0.053206202795
Long
ABS-O
CORP
US
N
2
2023-02-15
Fixed
1.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4
31396WVA1
7083.91000000
PA
USD
12989.17000000
0.009277819630
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
29.21472000
N
N
N
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3
89232HAC9
180000.00000000
PA
USD
181809.34000000
0.129861589589
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
1.66000000
N
N
N
N
N
N
BP Capital Markets plc
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QCP1
166000.00000000
PA
USD
179369.55000000
0.128118912301
Long
DBT
CORP
GB
N
2
2024-02-10
Fixed
3.81400000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400GF4
16571.40000000
PA
USD
16502.47000000
0.011787276640
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
1.84500000
N
N
N
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
06738EAS4
317000.00000000
PA
USD
326960.64000000
0.233539313457
Long
DBT
CORP
GB
N
2
2023-01-10
Fixed
3.68400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31416BXJ2
19203.63000000
PA
USD
20062.98000000
0.014330454500
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
Noble Energy, Inc.
02VFQXG2D1LR5ZH3K186
Noble Energy, Inc.
655044AP0
100000.00000000
PA
USD
103513.03000000
0.073936611942
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2020-NPL2, Class A1A
91834UAA2
100000.00000000
PA
USD
100627.60000000
0.071875625820
Long
ABS-O
CORP
US
Y
3
2050-02-25
Variable
2.98140100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 329, Class 1
3136FAWE6
4386.25400000
PA
USD
4059.36000000
0.002899493185
Long
ABS-MBS
USGSE
US
N
2
2033-01-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-35, Class E
31358PHT7
3845.55000000
PA
USD
4015.13000000
0.002867900869
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
7.50000000
N
N
N
N
N
N
Evergy Metro, Inc.
1128SIJQ26096WL7IO82
Evergy Metro, Inc.
485134BN9
47000.00000000
PA
USD
49249.94000000
0.035177925928
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2015-M17, Class FA
3136AQC65
150239.04000000
PA
USD
150516.01000000
0.107509593936
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Floating
2.69419300
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-69
31396Q5D7
41718.81000000
PA
USD
38206.08000000
0.027289589637
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CQX4
1076.05000000
PA
USD
1233.96000000
0.000881384900
Long
ABS-MBS
USGA
US
N
2
2026-08-20
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QSZW9
67671.53000000
PA
USD
71672.27000000
0.051193601559
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
4.87500100
N
Y
N
N
N
N
Jefferies Group LLC
NY9Q8VBNB6D1L6YV0J84
Jefferies Group LLC
472319AH5
50000.00000000
PA
USD
52781.23000000
0.037700232717
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
6.87500000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBJ5
106000.00000000
PA
USD
113254.11000000
0.080894407031
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-183, Class KA
31359EHA2
62796.37000000
PA
USD
67244.66000000
0.048031077165
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3117, Class EO
31396HUN7
51983.26000000
PA
USD
47771.19000000
0.034121694022
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
None
0.00000000
N
N
N
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CY4
64000.00000000
PA
USD
65874.76000000
0.047052593928
Long
DBT
CORP
US
N
2
2025-01-28
Fixed
2.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-36, Class SA
31393X5V5
47049.63000000
PA
USD
70187.51000000
0.050133076870
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
15.05143800
N
N
N
N
N
N
Resolution Funding Corp.
N/A
Resolution Funding Corp. STRIPS
76116FAD9
250000.00000000
PA
USD
248843.42000000
0.177742255046
Long
DBT
USGA
US
N
2
2020-07-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-24
38373SF69
6919.09800000
PA
USD
6659.06000000
0.004756389945
Long
ABS-MBS
USGA
US
N
2
2033-03-16
None
0.00000000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust, Series 2019-1, Class A3
02004WAC5
69000.00000000
PA
USD
70393.14000000
0.050279952925
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
2.91000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-178, Class PK
31359D6L2
4263.29000000
PA
USD
4558.13000000
0.003255751367
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
6.50000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust, Series 2018-2, Class A3
14314XAC3
136000.00000000
PA
USD
138132.56000000
0.098664424037
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
2.98000000
N
N
N
N
N
N
Kimberly-Clark Corp.
MP3J6QPYPGN75NVW2S34
Kimberly-Clark Corp.
494368BH5
20000.00000000
PA
USD
20444.42000000
0.014602906976
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
2.40000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AK5
58000.00000000
PA
USD
60501.25000000
0.043214438252
Long
DBT
NUSS
CO
N
2
2025-01-16
Fixed
4.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833WQ9
10000.00000000
PA
USD
9069.50000000
0.006478103307
Long
DBT
UST
US
N
2
2028-05-15
None
0.00000000
N
N
N
N
N
N
Martin Marietta Materials, Inc.
5299005MZ4WZECVATV08
Martin Marietta Materials, Inc.
573284AT3
160000.00000000
PA
USD
175448.36000000
0.125318110282
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.50000000
N
N
N
N
N
N
American Water Capital Corp.
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp.
03040WAK1
150000.00000000
PA
USD
163274.19000000
0.116622423536
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
3.85000000
N
N
N
N
N
N
Kroger Co. (The)
6CPEOKI6OYJ13Q6O7870
Kroger Co. (The)
501044CY5
90000.00000000
PA
USD
97504.92000000
0.069645178317
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.00000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Trust, Series 2018-C, Class A
12655CAA4
2255.11000000
PA
USD
2256.14000000
0.001611500964
Long
ABS-O
CORP
US
Y
2
2021-09-15
Fixed
2.87000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
25152R2X0
38000.00000000
PA
USD
38375.04000000
0.027410273283
Long
DBT
CORP
DE
N
2
2021-01-13
Fixed
3.12500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2006-A2, Class 5A3
466247K93
43909.36000000
PA
USD
45621.76000000
0.032586413181
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
4.11070000
N
N
N
N
N
N
Pennsylvania Electric Co.
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co.
708696BY4
132000.00000000
PA
USD
141618.17000000
0.101154102814
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
3.25000000
N
N
N
N
N
N
WEC Energy Group, Inc.
549300IGLYTZUK3PVP70
WEC Energy Group, Inc.
976657AL0
87000.00000000
PA
USD
94729.85000000
0.067663019416
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.55000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2018-4, Class B
26209BAE9
36754.91000000
PA
USD
36794.09000000
0.026281042629
Long
ABS-O
CORP
US
N
2
2022-10-17
Fixed
3.36000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3122, Class OH
31396JLG8
46936.23000000
PA
USD
43441.08000000
0.031028811293
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-81, Class GE
31396XAU8
76187.43000000
PA
USD
86275.74000000
0.061624472864
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-37, Class PX
31358UDP8
27039.02000000
PA
USD
28423.94000000
0.020302466478
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.00000000
N
N
N
N
N
N
DTE Electric Co.
9N0FWODEJVKHC2DYLO03
DTE Electric Co.
250847EJ5
20000.00000000
PA
USD
20475.63000000
0.014625199451
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.65000000
N
N
N
N
N
N
ABB Finance USA, Inc.
5493002Y01YAFV45F528
ABB Finance USA, Inc.
00037BAB8
41000.00000000
PA
USD
42324.72000000
0.030231424953
Long
DBT
CORP
US
N
2
2022-05-08
Fixed
2.87500000
N
N
N
N
N
N
Realty Income Corp.
549300CUWDAUZSH43859
Realty Income Corp.
756109AU8
150000.00000000
PA
USD
168285.53000000
0.120201890787
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.65000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38145GAG5
200000.00000000
PA
USD
201088.24000000
0.143631996542
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
2.35000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828V80
1500000.00000000
PA
USD
1577226.57000000
1.126571107531
Long
DBT
UST
US
N
2
2024-01-31
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Series 2006-72, Class GO
31396KJK9
34977.66000000
PA
USD
33310.51000000
0.023792813827
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HSKZ3
198527.86000000
PA
USD
226611.79000000
0.161862791367
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
4.01000000
N
N
N
N
N
N
TD Ameritrade Holding Corp.
ZI85ER3E6RXD4HPHW309
TD Ameritrade Holding Corp.
87236YAE8
34000.00000000
PA
USD
34862.83000000
0.024901594832
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-46, Class HI
31397LRU5
36130.94000000
PA
USD
2262.32000000
0.001615915174
Long
ABS-MBS
USGSE
US
N
2
2038-06-25
Floating
1.88608700
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-49, Class Z
313921AG3
6218.63000000
PA
USD
7220.02000000
0.005157068795
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
6.50000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38148LAE6
257000.00000000
PA
USD
278147.20000000
0.198673167901
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403BBP7
39344.64000000
PA
USD
41167.96000000
0.029405181965
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Variable
3.48800000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class NG
31339NLX2
12180.19000000
PA
USD
14232.77000000
0.010166090127
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AM9
150000.00000000
PA
USD
163605.14000000
0.116858812344
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-5, Class 1A4
12669FVR1
23501.05000000
PA
USD
24354.63000000
0.017395866272
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-103, Class MB
31398GJB6
52387.52000000
PA
USD
54891.72000000
0.039207699750
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
4.36406000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust, Series 2017-B, Class A3
44932GAD7
95092.05000000
PA
USD
95210.59000000
0.068006399248
Long
ABS-O
CORP
US
N
2
2022-01-18
Fixed
1.77000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KLU2, Class A7
3137FPHV0
350000.00000000
PA
USD
359645.97000000
0.256885577791
Long
ABS-MBS
USGSE
US
N
2
2025-09-25
Variable
2.22900100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405JWZ3
28430.80000000
PA
USD
29791.38000000
0.021279192602
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
3.84300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407KGJ2
61034.02000000
PA
USD
64249.68000000
0.045891842385
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
3.73399900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402CPA4
41583.66000000
PA
USD
47739.86000000
0.034099315834
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-93, Class G
31358ED82
8.09000000
PA
USD
8.10000000
0.000005785615
Long
ABS-MBS
USGSE
US
N
2
2020-08-25
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Prime Money Market Fund
549300YD7H8SEEU7VG41
JPMorgan Prime Money Market Fund, Class Institutional
4812A2603
2362790.23000000
NS
USD
2363971.63000000
1.688522237728
Long
STIV
RF
US
N
1
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RGR7
350000.00000000
PA
USD
484990.71000000
0.346416001162
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
7.87500000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BM0
200000.00000000
PA
USD
206292.63000000
0.147349354287
Long
DBT
CORP
GB
N
2
2023-11-22
Variable
3.03300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-33, Class ID
31359S6G0
26291.27000000
PA
USD
4574.12000000
0.003267172600
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31362TVS9
33.34000000
PA
USD
33.41000000
0.000023863876
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class SA
31392BVQ6
3323.42000000
PA
USD
4792.17000000
0.003422919932
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Floating
19.90056200
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D
35563PLQ0
103290.24000000
PA
USD
112218.92000000
0.080154998270
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607, Class OP
31398LQS0
146315.61000000
PA
USD
130610.50000000
0.093291616080
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1991-42, Class S
31358GSL2
74.85000000
PA
USD
79.86000000
0.000057041879
Long
ABS-MBS
USGSE
US
N
2
2021-05-25
Floating
14.82818800
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1994-1, Class 1
911760DD5
65419.72000000
PA
USD
69112.04000000
0.049364897172
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Variable
5.27192600
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class A3
03065HAD0
29892.40000000
PA
USD
29906.12000000
0.021361148341
Long
ABS-O
CORP
US
N
2
2022-03-18
Fixed
1.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-20
31359N4H1
4647.52000000
PA
USD
105.64000000
0.000075455850
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Floating
1.84000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4219, Class JA
3137B2NA4
286074.85000000
PA
USD
295129.69000000
0.210803310096
Long
ABS-MBS
USGSE
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402CPL0
42420.21000000
PA
USD
47556.61000000
0.033968425220
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAZ7
152000.00000000
PA
USD
162203.90000000
0.115857943775
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.20000000
N
N
N
N
N
N
FNMA/FHLMC
N/A
FNMA/FHLMC UMBS, Single Family, 30 Year
01F030645
500000.00000000
PA
USD
514129.90000000
0.367229351746
Long
ABS-MBS
USGSE
US
N
2
2049-04-25
Fixed
3.00000000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust, Series 2019-A, Class A3
88165GAC4
168000.00000000
PA
USD
170383.87000000
0.121700679396
Long
ABS-O
CORP
US
Y
2
2022-10-20
Fixed
2.16000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A2
576433KX3
9387.31000000
PA
USD
8928.30000000
0.006377247892
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
3.72338600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1798, Class F
3133T6MS7
4690.70000000
PA
USD
4870.63000000
0.003478961829
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Fixed
5.00000000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VAX5
115000.00000000
PA
USD
118732.33000000
0.084807354283
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.12500000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust, Series 2019-2, Class A3
03066KAE0
250000.00000000
PA
USD
253629.65000000
0.181160932194
Long
ABS-O
CORP
US
N
2
2024-01-18
Fixed
2.28000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31403DDK2
4539.80000000
PA
USD
4591.82000000
0.003279815241
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2345, Class NE
313399SN8
12409.50000000
PA
USD
14480.27000000
0.010342872813
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
Honda Auto Receivables Owner Trust
N/A
Honda Auto Receivables Owner Trust, Series 2018-2, Class A3
43814UAG4
128000.00000000
PA
USD
129559.82000000
0.092541143222
Long
ABS-O
CORP
US
N
2
2022-05-18
Fixed
3.01000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M4J38
19640.91000000
PA
USD
23385.67000000
0.016703763843
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410ERP5
50672.27000000
PA
USD
54045.87000000
0.038603531529
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Variable
4.66499900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-92, Class ZC
38376CR35
531721.97000000
PA
USD
616247.47000000
0.440169223620
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G95-1, Class C
31359LMA0
3056.60000000
PA
USD
3475.08000000
0.002482157477
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
8.80000000
N
N
N
N
N
N
B2R Mortgage Trust
549300JNS8TBD8XLZ117
B2R Mortgage Trust, Series 2015-2, Class A
05605GAA0
50193.58000000
PA
USD
50352.77000000
0.035965648147
Long
ABS-O
CORP
US
Y
2
2048-11-15
Fixed
3.33600000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-6, Class SA
38375Y5V0
20617.66000000
PA
USD
2603.53000000
0.001859632427
Long
ABS-MBS
USGA
US
N
2
2039-02-16
Floating
4.44150000
N
N
N
N
N
N
Spectra Energy Partners LP
2HKVXE7U4NF5B6UGSU72
Spectra Energy Partners LP
84756NAF6
63000.00000000
PA
USD
66995.19000000
0.047852887361
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.50000000
N
N
N
N
N
N
Hyundai Auto Lease Securitization Trust
N/A
Hyundai Auto Lease Securitization Trust, Series 2018-B, Class A4
44935QAE0
127000.00000000
PA
USD
128753.45000000
0.091965174518
Long
ABS-O
CORP
US
Y
2
2022-06-15
Fixed
3.20000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCS8
14000.00000000
PA
USD
15668.25000000
0.011191415419
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
GM Financial Automobile Leasing Trust
N/A
GM Financial Automobile Leasing Trust, Series 2018-2, Class A3
36255KAD3
74237.57000000
PA
USD
74481.14000000
0.053199902902
Long
ABS-O
CORP
US
N
2
2021-06-21
Fixed
3.06000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-40, Class TJ
38373QXZ9
164037.87000000
PA
USD
185236.55000000
0.132309554795
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
6.50000000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust, Series 2018-A, Class A3
44891KAD7
78000.00000000
PA
USD
78606.36000000
0.056146438139
Long
ABS-O
CORP
US
N
2
2022-07-15
Fixed
2.79000000
N
N
N
N
N
N
Brookfield Finance, Inc.
N/A
Brookfield Finance, Inc.
11271LAD4
47000.00000000
PA
USD
55663.77000000
0.039759154588
Long
DBT
CORP
CA
N
2
2029-03-29
Fixed
4.85000000
N
N
N
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556BF8
34000.00000000
PA
USD
37079.20000000
0.026484689140
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.15000000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2020-A, Class A
12597JAA0
96107.24000000
PA
USD
96366.52000000
0.068832049389
Long
ABS-O
CORP
US
Y
2
2023-05-15
Fixed
2.09000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-27, Class OH
31395BZL0
45587.52000000
PA
USD
42564.66000000
0.030402807732
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4374, Class NC
3137BCSN9
130141.29000000
PA
USD
131308.27000000
0.093790014685
Long
ABS-MBS
USGSE
US
N
2
2046-02-15
Variable
3.75000100
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGH7
99000.00000000
PA
USD
104500.42000000
0.074641878431
Long
DBT
CORP
US
N
2
2025-02-19
Fixed
3.00000000
N
N
N
N
N
N
Laboratory Corp. of America Holdings
OZ7UA8IXAIFILY2VZH07
Laboratory Corp. of America Holdings
50540RAP7
214000.00000000
PA
USD
219981.43000000
0.157126901071
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GMZ6
693.25000000
PA
USD
747.50000000
0.000533919424
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
8.00000000
N
N
N
N
N
N
Ryder System, Inc.
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKA6
86000.00000000
PA
USD
86403.10000000
0.061715442735
Long
DBT
CORP
US
N
2
2020-09-01
Fixed
2.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A
31393LFK4
200709.46000000
PA
USD
243532.73000000
0.173948970030
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2019-D, Class A
12655KAA6
80512.01000000
PA
USD
80735.18000000
0.057666997804
Long
ABS-O
CORP
US
Y
2
2022-12-15
Fixed
2.17000000
N
N
N
N
N
N
Manulife Financial Corp.
5493007GBX87QOZACS27
Manulife Financial Corp.
56501RAC0
44000.00000000
PA
USD
49995.45000000
0.035710423948
Long
DBT
CORP
CA
N
2
2026-03-04
Fixed
4.15000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LK4
1300000.00000000
PA
USD
1268190.47000000
0.905834817599
Long
DBT
UST
US
N
2
2022-11-15
None
0.00000000
N
N
N
N
N
N
ORIX Corp.
35380016EMHNBOVYE123
ORIX Corp.
686330AH4
81000.00000000
PA
USD
83317.42000000
0.059511423349
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.90000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DAZ8
200000.00000000
PA
USD
210013.08000000
0.150006773048
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.22200000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QPNJ7
49885.31000000
PA
USD
52876.82000000
0.037768510119
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Variable
4.51400000
N
Y
N
N
N
N
Virginia Electric & Power Co.
CQKUMNNZVDJLRYV2PT43
Virginia Electric & Power Co.
927804FQ2
21000.00000000
PA
USD
22384.19000000
0.015988433240
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.45000000
N
N
N
N
N
N
Zimmer Biomet Holdings, Inc.
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings, Inc.
98956PAQ5
19000.00000000
PA
USD
20100.78000000
0.014357454038
Long
DBT
CORP
US
N
2
2023-03-19
Fixed
3.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-91, Class ES
31396XYW8
229149.65000000
PA
USD
45878.10000000
0.032769510044
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Floating
4.83324800
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2005-6, Class 3A1
576434W59
14084.84130000
PA
USD
13822.38000000
0.009872959434
Long
ABS-MBS
CORP
US
N
2
2020-11-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1250, Class J
3129093W2
471.22000000
PA
USD
490.94000000
0.000350665421
Long
ABS-MBS
USGSE
US
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LG3
2400000.00000000
PA
USD
2355251.47000000
1.682293658718
Long
DBT
UST
US
N
2
2022-02-15
None
0.00000000
N
N
N
N
N
N
Honda Auto Receivables Owner Trust
N/A
Honda Auto Receivables Owner Trust, Series 2019-4, Class A3
43813VAC2
180000.00000000
PA
USD
182588.11000000
0.130417844346
Long
ABS-O
CORP
US
N
2
2024-01-18
Fixed
1.83000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225BYK8
16701.84000000
PA
USD
20270.88000000
0.014478951956
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class OE
31339NKQ8
18575.83000000
PA
USD
20303.95000000
0.014502572980
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-44, Class P
31395NBC0
24020.18000000
PA
USD
22269.13000000
0.015906248934
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
None
0.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
902674XK1
200000.00000000
PA
USD
201202.21000000
0.143713402290
Long
DBT
CORP
CH
Y
2
2020-12-01
Fixed
2.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418AHB7
366005.84000000
PA
USD
394477.99000000
0.281765165857
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-10, Class 1A1
576434VU5
763.80000000
PA
USD
768.61000000
0.000548997737
Long
ABS-MBS
CORP
US
N
2
2019-09-25
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 15 Year
3128MBLE5
3279.37000000
PA
USD
3299.54000000
0.002356773911
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31401A3J4
40501.10000000
PA
USD
47109.77000000
0.033649259259
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
6.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2A0
250000.00000000
PA
USD
271798.12000000
0.194138188448
Long
DBT
CORP
US
N
2
2028-05-22
Variable
3.58400200
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1996-1, Class 1Z
92260MAH6
119092.68000000
PA
USD
134331.64000000
0.095949527689
Long
ABS-MBS
USGSE
US
N
2
2026-02-15
Fixed
6.75000000
N
N
N
N
N
N
Exelon Generation Co. LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co. LLC
30161MAR4
80000.00000000
PA
USD
82503.54000000
0.058930090451
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.40000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A
05377RDU5
100000.00000000
PA
USD
102540.50000000
0.073241959556
Long
ABS-O
CORP
US
Y
2
2026-08-20
Fixed
2.33000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203LAX0
971.88000000
PA
USD
1026.07000000
0.000732894587
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Realty Income Corp.
549300CUWDAUZSH43859
Realty Income Corp.
756109AQ7
50000.00000000
PA
USD
54658.71000000
0.039041266887
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2014-M13, Class A2
3136ALYF2
636000.00000000
PA
USD
675397.53000000
0.482418542692
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
3.02100100
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAD2
38000.00000000
PA
USD
42617.35000000
0.030440442801
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
5.00000000
N
N
N
N
N
N
Daimler Finance North America LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851CY8
150000.00000000
PA
USD
150094.36000000
0.107208420524
Long
DBT
CORP
US
Y
2
2020-05-05
Fixed
2.20000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAJ2
12000.00000000
PA
USD
12413.65000000
0.008866740958
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-106, Class A7
31396XF25
28948.16000000
PA
USD
32926.22000000
0.023518325672
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
6.18484000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-116, Class HI
31396X6G4
39800.56000000
PA
USD
1761.41000000
0.001258128446
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Floating
1.76958400
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A
22534GAA1
250000.00000000
PA
USD
252261.50000000
0.180183698935
Long
ABS-O
CORP
US
Y
2
2029-02-15
Fixed
2.01000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810EW4
516000.00000000
PA
USD
666285.00000000
0.475909704197
Long
DBT
UST
US
N
2
2026-02-15
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3
17307GAV0
3202.37000000
PA
USD
3280.48000000
0.002343159858
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3149, Class SO
31396RJA6
5898.81000000
PA
USD
5247.99000000
0.003748500069
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VEA8
208000.00000000
PA
USD
254942.18000000
0.182098437562
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406H3D7
36498.00000000
PA
USD
37812.54000000
0.027008494452
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
3.49200000
N
N
N
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP Operating LP
26884AAZ6
255000.00000000
PA
USD
267571.96000000
0.191119554447
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31371EW35
430.93000000
PA
USD
461.83000000
0.000329872920
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVY73
400000.00000000
PA
USD
426735.76000000
0.304806035423
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
2.52000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class QX
31339NHV1
9972.88000000
PA
USD
2355.68000000
0.001682599746
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
6.99149900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A
31393AP68
13633.01000000
PA
USD
15543.76000000
0.011102495514
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.78065000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1807, Class G
3133T6RU7
10.26000000
PA
USD
10.39000000
0.000007421301
Long
ABS-MBS
USGSE
US
N
2
2020-10-15
Fixed
9.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-54, Class ZQ
31358QKR5
2009.02000000
PA
USD
2085.79000000
0.001489824477
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
7.50000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust, Series 2018-3, Class A3
14313FAD1
234000.00000000
PA
USD
238640.31000000
0.170454444181
Long
ABS-O
CORP
US
N
2
2023-06-15
Fixed
3.13000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class AA
90932EAA1
107313.12000000
PA
USD
113102.79000000
0.080786323169
Long
ABS-O
CORP
US
N
2
2028-10-07
Fixed
2.87500000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBL4
77000.00000000
PA
USD
83163.68000000
0.059401610945
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2271, Class PC
3133TQKD8
17182.27000000
PA
USD
20335.72000000
0.014525265449
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.25000000
N
N
N
N
N
N
NCUA Guaranteed Notes Trust
N/A
NCUA Guaranteed Notes Trust, Series 2010-R3, Class 3A
62888WAC0
7732.19000000
PA
USD
7774.36000000
0.005553019155
Long
ABS-MBS
USGSE
US
N
2
2020-12-08
Fixed
2.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3481, Class SJ
31397Y4R9
85397.53000000
PA
USD
15822.17000000
0.011301356393
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Floating
4.19150200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36295VHP7
67894.63000000
PA
USD
75218.72000000
0.053726736734
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAL3
205000.00000000
PA
USD
223102.84000000
0.159356441447
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.87500000
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAA0
48000.00000000
PA
USD
48959.76000000
0.034970658050
Long
DBT
CORP
US
Y
2
2020-10-01
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1144, Class KB
312907DL9
946.21000000
PA
USD
988.36000000
0.000705959334
Long
ABS-MBS
USGSE
US
N
2
2021-09-15
Fixed
8.50000000
N
N
N
N
N
N
Consolidated Edison Co. of New York, Inc.
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co. of New York, Inc.
209111FP3
155000.00000000
PA
USD
175071.39000000
0.125048850609
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.80000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAB7
150000.00000000
PA
USD
160766.14000000
0.114830989940
Long
DBT
CORP
KY
Y
2
2023-10-01
Fixed
5.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2333, Class HC
313398GJ2
23151.65000000
PA
USD
26749.49000000
0.019106451253
Long
ABS-MBS
USGSE
US
N
2
2031-07-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H20, Class FA
38376RFG6
531962.69000000
PA
USD
531985.83000000
0.379983368967
Long
ABS-MBS
USGA
US
N
2
2065-08-20
Floating
2.20438100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-130, Class SX
31393UWF6
3045.01000000
PA
USD
3458.74000000
0.002470486248
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
9.02868100
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2002-QS16, Class A3
76110GW49
126.51000000
PA
USD
113.87000000
0.000081334320
Long
ABS-MBS
CORP
US
N
2
2017-10-25
Floating
13.22134100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KL3L, Class ALNZ
3137FJF53
500000.00000000
PA
USD
545131.55000000
0.389373008111
Long
ABS-MBS
USGSE
US
N
2
2025-04-25
Variable
3.45560800
N
N
N
N
N
N
Martin Marietta Materials, Inc.
5299005MZ4WZECVATV08
Martin Marietta Materials, Inc.
573284AQ9
78000.00000000
PA
USD
83872.58000000
0.059907959413
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.45000000
N
N
N
N
N
N
Diageo Capital plc
213800L23DJLALFC4O95
Diageo Capital plc
25243YAP4
70000.00000000
PA
USD
70835.34000000
0.050595804657
Long
DBT
CORP
GB
N
2
2020-07-15
Fixed
4.82800000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT
35563PJE0
545502.39250000
PA
USD
593940.93000000
0.424236253716
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-28, Class QS
31396YY71
24018.20000000
PA
USD
35083.12000000
0.025058942136
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Floating
15.81975000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-68, Class KI
38374L3B5
227703.08000000
PA
USD
51129.77000000
0.036520638640
Long
ABS-MBS
USGA
US
N
2
2035-09-20
Floating
4.65300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H03, Class FA
38375BF64
688.17000000
PA
USD
685.66000000
0.000489748752
Long
ABS-MBS
USGA
US
N
2
2060-08-20
Floating
2.03438200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-102, Class J
31358EV58
183.14000000
PA
USD
184.37000000
0.000131690601
Long
ABS-MBS
USGSE
US
N
2
2020-08-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-42, Class Z
31358MQ49
184.03000000
PA
USD
188.91000000
0.000134933402
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
7.00000000
N
N
N
N
N
N
Union Carbide Corp.
QE84C8O80MNLK8IFRL44
Union Carbide Corp.
905581AR5
100000.00000000
PA
USD
124202.77000000
0.088714744488
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
7.50000000
N
N
N
N
N
N
ONEOK, Inc.
2T3D6M0JSY48PSZI1Q41
ONEOK, Inc.
682680AY9
150000.00000000
PA
USD
155062.07000000
0.110756724023
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
3.40000000
N
N
N
N
N
N
Public Service Co. of Colorado
5BANEF6PGSEK0SNMQF44
Public Service Co. of Colorado
744448CD1
51000.00000000
PA
USD
51169.53000000
0.036549038153
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
3.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8K52
500000.00000000
PA
USD
550681.04000000
0.393336861633
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
3.34000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A
31392MEN8
22621.97000000
PA
USD
25682.34000000
0.018344214311
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Variable
5.38520800
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust, Series 2018-2, Class A3
03066LAD0
148000.00000000
PA
USD
150008.89000000
0.107147371570
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
3.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-74, Class SW
31394AR81
23241.91000000
PA
USD
31921.52000000
0.022800695109
Long
ABS-MBS
USGSE
US
N
2
2031-11-25
Floating
12.18300100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-63, Class H
31358EKU5
21.24000000
PA
USD
21.36000000
0.000015256881
Long
ABS-MBS
USGSE
US
N
2
2020-06-25
Fixed
9.50000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS9, Class A3
76110HCC1
924.03000000
PA
USD
0.01000000
0.000000007142
Long
ABS-MBS
CORP
US
N
3
2018-05-25
Floating
5.92324900
N
N
N
N
N
N
Biogen, Inc.
W8J5WZB5IY3K0NDQT671
Biogen, Inc.
09062XAE3
30000.00000000
PA
USD
31650.39000000
0.022607034141
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-91, Class SD
31393EQX0
6490.02000000
PA
USD
8011.95000000
0.005722723390
Long
ABS-MBS
USGSE
US
N
2
2033-09-25
Floating
9.78874900
N
N
N
N
N
N
Prudential Insurance Co. of America (The)
X574KRZ6V5A7UBU45C31
Prudential Insurance Co. of America (The)
743917AH9
150000.00000000
PA
USD
195664.72000000
0.139758120049
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
8.30000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-2A, Class A3
14686UAC9
350000.00000000
PA
USD
353187.10000000
0.252272178253
Long
ABS-O
CORP
US
Y
2
2023-03-15
Fixed
2.58000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4ZA8
25010.69000000
PA
USD
26124.73000000
0.018660201755
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
4.05200200
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31374AUY4
134.01000000
PA
USD
134.42000000
0.000096012640
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
8.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833QB9
140000.00000000
PA
USD
128154.36000000
0.091537260420
Long
DBT
UST
US
N
2
2027-11-15
None
0.00000000
N
N
N
N
N
N
Lockheed Martin Corp.
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp.
539830BG3
174000.00000000
PA
USD
181999.55000000
0.129997451547
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.10000000
N
N
N
N
N
N
Citizens Financial Group, Inc.
2138004JDDA4ZQUPFW65
Citizens Financial Group, Inc.
174610AK1
50000.00000000
PA
USD
55812.88000000
0.039865659907
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
4.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410S5Y9
50686.61000000
PA
USD
53965.34000000
0.038546011085
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
4.56599900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2412, Class SP
31339DW95
38953.45000000
PA
USD
50883.38000000
0.036344648798
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
12.78299900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-28, Class PK
31392CA46
18290.43000000
PA
USD
21288.76000000
0.015205996644
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Fixed
6.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBN0
80000.00000000
PA
USD
86998.55000000
0.062140756877
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.37500000
N
N
N
N
N
N
Cigna Corp.
549300VIWYMSIGT1U456
Cigna Corp.
125523BW9
72000.00000000
PA
USD
76622.37000000
0.054729326701
Long
DBT
CORP
US
Y
2
2024-06-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-14, Class NI
38374XAF2
31216.65000000
PA
USD
7653.45000000
0.005466656349
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
6.50000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2015-SFR3, Class A
74332NAA1
778699.22000000
PA
USD
779223.13000000
0.556578415096
Long
ABS-O
CORP
US
Y
3
2032-11-12
Fixed
3.06700000
N
N
N
N
N
N
NACC Reperforming Loan REMIC Trust
N/A
NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1
62951MAM2
34329.82000000
PA
USD
34743.12000000
0.024816089154
Long
ABS-MBS
CORP
US
Y
2
2034-10-25
Variable
6.50000200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-88, Class VI
31396XUU6
81392.91000000
PA
USD
17327.07000000
0.012376266550
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
4.91325100
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCK6
42000.00000000
PA
USD
41034.00000000
0.029309497890
Long
DBT
NUSS
MX
N
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31371KNW7
11886.40000000
PA
USD
13262.10000000
0.009472766290
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
6.50000000
N
N
N
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556BX9
100000.00000000
PA
USD
107972.56000000
0.077121935944
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.20000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2K6
150000.00000000
PA
USD
157978.32000000
0.112839724053
Long
DBT
CORP
US
Y
2
2026-11-12
Fixed
2.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-21, Class PE
31392CPT5
17628.89000000
PA
USD
20550.19000000
0.014678455682
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1196, Class B
312908LC8
2.89000000
PA
USD
6.83000000
0.000004878487
Long
ABS-MBS
USGSE
US
N
2
2022-01-15
Floating
1104.54287900
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91086QBA5
244000.00000000
PA
USD
253760.00000000
0.181254037742
Long
DBT
NUSS
MX
N
2
2022-03-15
Fixed
3.62500000
N
N
N
N
N
N
Principal Financial Group, Inc.
CUMYEZJOAF02RYZ1JJ85
Principal Financial Group, Inc.
74251VAM4
150000.00000000
PA
USD
161495.77000000
0.115352145298
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
3.10000000
N
N
N
N
N
N
APT Pipelines Ltd.
261700SS8OEHDOCOUJ33
APT Pipelines Ltd.
00205GAD9
100000.00000000
PA
USD
111090.04000000
0.079348669226
Long
DBT
CORP
AU
Y
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L7CT1
1000000.00000000
PA
USD
1099387.67000000
0.785263454570
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
3.29000000
N
N
N
N
N
N
Campbell Soup Co.
5493007JDSMX8Z5Z1902
Campbell Soup Co.
134429BF5
50000.00000000
PA
USD
54282.10000000
0.038772264352
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.95000000
N
N
N
N
N
N
Invesco Finance plc
549300OYQ3LAJYXXO449
Invesco Finance plc
46132FAB6
71000.00000000
PA
USD
77652.81000000
0.055465342664
Long
DBT
CORP
GB
N
2
2024-01-30
Fixed
4.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
51000.00000000
PA
USD
55457.40000000
0.039611749971
Long
DBT
NUSS
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D
35563PMT3
357081.73000000
PA
USD
387189.22000000
0.276558990760
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Fixed
4.00000000
N
N
N
N
N
N
Ryder System, Inc.
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HJZ3
28000.00000000
PA
USD
27994.12000000
0.019995457452
Long
DBT
CORP
US
N
2
2020-05-11
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402BEZ3
24117.69000000
PA
USD
27037.67000000
0.019312290584
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828G38
250000.00000000
PA
USD
265156.25000000
0.189394076864
Long
DBT
UST
US
N
2
2024-11-15
Fixed
2.25000000
N
N
N
N
N
N
VNDO Mortgage Trust
N/A
VNDO Mortgage Trust, Series 2013-PENN, Class A
91830MAA4
500000.00000000
PA
USD
505118.50000000
0.360792747727
Long
ABS-MBS
CORP
US
Y
2
2029-12-13
Fixed
3.80800000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AV0
60000.00000000
PA
USD
67460.35000000
0.048185138812
Long
DBT
CORP
US
Y
2
2029-03-12
Fixed
4.87500000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2018-2A, Class A
22535FAA2
250000.00000000
PA
USD
254098.70000000
0.181495962169
Long
ABS-O
CORP
US
Y
2
2027-05-17
Fixed
3.47000000
N
N
N
N
N
N
Telefonica Emisiones SA
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAM5
31000.00000000
PA
USD
31146.28000000
0.022246961738
Long
DBT
CORP
ES
N
2
2020-04-27
Fixed
5.13400000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-91, Class WA
38378TTL4
407318.36000000
PA
USD
447172.26000000
0.319403285353
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Variable
4.47768000
N
N
N
N
N
N
Assurant, Inc.
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621XAH1
90000.00000000
PA
USD
96857.51000000
0.069182750524
Long
DBT
CORP
US
N
2
2023-09-27
Fixed
4.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-71, Class DS
31393EKS7
77582.02000000
PA
USD
88668.82000000
0.063333786439
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
5.26000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G-18, Class Z
31358HFB6
232.29000000
PA
USD
236.57000000
0.000168975676
Long
ABS-MBS
USGSE
US
N
2
2021-06-25
Fixed
8.75000000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAK7
250000.00000000
PA
USD
262180.73000000
0.187268741845
Long
DBT
CORP
US
N
2
2023-02-06
Fixed
3.35000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2224, Class CB
3133TNK45
10889.75000000
PA
USD
13085.59000000
0.009346689879
Long
ABS-MBS
USGSE
US
N
2
2030-03-15
Fixed
8.00000000
N
N
N
N
N
N
Rogers Communications, Inc.
54930030NVF3Y2OL0A78
Rogers Communications, Inc.
775109AY7
160000.00000000
PA
USD
173241.09000000
0.123741515863
Long
DBT
CORP
CA
N
2
2023-10-01
Fixed
4.10000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CGP2
2501.91000000
PA
USD
2720.42000000
0.001943123854
Long
ABS-MBS
USGA
US
N
2
2025-05-20
Fixed
8.50000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-7, Class 30PO
576434TQ7
8283.19900000
PA
USD
7224.89000000
0.005160547307
Long
ABS-MBS
CORP
US
N
3
2034-08-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GN77
1953.54000000
PA
USD
2134.98000000
0.001524959589
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
7.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128285M8
2000000.00000000
PA
USD
2334921.88000000
1.667772771765
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.12500000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
84000.00000000
PA
USD
88102.58000000
0.062929336225
Long
DBT
CORP
US
Y
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21685WDD6
118000.00000000
PA
USD
123542.87000000
0.088243395420
Long
DBT
CORP
NL
N
2
2022-02-08
Fixed
3.87500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GEU9
90000.00000000
PA
USD
94095.19000000
0.067209698611
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
3.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31371NT54
8643.24000000
PA
USD
9751.70000000
0.006965380674
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RHS4
150000.00000000
PA
USD
161376.90000000
0.115267239609
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.60000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BFY1
21000.00000000
PA
USD
23171.46000000
0.016550759321
Long
DBT
CORP
US
N
2
2026-06-03
Fixed
4.10000000
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
20306.18000000
PA
USD
20693.45000000
0.014780782500
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
4.46571700
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A
22535KAA1
250000.00000000
PA
USD
254205.43000000
0.181572196577
Long
ABS-O
CORP
US
Y
2
2028-11-15
Fixed
2.38000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-25, Class SA
31393XRE9
32096.61000000
PA
USD
45982.62000000
0.032844165908
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Floating
15.05143800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1990-95, Class J
31358EL59
1.48000000
PA
USD
3.59000000
0.000002564241
Long
ABS-MBS
USGSE
US
N
2
2020-08-25
Fixed
1118.04000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-56, Class TP
31394D6U9
48560.71000000
PA
USD
58714.28000000
0.041938052975
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
13.26975100
N
N
N
N
N
N
BP Capital Markets plc
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QDA3
60000.00000000
PA
USD
65238.28000000
0.046597973145
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3232, Class ST
31397BP96
29003.50000000
PA
USD
4326.24000000
0.003090118490
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Floating
5.04150100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2296, Class PD
3133TRUS2
9174.04000000
PA
USD
10786.99000000
0.007704860862
Long
ABS-MBS
USGSE
US
N
2
2031-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-79, Class SB
31396XDL5
30079.25000000
PA
USD
50732.43000000
0.036236829216
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Floating
18.05191900
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
96950FAQ7
86000.00000000
PA
USD
92404.07000000
0.066001776447
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBB8
49000.00000000
PA
USD
52723.59000000
0.037659061994
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.90000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2006-A2, Class 4A1
466247K51
13399.15000000
PA
USD
13964.46000000
0.009974443410
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.67524800
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HH9
162000.00000000
PA
USD
174048.60000000
0.124318298839
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.25000000
N
N
N
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The)
808513AU9
200000.00000000
PA
USD
218031.89000000
0.155734396355
Long
DBT
CORP
US
N
2
2028-01-25
Fixed
3.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31401XSY4
65918.46000000
PA
USD
75736.05000000
0.054096251833
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-27, Class J
31359NR78
7367.95000000
PA
USD
8497.35000000
0.006069431737
Long
ABS-MBS
USGSE
US
N
2
2027-04-18
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391REW8
11640.03000000
PA
USD
13106.98000000
0.009361968188
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Resolution Funding Corp.
N/A
Resolution Funding Corp. STRIPS
76116EHJ2
80000.00000000
PA
USD
71389.00000000
0.050991269311
Long
DBT
USGA
US
N
2
2027-10-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3202, Class HI
31397ABD4
160518.78000000
PA
USD
28685.96000000
0.020489620415
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Floating
4.99150100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4ZC4
32909.30000000
PA
USD
34579.29000000
0.024699069730
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
3.89300000
N
Y
N
N
N
N
Mosaic Co. (The)
2YD5STGSJNMUB7H76907
Mosaic Co. (The)
61945CAF0
21000.00000000
PA
USD
21836.10000000
0.015596947089
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.25000000
N
N
N
N
N
N
SITE Centers Corp.
W2AVA6SODOQ1LCYJQR54
SITE Centers Corp.
23317HAD4
12000.00000000
PA
USD
12741.03000000
0.009100579809
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.62500000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
2027A0HR3
201000.00000000
PA
USD
225907.71000000
0.161359885697
Long
DBT
CORP
AU
Y
2
2025-12-09
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1602, Class SA
3133T1D82
1974.54000000
PA
USD
2369.72000000
0.001692628145
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Floating
17.30218700
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367TG38
200000.00000000
PA
USD
204375.79000000
0.145980206314
Long
DBT
CORP
CA
N
2
2022-09-11
Fixed
2.35000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202C5F6
3021.34000000
PA
USD
3418.08000000
0.002441443889
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CYH0
2321.40000000
PA
USD
2607.83000000
0.001862703803
Long
ABS-MBS
USGA
US
N
2
2027-11-20
Fixed
8.00000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254AL4
200000.00000000
PA
USD
219075.74000000
0.156479990725
Long
DBT
CORP
GB
Y
2
2024-01-26
Fixed
5.20000000
N
N
N
N
N
N
Goodman US Finance Three LLC
N/A
Goodman US Finance Three LLC
38239JAA9
52000.00000000
PA
USD
55722.73000000
0.039801268153
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
3.70000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122CB2
71000.00000000
PA
USD
79538.21000000
0.056812033879
Long
DBT
CORP
US
Y
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558BF9
57000.00000000
PA
USD
62740.99000000
0.044814225131
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAK5
17000.00000000
PA
USD
18541.57000000
0.013243751688
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
4.20000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBS3
200000.00000000
PA
USD
212295.03000000
0.151636709411
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
2.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-14, Class ES
31396PC33
33133.04000000
PA
USD
6042.09000000
0.004315704637
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
4.81325000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BD3
100000.00000000
PA
USD
107761.92000000
0.076971481379
Long
DBT
CORP
NL
N
2
2025-05-11
Fixed
3.25000000
N
N
N
N
N
N
GMAT Trust
N/A
GMAT Trust, Series 2013-1A, Class A
36198GAA8
647.57000000
PA
USD
647.64000000
0.000462592075
Long
ABS-O
CORP
US
Y
3
2043-11-25
Variable
6.96690000
N
N
N
N
N
N
Impac Secured Assets CMN Owner Trust
N/A
Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO
45254TLJ1
576.56000000
PA
USD
453.37000000
0.000323830166
Long
ABS-MBS
CORP
US
N
3
2033-04-25
None
0.00000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAD9
44000.00000000
PA
USD
47354.18000000
0.033823834839
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
3.75000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-1, Class A3
26208NAD6
127087.25000000
PA
USD
127314.79000000
0.090937577836
Long
ABS-O
CORP
US
N
2
2022-10-17
Fixed
3.18000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-31, Class TS
38374TXN9
71506.28000000
PA
USD
5208.23000000
0.003720100555
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Floating
4.65300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HSEN7
150000.00000000
PA
USD
174007.56000000
0.124288985055
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.81000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36241K3Y2
49197.24000000
PA
USD
58084.79000000
0.041488424964
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CRE5
1230.73000000
PA
USD
1422.42000000
0.001015996880
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.00000000
N
N
N
N
N
N
Otis Worldwide Corp.
549300ZLBKR8VSU25153
Otis Worldwide Corp.
68902VAF4
44000.00000000
PA
USD
45182.59000000
0.032272725698
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
2.56500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-29, Class J
31359PFV3
8924.89000000
PA
USD
10291.01000000
0.007350595503
Long
ABS-MBS
USGSE
US
N
2
2027-04-20
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L7US3
229843.57000000
PA
USD
265824.99000000
0.189871740110
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
3.76000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828V72
700000.00000000
PA
USD
712632.82000000
0.509014722780
Long
DBT
UST
US
N
2
2022-01-31
Fixed
1.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204DKT5
5914.68000000
PA
USD
6564.19000000
0.004688626820
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2423, Class MC
31339WBV7
10611.59000000
PA
USD
12550.04000000
0.008964160718
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3137, Class XP
31396N2Q8
74426.32000000
PA
USD
87869.43000000
0.062762803363
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-4A, Class A
30167GAA8
182460.66000000
PA
USD
182973.72000000
0.130693275341
Long
ABS-O
CORP
US
Y
2
2023-01-17
Fixed
2.18000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3179, Class OA
31396UFA3
19178.00000000
PA
USD
17857.04000000
0.012754810065
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2015-M7, Class A2
3136ANLF2
807581.26000000
PA
USD
843955.53000000
0.602815051574
Long
ABS-MBS
USGSE
US
N
2
2024-12-25
Fixed
2.59000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HCS2
5391.41000000
PA
USD
6155.15000000
0.004396460397
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
8.50000000
N
N
N
N
N
N
Merck & Co., Inc.
4YV9Y5M8S0BRK1RP0397
Merck & Co., Inc.
58933YAX3
100000.00000000
PA
USD
112012.89000000
0.080007836505
Long
DBT
CORP
US
N
2
2029-03-07
Fixed
3.40000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-4, Class 10A1
576434QG2
116987.40000000
PA
USD
119248.64000000
0.085176140823
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3132Y15Q7
312375.22000000
PA
USD
344331.65000000
0.245946965183
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391SQG8
25777.67000000
PA
USD
29171.94000000
0.020836743039
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G-35, Class M
31358JY39
98.19000000
PA
USD
98.81000000
0.000070577362
Long
ABS-MBS
USGSE
US
N
2
2021-10-25
Fixed
8.75000000
N
N
N
N
N
N
Ecolab, Inc.
82DYEISM090VG8LTLS26
Ecolab, Inc.
278865AU4
88000.00000000
PA
USD
92521.38000000
0.066085567869
Long
DBT
CORP
US
N
2
2023-01-14
Fixed
3.25000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWC4
80000.00000000
PA
USD
81173.33000000
0.057979956728
Long
DBT
CORP
US
N
2
2022-04-26
Fixed
3.00000000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851AU3
48000.00000000
PA
USD
52032.20000000
0.037165220454
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
4.05000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2013-2, Class A
02377UAB0
94363.13000000
PA
USD
99295.04000000
0.070923813555
Long
ABS-O
CORP
US
N
2
2023-01-15
Fixed
4.95000000
N
N
N
N
N
N
Huntington National Bank (The)
2WHM8VNJH63UN14OL754
Huntington National Bank (The)
446438RQ8
250000.00000000
PA
USD
251369.16000000
0.179546324140
Long
DBT
CORP
US
N
2
2020-08-20
Fixed
2.87500000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A
12669FYY3
9987.23000000
PA
USD
10156.01000000
0.007254168583
Long
ABS-MBS
CORP
US
N
2
2034-06-20
Variable
3.85267000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203LDM1
417.11000000
PA
USD
424.06000000
0.000302894811
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2015-3, Class C
33843LAC9
92585.04000000
PA
USD
93384.21000000
0.066701864454
Long
ABS-O
CORP
US
Y
2
2022-03-15
Fixed
4.65000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2484, Class LZ
31392R3H2
44491.99000000
PA
USD
53211.23000000
0.038007370313
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
Public Service Co. of Oklahoma
F3TJNSIZRGXRH8GEIK79
Public Service Co. of Oklahoma
744533BL3
74000.00000000
PA
USD
75800.16000000
0.054142043905
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
4.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-56, Class FC
31395NXA0
151601.37000000
PA
USD
150655.79000000
0.107609435083
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
1.91675200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-81, Class PI
31359RLD2
5411.27000000
PA
USD
520.42000000
0.000371722203
Long
ABS-MBS
USGSE
US
N
2
2027-12-18
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-52, Class AP
38373QR86
42428.77000000
PA
USD
39423.20000000
0.028158946172
Long
ABS-MBS
USGA
US
N
2
2033-06-16
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-40, Class SA
38375QKS7
102995.76000000
PA
USD
17709.02000000
0.012649083304
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
4.74149900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2169, Class TB
3133TL5G9
68705.61000000
PA
USD
78975.90000000
0.056410390760
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-4, Class PC
31359SGY0
1528.50000000
PA
USD
1544.10000000
0.001102909677
Long
ABS-MBS
USGSE
US
N
2
2021-03-25
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-H17, Class FC
38375UNP1
559909.02000000
PA
USD
560569.54000000
0.400399954919
Long
ABS-MBS
USGA
US
N
2
2064-07-20
Floating
2.23438000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 20 Year
3128P7CW1
7722.02000000
PA
USD
8451.83000000
0.006036918008
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-143, Class MA
31358QQP3
294.49000000
PA
USD
304.11000000
0.000217217707
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
5.50000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2019-1, Class A3
80285HAD2
55000.00000000
PA
USD
55160.35000000
0.039399575034
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
3.00000000
N
N
N
N
N
N
Guardian Life Global Funding
635400NHILJ5JEKILC36
Guardian Life Global Funding
40139LAD5
125000.00000000
PA
USD
127908.90000000
0.091361934852
Long
DBT
CORP
US
Y
2
2022-05-08
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CF65
2742.11000000
PA
USD
2994.29000000
0.002138741932
Long
ABS-MBS
USGA
US
N
2
2025-04-20
Fixed
8.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-165, Class SD
31359D4W0
1011.58000000
PA
USD
1099.75000000
0.000785522257
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
12.65820100
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-4, Class B
02529RAC2
135000.00000000
PA
USD
136362.96000000
0.097400445690
Long
ABS-O
CORP
US
Y
2
2023-10-12
Fixed
2.43000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-110
31396LVP2
44436.91000000
PA
USD
40991.74000000
0.029279312693
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1996-2, Class 1Z
911760HH2
38809.13000000
PA
USD
43593.82000000
0.031137909424
Long
ABS-MBS
USGSE
US
N
2
2026-06-15
Fixed
6.75000000
N
N
N
N
N
N
Exelon Generation Co. LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co. LLC
30161MAL7
37000.00000000
PA
USD
38956.81000000
0.027825816165
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
4.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-50, Class AI
38375K3J9
84606.14000000
PA
USD
14904.45000000
0.010645853337
Long
ABS-MBS
USGA
US
N
2
2037-08-20
Floating
5.12799800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2512, Class PG
31392WB41
36310.41000000
PA
USD
37848.83000000
0.027034415437
Long
ABS-MBS
USGSE
US
N
2
2022-10-15
Fixed
5.50000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBF5
100000.00000000
PA
USD
114387.05000000
0.081703636025
Long
DBT
CORP
US
N
2
2028-11-14
Fixed
4.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128283F5
2000000.00000000
PA
USD
2174921.88000000
1.553489015307
Long
DBT
UST
US
N
2
2027-11-15
Fixed
2.25000000
N
N
N
N
N
N
International Business Machines Corp.
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp.
459200KA8
100000.00000000
PA
USD
112410.91000000
0.080292131635
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1206, Class IA
3129082A3
634.41000000
PA
USD
653.48000000
0.000466763432
Long
ABS-MBS
USGSE
US
N
2
2022-03-15
Fixed
7.00000000
N
N
N
N
N
N
O'Reilly Automotive, Inc.
549300K2RLMQL149Q332
O'Reilly Automotive, Inc.
67103HAF4
62000.00000000
PA
USD
68966.05000000
0.049260620387
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.60000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1343, Class LA
312911GW4
2671.87000000
PA
USD
2827.12000000
0.002019336834
Long
ABS-MBS
USGSE
US
N
2
2022-08-15
Fixed
8.00000000
N
N
N
N
N
N
Virginia Electric & Power Co.
CQKUMNNZVDJLRYV2PT43
Virginia Electric & Power Co., Series C
927804FN9
191000.00000000
PA
USD
197376.65000000
0.140980906244
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410D5T3
12359.65000000
PA
USD
13125.62000000
0.009375282246
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Variable
4.11000100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-79, Class OK
38376CXX2
83139.42000000
PA
USD
77962.62000000
0.055686631730
Long
ABS-MBS
USGA
US
N
2
2037-11-16
None
0.00000000
N
N
N
N
N
N
CNOOC Nexen Finance 2014 ULC
N/A
CNOOC Nexen Finance 2014 ULC
12591DAC5
200000.00000000
PA
USD
219250.00000000
0.156604460021
Long
DBT
CORP
CA
N
2
2024-04-30
Fixed
4.25000000
N
N
N
N
N
N
Western Union Co. (The)
28ID94QU1140NC23S047
Western Union Co. (The)
959802AU3
20000.00000000
PA
USD
20816.93000000
0.014868980989
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.60000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1998-1, Class 2E
911760LH7
41638.20000000
PA
USD
47879.82000000
0.034199285550
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2003-9, Class 8A1
576434LD4
79746.52000000
PA
USD
82274.37000000
0.058766400398
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Fixed
6.00000000
N
N
N
N
N
N
Toronto-Dominion Bank (The)
PT3QB789TSUIDF371261
Toronto-Dominion Bank (The)
89114QBC1
200000.00000000
PA
USD
201396.31000000
0.143852042772
Long
DBT
CORP
CA
N
2
2020-12-14
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-45, Class DC
31394DQ60
47350.12000000
PA
USD
69469.19000000
0.049619999945
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Floating
18.34525100
N
N
N
N
N
N
Ontario Teachers' Cadillac Fairview Properties Trust
N/A
Ontario Teachers' Cadillac Fairview Properties Trust
68327LAA4
200000.00000000
PA
USD
206820.25000000
0.147726219259
Long
DBT
CORP
CA
Y
2
2022-03-20
Fixed
3.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QHVC1
35414.56000000
PA
USD
36924.45000000
0.026374155319
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Variable
3.66500200
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2075, Class PM
3133TGCK3
24302.98000000
PA
USD
26917.84000000
0.019226699193
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
6.25000000
N
N
N
N
N
N
Flagship Credit Auto Trust
549300A2KXZJ0K08VV65
Flagship Credit Auto Trust, Series 2018-2, Class A
33844NAA8
53103.16000000
PA
USD
53347.32000000
0.038104575791
Long
ABS-O
CORP
US
Y
2
2022-10-17
Fixed
2.97000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31411SM94
15213.70000000
PA
USD
15784.30000000
0.011274306856
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
3.35599900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
3136195D6
2494.99400000
PA
USD
2513.94000000
0.001795640666
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Variable
2.72400100
N
N
N
N
N
N
World Omni Automobile Lease Securitization Trust
N/A
World Omni Automobile Lease Securitization Trust, Series 2019-A, Class A3
98162XAC9
125000.00000000
PA
USD
127570.53000000
0.091120246135
Long
ABS-O
CORP
US
N
2
2022-05-16
Fixed
2.94000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650CW8
180000.00000000
PA
USD
197272.92000000
0.140906814656
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
4.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31415RBR4
28501.21000000
PA
USD
33498.21000000
0.023926882958
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
31401N3H0
25691.70000000
PA
USD
28065.47000000
0.020046420864
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-39
31393A5Z6
4511.52000000
PA
USD
847.59000000
0.000605411057
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Variable
6.00000100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2990, Class SL
31395V4J5
24485.02000000
PA
USD
30843.58000000
0.022030751156
Long
ABS-MBS
USGSE
US
N
2
2034-06-15
Floating
18.41216800
N
N
N
N
N
N
Public Service Enterprise Group, Inc.
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group, Inc.
744573AN6
100000.00000000
PA
USD
104807.61000000
0.074861296101
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
2.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-106, Class US
31394UN81
55676.19000000
PA
USD
81603.63000000
0.058287308606
Long
ABS-MBS
USGSE
US
N
2
2035-11-25
Floating
18.60192000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2
31393XGQ4
26486.72000000
PA
USD
30913.32000000
0.022080564588
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Fixed
7.00000000
N
N
N
N
N
N
Dollar General Corp.
OPX52SQVOZI8IVSWYU66
Dollar General Corp.
256677AF2
150000.00000000
PA
USD
172371.28000000
0.123120233649
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31416JAY7
57870.95000000
PA
USD
67476.97000000
0.048197010037
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 300, Class 1
31364HT56
16510.25000000
PA
USD
16002.64000000
0.011430261327
Long
ABS-MBS
USGSE
US
N
2
2024-09-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2535, Class BK
31393GQV9
6352.52000000
PA
USD
6539.61000000
0.004671069978
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Fixed
5.50000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661DR5
200000.00000000
PA
USD
221738.47000000
0.158381908142
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140J7XD2
322277.80000000
PA
USD
350382.44000000
0.250268884000
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VER1
160000.00000000
PA
USD
187814.35000000
0.134150808967
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599CG8
30000.00000000
PA
USD
30982.03000000
0.022129642319
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.50000000
N
N
N
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAR2
69000.00000000
PA
USD
71476.96000000
0.051054096806
Long
DBT
CORP
LU
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-73, Class PS
31394EC48
85385.38000000
PA
USD
113585.13000000
0.081130845838
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Floating
12.63312400
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust, Series 2018-B, Class A4
34531LAE0
88000.00000000
PA
USD
89456.84000000
0.063896648225
Long
ABS-O
CORP
US
N
2
2022-02-15
Fixed
3.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1987, Class PE
3133TBEZ9
4810.39000000
PA
USD
5612.30000000
0.004008717039
Long
ABS-MBS
USGSE
US
N
2
2027-09-15
Fixed
7.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LV0
200000.00000000
PA
USD
189694.45000000
0.135493714532
Long
DBT
UST
US
N
2
2025-05-15
None
0.00000000
N
N
N
N
N
N
MRCD 2019-MARK Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust, Series 2019-PARK, Class A
55348UAG3
200000.00000000
PA
USD
208476.32000000
0.148909106138
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833PC8
100000.00000000
PA
USD
92565.43000000
0.066117031615
Long
DBT
UST
US
N
2
2027-02-15
None
0.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-54CB, Class 1A11
12668APD1
111589.81000000
PA
USD
106552.71000000
0.076107774747
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1
31392GVX0
75165.12000000
PA
USD
84211.38000000
0.060149955268
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.26590000
N
N
N
N
N
N
Halliburton Co.
ENYF8GB5SMQZ25S06U51
Halliburton Co.
406216BG5
107000.00000000
PA
USD
117355.23000000
0.083823728277
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
Procter & Gamble - ESOP
N/A
Procter & Gamble - ESOP, Series A
742741AA9
11946.00000000
PA
USD
12509.48000000
0.008935189785
Long
DBT
CORP
US
N
2
2021-01-01
Fixed
9.36000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class GZ
31392KPH3
33318.50000000
PA
USD
39924.59000000
0.028517075751
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1700, Class GA
3133T4BL9
1201.99000000
PA
USD
1185.66000000
0.000846885491
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-124, Class HB
31396PGJ4
65944.89000000
PA
USD
68584.99000000
0.048988439336
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
3.82833700
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9LN0
1000000.00000000
PA
USD
1076869.24000000
0.769179137258
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
2.79000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3
3623416K0
59624.00000000
PA
USD
76725.65000000
0.054803096866
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
DR Horton, Inc.
529900ZIUEYVSB8QDD25
DR Horton, Inc.
23331ABL2
150000.00000000
PA
USD
151054.71000000
0.107894373059
Long
DBT
CORP
US
N
2
2020-12-01
Fixed
2.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31373UED5
1768.65000000
PA
USD
1804.66000000
0.001289020774
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Variable
4.06900100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140J8TU7
296931.96000000
PA
USD
325816.57000000
0.232722134599
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Variable
3.20200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LER78
467108.81000000
PA
USD
486979.67000000
0.347836662539
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
2.21000000
N
N
N
N
N
N
Nucor Corp.
549300GGJCRSI2TIEJ46
Nucor Corp.
670346AM7
27000.00000000
PA
USD
29061.91000000
0.020758151529
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-189, Class PL
31359EXF3
24221.47000000
PA
USD
25841.59000000
0.018457962362
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833PA2
47000.00000000
PA
USD
43849.71000000
0.031320684864
Long
DBT
UST
US
N
2
2026-08-15
None
0.00000000
N
N
N
N
N
N
Mercedes-Benz Auto Lease Trust
N/A
Mercedes-Benz Auto Lease Trust, Series 2019-B, Class A3
58769QAC5
50000.00000000
PA
USD
50496.13000000
0.036068046393
Long
ABS-O
CORP
US
N
2
2022-10-17
Fixed
2.00000000
N
N
N
N
N
N
Johnson Controls International plc
549300XQ6S1GYKGBL205
Johnson Controls International plc
478375AF5
3000.00000000
PA
USD
3101.52000000
0.002215333477
Long
DBT
CORP
IE
N
2
2021-12-01
Fixed
3.75000000
N
N
N
N
N
N
Illinois Tool Works, Inc.
76NA4I14SZCFAYMNSV04
Illinois Tool Works, Inc.
452308AT6
175000.00000000
PA
USD
189579.55000000
0.135411644510
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
3.50000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BF6
100000.00000000
PA
USD
105501.51000000
0.075356930467
Long
DBT
CORP
US
N
2
2028-01-12
Fixed
3.87500000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp, Series V
91159HHN3
133000.00000000
PA
USD
139190.59000000
0.099420146805
Long
DBT
CORP
US
N
2
2026-07-22
Fixed
2.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2435, Class CJ
31392K2Z8
87082.59000000
PA
USD
101565.90000000
0.072545828625
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JAE8
40000.00000000
PA
USD
41583.66000000
0.029702105450
Long
DBT
CORP
AU
Y
2
2021-01-14
Fixed
6.25000000
N
N
N
N
N
N
Hyundai Auto Lease Securitization Trust
N/A
Hyundai Auto Lease Securitization Trust, Series 2019-A, Class A3
448969AD7
340000.00000000
PA
USD
345653.35000000
0.246891020439
Long
ABS-O
CORP
US
Y
2
2022-07-15
Fixed
2.98000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747WAL3
100000.00000000
PA
USD
105419.30000000
0.075298210044
Long
DBT
CORP
US
N
2
2021-07-28
Fixed
5.50000000
N
N
N
N
N
N
NextEra Energy Capital Holdings, Inc.
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings, Inc.
65339KAT7
89000.00000000
PA
USD
96724.83000000
0.069087980719
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.55000000
N
N
N
N
N
N
Fox Corp.
549300DDU6FDRBIELS05
Fox Corp.
35137LAC9
35000.00000000
PA
USD
41041.29000000
0.029314704944
Long
DBT
CORP
US
Y
2
2029-01-25
Fixed
4.70900000
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140AS9
116000.00000000
PA
USD
128398.99000000
0.091711993141
Long
DBT
CORP
US
N
2
2025-07-29
Fixed
3.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-118, Class MT
3136A12F1
148440.53000000
PA
USD
180343.67000000
0.128814700381
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
7.00000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2018-3, Class A
33844PAA3
38740.12000000
PA
USD
39000.10000000
0.027856737063
Long
ABS-O
CORP
US
Y
2
2023-02-15
Fixed
3.07000000
N
N
N
N
N
N
Brixmor Operating Partnership LP
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAA1
50000.00000000
PA
USD
54121.16000000
0.038657309179
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-56, Class S
31394D6N5
34265.93000000
PA
USD
7928.80000000
0.005663331551
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
5.08325000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CX40
2525.50000000
PA
USD
2850.23000000
0.002035843694
Long
ABS-MBS
USGA
US
N
2
2027-10-20
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2010-M3, Class A3
31398M6U5
8795.48000000
PA
USD
8786.77000000
0.006276156767
Long
ABS-MBS
USGSE
US
N
2
2020-03-25
Variable
4.33199900
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
103.22900000
PA
USD
95.72000000
0.000068370257
Long
ABS-MBS
CORP
US
N
3
2033-06-25
None
0.00000000
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AD1
70000.00000000
PA
USD
77286.74000000
0.055203868572
Long
DBT
CORP
US
Y
2
2026-12-15
Fixed
3.85000000
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAD4
27000.00000000
PA
USD
28145.88000000
0.020103855595
Long
DBT
CORP
US
Y
2
2021-08-16
Fixed
4.50000000
N
N
N
N
N
N
TC PipeLines LP
6HL0C5LCIE4TN8UZHL06
TC PipeLines LP
87233QAC2
42000.00000000
PA
USD
44749.00000000
0.031963023860
Long
DBT
CORP
US
N
2
2027-05-25
Fixed
3.90000000
N
N
N
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A
68268XAA9
164000.00000000
PA
USD
166725.09000000
0.119087309881
Long
ABS-O
CORP
US
Y
2
2024-12-16
Fixed
3.43000000
N
N
N
N
N
N
United Technologies Corp.
I07WOS4YJ0N7YRFE7309
United Technologies Corp.
913017CY3
100000.00000000
PA
USD
117043.60000000
0.083601139233
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHF9
42000.00000000
PA
USD
44225.82000000
0.031589330262
Long
DBT
CORP
US
N
2
2024-03-05
Variable
3.55000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3611
31398LSE9
20848.86000000
PA
USD
19421.78000000
0.013872462346
Long
ABS-MBS
USGSE
US
N
2
2034-07-15
None
0.00000000
N
N
N
N
N
N
Starbucks Corp.
OQSJ1DU9TAOC51A47K68
Starbucks Corp.
855244AQ2
150000.00000000
PA
USD
165425.27000000
0.118158882929
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.80000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-73, Class AE
38374H4S6
8858.83000000
PA
USD
9613.15000000
0.006866418083
Long
ABS-MBS
USGA
US
N
2
2034-08-17
Floating
11.43339800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-48, Class Z
313920YX2
13028.39000000
PA
USD
13311.08000000
0.009507751405
Long
ABS-MBS
USGSE
US
N
2
2021-09-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHWC3
11704.34000000
PA
USD
12385.49000000
0.008846627017
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
5.48100000
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1541, Class O
3133T0BX1
4247.44000000
PA
USD
4193.43000000
0.002995255830
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
1.18000100
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-3, Class AA
023771R91
71492.54000000
PA
USD
75916.81000000
0.054225363906
Long
ABS-O
CORP
US
N
2
2028-10-15
Fixed
3.00000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00912XAY0
100000.00000000
PA
USD
105549.91000000
0.075391501303
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.62500000
N
N
N
N
N
N
Scentre Group Trust 1
N/A
Scentre Group Trust 1
806213AB0
150000.00000000
PA
USD
160259.37000000
0.114469017569
Long
DBT
CORP
AU
Y
2
2025-02-12
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406QGE1
11858.93000000
PA
USD
12326.21000000
0.008804284885
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Variable
3.54499900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Other
36180B5V9
400215.55000000
PA
USD
418807.24000000
0.299142903868
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
3.50000000
N
N
N
N
N
N
Marsh & McLennan Cos., Inc.
549300XMP3KDCKJXIU47
Marsh & McLennan Cos., Inc.
571748BA9
50000.00000000
PA
USD
52408.43000000
0.037433951565
Long
DBT
CORP
US
N
2
2023-03-14
Fixed
3.30000000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558AW3
36000.00000000
PA
USD
38738.22000000
0.027669683125
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.70000000
N
N
N
N
N
N
Lincoln National Corp.
EFQMQROEDSNBRIP7LE47
Lincoln National Corp.
534187BC2
35000.00000000
PA
USD
36938.92000000
0.026384490856
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
4.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LM0
3890000.00000000
PA
USD
3765472.08000000
2.689576838376
Long
DBT
UST
US
N
2
2023-08-15
None
0.00000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BC3
16000.00000000
PA
USD
16935.59000000
0.012096642768
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
4.50000000
N
N
N
N
N
N
2020-03-30
JPMorgan Institutional Trust
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer