0001752724-21-084657.txt : 20210427
0001752724-21-084657.hdr.sgml : 20210427
20210427091451
ACCESSION NUMBER: 0001752724-21-084657
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210228
FILED AS OF DATE: 20210427
PERIOD START: 20210228
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: 21856163
BUSINESS ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
BUSINESS PHONE: 800-480-4111
MAIL ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
0001303608
S000007337
JPMorgan Core Bond Trust
C000020141
JPMorgan Core Bond Trust
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001303608
XXXXXXXX
S000007337
C000020141
JPMorgan Institutional Trust
811-21638
0001303608
5493005FRK56SHN6MJ34
277 Park Avenue
New York
10172
800-480-4111
JPMorgan Core Bond Trust
S000007337
549300Q7485FUJKEMM46
2021-02-28
2021-02-28
N
2368215514.24
149448976.64
2218766537.60
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2699479.44000000
0.00000000
0.00000000
0.00000000
USD
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810FD5
799000.00000000
PA
USD
1742188.52000000
0.078520587473
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-93, Class AS
38375Y2X9
218695.26000000
PA
USD
29045.53000000
0.001309084552
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Floating
5.58887040
N
N
N
N
N
N
BOC Aviation Ltd.
254900H06V5RMEB3KE72
BOC Aviation Ltd.
09681LAJ9
310000.00000000
PA
USD
332184.38000000
0.014971578774
Long
DBT
CORP
SG
Y
2
2024-10-10
Fixed
3.50000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAX2
483000.00000000
PA
USD
536730.04000000
0.024190469384
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585ABG6
304000.00000000
PA
USD
328073.88000000
0.014786318183
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BFY1
637000.00000000
PA
USD
722625.34000000
0.032568786654
Long
DBT
CORP
US
N
2
2026-06-03
Fixed
4.10000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AU3
905000.00000000
PA
USD
914944.43000000
0.041236624696
Long
DBT
CORP
IT
Y
2
2026-09-22
Variable
2.56899960
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BT5
1680000.00000000
PA
USD
1964640.96000000
0.088546538209
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB
35563PLJ6
1725000.00000000
PA
USD
1939142.02000000
0.087397298775
Long
ABS-MBS
USGSE
US
N
3
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-57CB, Class 3A2
12668AYH2
616174.20000000
PA
USD
76139.11000000
0.003431596281
Long
ABS-MBS
CORP
US
N
3
2035-12-25
Floating
4.98237120
N
N
N
N
N
N
Potomac Electric Power Co.
549300BXF2DWUNN57U06
Potomac Electric Power Co.
737679DB3
1085000.00000000
PA
USD
1570681.72000000
0.070790761145
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.50000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023BX2
840000.00000000
PA
USD
869503.10000000
0.039188580018
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.25000000
N
N
N
N
N
N
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2018-1, Class A
11043HAA6
864200.30000000
PA
USD
856478.32000000
0.038601552055
Long
ABS-O
CORP
US
Y
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3852, Class TP
3137ABB59
477317.20000000
PA
USD
511449.87000000
0.023051089933
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.50000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-179, Class SB
31359EFW6
3244.44000000
PA
USD
3720.86000000
0.000167699482
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
27.73749960
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
Total Capital International SA
89153VAU3
815000.00000000
PA
USD
847251.47000000
0.038185697126
Long
DBT
CORP
FR
N
2
2049-07-12
Fixed
3.46100000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JRE51
52866.47000000
PA
USD
53006.77000000
0.002389019714
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Variable
2.69300160
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVYM0
4550000.00000000
PA
USD
4839264.48000000
0.218106069205
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.39000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-91, Class SD
31393EQX0
62286.99000000
PA
USD
75898.53000000
0.003420753320
Long
ABS-MBS
USGSE
US
N
2
2033-09-25
Floating
12.30395040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LLL7
73990.36000000
PA
USD
77856.90000000
0.003509017225
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
2.53800000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-53, Class NC
31394ABD7
32817.29000000
PA
USD
34211.97000000
0.001541936450
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
5.50000000
N
N
N
N
N
N
Cars Net Lease Mortgage Notes
N/A
Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3
14576AAC6
804329.16000000
PA
USD
819401.64000000
0.036930502876
Long
ABS-O
CORP
US
Y
2
2050-12-15
Fixed
3.10000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4251, Class KW
3137B4KB1
3684366.00000000
PA
USD
3840596.01000000
0.173095994775
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
2.50000000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A
05524UAA7
560000.00000000
PA
USD
582472.74000000
0.026252096835
Long
ABS-MBS
CORP
US
Y
2
2030-12-10
Fixed
2.95900000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority STRIPS
88059FAV3
5000000.00000000
PA
USD
4813345.65000000
0.216937905292
Long
DBT
USGA
US
N
2
2025-11-01
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H04, Class BA
38375BK84
59177.25000000
PA
USD
59327.72000000
0.002673905478
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Fixed
1.65000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1
12669FXJ7
121886.67000000
PA
USD
123256.46000000
0.005555179326
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
3.57486120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJV9
139543.33000000
PA
USD
140465.72000000
0.006330802165
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
1.81400040
N
N
N
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAZ7
505000.00000000
PA
USD
513235.65000000
0.023131575192
Long
DBT
CORP
US
Y
2
2031-02-15
Fixed
2.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-17, Class C
31359VSW4
21612.16000000
PA
USD
24243.47000000
0.001092655292
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Fixed
6.35000000
N
N
N
N
N
N
Biogen, Inc.
W8J5WZB5IY3K0NDQT671
Biogen, Inc.
09062XAH6
1150000.00000000
PA
USD
1151098.57000000
0.051880112237
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38148LAC0
557000.00000000
PA
USD
605459.29000000
0.027288102634
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LQ1
11355000.00000000
PA
USD
11251494.29000000
0.507105822056
Long
DBT
UST
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-54CB, Class 1A11
12668APD1
979820.97000000
PA
USD
929450.73000000
0.041890424893
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAX8
735000.00000000
PA
USD
766222.51000000
0.034533714882
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
2.70000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844BV9
600000.00000000
PA
USD
693006.31000000
0.031233854407
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.05000000
N
N
N
N
N
N
Liberty Mutual Group, Inc.
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBJ2
900000.00000000
PA
USD
988318.77000000
0.044543612554
Long
DBT
CORP
US
Y
2
2050-10-15
Fixed
3.95100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-39, Class WC
31395DFA2
290692.06000000
PA
USD
314568.49000000
0.014177629086
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
ITC Holdings Corp.
549300HTO5U9D3SLE207
ITC Holdings Corp.
465685AM7
900000.00000000
PA
USD
933313.63000000
0.042064526131
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-101, Class E
3136AGA69
3000000.00000000
PA
USD
3252512.40000000
0.146591015543
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
3.00000000
N
N
N
N
N
N
Spirit Airlines Pass-Through Trust
N/A
Spirit Airlines Pass-Through Trust, Series 2017-1, Class AA
84858WAA4
333955.45000000
PA
USD
333843.74000000
0.015046366273
Long
ABS-O
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAE1
1205000.00000000
PA
USD
1368650.66000000
0.061685203774
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
4.25000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-2A, Class C
14686UAE5
4675000.00000000
PA
USD
4810282.35000000
0.216799842096
Long
ABS-O
CORP
US
Y
2
2024-06-17
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38145GAH3
469000.00000000
PA
USD
516547.84000000
0.023280855883
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
Entergy Corp.
4XM3TW50JULSLG8BNC79
Entergy Corp.
29364GAJ2
336000.00000000
PA
USD
360410.39000000
0.016243727489
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.95000000
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060AY2
615000.00000000
PA
USD
617760.64000000
0.027842525544
Long
DBT
CORP
JP
N
2
2040-07-09
Fixed
3.02500000
N
N
N
N
N
N
General Mills, Inc.
2TGYMUGI08PO8X8L6150
General Mills, Inc.
370334CM4
451000.00000000
PA
USD
436958.97000000
0.019693778619
Long
DBT
CORP
US
Y
2
2051-02-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-247, Class SU
31359FP36
3810.84000000
PA
USD
4167.92000000
0.000187848515
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
12.48999840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class SW
31392KMK9
70025.33000000
PA
USD
12930.85000000
0.000582794529
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
7.88775120
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAA8
500000.00000000
PA
USD
548935.44000000
0.024740567819
Long
DBT
CORP
JP
Y
2
2024-04-02
Fixed
4.43600000
N
N
N
N
N
N
VOLT XCIV LLC
N/A
VOLT XCIV LLC, Series 2021-NPL3, Class A1
92873AAA6
5120000.00000000
PA
USD
5118445.57000000
0.230688785109
Long
ABS-MBS
CORP
US
Y
2
2051-02-27
Variable
2.23949880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-83, Class CS
31392GKS3
73412.27000000
PA
USD
77025.26000000
0.003471535138
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Fixed
6.88111000
N
N
N
N
N
N
JPMorgan Prime Money Market Fund
549300YD7H8SEEU7VG41
JPMorgan Prime Money Market Fund, Class Institutional
4812A2603
108240929.20700000
NS
USD
108295049.67000000
4.880867267231
Long
STIV
RF
US
N
1
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AN5
470000.00000000
PA
USD
448152.19000000
0.020198258014
Long
DBT
CORP
FR
Y
2
2041-01-11
Fixed
2.81100000
N
N
N
N
N
N
Conagra Brands, Inc.
54930035UDEIH090K650
Conagra Brands, Inc.
205887CD2
220000.00000000
PA
USD
279735.43000000
0.012607700055
Long
DBT
CORP
US
N
2
2038-11-01
Fixed
5.30000000
N
N
N
N
N
N
Natwest Group plc
2138005O9XJIJN4JPN90
Natwest Group plc
780097BA8
920000.00000000
PA
USD
1059219.14000000
0.047739098370
Long
DBT
CORP
GB
N
2
2026-04-05
Fixed
4.80000000
N
N
N
N
N
N
CVS Pass-Through Trust
N/A
CVS Pass-Through Trust, Series 2013
12665UAA2
625538.75000000
PA
USD
696049.67000000
0.031371018906
Long
ABS-O
CORP
US
Y
2
2036-01-10
Fixed
4.70400000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H08, Class FC
38375BM82
855575.60000000
PA
USD
856428.78000000
0.038599319283
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Floating
0.59388120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-111, Class EO
31396LSR2
40067.34000000
PA
USD
36572.15000000
0.001648309967
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFT6
988000.00000000
PA
USD
923294.57000000
0.041612966229
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
Alexandria Real Estate Equities, Inc.
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities, Inc.
015271AS8
653000.00000000
PA
USD
732533.49000000
0.033015347833
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128HDR92
5810.14000000
PA
USD
5811.60000000
0.000261929315
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Variable
2.72900160
N
Y
N
N
N
N
Texas Eastern Transmission LP
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AC4
554000.00000000
PA
USD
571168.59000000
0.025742617815
Long
DBT
CORP
US
Y
2
2022-10-15
Fixed
2.80000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RCM4
500000.00000000
PA
USD
718085.16000000
0.032364160349
Long
DBT
CORP
NL
Y
2
2110-09-30
Fixed
5.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58, Class AP
31395NE29
256534.41000000
PA
USD
236844.03000000
0.010674580943
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-61, Class SK
31394ATX4
34451.42000000
PA
USD
40407.85000000
0.001821185298
Long
ABS-MBS
USGSE
US
N
2
2032-11-25
Floating
8.49999960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3422, Class AI
31397RCW4
1090519.50000000
PA
USD
7630.80000000
0.000343920816
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Variable
0.24999840
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404YDK5
6529.34000000
PA
USD
6566.40000000
0.000295948216
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
2.17000080
N
N
N
N
N
N
Realty Income Corp.
549300CUWDAUZSH43859
Realty Income Corp.
756109BA1
530000.00000000
PA
USD
503355.23000000
0.022686263807
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
1.80000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BS7
1054000.00000000
PA
USD
1132514.84000000
0.051042541917
Long
DBT
CORP
GB
N
2
2024-05-18
Variable
3.94999920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JVK92
3585776.73000000
PA
USD
3908803.08000000
0.176170093327
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBT1
520000.00000000
PA
USD
503862.56000000
0.022709129214
Long
DBT
CORP
US
N
2
2040-09-25
Fixed
3.73400000
N
N
N
N
N
N
Union Carbide Corp.
QE84C8O80MNLK8IFRL44
Union Carbide Corp.
905581AS3
850000.00000000
PA
USD
1328606.70000000
0.059880419029
Long
DBT
CORP
US
N
2
2096-10-01
Fixed
7.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3611
31398LSE9
41809.94000000
PA
USD
39204.20000000
0.001766936689
Long
ABS-MBS
USGSE
US
N
2
2034-07-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-46, Class SK
31393YT54
347276.92000000
PA
USD
462780.04000000
0.020857536480
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
16.17651720
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 329, Class 1
3136FAWE6
34044.08400000
PA
USD
32226.95000000
0.001452471427
Long
ABS-MBS
USGSE
US
N
2
2033-01-25
None
0.00000000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2020-NPL2, Class A1A
91834UAA2
1933052.73000000
PA
USD
1939616.41000000
0.087418679574
Long
ABS-O
CORP
US
Y
3
2050-02-25
Variable
2.98140120
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAA2
884000.00000000
PA
USD
964025.87000000
0.043448729447
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-55, Class SA
38375QK73
170197.49000000
PA
USD
28460.29000000
0.001282707735
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Floating
6.08887080
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAN5
940000.00000000
PA
USD
1101966.10000000
0.049665707559
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2434, Class TC
3133TVTX4
120448.02000000
PA
USD
143161.17000000
0.006452286329
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
7.00000000
N
N
N
N
N
N
John Sevier Combined Cycle Generation LLC
N/A
John Sevier Combined Cycle Generation LLC
478045AA5
720593.87000000
PA
USD
874317.92000000
0.039405584372
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
4.62600000
N
N
N
N
N
N
Impac Secured Assets Trust
N/A
Impac Secured Assets Trust, Series 2006-2, Class 2A1
45256VAQ0
37686.11000000
PA
USD
37814.32000000
0.001704294677
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.46762920
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAM2
1075000.00000000
PA
USD
1025281.25000000
0.046209514729
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4A23
43208.92000000
PA
USD
45570.82000000
0.002053880803
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
2.33899920
N
Y
N
N
N
N
BlackRock, Inc.
549300LRIF3NWCU26A80
BlackRock, Inc.
09247XAR2
631000.00000000
PA
USD
627117.40000000
0.028264235527
Long
DBT
CORP
US
N
2
2031-01-28
Fixed
1.90000000
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JAK4
381000.00000000
PA
USD
421869.87000000
0.019013711575
Long
DBT
CORP
AU
Y
2
2028-11-28
Variable
3.76300080
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2015-2, Class AA
009088AA3
211411.07000000
PA
USD
212872.72000000
0.009594191925
Long
ABS-O
CORP
CA
Y
2
2027-12-15
Fixed
3.75000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2013-SFS, Class A2
12625EAC3
1060000.00000000
PA
USD
1087814.40000000
0.049027889215
Long
ABS-MBS
CORP
US
Y
2
2035-04-12
Variable
2.98680120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1996-14, Class SE
31359KAJ6
37482.86000000
PA
USD
2970.24000000
0.000133868974
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
9.64000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-27, Class FD
31359B3C9
6514.71000000
PA
USD
6509.03000000
0.000293362545
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
0.99762840
N
N
N
N
N
N
DXC Technology Co.
549300DOVZ3EDJB7O259
DXC Technology Co.
23355LAC0
478000.00000000
PA
USD
520024.02000000
0.023437527616
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.25000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAQ8
1500000.00000000
PA
USD
1575158.78000000
0.070992542627
Long
DBT
CORP
IE
N
2
2024-02-15
Fixed
3.15000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-3A, Class C
14686XAE9
5240000.00000000
PA
USD
5396759.84000000
0.243232433360
Long
ABS-O
CORP
US
Y
2
2024-10-15
Fixed
2.71000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAF7
872000.00000000
PA
USD
928076.68000000
0.041828496341
Long
DBT
CORP
JP
N
2
2026-07-14
Fixed
2.63200000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAL5
1838000.00000000
PA
USD
2038528.02000000
0.091876634402
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.11000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833DG2
150000.00000000
PA
USD
170538.83000000
0.007686199837
Long
DBT
CORP
US
N
2
2047-11-13
Fixed
3.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3129413U9
349525.52000000
PA
USD
400972.95000000
0.018071885581
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2020-SFR2, Class C
00178UAC3
3500000.00000000
PA
USD
3578326.50000000
0.161275485246
Long
ABS-O
CORP
US
Y
3
2037-07-17
Fixed
2.53300000
N
N
N
N
N
N
National Australia Bank Ltd.
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd.
632525AS0
1025000.00000000
PA
USD
1115451.71000000
0.050273505170
Long
DBT
CORP
AU
Y
2
2034-08-02
Variable
3.93300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-38, Class SW
38374NPR2
100811.62000000
PA
USD
6089.96000000
0.000274475024
Long
ABS-MBS
USGA
US
N
2
2036-06-20
Floating
6.38886960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-66, Class SG
31394EKR8
113784.14000000
PA
USD
160252.59000000
0.007222598109
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
17.08092360
N
N
N
N
N
N
Transurban Finance Co. Pty. Ltd.
54930081LPJMUMEA6E57
Transurban Finance Co. Pty. Ltd.
89400PAK9
540000.00000000
PA
USD
547166.66000000
0.024660848752
Long
DBT
CORP
AU
Y
2
2031-03-16
Fixed
2.45000000
N
N
N
N
N
N
Chevron USA, Inc.
VA8TZDWPEZYU430RZ444
Chevron USA, Inc.
166756AT3
999000.00000000
PA
USD
1421314.63000000
0.064058773463
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.00000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCN9
620000.00000000
PA
USD
842865.25000000
0.037988009811
Long
DBT
CORP
US
N
2
2058-10-15
Fixed
4.95000000
N
N
N
N
N
N
Hyundai Capital Services, Inc.
549300MALMDAGL2ZJJ27
Hyundai Capital Services, Inc.
44920UAP3
355000.00000000
PA
USD
348832.34000000
0.015721903773
Long
DBT
CORP
KR
Y
2
2026-02-08
Fixed
1.25000000
N
N
N
N
N
N
Fox Corp.
549300DDU6FDRBIELS05
Fox Corp.
35137LAK1
690000.00000000
PA
USD
908326.45000000
0.040938351764
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
5.57600000
N
N
N
N
N
N
Barrick Gold Corp.
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp.
725906AN1
295000.00000000
PA
USD
407760.75000000
0.018377812315
Long
DBT
CORP
CA
N
2
2035-10-15
Fixed
6.45000000
N
N
N
N
N
N
Natwest Group plc
2138005O9XJIJN4JPN90
Natwest Group plc
780097BL4
640000.00000000
PA
USD
735093.98000000
0.033130749339
Long
DBT
CORP
GB
N
2
2030-05-08
Variable
4.44499920
N
N
N
N
N
N
Goodgreen Trust
N/A
Goodgreen Trust, Series 2017-1A, Class A
38217VAA8
455789.75000000
PA
USD
476057.35000000
0.021455945992
Long
ABS-O
CORP
US
Y
2
2052-10-15
Fixed
3.74000000
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAJ9
2235000.00000000
PA
USD
2688225.32000000
0.121158547978
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
Airbus Finance BV
529900M7QSB704RUUT95
Airbus Finance BV
26824KAA2
557000.00000000
PA
USD
581754.02000000
0.026219704062
Long
DBT
CORP
NL
Y
2
2023-04-17
Fixed
2.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402AF27
17127.33000000
PA
USD
17231.48000000
0.000776624295
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
2.52699840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-23, Class KO
31395B4J9
37742.15000000
PA
USD
36674.65000000
0.001652929651
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-17, Class JI
38375JTD7
672958.40000000
PA
USD
149311.90000000
0.006729500263
Long
ABS-MBS
USGA
US
N
2
2037-04-16
Floating
6.70262040
N
N
N
N
N
N
General Electric Co.
3C7474T6CDKPR9K6YT90
General Electric Co.
369604BW2
780000.00000000
PA
USD
851105.98000000
0.038359420226
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.62500000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECK5
199000.00000000
PA
USD
236853.29000000
0.010674998292
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
4.35000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-56, Class S
31394D6N5
388337.40000000
PA
USD
80881.71000000
0.003645345674
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
6.59237040
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AL0
620000.00000000
PA
USD
709103.72000000
0.031959366070
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.30000000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2006-1, Class A1
07387AGZ2
526973.27000000
PA
USD
545836.01000000
0.024600876241
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.36999880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H7EG5
7166455.73000000
PA
USD
7913230.16000000
0.356649968615
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A
12669FNP4
37467.50000000
PA
USD
38396.38000000
0.001730528171
Long
ABS-MBS
CORP
US
N
2
2034-05-20
Variable
2.65545360
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
490000.00000000
PA
USD
506700.92000000
0.022837054345
Long
DBT
CORP
CH
Y
2
2026-06-05
Variable
2.19300120
N
N
N
N
N
N
Mead Johnson Nutrition Co.
E4BJRFT3MF4GJDY1SC50
Mead Johnson Nutrition Co.
582839AH9
153000.00000000
PA
USD
172856.15000000
0.007790641650
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
Mars, Inc.
54930073HKEO6GZBSS03
Mars, Inc.
571676AL9
1570000.00000000
PA
USD
1492636.41000000
0.067273252264
Long
DBT
CORP
US
Y
2
2032-07-16
Fixed
1.62500000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23
12669G3R0
269645.85000000
PA
USD
238868.72000000
0.010765833896
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-47, Class PH
38375KE99
2500000.00000000
PA
USD
2892926.00000000
0.130384425354
Long
ABS-MBS
USGA
US
N
2
2037-07-16
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31390LY75
29527.36000000
PA
USD
31944.88000000
0.001439758508
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust, Series 2016-3A, Class A1
42770XAA5
601005.10000000
PA
USD
615124.63000000
0.027723720345
Long
ABS-O
CORP
US
Y
2
2042-09-20
Fixed
3.08000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3387, Class SA
31397PFM7
170065.70000000
PA
USD
31570.91000000
0.001422903647
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
6.30775080
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822BD5
1260000.00000000
PA
USD
1361235.08000000
0.061350982941
Long
DBT
CORP
JP
N
2
2024-03-07
Fixed
3.40700000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-26, Class SC
38375KBN1
304924.78000000
PA
USD
50561.10000000
0.002278793155
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
6.08887080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RE0
7780000.00000000
PA
USD
10030121.88000000
0.452058461763
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-53, Class US
31395NJD0
435103.80000000
PA
USD
84254.94000000
0.003797377442
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
6.46237080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-61, Class Z
313921M70
289076.56000000
PA
USD
346612.94000000
0.015621875223
Long
ABS-MBS
USGSE
US
N
2
2031-11-25
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Other
36179ACJ3
147320.29830000
PA
USD
148139.35000000
0.006676653333
Long
ABS-MBS
USGA
US
N
2
2063-05-20
Variable
4.16700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8C44
3396021.84000000
PA
USD
3662554.57000000
0.165071651655
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
2.97000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2544, Class HC
31393FQX7
190983.90000000
PA
USD
229138.61000000
0.010327296996
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C
05525MAG1
1300000.00000000
PA
USD
1352864.37000000
0.060973714317
Long
ABS-MBS
CORP
US
Y
3
2046-08-15
Variable
4.21390080
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAG3
440000.00000000
PA
USD
645433.83000000
0.029089758614
Long
DBT
CORP
US
N
2
2037-12-15
Fixed
6.75000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833CD0
569000.00000000
PA
USD
651400.42000000
0.029358673342
Long
DBT
CORP
US
N
2
2046-08-04
Fixed
3.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3331
31397J5M2
126996.17000000
PA
USD
118453.10000000
0.005338691475
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
None
0.00000000
N
N
N
N
N
N
University of Southern California
0GMCSQ6M60R4T46U5511
University of Southern California, Series A
914886AD8
570000.00000000
PA
USD
543416.76000000
0.024491840434
Long
DBT
CORP
US
N
2
2120-10-01
Fixed
3.22600000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
312941XL6
354908.40000000
PA
USD
411159.86000000
0.018531010497
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 20 Year
3128P7RY1
187946.23000000
PA
USD
201884.69000000
0.009098960461
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
3.50000000
N
N
N
N
N
N
Toledo Edison Co. (The)
N/A
Toledo Edison Co. (The)
889175BD6
300000.00000000
PA
USD
397133.50000000
0.017898841237
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
6.15000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF
362341LL1
668934.45000000
PA
USD
560920.33000000
0.025280727850
Long
ABS-MBS
CORP
US
Y
2
2035-09-25
Floating
0.46762920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-62, Class B
31358Q7C3
1730.52600000
PA
USD
1726.24000000
0.000077801786
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
None
0.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JC6
1200000.00000000
PA
USD
1368170.51000000
0.061663563372
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
4.30000000
N
N
N
N
N
N
Campbell Soup Co.
5493007JDSMX8Z5Z1902
Campbell Soup Co.
134429BK4
315000.00000000
PA
USD
301800.59000000
0.013602178727
Long
DBT
CORP
US
N
2
2050-04-24
Fixed
3.12500000
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
96950FAQ7
512000.00000000
PA
USD
558393.55000000
0.025166845656
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L96Z0
1789066.72000000
PA
USD
1948182.72000000
0.087804763907
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
2.79000000
N
N
N
N
N
N
Plains All American Pipeline LP
N/A
Plains All American Pipeline LP
72650RBA9
460000.00000000
PA
USD
470587.24000000
0.021209407660
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
5.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-116, Class HI
31396X6G4
439441.65000000
PA
USD
19493.72000000
0.000878583648
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Floating
1.45074960
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
605000.00000000
PA
USD
706279.23000000
0.031832066061
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282S8
3000000.00000000
PA
USD
3067382.82000000
0.138247209339
Long
DBT
UST
US
N
2
2022-08-31
Fixed
1.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1994-40, Class Z
31359G5C6
207454.82000000
PA
USD
221934.40000000
0.010002602628
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828W71
30000000.00000000
PA
USD
31679296.80000000
1.427788650277
Long
DBT
UST
US
N
2
2024-03-31
Fixed
2.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-101, Class DO
3136AGZH8
1486939.12000000
PA
USD
1296479.02000000
0.058432421709
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
None
0.00000000
N
N
N
N
N
N
Otis Worldwide Corp.
549300ZLBKR8VSU25153
Otis Worldwide Corp.
68902VAK3
1430000.00000000
PA
USD
1472167.25000000
0.066350705450
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.56500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-22, Class AO
31395BA52
217614.66000000
PA
USD
203408.47000000
0.009167637358
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
None
0.00000000
N
N
N
N
N
N
Invesco Finance plc
549300OYQ3LAJYXXO449
Invesco Finance plc
46132FAD2
390000.00000000
PA
USD
433305.97000000
0.019529137593
Long
DBT
CORP
GB
N
2
2026-01-15
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G-51, Class SA
31358KV39
31.79000000
PA
USD
33.91000000
0.000001528326
Long
ABS-MBS
USGSE
US
N
2
2021-12-25
Floating
27.90000000
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BN1
200000.00000000
PA
USD
217935.82000000
0.009822386281
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
Rmip Frn
N/A
Rmip Frn
N/A
1696140.54000000
PA
USD
1665270.78000000
0.075053898270
Long
ABS-MBS
CORP
US
N
3
2021-08-25
Fixed
0.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBW4
1600000.00000000
PA
USD
1732269.81000000
0.078073550355
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-24
38373SF69
21199.66600000
PA
USD
20951.98000000
0.000944307553
Long
ABS-MBS
USGA
US
N
2
2033-03-16
None
0.00000000
N
N
N
N
N
N
AstraZeneca plc
PY6ZZQWO2IZFZC3IOL08
AstraZeneca plc
046353AG3
240000.00000000
PA
USD
276833.79000000
0.012476922889
Long
DBT
CORP
GB
N
2
2042-09-18
Fixed
4.00000000
N
N
N
N
N
N
Becton Dickinson and Co.
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co.
075887BX6
600000.00000000
PA
USD
742944.47000000
0.033484571603
Long
DBT
CORP
US
N
2
2047-06-06
Fixed
4.66900000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCY5
715000.00000000
PA
USD
761347.62000000
0.034314003167
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-1, Class AA
90931CAA6
943691.36000000
PA
USD
987133.72000000
0.044490202248
Long
ABS-O
CORP
US
N
2
2031-08-25
Fixed
4.15000000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc., Series F
257469AJ5
920000.00000000
PA
USD
1170557.79000000
0.052757140968
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371HKW7
44489.49000000
PA
USD
49503.13000000
0.002231110356
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RD2
4988000.00000000
PA
USD
6541294.38000000
0.294816704197
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403K4Q3
98722.65000000
PA
USD
99056.09000000
0.004464466554
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
2.71000080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-H09, Class TA
38375UFZ8
1165288.22000000
PA
USD
1170015.79000000
0.052732712981
Long
ABS-MBS
USGA
US
N
2
2064-04-20
Floating
0.75213000
N
N
N
N
N
N
Republic of Chile
549300FLZTJM5YJF8D34
Republic of Chile
168863DN5
497000.00000000
PA
USD
503057.19000000
0.022672831119
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
2.55000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LK4
18375000.00000000
PA
USD
18335249.91000000
0.826371301319
Long
DBT
UST
US
N
2
2022-11-15
None
0.00000000
N
N
N
N
N
N
Headlands Residential LLC
N/A
Headlands Residential LLC, Series 2019-RPL1, Class NOTE
42210BAA1
4600000.00000000
PA
USD
4628084.84000000
0.208588184541
Long
ABS-MBS
CORP
US
Y
2
2024-06-25
Variable
3.96699840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210ASU2
4526.02000000
PA
USD
5047.07000000
0.000227471881
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2444, Class ES
31392KUY0
87519.24000000
PA
USD
16216.90000000
0.000730897087
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
7.83775080
N
N
N
N
N
N
DH Europe Finance II SARL
222100KDGL314CKTZ511
DH Europe Finance II SARL
23291KAJ4
1000000.00000000
PA
USD
1064737.65000000
0.047987818094
Long
DBT
CORP
LU
N
2
2039-11-15
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402DNT3
12988.71000000
PA
USD
13010.28000000
0.000586374446
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
2.15499960
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WAX6
629000.00000000
PA
USD
684797.08000000
0.030863863700
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.05000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 2A1
576433LY0
31571.02000000
PA
USD
31353.63000000
0.001413110819
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
2.92187520
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2201, Class C
3133TMGW0
41579.02000000
PA
USD
47757.30000000
0.002152425646
Long
ABS-MBS
USGSE
US
N
2
2029-11-15
Fixed
8.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284N7
46198000.00000000
PA
USD
51786875.12000000
2.334038946522
Long
DBT
UST
US
N
2
2028-05-15
Fixed
2.87500000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38148LAE6
1984000.00000000
PA
USD
2191788.01000000
0.098784075424
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
250000.00000000
PA
USD
262968.19000000
0.011851999096
Long
DBT
CORP
CH
Y
2
2025-09-11
Variable
2.59300080
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4
92922FY44
168170.68900000
PA
USD
166631.47000000
0.007510094783
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
VNDO Mortgage Trust
N/A
VNDO Mortgage Trust, Series 2012-6AVE, Class A
91830CAA6
1398491.00000000
PA
USD
1446552.66000000
0.065196253661
Long
ABS-MBS
CORP
US
Y
2
2030-11-15
Fixed
2.99560000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-99, Class SC
31398F4S7
91382.39000000
PA
USD
14471.78000000
0.000652244377
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
6.06237120
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABP1
530000.00000000
PA
USD
541428.13000000
0.024402212708
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
2.37500000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2003-12, Class 30PO
55265K4C0
11469.29200000
PA
USD
10405.38000000
0.000468971377
Long
ABS-MBS
CORP
US
N
3
2033-12-25
None
0.00000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust, Series 2003-5, Class AI6
64352VED9
316477.71000000
PA
USD
325339.88000000
0.014663096566
Long
ABS-O
CORP
US
N
3
2033-11-25
Variable
6.00000120
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
780082AD5
337000.00000000
PA
USD
390877.24000000
0.017616871057
Long
DBT
CORP
CA
N
2
2026-01-27
Fixed
4.65000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAH5
476000.00000000
PA
USD
506018.69000000
0.022806306180
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-21, Class KA
31358T4H9
5400.37000000
PA
USD
5659.87000000
0.000255090831
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-39
31393A5Z6
35107.78000000
PA
USD
5892.08000000
0.000265556555
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Variable
6.00000120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-130, Class GI
31396PAS0
208369.74000000
PA
USD
31034.88000000
0.001398744729
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9P63
7599820.32000000
PA
USD
8357177.07000000
0.376658694295
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.08000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-62, Class PB
31359XEP0
35273.87000000
PA
USD
40639.89000000
0.001831643361
Long
ABS-MBS
USGSE
US
N
2
2029-12-18
Fixed
7.50000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HR7
95000.00000000
PA
USD
97994.16000000
0.004416605277
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.35000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCA5
1809000.00000000
PA
USD
2077533.50000000
0.093634614764
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1994-1, Class 2ZB
911760DS2
111857.71000000
PA
USD
119163.18000000
0.005370694842
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Fixed
6.50000000
N
N
N
N
N
N
Arizona Public Service Co.
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co.
040555CM4
200000.00000000
PA
USD
258118.10000000
0.011633405120
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-130, Class SX
31393UWF6
8723.38000000
PA
USD
10041.41000000
0.000452567218
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
11.34355680
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D
92937EAJ3
400000.00000000
PA
USD
389790.84000000
0.017567906915
Long
ABS-MBS
CORP
US
Y
3
2045-03-15
Variable
4.25554200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-36, Class DE
313920LG3
80304.13000000
PA
USD
94776.17000000
0.004271570189
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Fixed
7.00000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-3A, Class D
30167EAD7
3540000.00000000
PA
USD
3676251.06000000
0.165688953646
Long
ABS-O
CORP
US
Y
2
2025-08-15
Fixed
3.11000000
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABN6
490000.00000000
PA
USD
491759.10000000
0.022163625224
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
1.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4
31396WVA1
9704.35000000
PA
USD
17270.59000000
0.000778386986
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
38.47421880
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JL6
500000.00000000
PA
USD
550037.68000000
0.024790245872
Long
DBT
CORP
US
N
2
2025-03-26
Fixed
3.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-44
31397LMA4
7406.60000000
PA
USD
6676.54000000
0.000300912236
Long
ABS-MBS
USGSE
US
N
2
2038-05-25
None
0.00000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAD2
974000.00000000
PA
USD
1092956.93000000
0.049259663487
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-2, Class WA
31397QHL5
215541.74000000
PA
USD
247415.75000000
0.011151049279
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Variable
5.85985320
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAE7
242000.00000000
PA
USD
262759.24000000
0.011842581702
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1745, Class D
3133T54P5
11179.98000000
PA
USD
12154.28000000
0.000547794452
Long
ABS-MBS
USGSE
US
N
2
2024-08-15
Fixed
7.50000000
N
N
N
N
N
N
American Municipal Power, Inc.
EARKGGZJJEMVD66XQ486
American Municipal Power, Inc., Meldahl Hydroelectric Project, Series 2010B
02765UDV3
1315000.00000000
PA
USD
2100988.65000000
0.094691740406
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
7.49900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31373UED5
7168.97000000
PA
USD
7256.72000000
0.000327060998
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Variable
3.93300000
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
96949LAE5
409000.00000000
PA
USD
474776.95000000
0.021398238253
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1144, Class KB
312907DL9
363.47000000
PA
USD
370.03000000
0.000016677284
Long
ABS-MBS
USGSE
US
N
2
2021-09-15
Fixed
8.50000000
N
N
N
N
N
N
National Australia Bank Ltd.
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd.
632525AW1
525000.00000000
PA
USD
491765.43000000
0.022163910518
Long
DBT
CORP
AU
Y
2
2041-01-14
Fixed
2.64800000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBD0
875000.00000000
PA
USD
908422.75000000
0.040942692014
Long
DBT
CORP
JP
N
2
2026-05-25
Variable
2.22599880
N
N
N
N
N
N
Reliance Steel & Aluminum Co.
549300E287ZOFT3C5Z56
Reliance Steel & Aluminum Co.
759509AF9
2500000.00000000
PA
USD
2499871.48000000
0.112669424098
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
1.30000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent, Series 2015-SFR1, Class A
02666AAA6
3794735.89000000
PA
USD
4096948.66000000
0.184649830911
Long
ABS-O
CORP
US
Y
2
2052-04-17
Fixed
3.46700000
N
N
N
N
N
N
Hydro-Quebec
6THEVG93PYJH84S4D167
Hydro-Quebec
448814EJ8
350000.00000000
PA
USD
434051.91000000
0.019562757173
Long
DBT
NUSS
CA
N
2
2024-07-07
Fixed
8.05000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1
92922FNH7
44251.95000000
PA
USD
45620.27000000
0.002056109519
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
3.62403360
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-90, Class AO
31396KU42
109239.35000000
PA
USD
103113.36000000
0.004647328065
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403R4H8
34898.10000000
PA
USD
38606.60000000
0.001740002805
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
8.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810PW2
447000.00000000
PA
USD
616772.70000000
0.027797999002
Long
DBT
UST
US
N
2
2038-02-15
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-43, Class SA
31359TL71
10622.09000000
PA
USD
1508.89000000
0.000068005802
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
20.48000040
N
N
N
N
N
N
Oportun Funding XIII LLC
N/A
Oportun Funding XIII LLC, Series 2019-A, Class A
68377FAA6
3010000.00000000
PA
USD
3089967.27000000
0.139265092457
Long
ABS-O
CORP
US
Y
2
2025-08-08
Fixed
3.08000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAL5
1200000.00000000
PA
USD
1268296.00000000
0.057162210557
Long
DBT
CORP
KY
Y
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-72, Class SM
38373AGM2
464779.26000000
PA
USD
74108.50000000
0.003340076512
Long
ABS-MBS
USGA
US
N
2
2039-08-16
Floating
6.14261880
N
N
N
N
N
N
GE Capital Funding LLC
549300XAGH9TOLX5XM67
GE Capital Funding LLC
36166NAB9
540000.00000000
PA
USD
619741.68000000
0.027931811188
Long
DBT
CORP
US
Y
2
2030-05-15
Fixed
4.40000000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAE3
555000.00000000
PA
USD
561672.57000000
0.025314631372
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
1.54700000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650CX6
440000.00000000
PA
USD
506483.57000000
0.022827258362
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class XA
90269CAH3
6789702.26000000
PA
USD
92022.19000000
0.004147448072
Long
ABS-MBS
CORP
US
Y
3
2063-05-10
Variable
1.28889000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M5CE8
206024.70000000
PA
USD
232568.73000000
0.010481892802
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
6.50000000
N
N
N
N
N
N
Utah Acquisition Sub, Inc.
254900JOFV74IJ7H9933
Utah Acquisition Sub, Inc.
62854AAN4
300000.00000000
PA
USD
335072.60000000
0.015101751100
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.95000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAZ7
532000.00000000
PA
USD
571898.13000000
0.025775498246
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3997, Class PF
3137AMCU9
74.85000000
PA
USD
74.87000000
0.000003374397
Long
ABS-MBS
USGSE
US
N
2
2039-11-15
Floating
0.56225160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDV25
333928.30000000
PA
USD
362161.91000000
0.016322668647
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
4.00000000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AM7
125000.00000000
PA
USD
145349.96000000
0.006550935284
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405KZ20
29092.19000000
PA
USD
29112.82000000
0.001312117318
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
1.56300120
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DP2
470000.00000000
PA
USD
446236.57000000
0.020111920855
Long
DBT
CORP
US
N
2
2040-08-21
Fixed
2.70000000
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd.
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd.
052528AK2
263000.00000000
PA
USD
298592.67000000
0.013457597495
Long
DBT
CORP
AU
Y
2
2026-05-19
Fixed
4.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-179, Class SC
31359EFX4
2156.15000000
PA
USD
2371.13000000
0.000106867034
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
10.50000120
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2016-2, Class C
33843NAG6
1144574.72000000
PA
USD
1148235.87000000
0.051751090100
Long
ABS-O
CORP
US
Y
2
2022-09-15
Fixed
6.22000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-66, Class CB
3136A6ZU1
3000000.00000000
PA
USD
3273115.20000000
0.147519585523
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAV3
2800000.00000000
PA
USD
2669625.00000000
0.120320229945
Long
DBT
UST
US
N
2
2030-11-15
Fixed
0.87500000
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2015-2, Class A
48250BAA9
850469.49000000
PA
USD
97874.58000000
0.004411215796
Long
ABS-MBS
CORP
US
Y
3
2041-07-25
Variable
3.17541600
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFM1
545000.00000000
PA
USD
491174.16000000
0.022137261928
Long
DBT
CORP
US
Y
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
Welltower, Inc.
T6IZ0MBEG5ACZDTR7D06
Welltower, Inc.
42217KAX4
350000.00000000
PA
USD
474514.10000000
0.021386391581
Long
DBT
CORP
US
N
2
2041-03-15
Fixed
6.50000000
N
N
N
N
N
N
Baltimore Gas and Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co.
059165EH9
376000.00000000
PA
USD
402126.92000000
0.018123895109
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
3.50000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-7, Class 30PO
576434TQ7
79616.98500000
PA
USD
67591.40000000
0.003046350251
Long
ABS-MBS
CORP
US
N
3
2034-08-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4217, Class KY
3137B2KH2
2000000.00000000
PA
USD
2131178.40000000
0.096052395053
Long
ABS-MBS
USGSE
US
N
2
2043-06-15
Fixed
3.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAK6
259000.00000000
PA
USD
289999.51000000
0.013070303030
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31371LPA1
13446.38000000
PA
USD
14590.87000000
0.000657611774
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class UD
31392BWF9
8214.27000000
PA
USD
10379.14000000
0.000467788738
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
24.08829480
N
N
N
N
N
N
Reckitt Benckiser Treasury Services plc
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services plc
75625QAC3
700000.00000000
PA
USD
717827.52000000
0.032352548491
Long
DBT
CORP
GB
Y
2
2022-06-24
Fixed
2.37500000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAE1
264000.00000000
PA
USD
297530.19000000
0.013409711430
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.00000000
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JAR9
510000.00000000
PA
USD
506643.43000000
0.022834463266
Long
DBT
CORP
AU
Y
2
2027-01-12
Variable
1.33999920
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities Trust
N/A
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19
32051GYZ2
499640.72000000
PA
USD
370711.28000000
0.016707989494
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
GMACM Mortgage Loan Trust
N/A
GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4
36185N7E4
580825.17000000
PA
USD
566104.97000000
0.025514400023
Long
ABS-MBS
CORP
US
N
2
2035-06-19
Variable
3.47531400
N
N
N
N
N
N
Berkshire Hathaway Finance Corp.
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp.
084664BU4
1000000.00000000
PA
USD
1239499.27000000
0.055864339442
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.40000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1997-1, Class 2Z
911760KE5
279977.91000000
PA
USD
317536.47000000
0.014311396202
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Fixed
7.50000000
N
N
N
N
N
N
Ford Foundation (The)
54930013YZ3DULPNNT44
Ford Foundation (The), Series 2020
34531XAC8
365000.00000000
PA
USD
343565.38000000
0.015484521430
Long
DBT
CORP
US
N
2
2070-06-01
Fixed
2.81500000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1
576433VM5
149753.10000000
PA
USD
143935.97000000
0.006487206633
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
3.13936920
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BC7
1131000.00000000
PA
USD
1222549.53000000
0.055100413192
Long
DBT
CORP
US
Y
2
2023-08-01
Fixed
4.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H29, Class FA
38375BZQ8
745721.32000000
PA
USD
747301.58000000
0.033680946928
Long
ABS-MBS
USGA
US
N
2
2062-10-20
Floating
0.65887920
N
N
N
N
N
N
Kroger Co. (The)
6CPEOKI6OYJ13Q6O7870
Kroger Co. (The)
501044CR0
1100000.00000000
PA
USD
1389477.17000000
0.062623856383
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3149, Class SO
31396RJA6
28623.13000000
PA
USD
24100.14000000
0.001086195396
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
APT Pipelines Ltd.
261700SS8OEHDOCOUJ33
APT Pipelines Ltd.
00205GAD9
732000.00000000
PA
USD
827341.70000000
0.037288362068
Long
DBT
CORP
AU
Y
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2002-52, Class GH
38373XE69
326629.21000000
PA
USD
326861.64000000
0.014731682421
Long
ABS-MBS
USGA
US
N
2
2032-07-20
Fixed
6.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659T2C4
1200000.00000000
PA
USD
1126670.08000000
0.050779118077
Long
DBT
CORP
FR
Y
2
2041-01-26
Fixed
2.82400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-30, Class LS
31397SMD3
443829.84000000
PA
USD
31035.33000000
0.001398765010
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Variable
2.44356120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-54, Class ZQ
31358QKR5
2160.29000000
PA
USD
2206.62000000
0.000099452554
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2296, Class PD
3133TRUS2
48980.76000000
PA
USD
57841.28000000
0.002606911498
Long
ABS-MBS
USGSE
US
N
2
2031-03-15
Fixed
7.00000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAJ1
730000.00000000
PA
USD
724981.38000000
0.032674973581
Long
DBT
CORP
FR
Y
2
2032-01-20
Variable
2.27700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3122, Class ZB
31396JMD4
26088.51000000
PA
USD
38296.01000000
0.001726004487
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
Fixed
6.00000000
N
N
N
N
N
N
Grupo Televisa SAB
549300O4AF0C816ILN62
Grupo Televisa SAB
40049JBB2
221000.00000000
PA
USD
247381.88000000
0.011149522755
Long
DBT
CORP
MX
N
2
2026-01-30
Fixed
4.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-12, Class IE
38374XPH2
494509.12000000
PA
USD
74784.71000000
0.003370553356
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2567, Class QD
31393KA39
277265.80000000
PA
USD
325475.78000000
0.014669221591
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAP0
2420000.00000000
PA
USD
2613126.79000000
0.117773850728
Long
DBT
CORP
IE
N
2
2023-09-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 393, Class 6
3136FGCE5
41384.30000000
PA
USD
6023.32000000
0.000271471554
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526BL2
1000000.00000000
PA
USD
1042667.02000000
0.046993092888
Long
DBT
CORP
DE
N
2
2022-11-16
Fixed
3.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1899, Class ZE
3133T86T9
36271.91000000
PA
USD
41782.88000000
0.001883158020
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
8.00000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833CX6
1125000.00000000
PA
USD
1240046.38000000
0.055888997737
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
3.00000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AN7
400000.00000000
PA
USD
471042.54000000
0.021229928071
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.75000000
N
N
N
N
N
N
Nevada Power Co.
MJZFGXRJ52U8U4MKJ519
Nevada Power Co.
641423CA4
305000.00000000
PA
USD
399417.73000000
0.018001791681
Long
DBT
CORP
US
N
2
2041-05-15
Fixed
5.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1541, Class O
3133T0BX1
8961.99000000
PA
USD
8839.54000000
0.000398398833
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
0.24000120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210APW1
8611.69000000
PA
USD
9440.83000000
0.000425499025
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2033, Class SN
3133TCX78
6916.45000000
PA
USD
1145.12000000
0.000051610657
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
29.36457360
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-165, Class SK
31359D5S8
4641.65000000
PA
USD
4986.05000000
0.000224721705
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
12.49999920
N
N
N
N
N
N
Office Properties Income Trust
N/A
Office Properties Income Trust
38376AAB9
784000.00000000
PA
USD
805310.15000000
0.036295398202
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class A2
3137F1G44
2467000.00000000
PA
USD
2768881.12000000
0.124793711869
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Fixed
3.24300000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408GW7
191000.00000000
PA
USD
239615.90000000
0.010799509364
Long
DBT
CORP
US
N
2
2042-05-30
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-61, Class Z
31358QW27
1887.33000000
PA
USD
1945.77000000
0.000087696022
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.00000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JE8
4500000.00000000
PA
USD
4512057.66000000
0.203358829490
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3920, Class LP
3137AF3W0
639385.98000000
PA
USD
734110.44000000
0.033086421106
Long
ABS-MBS
USGSE
US
N
2
2034-01-15
Fixed
5.00000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017CA5
543000.00000000
PA
USD
629602.15000000
0.028376223425
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.15000000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAA1
945000.00000000
PA
USD
947771.03000000
0.042716122401
Long
DBT
CORP
GB
Y
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
Duke Realty LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YAZ0
239000.00000000
PA
USD
262283.83000000
0.011821154932
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
3.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SC3
3757000.00000000
PA
USD
4556243.07000000
0.205350269746
Long
DBT
UST
US
N
2
2048-05-15
Fixed
3.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-14, Class NI
38374XAF2
204514.06000000
PA
USD
45858.86000000
0.002066862791
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
6.50000000
N
N
N
N
N
N
Regency Centers LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RAZ6
745000.00000000
PA
USD
782618.18000000
0.035272669149
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967ME8
1000000.00000000
PA
USD
1133861.95000000
0.051103256281
Long
DBT
CORP
US
N
2
2030-03-20
Variable
3.98000160
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAU2
230000.00000000
PA
USD
297957.43000000
0.013428967173
Long
DBT
CORP
CA
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2018-1, Class A
90931VAA4
856957.58000000
PA
USD
872873.51000000
0.039340484688
Long
ABS-O
CORP
US
N
2
2030-03-01
Fixed
3.70000000
N
N
N
N
N
N
Healthcare Trust of America Holdings LP
549300IYGAS4GE6VDL07
Healthcare Trust of America Holdings LP
42225UAH7
610000.00000000
PA
USD
588773.16000000
0.026536057310
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class APO
31394JY76
91911.48700000
PA
USD
78342.18000000
0.003530888837
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-110, Class GL
31394US60
2771181.99000000
PA
USD
3138598.88000000
0.141456923331
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust, Series 2020-GT1, Class A
30259RAE5
5000000.00000000
PA
USD
5005538.50000000
0.225600053686
Long
ABS-MBS
CORP
US
Y
2
2026-01-25
Variable
4.44999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31409JS50
49752.97000000
PA
USD
53123.19000000
0.002394266773
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-91, Class PI
38374MSK6
164097.48000000
PA
USD
25502.31000000
0.001149391320
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
6.00000000
N
N
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YBA7
920000.00000000
PA
USD
927887.83000000
0.041819984855
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
1.20000000
N
N
N
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080AH9
353000.00000000
PA
USD
374050.96000000
0.016858509160
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31378HQW4
4484.10000000
PA
USD
4502.35000000
0.000202921304
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
7.00000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBR5
780000.00000000
PA
USD
780122.39000000
0.035160183677
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class SA
31392BVQ6
11674.19000000
PA
USD
18148.33000000
0.000817946804
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Floating
24.80520240
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2262, Class Z
3133TQ5B9
10531.38000000
PA
USD
12682.71000000
0.000571610838
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class HC
31392BVX1
2376.37000000
PA
USD
2406.72000000
0.000108471078
Long
ABS-MBS
USGSE
US
N
2
2022-02-25
Fixed
6.50000000
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-2, Class A
00108GAA3
933986.56000000
PA
USD
941238.03000000
0.042421679525
Long
ABS-O
CORP
US
Y
2
2023-02-21
Fixed
2.82000000
N
N
N
N
N
N
Pioneer Natural Resources Co.
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co.
723787AQ0
1050000.00000000
PA
USD
1009770.65000000
0.045510450643
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-116, Class JY
38378VB61
1300000.00000000
PA
USD
1503042.32000000
0.067742247529
Long
ABS-MBS
USGA
US
N
2
2043-08-16
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 299, Class 300
3132HTJV9
2613338.00000000
PA
USD
2715137.99000000
0.122371504346
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3747, Class PY
31398QUH8
1000000.00000000
PA
USD
1131650.80000000
0.051003599559
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-38, Class ZK
38374NQB6
891240.00000000
PA
USD
1008762.29000000
0.045465003771
Long
ABS-MBS
USGA
US
N
2
2036-08-20
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-13, Class ST
31392B5S1
3262.35000000
PA
USD
3977.17000000
0.000179251396
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Floating
10.00000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31371KNW7
4821.31000000
PA
USD
5412.98000000
0.000243963477
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CSM6
2880.01000000
PA
USD
3268.26000000
0.000147300761
Long
ABS-MBS
USGA
US
N
2
2026-11-20
Fixed
8.00000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAT4
813000.00000000
PA
USD
858719.23000000
0.038702550063
Long
DBT
CORP
FR
Y
2
2024-11-21
Fixed
2.37500000
N
N
N
N
N
N
Drive Auto Receivables Trust
549300RZ091I85JWZO63
Drive Auto Receivables Trust, Series 2017-3, Class D
26207KAG6
2007111.73000000
PA
USD
2033955.65000000
0.091670557290
Long
ABS-O
CORP
US
Y
2
2023-12-15
Fixed
3.53000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-28CB, Class 1A4
12667GWT6
1516903.86600000
PA
USD
1519610.93000000
0.068488996216
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2000-20, Class SA
31359X4V8
50522.72000000
PA
USD
6272.70000000
0.000282711132
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
8.98237080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-59, Class BG
31394AVD5
92603.28000000
PA
USD
86901.30000000
0.003916649116
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1935, Class FL
3133T8Z83
2192.20000000
PA
USD
2208.44000000
0.000099534582
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Floating
0.81225000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2247, Class Z
3133TPGX1
37525.23000000
PA
USD
44357.08000000
0.001999177437
Long
ABS-MBS
USGSE
US
N
2
2030-08-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G95-1, Class C
31359LMA0
8226.42000000
PA
USD
9267.25000000
0.000417675760
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
8.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1065, Class J
312905PC0
8.67000000
PA
USD
8.69000000
0.000000391659
Long
ABS-MBS
USGSE
US
N
2
2021-04-15
Fixed
9.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UJY5
124619.10000000
PA
USD
132768.61000000
0.005983892750
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
2.37499920
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402CPA4
351616.13000000
PA
USD
411606.21000000
0.018551127530
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LUY9
169326.90000000
PA
USD
178738.84000000
0.008055774998
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Variable
2.63599920
N
Y
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Trust, Series 2018-C, Class D
12655CAD8
2964000.00000000
PA
USD
3064935.17000000
0.138136893542
Long
ABS-O
CORP
US
Y
2
2024-06-17
Fixed
4.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M8RN6
1479017.61000000
PA
USD
1667107.21000000
0.075136666330
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCL3
845000.00000000
PA
USD
1052584.83000000
0.047440089444
Long
DBT
CORP
US
N
2
2038-10-15
Fixed
4.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381RAB0
5000000.00000000
PA
USD
4999042.35000000
0.225307271643
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
4.34000000
N
N
N
N
N
N
Kinder Morgan, Inc.
549300WR7IX8XE0TBO16
Kinder Morgan, Inc.
49456BAR2
590000.00000000
PA
USD
563902.65000000
0.025415141270
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.00000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4
36228F2R6
169254.02000000
PA
USD
182667.47000000
0.008232838692
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Fixed
6.50000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AC5
340000.00000000
PA
USD
372586.28000000
0.016792495906
Long
DBT
CORP
CH
N
2
2025-03-26
Fixed
3.75000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AF6
200000.00000000
PA
USD
221816.90000000
0.009997306892
Long
DBT
CORP
IT
Y
2
2032-06-19
Variable
5.86100160
N
N
N
N
N
N
Impac Secured Assets Trust
N/A
Impac Secured Assets Trust, Series 2006-1, Class 2A1
45254TTN4
181609.26000000
PA
USD
183270.24000000
0.008260005588
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.46762920
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AM3
770000.00000000
PA
USD
772394.70000000
0.034811896020
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.85000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A6
17307GBJ6
13601.90000000
PA
USD
13033.16000000
0.000587405649
Long
ABS-MBS
CORP
US
N
3
2033-10-25
None
0.00000000
N
N
N
N
N
N
International Flavors & Fragrances, Inc.
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances, Inc.
459506AL5
365000.00000000
PA
USD
465504.76000000
0.020980339847
Long
DBT
CORP
US
N
2
2048-09-26
Fixed
5.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2003-9, Class 8A1
576434LD4
228520.99000000
PA
USD
237815.99000000
0.010718387264
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-41, Class PE
31393BE50
44005.21000000
PA
USD
45669.04000000
0.002058307587
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-32, Class PI
383742YT4
76038.84000000
PA
USD
4210.50000000
0.000189767599
Long
ABS-MBS
USGA
US
N
2
2037-10-16
Fixed
5.50000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAG2
406000.00000000
PA
USD
459409.35000000
0.020705619190
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-112, Class SA
38374EZ91
362946.25000000
PA
USD
41334.61000000
0.001862954452
Long
ABS-MBS
USGA
US
N
2
2033-12-16
Floating
6.44262120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2512, Class PG
31392WB41
33361.89000000
PA
USD
34330.23000000
0.001547266439
Long
ABS-MBS
USGSE
US
N
2
2022-10-15
Fixed
5.50000000
N
N
N
N
N
N
Hewlett Packard Enterprise Co.
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co.
42824CBJ7
1070000.00000000
PA
USD
1093782.18000000
0.049296857576
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
1.45000000
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAH2
1180000.00000000
PA
USD
1148924.85000000
0.051782142489
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
2.25000000
N
N
N
N
N
N
Alimentation Couche-Tard, Inc.
549300OSW32RVX8CCZ87
Alimentation Couche-Tard, Inc.
01626PAN6
810000.00000000
PA
USD
868461.93000000
0.039141654395
Long
DBT
CORP
CA
Y
2
2050-01-25
Fixed
3.80000000
N
N
N
N
N
N
UDR, Inc.
P3CH2EG5X6Z1XWU1OO74
UDR, Inc.
90265EAL4
382000.00000000
PA
USD
411222.60000000
0.018533838194
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3211, Class SO
31397BAA9
182425.79000000
PA
USD
170790.65000000
0.007697549386
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31405FTF9
26827.21000000
PA
USD
30215.63000000
0.001361821060
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746RE3
702000.00000000
PA
USD
777846.36000000
0.035057602808
Long
DBT
CORP
US
N
2
2024-01-16
Fixed
4.48000000
N
N
N
N
N
N
International Business Machines Corp.
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp.
459200KH3
883000.00000000
PA
USD
895093.74000000
0.040341952379
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
1.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2586, Class WI
31393MWB3
77324.69000000
PA
USD
14901.11000000
0.000671594318
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.50000000
N
N
N
N
N
N
Kimco Realty Corp.
549300EA7I6T15IBYS12
Kimco Realty Corp.
49446RAW9
171000.00000000
PA
USD
175774.70000000
0.007922180951
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.70000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H07, Class HA
38375BQ96
892418.26000000
PA
USD
892555.60000000
0.040227558189
Long
ABS-MBS
USGA
US
N
2
2063-03-20
Floating
0.55388160
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
25272KAG8
485000.00000000
PA
USD
532015.10000000
0.023977966630
Long
DBT
CORP
US
Y
2
2023-06-15
Fixed
5.45000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-6, Class 7A1
576434SK1
269617.86000000
PA
USD
283680.05000000
0.012785484420
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132FPDJ2
340685.68000000
PA
USD
367270.41000000
0.016552909185
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1829, Class ZB
3133T6J36
7634.69000000
PA
USD
8120.31000000
0.000365983074
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
6.50000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CD2
2280000.00000000
PA
USD
2347016.43000000
0.105780233757
Long
DBT
CORP
NL
N
2
2029-11-07
Fixed
2.37500000
N
N
N
N
N
N
GTP Acquisition Partners I LLC
N/A
GTP Acquisition Partners I LLC
36246MAU3
1436000.00000000
PA
USD
1538532.41000000
0.069341788959
Long
DBT
CORP
US
Y
2
2025-06-16
Fixed
3.48200000
N
N
N
N
N
N
Biogen, Inc.
W8J5WZB5IY3K0NDQT671
Biogen, Inc.
09062XAG8
310000.00000000
PA
USD
294199.22000000
0.013259584323
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3819, Class ZQ
3137A8N20
838856.40000000
PA
USD
992590.51000000
0.044736140246
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HTD7
43188.07000000
PA
USD
50466.24000000
0.002274517807
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
7.00000000
N
N
N
N
N
N
Exxon Mobil Corp.
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp.
30231GBH4
1410000.00000000
PA
USD
1520497.23000000
0.068528941834
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WRUE8
693774.97000000
PA
USD
749935.41000000
0.033799653874
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2005-A2, Class A4
45660LDY2
1089624.12200000
PA
USD
190204.90000000
0.008572551315
Long
ABS-MBS
CORP
US
N
3
2035-03-25
Floating
4.93237080
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2019-1, Class A
12326QAA2
1424720.37000000
PA
USD
1450501.54000000
0.065374230024
Long
ABS-O
CORP
US
Y
2
2034-07-15
Fixed
4.21200000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-31, Class NO
38376XM59
822021.65000000
PA
USD
763764.89000000
0.034422949736
Long
ABS-MBS
USGA
US
N
2
2040-03-20
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2500, Class MC
31392UXE9
117243.07000000
PA
USD
136486.13000000
0.006151441699
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-52, Class NS
31359W5E7
6025.06000000
PA
USD
7492.02000000
0.000337665990
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
23.05063440
N
N
N
N
N
N
Morgan Stanley Capital I Trust
5493004BO35O1811XR94
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class X
61751NAP7
232806.61000000
PA
USD
23.28000000
0.000001049231
Long
ABS-MBS
CORP
US
Y
3
2044-02-12
Variable
0.36432720
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
25272KAK9
1410000.00000000
PA
USD
1690116.90000000
0.076173715051
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
MRCD MARK Mortgage Trust
N/A
MRCD MARK Mortgage Trust, Series 2019-PARK, Class A
55348UAG3
2050000.00000000
PA
USD
2146409.45000000
0.096738859795
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECG4
350000.00000000
PA
USD
376020.16000000
0.016947261175
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.20000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS9, Class A3
76110HCC1
3079.58000000
PA
USD
0.03000000
0.000000001352
Long
ABS-MBS
CORP
US
N
3
2018-05-25
Floating
7.43236920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2043, Class CJ
3133TDML7
10148.71000000
PA
USD
11603.35000000
0.000522963989
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2017-1, Class AA
023761AA7
454824.94000000
PA
USD
460201.38000000
0.020741316051
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
3.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-109, Class PC
31394UZE5
332515.16000000
PA
USD
373848.69000000
0.016849392834
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
Gold Key Resorts LLC
549300MORAF4RGEXUA95
Gold Key Resorts LLC, Series 2014-A, Class A
38061LAA7
179800.90000000
PA
USD
182077.54000000
0.008206250496
Long
ABS-O
CORP
US
Y
2
2031-03-17
Fixed
3.22000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3621, Class BO
31398LZP6
126373.97000000
PA
USD
117467.61000000
0.005294275355
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
None
0.00000000
N
N
N
N
N
N
BAE Systems plc
8SVCSVKSGDWMW2QHOH83
BAE Systems plc
05523RAE7
502000.00000000
PA
USD
483077.78000000
0.021772357380
Long
DBT
CORP
GB
Y
2
2050-09-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3102, Class FB
31396H5M7
111227.25000000
PA
USD
111478.67000000
0.005024353311
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
0.41225040
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
175000.00000000
PA
USD
215500.56000000
0.009712628902
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2018-1, Class B
90932NAA1
176106.12000000
PA
USD
179280.05000000
0.008080167379
Long
ABS-O
CORP
US
N
2
2026-03-01
Fixed
4.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400JA25
20123.78000000
PA
USD
23179.45000000
0.001044699818
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABE4
1980000.00000000
PA
USD
2176851.60000000
0.098110890132
Long
DBT
CORP
US
Y
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Oportun Funding X LLC
N/A
Oportun Funding X LLC, Series 2018-C, Class A
68376PAA5
5756000.00000000
PA
USD
5845296.28000000
0.263448009555
Long
ABS-O
CORP
US
Y
2
2024-10-08
Fixed
4.10000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122DQ8
360000.00000000
PA
USD
345508.36000000
0.015572091707
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
1.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2359, Class ZB
3133TV5T9
138008.88000000
PA
USD
168573.51000000
0.007597622694
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
8.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RKG6
1000000.00000000
PA
USD
982609.51000000
0.044286295711
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-65, Class IQ
38373APX8
71857.47000000
PA
USD
2829.80000000
0.000127539331
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Fixed
6.00000000
N
N
N
N
N
N
CVS Pass-Through Trust
N/A
CVS Pass-Through Trust
126650BY5
815098.14000000
PA
USD
954169.48000000
0.043004501096
Long
ABS-O
CORP
US
Y
2
2034-01-10
Fixed
5.92600000
N
N
N
N
N
N
Smithfield Foods, Inc.
CVTIPZRZJC0JQEZLL598
Smithfield Foods, Inc.
832248BC1
1500000.00000000
PA
USD
1529085.90000000
0.068916033935
Long
DBT
CORP
US
Y
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828R36
10000000.00000000
PA
USD
10437500.00000000
0.470419028911
Long
DBT
UST
US
N
2
2026-05-15
Fixed
1.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-50, Class AI
38375K3J9
226321.76000000
PA
USD
12289.95000000
0.000553909110
Long
ABS-MBS
USGA
US
N
2
2037-08-20
Floating
6.66387000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31414HWF0
33053.20000000
PA
USD
33031.24000000
0.001488720847
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Variable
2.16000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403R2E7
86850.69000000
PA
USD
99877.78000000
0.004501500194
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
8.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-71, Class SC
38375XML5
82899.61000000
PA
USD
11615.35000000
0.000523504830
Long
ABS-MBS
USGA
US
N
2
2038-08-20
Floating
5.88886920
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR2, Class D
02665UAD7
2000000.00000000
PA
USD
2179308.00000000
0.098221600293
Long
ABS-O
CORP
US
Y
3
2036-10-17
Fixed
5.14900000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAH5
690000.00000000
PA
USD
695391.46000000
0.031341353324
Long
DBT
CORP
FR
Y
2
2026-10-06
Variable
1.65200040
N
N
N
N
N
N
Blackstone Holdings Finance Co. LLC
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co. LLC
09256BAH0
429000.00000000
PA
USD
521427.13000000
0.023500765905
Long
DBT
CORP
US
Y
2
2045-07-15
Fixed
4.45000000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAK5
400000.00000000
PA
USD
456443.68000000
0.020571956186
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
6.10000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023DE2
2265000.00000000
PA
USD
2268973.31000000
0.102262823580
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CRE5
2247.48000000
PA
USD
2577.59000000
0.000116172204
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.00000000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
26138EAW9
500000.00000000
PA
USD
534598.07000000
0.024094381312
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.13000000
N
N
N
N
N
N
Chevron Corp.
N/A
Chevron Corp.
166764BY5
615000.00000000
PA
USD
629255.31000000
0.028360591316
Long
DBT
CORP
US
N
2
2030-05-11
Fixed
2.23600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58
31395ND20
121329.34000000
PA
USD
113103.38000000
0.005097579131
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
Fomento Economico Mexicano SAB de CV
549300A8MDWDJNMLV153
Fomento Economico Mexicano SAB de CV
344419AC0
1060000.00000000
PA
USD
1079080.00000000
0.048634229050
Long
DBT
CORP
MX
N
2
2050-01-16
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31406N4K7
927.17000000
PA
USD
1030.96000000
0.000046465456
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
4.50000000
N
N
N
N
N
N
America Movil SAB de CV
5493000FNR3UCEAONM59
America Movil SAB de CV
02364WBG9
441000.00000000
PA
USD
519057.00000000
0.023393943941
Long
DBT
CORP
MX
N
2
2049-04-22
Fixed
4.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179VZR4
9344810.51000000
PA
USD
9712255.00000000
0.437732173953
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-81, Class GE
31396XAU8
178225.19000000
PA
USD
204647.89000000
0.009223498125
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
Schlumberger Holdings Corp.
529900IKZG65COT1D505
Schlumberger Holdings Corp.
806851AG6
13000.00000000
PA
USD
14553.08000000
0.000655908575
Long
DBT
CORP
US
Y
2
2025-12-21
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SN9
6080000.00000000
PA
USD
4910074.97000000
0.221297504121
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P
93363EAM7
60250.01000000
PA
USD
48999.34000000
0.002208404497
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Variable
3.06018360
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GVR2
1415000.00000000
PA
USD
1595929.54000000
0.071928682579
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBA8
1575000.00000000
PA
USD
1805000.68000000
0.081351536964
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31410KLP7
88541.52000000
PA
USD
91010.87000000
0.004101867792
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
6.00000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AA6
965000.00000000
PA
USD
1039783.46000000
0.046863130589
Long
DBT
CORP
CH
Y
2
2030-08-13
Variable
3.12599880
N
N
N
N
N
N
Precision Castparts Corp.
0XOOAY5P5J7Q734SEC89
Precision Castparts Corp.
740189AM7
897000.00000000
PA
USD
978461.40000000
0.044099340035
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-36, Class ZB
31359T5E4
32003.45000000
PA
USD
35944.50000000
0.001620021727
Long
ABS-MBS
USGSE
US
N
2
2028-07-18
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31384VRC8
4387.82000000
PA
USD
4710.83000000
0.000212317516
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-52, Class FD
31358QTJ4
711.18000000
PA
USD
707.46000000
0.000031885283
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Floating
0.15059160
N
N
N
N
N
N
CFMT LLC
N/A
CFMT LLC, Series 2020-HB4, Class A
12529LAA8
3867809.67000000
PA
USD
3868594.84000000
0.174357904468
Long
ABS-MBS
CORP
US
Y
2
2030-12-26
Variable
0.94610160
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co., Series B
842400GJ6
400000.00000000
PA
USD
442666.23000000
0.019951005322
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.65000000
N
N
N
N
N
N
KeyBank NA
HUX2X73FUCYHUVH1BK78
KeyBank NA
49306SAA4
729000.00000000
PA
USD
755065.83000000
0.034030882348
Long
DBT
CORP
US
N
2
2022-05-22
Fixed
3.18000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2000-2, Class ZE
31359XSV2
108974.50000000
PA
USD
127332.31000000
0.005738878238
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2
3137FCJK1
1748000.00000000
PA
USD
1972827.76000000
0.088915517994
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Variable
3.30300000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661DR5
418000.00000000
PA
USD
469353.63000000
0.021153808751
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.65000000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAC7
840000.00000000
PA
USD
841237.64000000
0.037914653287
Long
DBT
CORP
GB
Y
2
2027-09-02
Fixed
1.75000000
N
N
N
N
N
N
Packaging Corp. of America
549300XZP8MFZFY8TJ84
Packaging Corp. of America
695156AV1
845000.00000000
PA
USD
981417.93000000
0.044232591098
Long
DBT
CORP
US
N
2
2049-12-15
Fixed
4.05000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York and New Jersey, Consolidated, Series 164
73358WCW2
1825000.00000000
PA
USD
2536202.50000000
0.114306866316
Long
DBT
MUN
US
N
2
2040-11-01
Fixed
5.64700000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGL7
1700000.00000000
PA
USD
1904924.95000000
0.085855132467
Long
DBT
CORP
US
N
2
2028-04-24
Variable
3.70500120
N
N
N
N
N
N
Hydro-Quebec
6THEVG93PYJH84S4D167
Hydro-Quebec
448814DX8
1000000.00000000
PA
USD
1067810.61000000
0.048126316667
Long
DBT
NUSS
CA
N
2
2022-01-15
Fixed
8.40000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-73, Class MI
38375LD23
212311.14000000
PA
USD
27116.23000000
0.001222130834
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
5.88886920
N
N
N
N
N
N
Conix Mortgage Asset Trust
N/A
Conix Mortgage Asset Trust, Series 2013-1
N/A
1078518.87000000
PA
USD
17040.60000000
0.000768021317
Long
ABS-MBS
CORP
US
N
3
2047-12-25
Variable
0.00000000
Y
N
N
N
N
N
AIB Group plc
635400AKJBGNS5WNQL34
AIB Group plc
00135TAA2
1165000.00000000
PA
USD
1280206.56000000
0.057699020528
Long
DBT
CORP
IE
Y
2
2023-10-12
Fixed
4.75000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR2, Class E
02665UAE5
850000.00000000
PA
USD
936204.54000000
0.042194819695
Long
ABS-O
CORP
US
Y
2
2036-10-17
Fixed
6.23100000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-6, Class 30PO
576434SQ8
155841.45650000
PA
USD
131102.16000000
0.005908785704
Long
ABS-MBS
CORP
US
N
3
2034-07-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36200MGS6
36204.01000000
PA
USD
41116.01000000
0.001853102131
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2256, Class MC
3133TPS67
49942.73000000
PA
USD
59723.38000000
0.002691737908
Long
ABS-MBS
USGSE
US
N
2
2030-09-15
Fixed
7.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2210, Class Z
3133TNDG6
82532.03000000
PA
USD
99448.83000000
0.004482167380
Long
ABS-MBS
USGSE
US
N
2
2030-01-15
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-88, Class VI
31396XUU6
990067.50000000
PA
USD
214750.69000000
0.009678832196
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
6.42237120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31381TYU8
821985.30000000
PA
USD
820866.58000000
0.036996527849
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Variable
0.92000160
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VAY3
500000.00000000
PA
USD
619384.61000000
0.027915718012
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.62500000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00772BAR2
775000.00000000
PA
USD
795787.70000000
0.035866220556
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-42, Class Z
31358MQ49
308.04000000
PA
USD
312.82000000
0.000014098824
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
7.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGU8
325000.00000000
PA
USD
399826.01000000
0.018020192896
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
Niagara Mohawk Power Corp.
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp.
65364UAK2
493000.00000000
PA
USD
537619.32000000
0.024230549311
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
3.50800000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179V4V9
23723845.86000000
PA
USD
24641316.25000000
1.110586257383
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CZN6
4343.42000000
PA
USD
4848.81000000
0.000218536286
Long
ABS-MBS
USGA
US
N
2
2028-02-20
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-103, Class MB
31398GJB6
156033.74000000
PA
USD
162503.65000000
0.007324053578
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
2.91572280
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
425000.00000000
PA
USD
460199.44000000
0.020741228615
Long
DBT
CORP
FR
Y
2
2025-01-09
Fixed
3.37500000
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
60265.88220000
PA
USD
54394.35000000
0.002451558065
Long
ABS-O
CORP
US
N
3
2029-04-25
Variable
6.70500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-49, Class SC
31398P5R6
298376.89000000
PA
USD
378347.27000000
0.017052144224
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Floating
12.42474120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1343, Class LA
312911GW4
1333.39000000
PA
USD
1385.00000000
0.000062422069
Long
ABS-MBS
USGSE
US
N
2
2022-08-15
Fixed
8.00000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017BT5
2799000.00000000
PA
USD
3431696.12000000
0.154666841321
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBK9
110000.00000000
PA
USD
140135.00000000
0.006315896586
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.75000000
N
N
N
N
N
N
Kinder Morgan, Inc.
549300WR7IX8XE0TBO16
Kinder Morgan, Inc.
49456BAS0
650000.00000000
PA
USD
590449.11000000
0.026611592521
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2020-M50, Class A1
3136BCGR5
3901941.04000000
PA
USD
3833551.72000000
0.172778508014
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Fixed
0.67000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YB0
130000.00000000
PA
USD
133773.05000000
0.006029162948
Long
DBT
UST
US
N
2
2029-08-15
Fixed
1.62500000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABG9
2105000.00000000
PA
USD
2098019.82000000
0.094557934980
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
1.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4240, Class B
3137B3TZ1
2500650.00000000
PA
USD
2722034.80000000
0.122682344170
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
3.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-20CB, Class 3A8
12667GQN6
1518655.38000000
PA
USD
196577.18000000
0.008859750526
Long
ABS-MBS
CORP
US
N
3
2035-07-25
Floating
4.63236840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2430, Class WF
31339NW36
226916.79000000
PA
USD
268321.68000000
0.012093281354
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8A95
3921284.08000000
PA
USD
4222016.30000000
0.190286640277
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
2.92000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2021-M3, Class 1A1
3136BDXP8
911961.24000000
PA
USD
903825.63000000
0.040735499417
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Fixed
1.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9YA4
3616972.31000000
PA
USD
3983926.05000000
0.179555892090
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.10000000
N
N
N
N
N
N
National Australia Bank Ltd.
549300E2IPL06NDXMZ63
National Australia Bank Ltd.
63254AAP3
800000.00000000
PA
USD
886300.30000000
0.039945631276
Long
DBT
CORP
AU
N
2
2026-01-14
Fixed
3.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1863, Class Z
3133T7DV8
8892.30000000
PA
USD
9450.78000000
0.000425947473
Long
ABS-MBS
USGSE
US
N
2
2026-07-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H24, Class FG
38375BXB3
10233.84000000
PA
USD
10240.67000000
0.000461547883
Long
ABS-MBS
USGA
US
N
2
2060-04-20
Floating
0.57387960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-68, Class PG
31394E7B8
350187.72000000
PA
USD
398982.14000000
0.017982159602
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JSFW4
1407170.88000000
PA
USD
1521769.22000000
0.068586270534
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
Masco Corp.
5GCSNMQXHEYA1JO8QN11
Masco Corp.
574599BP0
340000.00000000
PA
USD
333298.05000000
0.015021771977
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407WSP9
309832.08000000
PA
USD
322013.82000000
0.014513190754
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
1.78499880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282U3
569000.00000000
PA
USD
598472.42000000
0.026973203798
Long
DBT
UST
US
N
2
2024-08-31
Fixed
1.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2571, Class SK
31393LAX1
12228.57000000
PA
USD
15977.67000000
0.000720114970
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Floating
34.01592120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402Q4R9
166043.78000000
PA
USD
170861.53000000
0.007700743954
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
2.87300160
N
N
N
N
N
N
ANZ New Zealand Int'l Ltd.
213800VD256NU2D97H12
ANZ New Zealand Int'l Ltd.
00182EBM0
1245000.00000000
PA
USD
1315240.34000000
0.059277996026
Long
DBT
CORP
NZ
Y
2
2030-02-13
Fixed
2.55000000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAT6
244000.00000000
PA
USD
265107.64000000
0.011948424293
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.90000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AD2
961000.00000000
PA
USD
1049352.04000000
0.047294387319
Long
DBT
CORP
US
Y
2
2039-01-15
Fixed
3.70100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-74, Class SH
31393EBW8
60919.97000000
PA
USD
72335.96000000
0.003260187981
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
9.95826600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2420, Class XK
31339DMW5
162981.71000000
PA
USD
191123.68000000
0.008613960809
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVY73
6174334.73000000
PA
USD
6641883.14000000
0.299350248322
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
2.52000000
N
N
N
N
N
N
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust
N/A
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-5, Class APO
1729732E8
34249.12200000
PA
USD
28872.23000000
0.001301273906
Long
ABS-MBS
CORP
US
N
3
2035-08-25
None
0.00000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAM3
620000.00000000
PA
USD
597747.66000000
0.026940538802
Long
DBT
CORP
KY
Y
2
2026-02-21
Fixed
2.12500000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2018-1, Class AA
909318AA5
965623.34000000
PA
USD
985386.08000000
0.044411435962
Long
ABS-O
CORP
US
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDY8
485000.00000000
PA
USD
595168.50000000
0.026824295837
Long
DBT
CORP
US
N
2
2045-01-27
Fixed
4.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-77, Class FG
31396XJE5
56450.18000000
PA
USD
57134.07000000
0.002575037482
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.61763040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-47, Class PE
31393CRH8
132887.03000000
PA
USD
150971.03000000
0.006804277396
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Fixed
5.75000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAE0
1216000.00000000
PA
USD
1314420.00000000
0.059241023231
Long
DBT
NUSS
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
Spruce ABS Trust
N/A
Spruce ABS Trust, Series 2016-E1, Class A
85209BAA3
89315.15000000
PA
USD
90280.47000000
0.004068948601
Long
ABS-O
CORP
US
Y
2
2028-06-15
Fixed
4.32000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KS01, Class A2
3137B1U75
885039.83000000
PA
USD
907418.33000000
0.040897422717
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
2.52200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-79, Class DO
31396KYB2
152389.09000000
PA
USD
146748.74000000
0.006613978420
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
None
0.00000000
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAE9
350000.00000000
PA
USD
397458.40000000
0.017913484508
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.25000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MV0
1835000.00000000
PA
USD
1825825.00000000
0.082290090870
Long
DBT
CORP
US
N
2
2026-02-18
Variable
3.87500040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3720, Class A
3137A1XL2
83643.83000000
PA
USD
88781.68000000
0.004001398006
Long
ABS-MBS
USGSE
US
N
2
2025-09-15
Fixed
4.50000000
N
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AT7
500000.00000000
PA
USD
567379.60000000
0.025571847708
Long
DBT
CORP
GB
Y
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-65, Class SA
38374N3Q8
402526.76000000
PA
USD
52895.12000000
0.002383987639
Long
ABS-MBS
USGA
US
N
2
2036-11-20
Floating
6.68886840
N
N
N
N
N
N
Guardian Life Insurance Co. of America (The)
N1YIDVMMKBHFYCCAIX69
Guardian Life Insurance Co. of America (The)
401378AC8
208000.00000000
PA
USD
260560.78000000
0.011743496919
Long
DBT
CORP
US
Y
2
2077-01-24
Fixed
4.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2306, Class SE
3133TSK69
18514.78000000
PA
USD
1994.23000000
0.000089880118
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Floating
9.48999960
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2003-7, Class 3A
07384MYS5
34892.89000000
PA
USD
34419.69000000
0.001551298409
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
2.59967520
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2012-CR2, Class XA
12624KAE6
2285741.26000000
PA
USD
35501.90000000
0.001600073707
Long
ABS-MBS
CORP
US
N
3
2045-08-15
Variable
1.62125640
N
N
N
N
N
N
Park Aerospace Holdings Ltd.
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd.
70014LAC4
235000.00000000
PA
USD
245765.99000000
0.011076694453
Long
DBT
CORP
KY
Y
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407KGJ2
46887.38000000
PA
USD
47987.85000000
0.002162816555
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
2.09999880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296NA23
194336.46000000
PA
USD
227803.29000000
0.010267114008
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
LV Tower 52 Issuer
N/A
LV Tower 52 Issuer, Series 2013-1, Class M
50244VAD4
984299.33000000
PA
USD
992754.46000000
0.044743529487
Long
ABS-O
CORP
US
Y
3
2023-02-15
Fixed
7.75000000
N
N
N
N
N
N
Texas Health Resources
54930008C10TUBW7Z611
Texas Health Resources
882484AA6
300000.00000000
PA
USD
377329.25000000
0.017006261975
Long
DBT
CORP
US
N
2
2055-11-15
Fixed
4.33000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAM7
600000.00000000
PA
USD
624923.03000000
0.028165335081
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
2.87500000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408GU1
150000.00000000
PA
USD
202924.61000000
0.009145829746
Long
DBT
CORP
US
N
2
2041-04-15
Fixed
5.50000000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RBG3
1191000.00000000
PA
USD
1331939.44000000
0.060030625909
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H3XA6
365248.36000000
PA
USD
401148.76000000
0.018079809353
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3229, Class HE
31397BRQ6
319648.58000000
PA
USD
340363.73000000
0.015340222787
Long
ABS-MBS
USGSE
US
N
2
2026-10-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607, Class OP
31398LQS0
383252.06000000
PA
USD
344205.57000000
0.015513374848
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
None
0.00000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CL1
1215000.00000000
PA
USD
1220734.12000000
0.055018592506
Long
DBT
CORP
GB
N
2
2028-09-22
Variable
2.01300120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2089, Class PJ
3133TGKG3
48999.25000000
PA
USD
4794.10000000
0.000216070502
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
7.00000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JR9
3005000.00000000
PA
USD
3012341.06000000
0.135766472449
Long
DBT
CORP
US
N
2
2021-11-15
Floating
1.57263120
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473PAL9
740000.00000000
PA
USD
705370.42000000
0.031791105916
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-101, Class J
31358NWF5
165.83000000
PA
USD
171.44000000
0.000007726815
Long
ABS-MBS
USGSE
US
N
2
2022-06-25
Fixed
7.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MBP4
1315000.00000000
PA
USD
1412645.26000000
0.063668044206
Long
DBT
CORP
JP
N
2
2029-07-16
Fixed
3.04000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBL6
1700000.00000000
PA
USD
1650525.31000000
0.074389318661
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
2.45000000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc., Series B
25746UCR8
331000.00000000
PA
USD
337366.70000000
0.015205146385
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
2.75000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1
126694LU0
845529.49000000
PA
USD
810039.74000000
0.036508561233
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
2.66706000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31416BXJ2
24266.48000000
PA
USD
25163.70000000
0.001134130138
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BV5
1120000.00000000
PA
USD
1065233.60000000
0.048010170603
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-H01, Class FD
38375UCP3
1103265.93000000
PA
USD
1109122.51000000
0.049988247578
Long
ABS-MBS
USGA
US
N
2
2064-01-20
Floating
0.79387920
N
N
N
N
N
N
Microchip Technology, Inc.
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017AV6
1290000.00000000
PA
USD
1294650.46000000
0.058350008351
Long
DBT
CORP
US
Y
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1996-59, Class J
31359KL96
1886.75000000
PA
USD
1945.26000000
0.000087673036
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Fixed
6.50000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023DD4
1115000.00000000
PA
USD
1119720.58000000
0.050465903511
Long
DBT
CORP
US
N
2
2023-02-04
Fixed
1.16700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-103, Class VG
3136AGNN8
3500000.00000000
PA
USD
3571840.30000000
0.160983151650
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Fixed
3.00000000
N
N
N
N
N
N
ORIX Corp.
35380016EMHNBOVYE123
ORIX Corp.
686330AH4
553000.00000000
PA
USD
571263.57000000
0.025746898572
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.90000000
N
N
N
N
N
N
Walt Disney Co. (The)
549300GZKULIZ0WOW665
Walt Disney Co. (The)
254687DZ6
100000.00000000
PA
USD
143325.50000000
0.006459692697
Long
DBT
CORP
US
N
2
2034-12-15
Fixed
6.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class QX
31339NHV1
49496.54000000
PA
USD
9998.90000000
0.000450651288
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
8.53774920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-10, Class S
38375PYG0
223092.61000000
PA
USD
29490.10000000
0.001329121360
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Floating
5.71887000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29279FAA7
800000.00000000
PA
USD
956636.36000000
0.043115683592
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
VOLT LXXXVII LLC
N/A
VOLT LXXXVII LLC, Series 2020-NPL3, Class A1A
92870GAA6
1992452.79000000
PA
USD
1999407.25000000
0.090113457910
Long
ABS-O
CORP
US
Y
3
2050-02-25
Variable
2.98140120
N
N
N
N
N
N
Gray Oak Pipeline LLC
N/A
Gray Oak Pipeline LLC
38937LAC5
650000.00000000
PA
USD
664732.86000000
0.029959567567
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
2.60000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2259, Class ZM
3133TQC54
73321.77000000
PA
USD
86512.29000000
0.003899116402
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
7.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAX8
689000.00000000
PA
USD
724020.35000000
0.032631659876
Long
DBT
CORP
JP
N
2
2023-01-17
Fixed
3.10200000
N
N
N
N
N
N
Airbus SE
MINO79WLOO247M1IL051
Airbus SE
009279AC4
150000.00000000
PA
USD
164292.54000000
0.007404679005
Long
DBT
CORP
NL
Y
2
2047-04-10
Fixed
3.95000000
N
N
N
N
N
N
Tri-State Generation and Transmission Association, Inc.
549300VDHNFNPADSSV98
Tri-State Generation and Transmission Association, Inc.
89566EAK4
417000.00000000
PA
USD
453830.17000000
0.020454165064
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SR0
1615000.00000000
PA
USD
1387385.94000000
0.062529604466
Long
DBT
UST
US
N
2
2040-05-15
Fixed
1.12500000
N
N
N
N
N
N
Analog Devices, Inc.
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654AP0
300000.00000000
PA
USD
341677.91000000
0.015399452993
Long
DBT
CORP
US
N
2
2036-12-05
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-56, Class FC
31395NXA0
420139.00000000
PA
USD
421394.42000000
0.018992283003
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
0.40763160
N
N
N
N
N
N
Bank of Nova Scotia (The)
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia (The)
064159VK9
2074000.00000000
PA
USD
2130121.11000000
0.096004742901
Long
DBT
CORP
CA
N
2
2023-05-01
Fixed
1.62500000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967LP4
1573000.00000000
PA
USD
1751053.86000000
0.078920149115
Long
DBT
CORP
US
N
2
2028-07-24
Variable
3.66800040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H09, Class HA
38375BR95
131574.74000000
PA
USD
132057.74000000
0.005951853778
Long
ABS-MBS
USGA
US
N
2
2063-04-20
Fixed
1.65000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAW2
2008000.00000000
PA
USD
2089322.63000000
0.094165951874
Long
DBT
CORP
FR
Y
2
2030-01-22
Fixed
3.00000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS14, Class A1
76110HFL8
6080.82000000
PA
USD
5472.74000000
0.000246656865
Long
ABS-MBS
CORP
US
N
2
2018-07-25
Fixed
5.00000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust, Series 2020-1, Class A
91679UAA0
2846980.40000000
PA
USD
2875808.07000000
0.129612918766
Long
ABS-O
CORP
US
Y
2
2030-04-22
Fixed
2.32200000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A6
17307GLD8
12262.77000000
PA
USD
11887.67000000
0.000535778316
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
2.63441160
N
N
N
N
N
N
Prudential Financial, Inc.
5PRBRS5FEH7NREC8OR45
Prudential Financial, Inc.
744320AY8
300000.00000000
PA
USD
341960.66000000
0.015412196560
Long
DBT
CORP
US
N
2
2047-12-07
Fixed
3.90500000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2004-C, Class 1A1
05946XLS0
64703.83000000
PA
USD
67021.62000000
0.003020670217
Long
ABS-MBS
CORP
US
N
2
2034-12-20
Variable
3.23224560
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H05, Class FB
38375BL75
86168.75000000
PA
USD
86160.69000000
0.003883269760
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Floating
0.54388080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2464, Class SI
31392MWQ1
217930.00000000
PA
USD
38619.70000000
0.001740593223
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
7.88775120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-68, Class KI
38374L3B5
1143970.50000000
PA
USD
239723.59000000
0.010804362961
Long
ABS-MBS
USGA
US
N
2
2035-09-20
Floating
6.18887160
N
N
N
N
N
N
Capital One Bank USA NA
LKE37K2B8CFZUR7F9816
Capital One Bank USA NA
140420NB2
300000.00000000
PA
USD
316615.16000000
0.014269872680
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.37500000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities Trust
N/A
First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2
32052WAB5
1062308.76000000
PA
USD
233730.45000000
0.010534251623
Long
ABS-MBS
CORP
US
N
3
2037-08-25
Floating
5.53236840
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591CS9
6839000.00000000
PA
USD
10127022.35000000
0.456425774338
Long
DBT
USGA
US
N
2
2036-04-01
Fixed
5.88000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
Kingdom of Saudi Arabia
80413TAW9
550000.00000000
PA
USD
510468.75000000
0.023006870770
Long
DBT
NUSS
SA
Y
2
2061-02-02
Fixed
3.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3152, Class MO
31396R2P1
209603.66000000
PA
USD
195555.83000000
0.008813718193
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-60, Class HT
31396QPL7
317638.57000000
PA
USD
372819.28000000
0.016802997236
Long
ABS-MBS
USGSE
US
N
2
2039-08-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31410GFH1
7773.95000000
PA
USD
9005.54000000
0.000405880467
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11
17307GRM2
169143.84000000
PA
USD
175147.80000000
0.007893926514
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2344, Class ZD
313399C47
465176.81000000
PA
USD
539610.36000000
0.024320285656
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31415RBR4
116879.45000000
PA
USD
140515.84000000
0.006333061077
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404EVB9
76544.16000000
PA
USD
77928.03000000
0.003512223060
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Variable
2.02700160
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust, Series 2017-AA, Class A
43283AAA3
141305.14000000
PA
USD
145130.33000000
0.006541036541
Long
ABS-O
CORP
US
Y
2
2028-12-26
Fixed
2.66000000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAF0
550000.00000000
PA
USD
573003.22000000
0.025825304748
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.78200000
N
N
N
N
N
N
Diageo Investment Corp.
S4G8DPIPDVCF6CB81Z61
Diageo Investment Corp.
386088AF5
255000.00000000
PA
USD
284637.04000000
0.012828616043
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
8.00000000
N
N
N
N
N
N
Delta Air Lines Pass-Through Trust
N/A
Delta Air Lines Pass-Through Trust, Series 2015-1, Class AA
24736XAA6
251142.47000000
PA
USD
255797.09000000
0.011528796998
Long
ABS-O
CORP
US
N
2
2027-07-30
Fixed
3.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-58, Class BE
38374BNE9
470193.32000000
PA
USD
508773.43000000
0.022930462551
Long
ABS-MBS
USGA
US
N
2
2033-01-20
Fixed
6.50000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2
36298XAD4
2062232.60000000
PA
USD
310001.40000000
0.013971789944
Long
ABS-MBS
CORP
US
Y
3
2036-04-25
Variable
5.93063640
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-14, Class ES
31396PC33
547083.80000000
PA
USD
100694.49000000
0.004538309384
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
6.32237040
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
2873000.00000000
PA
USD
3230348.91000000
0.145592105129
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-46, Class QB
31393YT96
134668.15000000
PA
USD
203993.25000000
0.009193993443
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
23.52948120
N
N
N
N
N
N
NACC Reperforming Loan REMIC Trust
N/A
NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1
62951MAM2
218520.56000000
PA
USD
216695.65000000
0.009766491711
Long
ABS-MBS
CORP
US
Y
2
2034-10-25
Variable
6.50000160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class AM
3137F1G51
1322000.00000000
PA
USD
1487111.32000000
0.067024235979
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Fixed
3.32600000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2125, Class JZ
3133TJHS5
43118.06000000
PA
USD
47784.53000000
0.002153652905
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
Alexandria Real Estate Equities, Inc.
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities, Inc.
015271AW9
980000.00000000
PA
USD
954766.90000000
0.043031426868
Long
DBT
CORP
US
N
2
2032-05-18
Fixed
2.00000000
N
N
N
N
N
N
Alexander Funding Trust
N/A
Alexander Funding Trust
014621AA4
1000000.00000000
PA
USD
1016535.70000000
0.045815352033
Long
DBT
CORP
US
Y
2
2023-11-15
Fixed
1.84100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-97, Class KI
31396XB94
514707.41000000
PA
USD
54177.54000000
0.002441786419
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
7.00000000
N
N
N
N
N
N
America Movil SAB de CV
5493000FNR3UCEAONM59
America Movil SAB de CV
02364WBH7
880000.00000000
PA
USD
966081.60000000
0.043541381376
Long
DBT
CORP
MX
N
2
2029-04-22
Fixed
3.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H18, Class JA
38375B7P1
1556954.70000000
PA
USD
1563521.62000000
0.070468054818
Long
ABS-MBS
USGA
US
N
2
2063-08-20
Floating
0.74387880
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91086QBG2
316000.00000000
PA
USD
353288.00000000
0.015922720755
Long
DBT
NUSS
MX
N
2
2026-01-21
Fixed
4.12500000
N
N
N
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Nomura Holdings, Inc.
65535HAP4
1094000.00000000
PA
USD
1152472.47000000
0.051942034029
Long
DBT
CORP
JP
N
2
2025-01-16
Fixed
2.64800000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBQ2
820000.00000000
PA
USD
815932.23000000
0.036774136267
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.65000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABC8
2275000.00000000
PA
USD
2505958.00000000
0.112943744081
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3925, Class FL
3137AFGG1
270049.78000000
PA
USD
271086.10000000
0.012217874003
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
0.56225160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31407LE60
37808.13000000
PA
USD
43015.19000000
0.001938698338
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
7.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDN8
1250000.00000000
PA
USD
1182696.21000000
0.053304220608
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31371PAK6
104968.52000000
PA
USD
125990.62000000
0.005678408154
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
7.00000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCS6
937000.00000000
PA
USD
961833.04000000
0.043349898409
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-37, Class Z
31392DCF7
50961.59000000
PA
USD
58236.58000000
0.002624727704
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Fixed
6.50000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR12, Class 2P
93363NAR6
61256.13000000
PA
USD
59808.18000000
0.002695559852
Long
ABS-MBS
CORP
US
N
3
2036-10-25
Variable
2.63063880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1608, Class L
3133T1W81
90458.69000000
PA
USD
96183.97000000
0.004335019857
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-54, Class FA
31396WFQ4
193721.98000000
PA
USD
196024.60000000
0.008834845698
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
0.51762960
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2C6
675000.00000000
PA
USD
733587.08000000
0.033062833225
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
Quanta Services, Inc.
SHVRXXEACT60MMH07S24
Quanta Services, Inc.
74762EAF9
1440000.00000000
PA
USD
1504103.53000000
0.067790076355
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 1999-4, Class ZB
3837H1U90
224743.95000000
PA
USD
224888.28000000
0.010135734255
Long
ABS-MBS
USGA
US
N
2
2029-02-20
Fixed
6.00000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCS8
696000.00000000
PA
USD
783750.13000000
0.035323686233
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YX2
10153900.00000000
PA
USD
10645332.92000000
0.479786076615
Long
DBT
UST
US
N
2
2026-12-31
Fixed
1.75000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGE4
1180000.00000000
PA
USD
1408779.84000000
0.063493829392
Long
DBT
CORP
US
N
2
2044-11-04
Fixed
4.65000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YY0
13554900.00000000
PA
USD
14213583.42000000
0.640607435668
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3
36242DCH4
84360.60990000
PA
USD
86500.00000000
0.003898562491
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QS6G6
87112.40000000
PA
USD
88178.74000000
0.003974223448
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
2.06600040
N
Y
N
N
N
N
Evergy Metro, Inc.
1128SIJQ26096WL7IO82
Evergy Metro, Inc.
485134BM1
1400000.00000000
PA
USD
1813499.74000000
0.081734590335
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
5.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3957, Class B
3137AHAX6
209090.00000000
PA
USD
230159.39000000
0.010373303639
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BT0
1475000.00000000
PA
USD
1622031.29000000
0.073105090712
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CP5
795000.00000000
PA
USD
803463.74000000
0.036212180343
Long
DBT
CORP
US
Y
2
2027-12-02
Fixed
2.45000000
N
N
N
N
N
N
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2019-1, Class AA
11043XAA1
686233.03000000
PA
USD
679452.57000000
0.030622986172
Long
ABS-O
CORP
US
Y
2
2032-12-15
Fixed
3.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2163, Class PC
3133TLFS2
17288.89000000
PA
USD
1792.49000000
0.000080787679
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2176, Class OJ
3133TLTY4
80732.91000000
PA
USD
94519.56000000
0.004260004754
Long
ABS-MBS
USGSE
US
N
2
2029-08-15
Fixed
7.00000000
N
N
N
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust, Series 2012-SHOW, Class A
05538UAA1
4400000.00000000
PA
USD
4618884.60000000
0.208173528928
Long
ABS-MBS
CORP
US
Y
2
2036-11-05
Fixed
3.43020000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-53, Class SW
38375LGF1
32407.53000000
PA
USD
43062.25000000
0.001940819336
Long
ABS-MBS
USGA
US
N
2
2037-09-20
Floating
19.87161120
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-28CB, Class 3A5
12667GYN7
65665.61240000
PA
USD
45260.71000000
0.002039904119
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1
31395N5A1
230711.27000000
PA
USD
230700.73000000
0.010397701880
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Floating
0.33762960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3014, Class OD
31395XBJ3
42214.36000000
PA
USD
37781.66000000
0.001702822688
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
None
0.00000000
N
N
N
N
N
N
Jackson National Life Global Funding
635400PQXLYXWJI5QD78
Jackson National Life Global Funding
46849LSQ5
675000.00000000
PA
USD
733332.71000000
0.033051368748
Long
DBT
CORP
US
Y
2
2026-04-29
Fixed
3.05000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2399, Class TH
31339MWA2
120417.79000000
PA
USD
141398.51000000
0.006372843091
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAJ7
265000.00000000
PA
USD
303189.40000000
0.013664772514
Long
DBT
CORP
NL
Y
2
2025-09-14
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-20
31359N4H1
17319.53000000
PA
USD
317.91000000
0.000014328231
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Floating
1.83999960
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class A
90932DAA3
1123287.88000000
PA
USD
1109553.78000000
0.050007684954
Long
ABS-O
CORP
US
N
2
2028-10-07
Fixed
3.10000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2423, Class MC
31339WBV7
125838.77000000
PA
USD
149386.87000000
0.006732879168
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060BD7
415000.00000000
PA
USD
413281.56000000
0.018626635700
Long
DBT
CORP
JP
N
2
2060-07-09
Fixed
3.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-90, Class PM
3136AF6A7
1694000.00000000
PA
USD
1821426.07000000
0.082091830714
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H15, Class FJ
38376RDE3
3249271.48000000
PA
USD
3253028.29000000
0.146614266750
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
0.58388040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-H08, Class XI
38376R2M7
7578901.98000000
PA
USD
744248.17000000
0.033543329475
Long
ABS-MBS
USGA
US
N
2
2067-03-20
Variable
2.12272920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M50, Class X1
3136BCGU8
22482149.50000000
PA
USD
2624129.98000000
0.118269765454
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.91800080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H01, Class FA
38375BE73
104636.28000000
PA
USD
104883.08000000
0.004727089498
Long
ABS-MBS
USGA
US
N
2
2063-01-20
Fixed
1.65000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3622AAXX7
4999983.00000000
PA
USD
5540973.31000000
0.249732146942
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
3.50000000
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440BH6
275000.00000000
PA
USD
335686.80000000
0.015129433147
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Notes
912828SA9
2453000.00000000
PA
USD
2887961.81000000
0.130160688880
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.12500000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-4, Class 10A1
576434QG2
140869.64000000
PA
USD
143502.70000000
0.006467679116
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-247, Class FE
31359FP77
8214.30000000
PA
USD
8274.75000000
0.000372943699
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
1.11763080
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1
86359LDX4
243799.11000000
PA
USD
239249.84000000
0.010783011008
Long
ABS-MBS
CORP
US
N
2
2034-10-19
Floating
0.77100120
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2021-1, Class A1
693577AA6
4150000.00000000
PA
USD
4147705.88000000
0.186937463212
Long
ABS-MBS
CORP
US
Y
2
2026-01-25
Variable
2.11500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-101, Class AE
3136AGC26
3348863.00000000
PA
USD
3641111.91000000
0.164105229112
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
3.00000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAS4
860000.00000000
PA
USD
840772.27000000
0.037893679021
Long
DBT
CORP
IE
N
2
2026-01-30
Fixed
1.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1466, Class PZ
312914MW1
16969.65000000
PA
USD
17784.22000000
0.000801536335
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
Coca-Cola Femsa SAB de CV
5493008KEVFYPMGTXO33
Coca-Cola Femsa SAB de CV
191241AH1
790000.00000000
PA
USD
809750.00000000
0.036495502626
Long
DBT
CORP
MX
N
2
2030-01-22
Fixed
2.75000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4
92936QAG3
748600.62000000
PA
USD
755616.06000000
0.034055681262
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Fixed
3.44000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 365, Class 8
3136FCZH2
209388.56000000
PA
USD
42310.56000000
0.001906940603
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140J73J2
3495486.50000000
PA
USD
3919198.47000000
0.176638614454
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
JB Hunt Transport Services, Inc.
549300XCD1MPI1C5GK90
JB Hunt Transport Services, Inc.
445658CF2
515000.00000000
PA
USD
579144.73000000
0.026102103136
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-13, Class SJ
31392A7G7
239930.51000000
PA
USD
8485.17000000
0.000382427346
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Floating
1.59999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DTT6
76924.29000000
PA
USD
77964.86000000
0.003513882992
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
2.85599880
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBJ8
1215000.00000000
PA
USD
1188576.59000000
0.053569249844
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
1.50000000
N
N
N
N
N
N
Duquesne Light Holdings, Inc.
4CUJ1D8WDXK9X7QI6B93
Duquesne Light Holdings, Inc.
266233AG0
750000.00000000
PA
USD
826301.99000000
0.037241502248
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
3.61600000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VDD3
306000.00000000
PA
USD
326506.29000000
0.014715666766
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8F82
3710973.24000000
PA
USD
4100528.43000000
0.184811171455
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.26000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3117, Class OK
31396HVU0
154966.67000000
PA
USD
143551.45000000
0.006469876283
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810PZ5
300000.00000000
PA
USD
470169.50000000
0.021190580082
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138EQLH3
1107379.28000000
PA
USD
1246231.56000000
0.056167764335
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AB6
831000.00000000
PA
USD
838790.63000000
0.037804366335
Long
DBT
NUSS
MX
Y
2
2021-05-26
Fixed
4.87500000
N
N
N
N
N
N
Tyson Foods, Inc.
WD6L6041MNRW1JE49D58
Tyson Foods, Inc.
902494AZ6
300000.00000000
PA
USD
378889.43000000
0.017076579422
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
4.87500000
N
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AX8
656000.00000000
PA
USD
665314.78000000
0.029985794752
Long
DBT
CORP
GB
Y
2
2030-09-10
Fixed
2.62500000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAC6
795000.00000000
PA
USD
888156.96000000
0.040029311103
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.15000000
N
N
N
N
N
N
FNMA, Grantor Trust
N/A
FNMA, Grantor Trust, Series 2017-T1, Class A
3136AV6R5
4849940.59000000
PA
USD
5274608.66000000
0.237727069099
Long
ABS-O
USGSE
US
N
2
2027-06-25
Fixed
2.89800000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1699, Class FC
3133T4J72
2844.22000000
PA
USD
2852.96000000
0.000128583154
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
0.72650160
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBF1
265000.00000000
PA
USD
271834.04000000
0.012251583724
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDZ47
552408.02000000
PA
USD
602470.71000000
0.027153407075
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
4.00000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2005-6, Class 2A7
05946XP23
166612.34740000
PA
USD
168874.26000000
0.007611177523
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PDT6
815000.00000000
PA
USD
901124.18000000
0.040613744832
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
N
GE Capital International Funding Co. Unlimited Co.
549300G6UZOB126GBY72
GE Capital International Funding Co. Unlimited Co.
36164QNA2
3583000.00000000
PA
USD
4091924.23000000
0.184423379416
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.41800000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAC7
350000.00000000
PA
USD
450032.00000000
0.020282981213
Long
DBT
CORP
US
N
2
2036-10-01
Fixed
6.65000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MF5
355000.00000000
PA
USD
383369.96000000
0.017278517297
Long
DBT
CORP
US
N
2
2025-04-24
Variable
3.35199960
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWZ3
505000.00000000
PA
USD
582072.46000000
0.026234056181
Long
DBT
CORP
US
N
2
2029-05-01
Variable
4.22300160
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABT3
805000.00000000
PA
USD
783248.90000000
0.035301095754
Long
DBT
CORP
US
Y
2
2028-01-10
Fixed
1.80000000
N
N
N
N
N
N
China Southern Power Grid International Finance BVI Co. Ltd.
N/A
China Southern Power Grid International Finance BVI Co. Ltd.
16892DAC2
1234000.00000000
PA
USD
1345831.25000000
0.060656730989
Long
DBT
CORP
VG
Y
2
2027-05-08
Fixed
3.50000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class A
00908PAB3
606040.00000000
PA
USD
556296.84000000
0.025072346755
Long
ABS-O
CORP
CA
Y
2
2030-01-15
Fixed
3.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31410GH97
21237.33000000
PA
USD
23843.56000000
0.001074631314
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
6.50000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AC3
226000.00000000
PA
USD
250577.50000000
0.011293549625
Long
DBT
NUSS
CO
N
2
2023-09-18
Fixed
5.87500000
N
N
N
N
N
N
General Electric Co.
3C7474T6CDKPR9K6YT90
General Electric Co.
36962GT95
1114000.00000000
PA
USD
1328023.30000000
0.059854125140
Long
DBT
CORP
US
N
2
2026-01-05
Fixed
5.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31408EN81
19626.56000000
PA
USD
20779.62000000
0.000936539272
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.50000000
N
N
N
N
N
N
Dai-ichi Life Insurance Co. Ltd. (The)
3538001235ACEIORUV72
Dai-ichi Life Insurance Co. Ltd. (The)
23380YAD9
526000.00000000
PA
USD
568737.50000000
0.025633048378
Long
DBT
CORP
JP
Y
2
2026-07-24
Variable
3.99999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-46, Class UC
31395D5M7
274506.22000000
PA
USD
295208.88000000
0.013305089787
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122CQ9
545000.00000000
PA
USD
656518.05000000
0.029589325369
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
4.12500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
338000.00000000
PA
USD
373646.80000000
0.016840293634
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAN8
455000.00000000
PA
USD
518038.09000000
0.023348021579
Long
DBT
CORP
CA
N
2
2035-03-15
Fixed
4.12500000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBB3
359000.00000000
PA
USD
439394.05000000
0.019803527886
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCH2
443000.00000000
PA
USD
495097.00000000
0.022314064666
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.55000000
N
N
N
N
N
N
Brooklyn Union Gas Co. (The)
83BQ1DXS6VA5GZFK8S35
Brooklyn Union Gas Co. (The)
114259AQ7
440000.00000000
PA
USD
520652.36000000
0.023465846954
Long
DBT
CORP
US
Y
2
2048-03-15
Fixed
4.27300000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2075, Class PM
3133TGCK3
113279.35000000
PA
USD
126615.42000000
0.005706567944
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
6.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 355, Class 11
3136FCNL6
139926.73000000
PA
USD
24650.32000000
0.001110992057
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RN0
2300000.00000000
PA
USD
2645359.38000000
0.119226576350
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CGP2
7471.18000000
PA
USD
8119.86000000
0.000365962793
Long
ABS-MBS
USGA
US
N
2
2025-05-20
Fixed
8.50000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308HP5
500000.00000000
PA
USD
524277.44000000
0.023629229624
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.95000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAA9
425000.00000000
PA
USD
595782.27000000
0.026851958505
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1994-37, Class L
31359GP34
33142.60000000
PA
USD
35233.92000000
0.001587995825
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ09, Class A2
3137BSRZ8
1145704.66000000
PA
USD
1177979.50000000
0.053091638080
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
2.83800000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013XW20
1000000.00000000
PA
USD
1084499.40000000
0.048878481878
Long
DBT
CORP
CA
N
2
2023-10-05
Fixed
3.70000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-10, Class 1A1
576434VU5
3721.26000000
PA
USD
3733.62000000
0.000168274576
Long
ABS-MBS
CORP
US
N
2
2019-09-25
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1798, Class F
3133T6MS7
26365.25000000
PA
USD
27207.03000000
0.001226223198
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Fixed
5.00000000
N
N
N
N
N
N
Public Service Co. of Oklahoma
F3TJNSIZRGXRH8GEIK79
Public Service Co. of Oklahoma, Series G
744533BJ8
2490000.00000000
PA
USD
3473644.10000000
0.156557440412
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LF5
11340000.00000000
PA
USD
11337397.36000000
0.510977480860
Long
DBT
UST
US
N
2
2021-11-15
None
0.00000000
N
N
N
N
N
N
HollyFrontier Corp.
549300J3U2WK73C9ZK26
HollyFrontier Corp.
436106AA6
577000.00000000
PA
USD
649937.36000000
0.029292733101
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
5.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H23, Class FB
38376RHF6
2161153.38000000
PA
USD
2169515.75000000
0.097780262737
Long
ABS-MBS
USGA
US
N
2
2065-09-20
Floating
0.66387960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403KWA7
40305.04000000
PA
USD
45656.74000000
0.002057753225
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-52, Class AP
38373QR86
101298.28900000
PA
USD
96186.46000000
0.004335132082
Long
ABS-MBS
USGA
US
N
2
2033-06-16
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 134, Class B
31282YAK5
26.65000000
PA
USD
0.47000000
0.000000021182
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
9.00000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-2A, Class D
96041LAF9
2500000.00000000
PA
USD
2593851.50000000
0.116905111738
Long
ABS-O
CORP
US
Y
2
2024-11-15
Fixed
3.20000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAA1
269000.00000000
PA
USD
278890.44000000
0.012569616283
Long
DBT
CORP
CH
Y
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8NF7
1512521.86000000
PA
USD
1629872.94000000
0.073458514556
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
2.95000000
N
N
N
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The)
808513BF1
785000.00000000
PA
USD
780463.81000000
0.035175571506
Long
DBT
CORP
US
N
2
2026-03-11
Fixed
0.90000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AU4
375000.00000000
PA
USD
431121.03000000
0.019430662158
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
4.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MN2S8
614371.04000000
PA
USD
664107.66000000
0.029931389749
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.50000000
N
N
N
N
N
N
Sherwin-Williams Co. (The)
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co. (The)
824348AV8
381000.00000000
PA
USD
410035.23000000
0.018480323326
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128Q3NB3
23558.22000000
PA
USD
25153.03000000
0.001133649240
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
3.75000120
N
Y
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36202SD54
33895.53000000
PA
USD
38769.25000000
0.001747333455
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
7.00000000
N
N
N
N
N
N
HollyFrontier Corp.
549300J3U2WK73C9ZK26
HollyFrontier Corp.
436106AB4
1275000.00000000
PA
USD
1313421.70000000
0.059196029764
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQAD4
1304950.13000000
PA
USD
1410530.57000000
0.063572734945
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Lendmark Funding Trust
549300PMR5HYNUPR5R97
Lendmark Funding Trust, Series 2019-1A, Class B
52604FAB3
3319000.00000000
PA
USD
3432115.17000000
0.154685727941
Long
ABS-O
CORP
US
Y
3
2027-12-20
Fixed
3.40000000
N
N
N
N
N
N
Cimarex Energy Co.
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co.
171798AD3
935000.00000000
PA
USD
1031419.63000000
0.046486172047
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AY4
2945000.00000000
PA
USD
2916106.46000000
0.131429170693
Long
DBT
CORP
US
Y
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-52, Class KB
313921KW7
27249.72000000
PA
USD
31099.42000000
0.001401653552
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5
17307GBH0
26270.42800000
PA
USD
26924.12000000
0.001213472420
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2230, Class Z
3133TNSS4
52197.00000000
PA
USD
62087.64000000
0.002798295311
Long
ABS-MBS
USGSE
US
N
2
2030-04-15
Fixed
8.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746TD3
905000.00000000
PA
USD
901515.75000000
0.040631392925
Long
DBT
CORP
US
N
2
2026-03-15
Variable
3.89999880
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023DA0
995000.00000000
PA
USD
1030569.23000000
0.046447844445
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-21, Class LO
31392CNN0
8046.30500000
PA
USD
7834.87000000
0.000353118269
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
None
0.00000000
N
N
N
N
N
N
Nissan Motor Co. Ltd.
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AD3
1102000.00000000
PA
USD
1229904.04000000
0.055431881595
Long
DBT
CORP
JP
Y
2
2030-09-17
Fixed
4.81000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAW9
190000.00000000
PA
USD
223691.99000000
0.010081817361
Long
DBT
CORP
US
N
2
2046-05-14
Fixed
4.45000000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558BS1
1225000.00000000
PA
USD
1160576.77000000
0.052307295532
Long
DBT
CORP
US
N
2
2040-10-01
Fixed
2.60000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Republic of Panama
698299BH6
325000.00000000
PA
USD
360750.00000000
0.016259033741
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31412BTY8
77944.43000000
PA
USD
78070.27000000
0.003518633829
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Variable
2.87499960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H21, Class CF
38375BWA6
14868.43000000
PA
USD
14966.20000000
0.000674527930
Long
ABS-MBS
USGA
US
N
2
2061-05-20
Floating
0.84387960
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
03523TBT4
780000.00000000
PA
USD
885664.83000000
0.039916990588
Long
DBT
CORP
US
N
2
2048-10-06
Fixed
4.43900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128LUJ31
41373.17000000
PA
USD
41805.80000000
0.001884191026
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
2.25500040
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3
31393YU78
277454.82000000
PA
USD
331189.38000000
0.014926734038
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Fixed
7.00000000
N
N
N
N
N
N
Southern Natural Gas Co. LLC
N/A
Southern Natural Gas Co. LLC
843452AZ6
351000.00000000
PA
USD
489662.44000000
0.022069128576
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
8.00000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAZ5
1030000.00000000
PA
USD
1023672.46000000
0.046137006424
Long
DBT
CORP
FR
Y
2
2026-12-14
Variable
1.48799880
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAL7
334000.00000000
PA
USD
364579.40000000
0.016431625131
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
5.00000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2004-QA6, Class NB2
76110HH44
531378.63900000
PA
USD
477050.97000000
0.021500728531
Long
ABS-MBS
CORP
US
N
2
2034-12-26
Variable
3.00637800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H26, Class MA
38375BYQ9
3324.67000000
PA
USD
3337.40000000
0.000150416907
Long
ABS-MBS
USGA
US
N
2
2062-07-20
Floating
0.69387840
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBP5
905000.00000000
PA
USD
900918.92000000
0.040604493746
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.00000000
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAA6
740000.00000000
PA
USD
822859.00000000
0.037086326391
Long
DBT
CORP
NL
Y
2
2027-05-25
Fixed
3.62500000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
65557FAD8
945000.00000000
PA
USD
997482.36000000
0.044956616349
Long
DBT
CORP
FI
Y
2
2022-09-21
Fixed
4.25000000
N
N
N
N
N
N
ITC Holdings Corp.
549300HTO5U9D3SLE207
ITC Holdings Corp.
465685AQ8
440000.00000000
PA
USD
464266.96000000
0.020924552093
Long
DBT
CORP
US
Y
2
2030-05-14
Fixed
2.95000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAE1
2000000.00000000
PA
USD
2037347.78000000
0.091823440883
Long
DBT
CORP
KY
Y
2
2022-05-01
Fixed
3.62500000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBM2
555000.00000000
PA
USD
656173.65000000
0.029573803231
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
4.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2283, Class K
3133TRJM8
25043.13000000
PA
USD
26504.71000000
0.001194569575
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
Children's Hospital
549300C1PQZDYQ6KZS51
Children's Hospital, Series 2020
16876DAA6
650000.00000000
PA
USD
625362.20000000
0.028185128511
Long
DBT
CORP
US
N
2
2050-07-15
Fixed
2.92800000
N
N
N
N
N
N
FirstEnergy Transmission LLC
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAC3
240000.00000000
PA
USD
270574.12000000
0.012194799020
Long
DBT
CORP
US
Y
2
2049-04-01
Fixed
4.55000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GXR0
880000.00000000
PA
USD
860281.56000000
0.038772964411
Long
DBT
CORP
US
N
2
2032-01-27
Variable
1.99199880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2234, Class PZ
3133TNXB5
35396.42000000
PA
USD
42313.84000000
0.001907088433
Long
ABS-MBS
USGSE
US
N
2
2030-05-15
Fixed
7.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
65000.00000000
PA
USD
71121.51000000
0.003205452614
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A
31393AP68
44292.89000000
PA
USD
50845.53000000
0.002291612440
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.73670080
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
96145DAF2
400000.00000000
PA
USD
440537.43000000
0.019855060121
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.75000000
N
N
N
N
N
N
BOC Aviation Ltd.
254900H06V5RMEB3KE72
BOC Aviation Ltd.
09681LAD2
450000.00000000
PA
USD
459562.50000000
0.020712521674
Long
DBT
CORP
SG
Y
2
2022-09-18
Fixed
2.75000000
N
N
N
N
N
N
Children's Hospital Corp. (The)
549300NXFO6BISJLOS32
Children's Hospital Corp. (The), Series 2020
16876BAB8
580000.00000000
PA
USD
550014.12000000
0.024789184020
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
2.58500000
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060AZ9
590000.00000000
PA
USD
575277.92000000
0.025927825674
Long
DBT
CORP
JP
N
2
2050-07-09
Fixed
3.17500000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBP3
1057000.00000000
PA
USD
1045896.73000000
0.047138656198
Long
DBT
CORP
JP
N
2
2027-05-22
Variable
1.23400080
N
N
N
N
N
N
McDonald's Corp.
UE2136O97NLB5BYP9H04
McDonald's Corp.
58013MEZ3
700000.00000000
PA
USD
861540.54000000
0.038829706749
Long
DBT
CORP
US
N
2
2035-12-09
Fixed
4.70000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
Truist Bank
86787GAJ1
400000.00000000
PA
USD
438233.88000000
0.019751238923
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31418MZV7
2469602.99000000
PA
USD
2919802.63000000
0.131595757395
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
7.00000000
N
N
N
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class B
68268XAB7
1863000.00000000
PA
USD
1896887.41000000
0.085492879843
Long
ABS-O
CORP
US
Y
2
2025-04-14
Fixed
3.71000000
N
N
N
N
N
N
ONEOK, Inc.
2T3D6M0JSY48PSZI1Q41
ONEOK, Inc.
682680AY9
615000.00000000
PA
USD
643395.37000000
0.028997885045
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
3.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-21, Class PE
31392CPT5
74033.01000000
PA
USD
87265.17000000
0.003933048769
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Fixed
6.50000000
N
N
N
N
N
N
Continental Finance Credit Card ABS Master Trust
N/A
Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class A
66981PAA6
2070000.00000000
PA
USD
2092003.69000000
0.094286787480
Long
ABS-O
CORP
US
Y
2
2028-12-15
Fixed
2.24000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31418MZT2
78446.08000000
PA
USD
94855.83000000
0.004275160472
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
7.00000000
N
N
N
N
N
N
Southern Co. Gas Capital Corp.
E8CD46SWUD2TSN8PA636
Southern Co. Gas Capital Corp.
001192AJ2
563000.00000000
PA
USD
568181.29000000
0.025607979946
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526BX6
1000000.00000000
PA
USD
1022083.34000000
0.046065384648
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2436, Class MC
3133TVR99
76038.89000000
PA
USD
87093.29000000
0.003925302122
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1890, Class H
3133T85L7
11650.94000000
PA
USD
13103.37000000
0.000590570020
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
7.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122CN6
810000.00000000
PA
USD
891765.36000000
0.040191942004
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO3
17307GCA4
24891.66400000
PA
USD
22756.52000000
0.001025638327
Long
ABS-MBS
CORP
US
N
3
2033-09-25
None
0.00000000
N
N
N
N
N
N
Rogers Communications, Inc.
54930030NVF3Y2OL0A78
Rogers Communications, Inc.
775109BN0
560000.00000000
PA
USD
661571.27000000
0.029817074432
Long
DBT
CORP
CA
N
2
2049-05-01
Fixed
4.35000000
N
N
N
N
N
N
Life Storage LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAB0
859000.00000000
PA
USD
966763.41000000
0.043572110612
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410S5Y9
77202.54000000
PA
USD
82548.18000000
0.003720453621
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
2.65200120
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2006-A3, Class 6A1
46628KAT7
56318.46000000
PA
USD
56564.23000000
0.002549354744
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.01660560
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AT8
800000.00000000
PA
USD
857813.16000000
0.038661713409
Long
DBT
CORP
CH
N
2
2023-06-09
Fixed
3.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410XDA1
62170.86000000
PA
USD
66430.04000000
0.002994007655
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
2.57500080
N
N
N
N
N
N
Baxalta, Inc.
5493000JW8DCO3T45R55
Baxalta, Inc.
07177MAN3
50000.00000000
PA
USD
66624.17000000
0.003002757111
Long
DBT
CORP
US
N
2
2045-06-23
Fixed
5.25000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746RW3
993000.00000000
PA
USD
1074923.32000000
0.048446887123
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
3.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
17327CAM5
1320000.00000000
PA
USD
1302463.56000000
0.058702145445
Long
DBT
CORP
US
N
2
2027-01-28
Variable
1.12200120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Whole Loan, Series 2007-101, Class A2
31396XC69
275677.97000000
PA
USD
271571.91000000
0.012239769502
Long
ABS-MBS
USGSE
US
N
2
2036-06-27
Floating
0.33769080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-29, Class J
31359PFV3
12274.13000000
PA
USD
14078.93000000
0.000634538594
Long
ABS-MBS
USGSE
US
N
2
2027-04-20
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1638, Class H
3133T2W48
62109.09000000
PA
USD
66161.11000000
0.002981886957
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8BP8
4312656.56000000
PA
USD
4548327.76000000
0.204993526039
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
2.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class QS
31339NJ23
84565.80000000
PA
USD
124423.44000000
0.005607775216
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
19.20814920
N
N
N
N
N
N
CK Hutchison International 19 Ltd.
254900FPY8WXG61CMU70
CK Hutchison International 19 Ltd.
12564CAB2
1215000.00000000
PA
USD
1339537.50000000
0.060373071132
Long
DBT
CORP
KY
Y
2
2029-04-11
Fixed
3.62500000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAP4
170000.00000000
PA
USD
184488.20000000
0.008314899151
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
RBSSP Resecuritization Trust
N/A
RBSSP Resecuritization Trust, Series 2009-12, Class 1A1
74928UAA5
73007.66000000
PA
USD
72954.25000000
0.003288054365
Long
ABS-MBS
CORP
US
Y
2
2033-11-25
Variable
5.32945080
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AE8
1480000.00000000
PA
USD
1450978.90000000
0.065395744681
Long
DBT
CORP
CH
Y
2
2032-02-11
Variable
2.09499840
N
N
N
N
N
N
Enable Midstream Partners LP
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AL4
325000.00000000
PA
USD
364580.96000000
0.016431695440
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406VQ74
66353.60000000
PA
USD
66661.34000000
0.003004432366
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
2.14099920
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBA6
720000.00000000
PA
USD
757874.67000000
0.034157477010
Long
DBT
CORP
JP
N
2
2030-09-13
Variable
2.86899840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A
31392GWB7
160902.68000000
PA
USD
178900.51000000
0.008063061478
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.63857920
N
N
N
N
N
N
Macquarie Bank Ltd.
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
55608PAQ7
1000000.00000000
PA
USD
1119863.09000000
0.050472326449
Long
DBT
CORP
AU
Y
2
2025-07-29
Fixed
4.00000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2021-RPL1, Class A1
12660KAC5
7775876.69000000
PA
USD
7767535.51000000
0.350083498122
Long
ABS-MBS
CORP
US
Y
2
2060-09-27
Variable
1.66772880
N
N
N
N
N
N
UBS-BAMLL Trust
N/A
UBS-BAMLL Trust, Series 2012-WRM, Class A
90269PAA9
2236000.00000000
PA
USD
2255515.14000000
0.101656262692
Long
ABS-MBS
CORP
US
Y
2
2030-06-10
Fixed
3.66300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31403MJ75
59052.82000000
PA
USD
65751.72000000
0.002963435714
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1700, Class GA
3133T4BL9
3858.03400000
PA
USD
3830.00000000
0.000172618431
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BC3
190000.00000000
PA
USD
202680.03000000
0.009134806504
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
4.50000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AR0
475000.00000000
PA
USD
547317.80000000
0.024667660645
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
Hess Corp.
UASVRYNXNK17ULIGK870
Hess Corp.
42809HAC1
510000.00000000
PA
USD
627607.09000000
0.028286305898
Long
DBT
CORP
US
N
2
2040-01-15
Fixed
6.00000000
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00080QAF2
1216000.00000000
PA
USD
1375918.59000000
0.062012770009
Long
DBT
CORP
NL
Y
2
2025-07-28
Fixed
4.75000000
N
N
N
N
N
N
Citizens Bank NA
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA
17401QAQ4
720000.00000000
PA
USD
766495.92000000
0.034546037494
Long
DBT
CORP
US
N
2
2023-03-29
Fixed
3.70000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AQ2
300000.00000000
PA
USD
356370.00000000
0.016061626762
Long
DBT
CORP
IT
Y
2
2034-04-02
Variable
7.29600120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400RV24
11892.15000000
PA
USD
13170.85000000
0.000593611350
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402HJY8
17883.98000000
PA
USD
20155.67000000
0.000908417792
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2835, Class QO
31395FEZ3
17313.62000000
PA
USD
16167.83000000
0.000728685498
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
None
0.00000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325BQ7
922000.00000000
PA
USD
979625.00000000
0.044151783587
Long
DBT
NUSS
CO
N
2
2024-02-26
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36241KYC6
1060.95000000
PA
USD
1091.05000000
0.000049173717
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
9.50000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC Trust, Series 2009-RR5, Class 8A1
05531UAQ3
15128.69000000
PA
USD
15152.58000000
0.000682928092
Long
ABS-MBS
CORP
US
Y
2
2034-11-26
Variable
5.50000080
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2001-2, Class A
36228FEC6
394297.12000000
PA
USD
396037.31000000
0.017849435859
Long
ABS-MBS
CORP
US
Y
2
2032-06-19
Variable
7.49999880
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BK4
904000.00000000
PA
USD
1012695.85000000
0.045642289661
Long
DBT
CORP
GB
N
2
2028-03-13
Variable
4.04100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-80, Class SA
31397MRK5
438341.81000000
PA
USD
80952.26000000
0.003648525368
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
5.73237000
N
N
N
N
N
N
CRH America, Inc.
549300RN11MJ182CNF63
CRH America, Inc.
12626PAM5
417000.00000000
PA
USD
460778.64000000
0.020767333209
Long
DBT
CORP
US
Y
2
2025-05-18
Fixed
3.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4822, Class ZB
3137FH3G6
3867455.02000000
PA
USD
4163403.89000000
0.187644973882
Long
ABS-MBS
USGSE
US
N
2
2048-07-15
Fixed
4.00000000
N
N
N
N
N
N
Citrix Systems, Inc.
HCTKJGUQOPZ5NBK7NP58
Citrix Systems, Inc.
177376AG5
375000.00000000
PA
USD
373447.62000000
0.016831316574
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
313615TX4
834.73000000
PA
USD
889.74000000
0.000040100658
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3047, Class OD
31396CJT8
802018.32000000
PA
USD
896997.66000000
0.040427762218
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
American International Group, Inc.
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874DC8
605000.00000000
PA
USD
691343.83000000
0.031158926290
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.87500000
N
N
N
N
N
N
AIA Group Ltd.
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd.
00131LAH8
445000.00000000
PA
USD
487831.25000000
0.021986596684
Long
DBT
CORP
HK
Y
2
2029-04-09
Fixed
3.60000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAN0
772000.00000000
PA
USD
676223.75000000
0.030477462975
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77100000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
22535WAH0
1500000.00000000
PA
USD
1485425.43000000
0.066948252771
Long
DBT
CORP
FR
Y
2
2027-01-26
Variable
1.24700040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-51, Class SY
31393Y4T9
70338.98000000
PA
USD
86030.64000000
0.003877408395
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Floating
14.00474160
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
3430000.00000000
PA
USD
3848052.72000000
0.173432069340
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQH88
791423.29000000
PA
USD
855540.74000000
0.038559295243
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H15, Class FD
38376RDD5
1449556.85000000
PA
USD
1451318.06000000
0.065411030651
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
0.58388040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225BYK8
56512.16000000
PA
USD
68726.11000000
0.003097491729
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
7.00000000
N
N
N
N
N
N
Universal Health Services, Inc.
549300YGMGQDO0NMJD09
Universal Health Services, Inc.
913903AV2
690000.00000000
PA
USD
682244.40000000
0.030748814191
Long
DBT
CORP
US
Y
2
2030-10-15
Fixed
2.65000000
N
N
N
N
N
N
Tennessee Gas Pipeline Co. LLC
N/A
Tennessee Gas Pipeline Co. LLC
880451AZ2
930000.00000000
PA
USD
956639.85000000
0.043115840886
Long
DBT
CORP
US
Y
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A
92922FAS7
35516.76060000
PA
USD
36677.37000000
0.001653052242
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
2.92187160
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust, Series 2019-1A, Class A
35041JAA3
898507.79000000
PA
USD
931119.58000000
0.041965640107
Long
ABS-O
CORP
US
Y
2
2034-11-15
Fixed
3.86000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co., Series 08-A
842400FH1
200000.00000000
PA
USD
262348.66000000
0.011824076826
Long
DBT
CORP
US
N
2
2038-02-01
Fixed
5.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607
31398LQT8
176764.80000000
PA
USD
161063.53000000
0.007259147245
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LP3
1052000.00000000
PA
USD
1044590.60000000
0.047079788805
Long
DBT
UST
US
N
2
2023-11-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3260, Class CS
31397ELL7
232433.09000000
PA
USD
46140.64000000
0.002079562640
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
Floating
6.02775000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 383, Class 32
3136FFPD5
52852.68000000
PA
USD
12044.43000000
0.000542843503
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M8, Class A2
3136B2GX4
2580000.00000000
PA
USD
2919732.59000000
0.131592600686
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
3.32499960
N
N
N
N
N
N
Ohio State University (The)
JFC10ZULKO4X2E3HBY86
Ohio State University (The), General Receipts, Series 2011-A
677632PA3
1563000.00000000
PA
USD
2068411.68000000
0.093223493546
Long
DBT
MUN
US
N
2
2111-06-01
Fixed
4.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2716, Class UN
31394MNE6
100562.70000000
PA
USD
104082.01000000
0.004690985204
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-165, Class SD
31359D4W0
2133.72000000
PA
USD
2278.66000000
0.000102699403
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
13.88127240
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BJ8
400000.00000000
PA
USD
424693.86000000
0.019140989049
Long
DBT
CORP
GB
Y
2
2024-03-15
Variable
3.88500120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-73, Class AE
38374H4S6
9846.33000000
PA
USD
10209.29000000
0.000460133584
Long
ABS-MBS
USGA
US
N
2
2034-08-17
Floating
14.63370120
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
57430.65000000
PA
USD
58602.57000000
0.002641222905
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
Prosper Marketplace Issuance Trust
N/A
Prosper Marketplace Issuance Trust, Series 2019-3A, Class A
74362DAA6
72070.45000000
PA
USD
72206.84000000
0.003254368532
Long
ABS-O
CORP
US
Y
2
2025-07-15
Fixed
3.19000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBS9
740000.00000000
PA
USD
809839.97000000
0.036499557581
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BC7
291000.00000000
PA
USD
340385.34000000
0.015341196751
Long
DBT
CORP
US
N
2
2035-02-12
Fixed
3.50000000
N
N
N
N
N
N
Plains All American Pipeline LP
N/A
Plains All American Pipeline LP
72650RBE1
610000.00000000
PA
USD
592689.65000000
0.026712573853
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.70000000
N
N
N
N
N
N
SART
N/A
SART
N/A
2354024.72000000
PA
USD
2401105.21000000
0.108218019756
Long
ABS-MBS
CORP
US
N
2
2025-06-15
Fixed
4.75700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-37, Class H
31359E2U4
1403.91700000
PA
USD
1396.90000000
0.000062958403
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1987, Class PE
3133TBEZ9
18132.83000000
PA
USD
21103.42000000
0.000951132967
Long
ABS-MBS
USGSE
US
N
2
2027-09-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2021-M3, Class X1
3136BDXR4
4016967.44000000
PA
USD
576599.52000000
0.025987390301
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Variable
2.01012120
N
N
N
N
N
N
Westgate Resorts LLC
5493001B6N5F6HQT6Z27
Westgate Resorts LLC, Series 2017-1A, Class A
96033DAA8
351313.09000000
PA
USD
352374.13000000
0.015881532555
Long
ABS-O
CORP
US
Y
2
2030-12-20
Fixed
3.05000000
N
N
N
N
N
N
Korea Gas Corp.
988400TFZILHBD5M3R71
Korea Gas Corp.
50066AAK9
653000.00000000
PA
USD
657285.31000000
0.029623905844
Long
DBT
NUSS
KR
Y
2
2021-07-18
Fixed
1.87500000
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust, Series 2017-1A, Class A2
42771XAC0
1383027.85000000
PA
USD
1467958.62000000
0.066161022132
Long
ABS-O
CORP
KY
Y
2
2047-09-20
Fixed
4.46000000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1995-2, Class Z
31359LMW2
8119.69000000
PA
USD
8981.13000000
0.000404780306
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
8.50000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254AL4
700000.00000000
PA
USD
773922.60000000
0.034880758605
Long
DBT
CORP
GB
Y
2
2024-01-26
Fixed
5.20000000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2004-1, Class 12A1
07384MG48
216498.56000000
PA
USD
214909.96000000
0.009686010508
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
3.11872680
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3385, Class SN
31397PAT7
36878.33000000
PA
USD
5940.52000000
0.000267739750
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
5.88774960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 218, Class 2
31364HVN4
1145.76000000
PA
USD
67.38000000
0.000003036822
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LYA31
486087.38000000
PA
USD
533716.63000000
0.024054654735
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Suncor Energy, Inc.
549300W70ZOQDVLCHY06
Suncor Energy, Inc.
71644EAJ1
1195000.00000000
PA
USD
1678242.76000000
0.075638546532
Long
DBT
CORP
CA
N
2
2038-05-15
Fixed
6.80000000
N
N
N
N
N
N
MVW LLC
N/A
MVW LLC, Series 2019-2A, Class B
55400DAB7
3315888.77000000
PA
USD
3390372.25000000
0.152804370921
Long
ABS-O
CORP
US
Y
3
2038-10-20
Fixed
2.44000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-16, Class OA
31394V4X5
131647.79000000
PA
USD
123126.25000000
0.005549310750
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
None
0.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAR9
1265000.00000000
PA
USD
1550513.43000000
0.069881774568
Long
DBT
CORP
US
N
2
2039-04-22
Variable
4.45700160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405H4U9
91314.05000000
PA
USD
92642.55000000
0.004175407751
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
2.12000040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2306, Class K
3133TSJA2
7838.50700000
PA
USD
7762.86000000
0.000349872772
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
None
0.00000000
N
N
N
N
N
N
BAE Systems plc
8SVCSVKSGDWMW2QHOH83
BAE Systems plc
05523RAF4
1007000.00000000
PA
USD
975555.23000000
0.043968358701
Long
DBT
CORP
GB
Y
2
2031-02-15
Fixed
1.90000000
N
N
N
N
N
N
Prudential Insurance Co. of America (The)
X574KRZ6V5A7UBU45C31
Prudential Insurance Co. of America (The)
743917AH9
1750000.00000000
PA
USD
2253080.85000000
0.101546549031
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
8.30000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7
576433UM6
285698.83000000
PA
USD
297581.82000000
0.013412038398
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Variable
3.17643120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400JBY4
9687.93000000
PA
USD
10894.28000000
0.000491006143
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M3, Class A2
3136AVYL7
1181268.00000000
PA
USD
1257708.21000000
0.056685017945
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.47732560
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9X98
4804954.03000000
PA
USD
5231024.10000000
0.235762709205
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
2.78000000
N
N
N
N
N
N
Toorak Mortgage Corp. Ltd.
N/A
Toorak Mortgage Corp. Ltd., Series 2019-2, Class A1
89052LAA1
2795000.00000000
PA
USD
2832975.11000000
0.127682433549
Long
ABS-MBS
CORP
US
N
2
2022-09-25
Variable
3.72099960
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GFD1
685000.00000000
PA
USD
999332.55000000
0.045040004573
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBJ9
16500000.00000000
PA
USD
16110703.13000000
0.726110785293
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31385XNG8
10844.25000000
PA
USD
12175.05000000
0.000548730557
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
6.50000000
N
N
N
N
N
N
Enable Midstream Partners LP
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AM2
594000.00000000
PA
USD
632021.84000000
0.028485279063
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LAF61
7000000.00000000
PA
USD
7782150.74000000
0.350742207804
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
3.12000000
N
N
N
N
N
N
Mayo Clinic
5493001OHMD58DCY4635
Mayo Clinic, Series 2016
578454AD2
225000.00000000
PA
USD
285316.92000000
0.012859258293
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
4.12800000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2568, Class KG
31393KKC8
49207.26000000
PA
USD
50914.57000000
0.002294724079
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
5.50000000
N
N
N
N
N
N
Viatris, Inc.
254900ZZTSW7NL773X71
Viatris, Inc.
91533BAE0
567000.00000000
PA
USD
601253.34000000
0.027098540103
Long
DBT
CORP
US
Y
2
2040-06-22
Fixed
3.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF
31394B2B9
253263.90000000
PA
USD
251879.89000000
0.011352248455
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Floating
0.36762840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1981, Class Z
3133TAUE0
44745.80000000
PA
USD
48871.07000000
0.002202623357
Long
ABS-MBS
USGSE
US
N
2
2027-05-15
Fixed
6.00000000
N
N
N
N
N
N
Fiserv, Inc.
GI7UBEJLXYLGR2C7GV83
Fiserv, Inc.
337738AT5
395000.00000000
PA
USD
429932.63000000
0.019377100867
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3
12669GBC4
162687.12000000
PA
USD
167763.90000000
0.007561133501
Long
ABS-MBS
CORP
US
N
2
2034-11-20
Variable
2.77360560
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607, Class BO
31398LQM3
87383.95000000
PA
USD
81630.00000000
0.003679071169
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31401YSJ5
28863.06000000
PA
USD
29050.59000000
0.001309312607
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
1.66299840
N
N
N
N
N
N
Nissan Motor Co. Ltd.
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AC5
1865000.00000000
PA
USD
2064453.79000000
0.093045111101
Long
DBT
CORP
JP
Y
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
Welltower, Inc.
T6IZ0MBEG5ACZDTR7D06
Welltower, Inc.
95040QAJ3
670000.00000000
PA
USD
708056.24000000
0.031912156056
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.10000000
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAR0
772000.00000000
PA
USD
852153.22000000
0.038406619423
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
3.50000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust, Series 2006-4, Class 1A4
05950AAD8
281153.40940000
PA
USD
275792.97000000
0.012430013042
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Fixed
6.00000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABH7
1550000.00000000
PA
USD
1535073.50000000
0.069185895585
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 310
3132HTSS6
1049448.10000000
PA
USD
911740.22000000
0.041092210674
Long
ABS-MBS
USGSE
US
N
2
2043-09-15
None
0.00000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BF6
442000.00000000
PA
USD
491360.62000000
0.022145665696
Long
DBT
CORP
US
N
2
2028-01-12
Fixed
3.87500000
N
N
N
N
N
N
AIA Group Ltd.
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd.
00131LAK1
520000.00000000
PA
USD
514150.00000000
0.023172785026
Long
DBT
CORP
HK
Y
2
2040-09-16
Fixed
3.20000000
N
N
N
N
N
N
MASTR Resecuritization Trust
N/A
MASTR Resecuritization Trust, Series 2005-PO, Class 3PO
576435BB6
91073.21400000
PA
USD
76150.59000000
0.003432113686
Long
ABS-MBS
CORP
US
Y
3
2035-05-28
None
0.00000000
N
N
N
N
N
N
Brixmor Operating Partnership LP
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAA1
400000.00000000
PA
USD
435307.91000000
0.019619365202
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.85000000
N
N
N
N
N
N
FHLMC Pool
N/A
FHLMC UMBS, 20 Year
3132D9DH4
2730007.20000000
PA
USD
2959121.99000000
0.133367884356
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.50000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
85325WAA6
570000.00000000
PA
USD
599421.93000000
0.027015998296
Long
DBT
CORP
GB
Y
2
2026-01-30
Variable
2.81900160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-19, Class IP
31397NUK9
772651.42000000
PA
USD
161314.55000000
0.007270460738
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Fixed
5.50000000
N
N
N
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The), Series H
808513BJ3
1025000.00000000
PA
USD
1028843.75000000
0.046370076912
Long
DBT
CORP
US
N
2
2030-12-01
Variable
3.99999960
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAC7
800000.00000000
PA
USD
890642.63000000
0.040141340465
Long
DBT
CORP
FR
Y
2
2024-07-11
Fixed
4.62500000
N
N
N
N
N
N
CSFB Mortgage-Backed Pass-Through Certificates
N/A
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A23
225458QV3
1774876.98000000
PA
USD
1802325.45000000
0.081230964117
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
Roper Technologies, Inc.
54930003T4SXCIWVXY35
Roper Technologies, Inc.
776743AN6
1370000.00000000
PA
USD
1355648.96000000
0.061099216029
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
1.40000000
N
N
N
N
N
N
RFMSI Trust
N/A
RFMSI Trust, Series 2005-SA4, Class 1A1
76111XYC1
100657.65000000
PA
USD
90929.35000000
0.004098193679
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
2.95238160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381BJC4
9104.14000000
PA
USD
10223.73000000
0.000460784396
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
6.00000000
N
N
N
N
N
N
Scentre Group Trust 2
549300VRF0U0JH8TBJ74
Scentre Group Trust 2
76025LAA2
1320000.00000000
PA
USD
1374717.25000000
0.061958625511
Long
DBT
CORP
AU
Y
2
2080-09-24
Variable
4.74999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-27, Class J
31359NR78
5539.55000000
PA
USD
6400.20000000
0.000288457568
Long
ABS-MBS
USGSE
US
N
2
2027-04-18
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2466, Class PH
31392MN99
176942.70000000
PA
USD
207663.24000000
0.009359400210
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RGQ9
826000.00000000
PA
USD
947286.23000000
0.042694272423
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.30000000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust, Series 2020-A, Class A4
80286KAD4
3955000.00000000
PA
USD
4050411.21000000
0.182552384009
Long
ABS-O
CORP
US
Y
2
2024-03-20
Fixed
1.76000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36183SYB1
1386934.39000000
PA
USD
1574182.74000000
0.070948552419
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
4.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-79, Class SY
383742AS2
189260.80000000
PA
USD
27712.32000000
0.001248996662
Long
ABS-MBS
USGA
US
N
2
2037-12-20
Floating
6.43887000
N
N
N
N
N
N
Park Aerospace Holdings Ltd.
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd.
70014LAA8
3550000.00000000
PA
USD
3711259.82000000
0.167266801491
Long
DBT
CORP
KY
Y
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
Republic of South Africa
N/A
Republic of South Africa
836205AR5
640000.00000000
PA
USD
712000.00000000
0.032089901660
Long
DBT
NUSS
ZA
N
2
2025-09-16
Fixed
5.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A
31397KYA3
767208.83000000
PA
USD
781051.43000000
0.035202055590
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
1.71103680
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2543, Class YX
31393HGW6
224859.72000000
PA
USD
257694.57000000
0.011614316586
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
730000.00000000
PA
USD
756658.45000000
0.034102661869
Long
DBT
CORP
FR
Y
2
2026-06-09
Variable
2.21900040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31389DS73
208605.76000000
PA
USD
238794.15000000
0.010762473020
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
5.50000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-54CB, Class 1A2
12668ANU5
2466312.81000000
PA
USD
353588.61000000
0.015936269274
Long
ABS-MBS
CORP
US
N
3
2035-11-25
Floating
4.73236920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-1, Class KA
31358R6V0
8722.59000000
PA
USD
9107.20000000
0.000410462292
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
7.90000000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBD9
490000.00000000
PA
USD
481739.33000000
0.021712033322
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
2.90000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810PV4
300000.00000000
PA
USD
452203.01000000
0.020380828822
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SL3
7389000.00000000
PA
USD
7197636.43000000
0.324398097232
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
Time Warner Entertainment Co. LP
N/A
Time Warner Entertainment Co. LP
88731EAJ9
700000.00000000
PA
USD
1044848.39000000
0.047091407423
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGA1
1189000.00000000
PA
USD
1303555.07000000
0.058751339895
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.24800000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-188, Class W
38379HTQ8
432227.71000000
PA
USD
480743.76000000
0.021667162896
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Variable
4.59302040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3424, Class PI
31397T4Y5
264400.75000000
PA
USD
62945.91000000
0.002836977614
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
6.68774880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1470, Class F
312914LG7
289.85000000
PA
USD
291.03000000
0.000013116747
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Floating
1.46599920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LAAW9
3814023.36000000
PA
USD
4163385.04000000
0.187644124311
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.97000000
N
N
N
N
N
N
Natwest Group plc
2138005O9XJIJN4JPN90
Natwest Group plc
780097BK6
480000.00000000
PA
USD
526287.11000000
0.023719805625
Long
DBT
CORP
GB
N
2
2025-03-22
Variable
4.26899880
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367WB85
950000.00000000
PA
USD
981404.55000000
0.044231988060
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2019-2, Class A
30312JAA6
485811.44000000
PA
USD
488258.52000000
0.022005853780
Long
ABS-O
CORP
US
Y
2
2026-11-18
Fixed
2.62000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-77, Class S
31392F6E2
40923.00000000
PA
USD
51374.80000000
0.002315466685
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Floating
14.26767480
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410GNM1
64127.90000000
PA
USD
72213.49000000
0.003254668248
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Wells Fargo Mortgage-Backed Securities Trust
N/A
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7
94985JAG5
178215.76000000
PA
USD
178297.88000000
0.008035900892
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-75, Class WA
38378J4C3
986063.37000000
PA
USD
1125097.52000000
0.050708242662
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Variable
5.13664920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HSEN7
3000000.00000000
PA
USD
3481028.79000000
0.156890269030
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.81000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BK9
615000.00000000
PA
USD
766923.42000000
0.034565304956
Long
DBT
CORP
US
N
2
2035-11-03
Fixed
4.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4ZC4
113354.15000000
PA
USD
118900.00000000
0.005358833297
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
2.21299920
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404J2J3
74916.05000000
PA
USD
74995.39000000
0.003380048722
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
3.10899960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2575, Class ME
31393KSG1
630741.17000000
PA
USD
732138.68000000
0.032997553712
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
Aviation Capital Group LLC
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAH4
1047000.00000000
PA
USD
1179643.37000000
0.053166628845
Long
DBT
CORP
US
Y
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
Evergy, Inc.
549300PGTHDQY6PSUI61
Evergy, Inc.
30034WAB2
985000.00000000
PA
USD
1044525.31000000
0.047076846180
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.90000000
N
N
N
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust, Series 2012-TFT, Class A
05490AAA1
483000.00000000
PA
USD
478761.24000000
0.021577810548
Long
ABS-MBS
CORP
US
Y
2
2030-06-05
Fixed
2.89220000
N
N
N
N
N
N
Scentre Group Trust 1
N/A
Scentre Group Trust 1
806213AB0
420000.00000000
PA
USD
449189.69000000
0.020245018229
Long
DBT
CORP
AU
Y
2
2025-02-12
Fixed
3.50000000
N
N
N
N
N
N
Zoetis, Inc.
549300HD9Q1LOC9KLJ48
Zoetis, Inc.
98978VAS2
760000.00000000
PA
USD
750158.55000000
0.033809710813
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAT5
175000.00000000
PA
USD
203217.81000000
0.009159044295
Long
DBT
CORP
CA
N
2
2029-04-01
Fixed
4.20000000
N
N
N
N
N
N
PPL Capital Funding, Inc.
549300MROK5WY0D2NU17
PPL Capital Funding, Inc.
69352PAF0
200000.00000000
PA
USD
211589.62000000
0.009536362497
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.40000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
800000.00000000
PA
USD
847788.46000000
0.038209899312
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2435, Class CJ
31392K2Z8
158929.12000000
PA
USD
186028.24000000
0.008384308887
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-35, Class UC
31393BL86
9038.18000000
PA
USD
9599.80000000
0.000432663817
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
3.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Other
36179ACQ7
133140.30000000
PA
USD
134198.17000000
0.006048323143
Long
ABS-MBS
USGA
US
N
2
2063-04-20
Variable
4.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391SQG8
58034.46000000
PA
USD
66802.89000000
0.003010812037
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-74, Class CS
31394FDF9
118935.74000000
PA
USD
150365.92000000
0.006777005036
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
19.69651800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1591, Class PV
3133T1WB4
17001.75000000
PA
USD
17938.30000000
0.000808480734
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Fixed
6.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617JSK70
800885.67000000
PA
USD
870977.18000000
0.039255016931
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2638, Class DS
31393WXE4
6433.16000000
PA
USD
6770.44000000
0.000305144317
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
8.48774880
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325DT9
295000.00000000
PA
USD
282646.88000000
0.012738919359
Long
DBT
NUSS
CO
N
2
2051-05-15
Fixed
4.12500000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2S9
1145000.00000000
PA
USD
1147228.99000000
0.051705709932
Long
DBT
CORP
US
Y
2
2024-01-08
Fixed
0.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LL2
38462000.00000000
PA
USD
38358546.45000000
1.728823010441
Long
DBT
UST
US
N
2
2023-02-15
None
0.00000000
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABS5
425000.00000000
PA
USD
419169.00000000
0.018891983131
Long
DBT
CORP
US
Y
2
2026-01-08
Fixed
1.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-141, Class WC
38378GPG7
263810.63000000
PA
USD
288431.36000000
0.012999626374
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Variable
3.68204040
N
N
N
N
N
N
American Tower Trust #1
5493004YGM0MQZJOEJ36
American Tower Trust #1
03027WAJ1
750000.00000000
PA
USD
759295.20000000
0.034221500420
Long
DBT
CORP
US
Y
2
2023-03-15
Fixed
3.07000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-6, Class GS
31397M5Z6
382315.55000000
PA
USD
85551.97000000
0.003855834696
Long
ABS-MBS
USGSE
US
N
2
2039-02-25
Floating
6.43236840
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-1, Class A
90931MAA4
640027.55000000
PA
USD
642185.08000000
0.028943337170
Long
ABS-O
CORP
US
N
2
2028-07-07
Fixed
3.45000000
N
N
N
N
N
N
Southwestern Public Service Co.
OL6FE7QD5EQ3DOYEO258
Southwestern Public Service Co.
845743BN2
200000.00000000
PA
USD
242092.32000000
0.010911121828
Long
DBT
CORP
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2086, Class GB
3133TGE96
31157.54000000
PA
USD
35188.30000000
0.001585939728
Long
ABS-MBS
USGSE
US
N
2
2028-09-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-42, Class GB
31393BUX1
61254.97000000
PA
USD
68120.75000000
0.003070208101
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
4.00000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3
36242DLW1
222719.98000000
PA
USD
233656.64000000
0.010530925000
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-61, Class ZC
31359QPC2
55490.82000000
PA
USD
57773.58000000
0.002603860253
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
7.00000000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBB2
535000.00000000
PA
USD
660295.54000000
0.029759577170
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.65000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JL2
795000.00000000
PA
USD
854167.02000000
0.038497381564
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2
31393U4Q3
88155.97000000
PA
USD
104055.15000000
0.004689774621
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138WTRM0
2456834.89000000
PA
USD
2669189.06000000
0.120300582092
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-8, Class 6A1
576434UW2
2499.12000000
PA
USD
2607.33000000
0.000117512588
Long
ABS-MBS
CORP
US
N
2
2019-09-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3274, Class JO
31397F6H0
33224.15000000
PA
USD
31638.36000000
0.001425943625
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-46, Class TC
38373Q2J9
267583.71000000
PA
USD
295258.34000000
0.013307318953
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
6.50000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2020-SFR3, Class C
74333AAE0
3250000.00000000
PA
USD
3241698.85000000
0.146103647908
Long
ABS-O
CORP
US
Y
3
2027-10-17
Fixed
1.69500000
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JAP3
700000.00000000
PA
USD
829709.25000000
0.037395067752
Long
DBT
CORP
AU
Y
2
2030-01-15
Variable
5.03300160
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Republic of Peru
715638BM3
88000.00000000
PA
USD
120422.50000000
0.005427452503
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Western Union Co. (The)
28ID94QU1140NC23S047
Western Union Co. (The)
959802AU3
1100000.00000000
PA
USD
1132382.38000000
0.051036571933
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.60000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A
31393LFK4
1011960.46000000
PA
USD
1202205.08000000
0.054183487069
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Nomura Holdings, Inc.
65535HAS8
700000.00000000
PA
USD
715730.90000000
0.032258053646
Long
DBT
CORP
JP
N
2
2030-07-16
Fixed
2.67900000
N
N
N
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2
75970QAE0
287131.89000000
PA
USD
111705.47000000
0.005034575206
Long
ABS-O
CORP
US
N
3
2037-06-25
Variable
5.67500040
N
N
N
N
N
N
Anheuser-Busch InBev Finance, Inc.
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance, Inc.
03524BAF3
70000.00000000
PA
USD
80796.49000000
0.003641504801
Long
DBT
CORP
US
N
2
2044-02-01
Fixed
4.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-14, Class CO
38376WBS3
175738.34000000
PA
USD
163614.27000000
0.007374109318
Long
ABS-MBS
USGA
US
N
2
2035-08-20
None
0.00000000
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
33748.89000000
PA
USD
34838.07000000
0.001570154831
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8K60
2000000.00000000
PA
USD
2247498.38000000
0.101294946625
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.55000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2006-2, Class 1A1
52520MGG2
220601.67000000
PA
USD
187036.33000000
0.008429743590
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
5.96553480
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class B
90933JAA9
1114583.34000000
PA
USD
1092804.49000000
0.049252793003
Long
ABS-O
CORP
US
N
2
2025-10-07
Fixed
3.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-81, Class SB
31397MUL9
419075.92000000
PA
USD
69999.09000000
0.003154865048
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
5.73237000
N
N
N
N
N
N
Mid-America Apartments LP
549300FXWGE3QSYCUJ38
Mid-America Apartments LP
59523UAQ0
920000.00000000
PA
USD
1048480.01000000
0.047255084851
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.95000000
N
N
N
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
92857WBS8
1105000.00000000
PA
USD
1356764.31000000
0.061149484950
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.87500000
N
N
N
N
N
N
Xylem, Inc.
549300DF5MV96DRYLQ48
Xylem, Inc.
98419MAJ9
197000.00000000
PA
USD
217327.27000000
0.009794958879
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
3.25000000
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAM1
570000.00000000
PA
USD
605741.14000000
0.027300805638
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CN0
710000.00000000
PA
USD
715947.67000000
0.032267823489
Long
DBT
CORP
US
Y
2
2025-12-02
Fixed
2.00000000
N
N
N
N
N
N
Thornburg Mortgage Securities Trust
N/A
Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A
885220GF4
237046.94000000
PA
USD
243775.59000000
0.010986986952
Long
ABS-MBS
CORP
US
N
2
2044-12-25
Variable
1.87312320
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-108, Class GU
3136AGMM1
4000000.00000000
PA
USD
4342603.60000000
0.195721520331
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3617JSLW4
939966.36000000
PA
USD
1087071.40000000
0.048994402140
Long
ABS-MBS
USGA
US
N
2
2049-07-15
Fixed
5.00000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280AU3
939000.00000000
PA
USD
1046908.62000000
0.047184262168
Long
DBT
CORP
GB
N
2
2025-08-18
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3117, Class EO
31396HUN7
263788.98000000
PA
USD
244256.12000000
0.011008644481
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
31400RXM8
5360.64000000
PA
USD
6022.20000000
0.000271421075
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Healthcare Trust of America Holdings LP
549300IYGAS4GE6VDL07
Healthcare Trust of America Holdings LP
42225UAG9
1604000.00000000
PA
USD
1700310.85000000
0.076633157260
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAA8
788000.00000000
PA
USD
864337.50000000
0.038955765978
Long
DBT
NUSS
MX
N
2
2025-01-30
Fixed
3.60000000
N
N
N
N
N
N
Estee Lauder Cos., Inc. (The)
549300VFZ8XJ9NUPU221
Estee Lauder Cos., Inc. (The)
29736RAQ3
1880000.00000000
PA
USD
1991983.93000000
0.089778888235
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.60000000
N
N
N
N
N
N
Commercial Mortgage Trust
549300NMFC2YLCA2NF13
Commercial Mortgage Trust, Series 2013-300P, Class A1
12625XAA5
3500000.00000000
PA
USD
3748474.45000000
0.168944068088
Long
ABS-MBS
CORP
US
Y
2
2030-08-10
Fixed
4.35300000
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABQ9
1500000.00000000
PA
USD
1510781.25000000
0.068091041774
Long
DBT
CORP
US
Y
2
2022-11-10
Fixed
1.15000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3004, Class EK
31395VXP9
1233142.82000000
PA
USD
1488151.45000000
0.067071114728
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
5.50000000
N
N
N
N
N
N
Sierra Timeshare Receivables Funding LLC
N/A
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C
82652MAC4
1840491.45000000
PA
USD
1867566.37000000
0.084171378031
Long
ABS-O
CORP
US
Y
3
2036-05-20
Fixed
3.12000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp.
N/A
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4
22541QPB2
63828.43000000
PA
USD
65940.98000000
0.002971965679
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
5.25000000
N
N
N
N
N
N
Mid-State Capital Corp. Trust
N/A
Mid-State Capital Corp. Trust, Series 2006-1, Class M1
59548PAB5
567436.49000000
PA
USD
605233.15000000
0.027277910485
Long
ABS-O
CORP
US
Y
3
2040-10-15
Fixed
6.08300000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2
17307GXU7
216881.53000000
PA
USD
175620.49000000
0.007915230693
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.88749160
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDE3
1190000.00000000
PA
USD
1158166.98000000
0.052198686088
Long
DBT
CORP
US
N
2
2031-01-08
Fixed
2.35000000
N
N
N
N
N
N
BP Capital Markets plc
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QDA3
451000.00000000
PA
USD
495233.09000000
0.022320198254
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAF2
200000.00000000
PA
USD
205249.52000000
0.009250613641
Long
DBT
CORP
GB
N
2
2023-01-10
Fixed
3.57100000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DB1
273000.00000000
PA
USD
320440.50000000
0.014442281085
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.10000000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAC2
925000.00000000
PA
USD
1135169.00000000
0.051162165138
Long
DBT
CORP
IT
Y
2
2040-10-01
Fixed
5.70000000
N
N
N
N
N
N
Brookfield Finance, Inc.
N/A
Brookfield Finance, Inc.
11271LAB8
427000.00000000
PA
USD
507475.75000000
0.022871976001
Long
DBT
CORP
CA
N
2
2047-09-20
Fixed
4.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M8, Class A2
3136AW7J0
3815000.00000000
PA
USD
4199503.93000000
0.189272005811
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Variable
3.06100080
N
N
N
N
N
N
Exxon Mobil Corp.
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp.
30231GAY8
895000.00000000
PA
USD
899160.90000000
0.040525259632
Long
DBT
CORP
US
N
2
2039-08-16
Fixed
2.99500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CC1
1225000.00000000
PA
USD
1260600.62000000
0.056815379114
Long
DBT
CORP
DE
N
2
2024-09-18
Variable
2.22199920
N
N
N
N
N
N
Nutrition & Biosciences, Inc.
N/A
Nutrition & Biosciences, Inc.
67079BAD2
2030000.00000000
PA
USD
2037474.14000000
0.091829135939
Long
DBT
CORP
US
Y
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Trust
N/A
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class XC
55312VBD9
21261.56000000
PA
USD
13.42000000
0.000000604840
Long
ABS-MBS
CORP
US
Y
3
2049-12-12
Variable
0.53957160
N
N
N
N
N
N
Liberty Mutual Group, Inc.
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBG8
408000.00000000
PA
USD
483025.43000000
0.021769997961
Long
DBT
CORP
US
Y
2
2029-02-01
Fixed
4.56900000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBB8
475000.00000000
PA
USD
516728.25000000
0.023288986977
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.90000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BY4
725000.00000000
PA
USD
895236.39000000
0.040348381626
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
5.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284P2
1005600.00000000
PA
USD
1010879.06000000
0.045560406778
Long
DBT
UST
US
N
2
2021-05-15
Fixed
2.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1963, Class Z
3133TAA28
31037.94000000
PA
USD
35633.59000000
0.001606008987
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
7.50000000
N
N
N
N
N
N
Ohio State University (The)
JFC10ZULKO4X2E3HBY86
Ohio State University (The), General Receipts, Series 2016A
677632G96
325000.00000000
PA
USD
397715.50000000
0.017925072028
Long
DBT
MUN
US
N
2
2056-12-01
Fixed
4.04800000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AT7
1050000.00000000
PA
USD
1210793.94000000
0.054570587733
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
American Water Capital Corp.
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp.
03040WAX3
1096000.00000000
PA
USD
1179496.79000000
0.053160022472
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NFGD3
114912.88000000
PA
USD
119822.35000000
0.005400403691
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
1.99100160
N
Y
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAE0
175000.00000000
PA
USD
242581.97000000
0.010933190396
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3102, Class HS
31396H5V7
32746.72000000
PA
USD
47037.92000000
0.002120003127
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
24.15508200
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
783000.00000000
PA
USD
884713.86000000
0.039874130288
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L94G4
2662351.14000000
PA
USD
2912466.52000000
0.131265118282
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
3.03000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3085, Class WF
31396FSM6
107959.30000000
PA
USD
110171.16000000
0.004965423722
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
0.91225080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138NXRT6
1256136.90000000
PA
USD
1345554.10000000
0.060644239815
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Air Products and Chemicals, Inc.
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals, Inc.
009158AY2
1540000.00000000
PA
USD
1592487.57000000
0.071773552693
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
1.85000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAM1
790000.00000000
PA
USD
942435.30000000
0.042475640588
Long
DBT
CORP
US
N
2
2042-11-06
Fixed
4.40000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWL4
3776000.00000000
PA
USD
4241803.70000000
0.191178460109
Long
DBT
CORP
US
N
2
2028-06-05
Variable
3.69100080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-143, Class MA
31358QQP3
1482.32000000
PA
USD
1516.82000000
0.000068363208
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31283LA48
7751.43000000
PA
USD
8394.68000000
0.000378348954
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
10.00000000
N
N
N
N
N
N
HP, Inc.
WHKXQACZ14C5XRO8LW03
HP, Inc.
40434LAB1
665000.00000000
PA
USD
719156.93000000
0.032412465115
Long
DBT
CORP
US
N
2
2027-06-17
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912834KV9
500000.00000000
PA
USD
318940.04000000
0.014374655223
Long
DBT
UST
US
N
2
2041-11-15
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828P79
3000000.00000000
PA
USD
3081562.50000000
0.138886288745
Long
DBT
UST
US
N
2
2023-02-28
Fixed
1.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122DJ4
740000.00000000
PA
USD
988265.91000000
0.044541230149
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381TYT1
504209.17000000
PA
USD
513730.22000000
0.023153865505
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-16, Class FC
31396PXY2
72494.64000000
PA
USD
75194.96000000
0.003389043359
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.86762880
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833CR9
686000.00000000
PA
USD
758760.19000000
0.034197387473
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
3.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2095, Class PE
3133TGWC9
130574.35000000
PA
USD
147267.09000000
0.006637340499
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-31, Class DB
31397SHK3
1554890.56000000
PA
USD
1681305.96000000
0.075776605222
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1995-19, Class Z
31359LZB4
43722.03000000
PA
USD
47039.56000000
0.002120077042
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-44, Class ZQ
31358PKY2
105.24000000
PA
USD
106.96000000
0.000004820696
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1502, Class PX
312915HW4
34270.24000000
PA
USD
35850.46000000
0.001615783336
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8M27
3924424.52000000
PA
USD
4242698.68000000
0.191218796935
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
3.04000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2004-2, Class 30PO
06051GCR8
85689.14000000
PA
USD
71696.04000000
0.003231346731
Long
ABS-MBS
CORP
US
N
3
2034-09-20
None
0.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967EW7
223000.00000000
PA
USD
376495.64000000
0.016968691100
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325CU7
515000.00000000
PA
USD
554429.69000000
0.024988194143
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Schlumberger Holdings Corp.
529900IKZG65COT1D505
Schlumberger Holdings Corp.
806851AK7
1126000.00000000
PA
USD
1259771.04000000
0.056777989871
Long
DBT
CORP
US
Y
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
Leidos, Inc.
5493006I78VIN6J1BQ95
Leidos, Inc.
52532XAG0
465000.00000000
PA
USD
452472.90000000
0.020392992788
Long
DBT
CORP
US
Y
2
2031-02-15
Fixed
2.30000000
N
N
N
N
N
N
Banc of America Mortgage Trust
N/A
Banc of America Mortgage Trust, Series 2004-A, Class 2A2
05948XT27
40089.59000000
PA
USD
41022.41000000
0.001848883571
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.52681120
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2F9
1895000.00000000
PA
USD
2062464.75000000
0.092955464896
Long
DBT
CORP
US
N
2
2027-06-17
Variable
3.19600080
N
N
N
N
N
N
FNMA/FHLMC
N/A
FNMA/FHLMC UMBS, Single Family, 30 Year
01F020646
81600000.00000000
PA
USD
82251843.65000000
3.707097716507
Long
ABS-MBS
USGSE
US
N
2
2051-04-25
Fixed
2.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-2, Class MS
38374DPT0
109716.13000000
PA
USD
21403.29000000
0.000964648133
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
7.05261960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1686, Class SH
3133T4EV4
2033.67000000
PA
USD
2363.21000000
0.000106510079
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
18.95287680
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2013-2, Class A
48248XAA6
2421464.72490000
PA
USD
97071.68000000
0.004375029024
Long
ABS-O
CORP
US
Y
3
2039-03-25
Variable
1.78679160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31409JPF1
24848.72000000
PA
USD
24894.61000000
0.001122002228
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
2.41999920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H15, Class FA
38375BUB6
292.38000000
PA
USD
292.78000000
0.000013195619
Long
ABS-MBS
USGA
US
N
2
2062-05-20
Floating
0.59388120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-110
31396LVP2
365561.58000000
PA
USD
340868.92000000
0.015362991744
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308HA8
308000.00000000
PA
USD
294630.98000000
0.013279043784
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
3.75000000
N
N
N
N
N
N
Renew
N/A
Renew, Series 2017-1A, Class A
75973LAA6
587022.48000000
PA
USD
608321.83000000
0.027417117560
Long
ABS-O
CORP
KY
Y
2
2052-09-20
Fixed
3.67000000
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H4CL3
1467035.89000000
PA
USD
1611218.58000000
0.072617760935
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 383, Class 33
3136FFPE3
137316.96000000
PA
USD
26306.70000000
0.001185645247
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
6.00000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308HL4
525000.00000000
PA
USD
534885.76000000
0.024107347525
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.30000000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAH3
149000.00000000
PA
USD
168389.74000000
0.007589340164
Long
DBT
CORP
US
N
2
2025-05-25
Fixed
4.41700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 345, Class 6
3136FCCH7
49707.09000000
PA
USD
6846.33000000
0.000308564686
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Variable
5.00000040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4QU0
2500000.00000000
PA
USD
2645370.85000000
0.119227093304
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
3.59000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBG4
1090000.00000000
PA
USD
1044655.88000000
0.047082730981
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.87500000
N
N
N
N
N
N
Verizon Owner Trust
549300DBBHVB9QKK8Q94
Verizon Owner Trust, Series 2018-A, Class A1A
92348XAA3
1408563.15000000
PA
USD
1425976.23000000
0.064268872178
Long
ABS-O
CORP
US
N
2
2023-04-20
Fixed
3.23000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-130, Class CP
38377LK72
128351.99000000
PA
USD
153651.84000000
0.006925101735
Long
ABS-MBS
USGA
US
N
2
2040-10-16
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2141
3133TKGP9
15348.70000000
PA
USD
1452.84000000
0.000065479624
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1498, Class I
312915RW3
21322.40000000
PA
USD
21476.81000000
0.000967961686
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Floating
1.26225000
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2012-2, Class A
48247KAA5
2470401.91000000
PA
USD
50974.27000000
0.002297414763
Long
ABS-O
CORP
US
Y
3
2038-08-25
Variable
0.75958200
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
5365000.00000000
PA
USD
5519243.75000000
0.248752793791
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBC3
630000.00000000
PA
USD
617814.49000000
0.027844952568
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-132, Class OA
31393UVB6
17862.31000000
PA
USD
17394.50000000
0.000783971621
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2399, Class OH
31339MTG3
99970.32000000
PA
USD
117051.86000000
0.005275537467
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-72, Class TO
31396KHT2
36661.18000000
PA
USD
33560.27000000
0.001512564275
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828G38
400000.00000000
PA
USD
426703.12000000
0.019231546571
Long
DBT
UST
US
N
2
2024-11-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
3136195D6
10919.22900000
PA
USD
11056.96000000
0.000498338144
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Variable
2.29500000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCV4
1445000.00000000
PA
USD
1682003.32000000
0.075808035297
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
4.27200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVZ64
5456000.00000000
PA
USD
5778075.15000000
0.260418347405
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
2.24000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CX40
4459.77000000
PA
USD
5004.58000000
0.000225556854
Long
ABS-MBS
USGA
US
N
2
2027-10-20
Fixed
8.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822BK9
760000.00000000
PA
USD
856248.87000000
0.038591210724
Long
DBT
CORP
JP
N
2
2039-07-18
Fixed
3.75100000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LJ7
1905000.00000000
PA
USD
1902059.42000000
0.085725982782
Long
DBT
UST
US
N
2
2022-08-15
None
0.00000000
N
N
N
N
N
N
BP Capital Markets America, Inc.
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QBP4
1995000.00000000
PA
USD
1823388.09000000
0.082180259125
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.93900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1370, Class JA
3129115U0
3185.59000000
PA
USD
3187.88000000
0.000143678027
Long
ABS-MBS
USGSE
US
N
2
2022-09-15
Floating
1.26225000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286U9
50000000.00000000
PA
USD
51218750.00000000
2.308433498163
Long
DBT
UST
US
N
2
2022-05-15
Fixed
2.12500000
N
N
N
N
N
N
VOLT XCIII LLC
N/A
Vericrest Opportunity Loan Transferee, Series 2021-NPL2, Class A1
92873CAA2
7155000.00000000
PA
USD
7151008.23000000
0.322296560220
Long
ABS-MBS
CORP
US
Y
2
2051-03-27
Variable
1.89249840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-62, Class SA
31358UVD5
3313.28000000
PA
USD
3664.37000000
0.000165153473
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
19.45999800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-19, Class SD
38375JTV7
364684.46000000
PA
USD
37399.30000000
0.001685589689
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Floating
6.08887080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2038, Class PN
3133TDA22
33707.58000000
PA
USD
4793.20000000
0.000216029939
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
Mondelez International, Inc.
609207AU9
370000.00000000
PA
USD
377008.94000000
0.016991825575
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
585000.00000000
PA
USD
710793.53000000
0.032035525953
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JT9
865000.00000000
PA
USD
971535.81000000
0.043787203093
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-91, Class WA
38378TTL4
692720.93000000
PA
USD
764487.86000000
0.034455534056
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Variable
4.48302960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31404ADZ4
402395.60000000
PA
USD
432715.34000000
0.019502517847
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CX
9393367B3
779278.73000000
PA
USD
137127.57000000
0.006180351455
Long
ABS-MBS
CORP
US
N
3
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390RK44
7804.35000000
PA
USD
8182.90000000
0.000368804011
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
7.00000000
N
N
N
N
N
N
Martin Marietta Materials, Inc.
5299005MZ4WZECVATV08
Martin Marietta Materials, Inc.
573284AQ9
770000.00000000
PA
USD
854329.16000000
0.038504689228
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-7, Class PF
31359SDC1
23649.69000000
PA
USD
28181.60000000
0.001270147152
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Fixed
7.00000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAD7
390000.00000000
PA
USD
405531.61000000
0.018277344782
Long
DBT
CORP
IE
N
2
2023-01-23
Fixed
3.30000000
N
N
N
N
N
N
RFMSI Trust
N/A
RFMSI Trust, Series 2004-S9, Class 2A1
76111XRG0
12.72000000
PA
USD
13.04000000
0.000000587713
Long
ABS-MBS
CORP
US
N
2
2019-12-25
Fixed
4.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SP4
565000.00000000
PA
USD
471686.72000000
0.021258961319
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LJJ5
72224.94000000
PA
USD
76884.40000000
0.003465186566
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
2.64700080
N
Y
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325CX1
581000.00000000
PA
USD
641097.19000000
0.028894305873
Long
DBT
NUSS
CO
N
2
2026-01-28
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402TVS1
29923.82000000
PA
USD
35000.91000000
0.001577494044
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2020-3, Class B
21873CAG8
2855000.00000000
PA
USD
2742725.70000000
0.123614884825
Long
ABS-O
CORP
US
Y
3
2053-08-15
Fixed
2.20300000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A
92922FBX5
68695.58000000
PA
USD
67644.52000000
0.003048744374
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.78028000
N
N
N
N
N
N
Qwest Corp.
549300R2L4N683OO1509
Qwest Corp.
74913GAX3
741000.00000000
PA
USD
769713.75000000
0.034691065371
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
6.75000000
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060AW6
895000.00000000
PA
USD
1084611.98000000
0.048883555868
Long
DBT
CORP
JP
N
2
2028-11-26
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406QGE1
16845.71000000
PA
USD
16780.84000000
0.000756313912
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Variable
1.91999880
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-43, Class SA
38374UF97
203155.99000000
PA
USD
28268.30000000
0.001274054729
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Floating
5.83886880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3256
31397EBP9
116163.98000000
PA
USD
107072.30000000
0.004825757833
Long
ABS-MBS
USGSE
US
N
2
2036-12-15
None
0.00000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1
59020UAR6
110132.71000000
PA
USD
109715.46000000
0.004944885283
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
0.57763080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381E7J6
5286.80000000
PA
USD
5308.80000000
0.000239268075
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
7.00000000
N
N
N
N
N
N
Masco Corp.
5GCSNMQXHEYA1JO8QN11
Masco Corp.
574599AY2
600000.00000000
PA
USD
792696.55000000
0.035726902157
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-225, Class UB
31359GDE3
10788.03000000
PA
USD
11494.26000000
0.000518047293
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Fixed
6.50000000
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
124857AJ2
140000.00000000
PA
USD
168126.43000000
0.007577472760
Long
DBT
CORP
US
N
2
2042-07-01
Fixed
4.85000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-27, Class SA
38375JJ55
310522.60000000
PA
USD
45108.93000000
0.002033063381
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
6.08887080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3315, Class HZ
31397H3E6
192628.52000000
PA
USD
220741.75000000
0.009948849789
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Fixed
6.00000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR3, Class E
02665XAE9
2380000.00000000
PA
USD
2644625.77000000
0.119193512484
Long
ABS-O
CORP
US
Y
3
2036-12-17
Fixed
6.41800000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H28, Class FA
38375BYE6
9222.67000000
PA
USD
9249.98000000
0.000416897399
Long
ABS-MBS
USGA
US
N
2
2062-09-20
Floating
0.72388080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8K52
3000000.00000000
PA
USD
3341908.38000000
0.150620100103
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
3.34000000
N
N
N
N
N
N
Freedom Frn
N/A
Freedom Frn
N/A
4400000.00000000
PA
USD
4400000.00000000
0.198308381050
Long
ABS-MBS
CORP
US
N
3
2021-06-25
Fixed
0.00000000
N
N
N
N
N
N
Hanover Insurance Group, Inc. (The)
JJYR6MFKFF6CF8DBZ078
Hanover Insurance Group, Inc. (The)
410867AG0
500000.00000000
PA
USD
510538.45000000
0.023010012155
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325BK0
200000.00000000
PA
USD
265312.50000000
0.011957657351
Long
DBT
NUSS
CO
N
2
2037-09-18
Fixed
7.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132G7H73
408808.27000000
PA
USD
431922.83000000
0.019466799353
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
3.00000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2006-A4, Class 2A5
45661EDV3
244955.01580000
PA
USD
246960.32000000
0.011130523009
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-109
31396LQW3
57641.47000000
PA
USD
52909.20000000
0.002384622226
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
DataBank Issuer
N/A
DataBank Issuer, Series 2021-1A, Class A2
23802WAA9
2700000.00000000
PA
USD
2700000.00000000
0.121689233826
Long
ABS-O
CORP
US
Y
2
2051-02-27
Fixed
2.06000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-7, Class SG
31396PRZ6
784962.10000000
PA
USD
232624.77000000
0.010484418529
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Floating
6.38237160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202C5F6
11220.13000000
PA
USD
12650.00000000
0.000570136595
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
7.50000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AS9
800000.00000000
PA
USD
930175.46000000
0.041923088537
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
4.35000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31283YKV9
84557.37000000
PA
USD
93187.46000000
0.004199966892
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-37T1, Class A2
12667G2U6
2597204.24000000
PA
USD
381124.14000000
0.017177297996
Long
ABS-MBS
CORP
US
N
3
2035-09-25
Floating
4.93237080
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAP4
1085000.00000000
PA
USD
1222526.22000000
0.055099362609
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
4.75000000
N
N
N
N
N
N
General Mills, Inc.
2TGYMUGI08PO8X8L6150
General Mills, Inc.
370334CF9
490000.00000000
PA
USD
546238.05000000
0.024618996218
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
4.00000000
N
N
N
N
N
N
Dollar General Corp.
OPX52SQVOZI8IVSWYU66
Dollar General Corp.
256677AF2
235000.00000000
PA
USD
273234.09000000
0.012314684099
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.12500000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAU6
1000000.00000000
PA
USD
1053001.61000000
0.047458873755
Long
DBT
CORP
FR
Y
2
2024-10-16
Fixed
2.62500000
N
N
N
N
N
N
American Water Capital Corp.
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp.
03040WAU9
795000.00000000
PA
USD
887895.99000000
0.040017549163
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.45000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-1, Class A
90931EAA2
843320.06000000
PA
USD
862827.49000000
0.038887709697
Long
ABS-O
CORP
US
N
2
2031-08-25
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402REL9
411149.60000000
PA
USD
436814.89000000
0.019687284921
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
2.68400160
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBG9
900000.00000000
PA
USD
1066424.36000000
0.048063838260
Long
DBT
CORP
US
N
2
2055-05-15
Fixed
4.37500000
N
N
N
N
N
N
MidMichigan Health
N/A
MidMichigan Health, Series 2020
597861AA1
310000.00000000
PA
USD
321228.26000000
0.014477785497
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.40900000
N
N
N
N
N
N
Schlumberger Investment SA
529900EZ29I5KXPV2J32
Schlumberger Investment SA
806854AJ4
800000.00000000
PA
USD
831906.06000000
0.037494078169
Long
DBT
CORP
LU
N
2
2030-06-26
Fixed
2.65000000
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
929619.42570000
PA
USD
886371.95000000
0.039948860548
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-124, Class HB
31396PGJ4
519852.40000000
PA
USD
529748.47000000
0.023875809420
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
2.24409960
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBK2
100000.00000000
PA
USD
123117.15000000
0.005548900612
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
4.65000000
N
N
N
N
N
N
Deutsche Telekom International Finance BV
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PBA0
175000.00000000
PA
USD
195545.24000000
0.008813240901
Long
DBT
CORP
NL
Y
2
2027-01-19
Fixed
3.60000000
N
N
N
N
N
N
Boardwalk Pipelines LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AG3
410000.00000000
PA
USD
465781.01000000
0.020992790458
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
4.80000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83367TBG3
370000.00000000
PA
USD
407092.19000000
0.018347680258
Long
DBT
CORP
FR
Y
2
2024-01-17
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RC4
5214400.00000000
PA
USD
6713132.65000000
0.302561469908
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2019, Class Z
3133TCC63
39303.11000000
PA
USD
44314.46000000
0.001997256549
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
6.50000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CY9
940000.00000000
PA
USD
1095346.48000000
0.049367360713
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31400FEM5
126203.60000000
PA
USD
127220.92000000
0.005733857882
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
2.63400120
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
37053.72730000
PA
USD
38109.49000000
0.001717598014
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
3.62403360
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-57
38375LUK4
118324.92000000
PA
USD
114178.27000000
0.005146024517
Long
ABS-MBS
USGA
US
N
2
2037-03-20
None
0.00000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
600000.00000000
PA
USD
595508.98000000
0.026839641301
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.74900000
N
N
N
N
N
N
Parker-Hannifin Corp.
5493002CONDB4N2HKI23
Parker-Hannifin Corp.
70109HAN5
592000.00000000
PA
USD
721768.24000000
0.032530157083
Long
DBT
CORP
US
N
2
2044-11-21
Fixed
4.45000000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAG8
545000.00000000
PA
USD
575249.54000000
0.025926546585
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
3.91000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAK7
1000000.00000000
PA
USD
1106679.45000000
0.049878138652
Long
DBT
CORP
KY
Y
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority STRIPS
88059FBM2
800000.00000000
PA
USD
579059.16000000
0.026098246489
Long
DBT
USGA
US
N
2
2035-06-15
None
0.00000000
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
644.71300000
PA
USD
589.71000000
0.000026578280
Long
ABS-MBS
CORP
US
N
3
2033-06-25
None
0.00000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
549300JDZNIORD1CFR68
Credit Acceptance Auto Loan Trust, Series 2018-3A, Class B
22534DAC4
2097000.00000000
PA
USD
2147053.29000000
0.096767877720
Long
ABS-O
CORP
US
Y
2
2027-10-15
Fixed
3.89000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2054, Class PV
3133TE4B7
51588.44000000
PA
USD
59423.05000000
0.002678202009
Long
ABS-MBS
USGSE
US
N
2
2028-05-15
Fixed
7.50000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1996-2, Class 1Z
911760HH2
138638.79000000
PA
USD
155676.75000000
0.007016364604
Long
ABS-MBS
USGSE
US
N
2
2026-06-15
Fixed
6.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-116, Class SB
31393T4W3
398062.64000000
PA
USD
78809.36000000
0.003551944680
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Floating
7.48236960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LG3
11793000.00000000
PA
USD
11785743.18000000
0.531184465795
Long
DBT
UST
US
N
2
2022-02-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1343, Class LB
312911GX2
1683.67000000
PA
USD
1745.23000000
0.000078657667
Long
ABS-MBS
USGSE
US
N
2
2022-08-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58, Class FL
31395NC96
30219.34000000
PA
USD
30518.17000000
0.001375456564
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
0.57763080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-230, Class FA
31359FE38
3959.47000000
PA
USD
3943.50000000
0.000177733886
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
0.73000080
N
N
N
N
N
N
7-Eleven, Inc.
549300K23JPL0SS3LB18
7-Eleven, Inc.
817826AF7
574000.00000000
PA
USD
529435.66000000
0.023861711046
Long
DBT
CORP
US
Y
2
2041-02-10
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHP98
68109.53000000
PA
USD
68570.76000000
0.003090490091
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
2.74200120
N
Y
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR2, Class A
02665UAA3
3564530.83000000
PA
USD
3826633.28000000
0.172466693324
Long
ABS-O
CORP
US
Y
2
2036-10-17
Fixed
3.78600000
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AH9
783000.00000000
PA
USD
869086.05000000
0.039169783538
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.00000000
N
N
N
N
N
N
Synchrony Card Funding LLC
N/A
Synchrony Card Funding LLC, Series 2019-A1, Class A
87166PAE1
4681000.00000000
PA
USD
4813467.15000000
0.216943381308
Long
ABS-O
CORP
US
N
2
2025-03-15
Fixed
2.95000000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAB9
840000.00000000
PA
USD
835780.81000000
0.037668713487
Long
DBT
CORP
GB
Y
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AB4
729000.00000000
PA
USD
747945.60000000
0.033709972965
Long
DBT
CORP
CH
Y
2
2023-01-09
Fixed
3.57400000
N
N
N
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585ABH4
180000.00000000
PA
USD
204732.94000000
0.009227331336
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class PD
3139204E7
28423.28700000
PA
USD
33624.59000000
0.001515463183
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-30, Class PM
313920BG4
74930.33000000
PA
USD
89822.61000000
0.004048312811
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
7.00000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey, Consolidated, Series 174
73358WJA3
2060000.00000000
PA
USD
2641476.20000000
0.119051561092
Long
DBT
MUN
US
N
2
2062-10-01
Fixed
4.45800000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1970, Class PG
3133TAK43
2869.79000000
PA
USD
3283.04000000
0.000147966897
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-48, Class Z
313920YX2
15358.14000000
PA
USD
15473.75000000
0.000697403252
Long
ABS-MBS
USGSE
US
N
2
2021-09-25
Fixed
6.50000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BZ6
503000.00000000
PA
USD
622541.84000000
0.028058014642
Long
DBT
CORP
US
N
2
2037-02-06
Fixed
4.10000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AM1
400000.00000000
PA
USD
452758.81000000
0.020405878776
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAQ1
1765000.00000000
PA
USD
1884466.74000000
0.084933079171
Long
DBT
CORP
US
N
2
2024-04-24
Variable
3.73700160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1602, Class SA
3133T1D82
9844.45000000
PA
USD
11845.98000000
0.000533899344
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Floating
22.33887480
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31288LGJ4
54125.09000000
PA
USD
58032.00000000
0.002615507265
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC - GNMA, Series 8, Class ZA
3129145M2
14245.39000000
PA
USD
14719.95000000
0.000663429421
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128K7XQ6
429807.85000000
PA
USD
499351.54000000
0.022505817152
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
Park Aerospace Holdings Ltd.
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd.
70014LAB6
900000.00000000
PA
USD
979612.75000000
0.044151231479
Long
DBT
CORP
KY
Y
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
BAMLL Re-REMIC Trust
N/A
BAMLL Re-REMIC Trust, Series 2016-FR16, Class A
05523HAA7
2600000.00000000
PA
USD
2595457.80000000
0.116977507818
Long
ABS-MBS
CORP
US
Y
2
2021-05-27
Variable
0.48681360
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBG9
1069000.00000000
PA
USD
1151049.74000000
0.051877911465
Long
DBT
CORP
US
N
2
2025-02-05
Fixed
3.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2474, Class NR
31392R3C3
100731.15000000
PA
USD
115812.93000000
0.005219698784
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SK5
3700000.00000000
PA
USD
3910148.46000000
0.176230729720
Long
DBT
UST
US
N
2
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2015-A, Class B2
17323MAD7
383910.95000000
PA
USD
404318.97000000
0.018222690992
Long
ABS-MBS
CORP
US
Y
2
2058-06-25
Variable
4.50000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAK6
312000.00000000
PA
USD
340799.34000000
0.015359855767
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CYW7
2754.96000000
PA
USD
3113.42000000
0.000140322109
Long
ABS-MBS
USGA
US
N
2
2027-12-20
Fixed
8.00000000
N
N
N
N
N
N
FirstKey Homes Trust
N/A
FirstKey Homes Trust, Series 2020-SFR2, Class E
33767JAJ1
3000000.00000000
PA
USD
3066388.20000000
0.138202381730
Long
ABS-O
CORP
US
Y
3
2037-10-19
Fixed
2.66800000
N
N
N
N
N
N
Memorial Health Services
549300FTIZOMIONZZ882
Memorial Health Services
58601VAC6
1340000.00000000
PA
USD
1429741.86000000
0.064438589449
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.44700000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DQ0
1238000.00000000
PA
USD
1196528.32000000
0.053927635004
Long
DBT
CORP
US
N
2
2031-02-28
Fixed
1.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-36, Class SE
38375KHZ8
192220.36000000
PA
USD
25019.98000000
0.001127652665
Long
ABS-MBS
USGA
US
N
2
2037-06-16
Floating
6.36261840
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2018-2, Class B
12326RAB8
1477417.80000000
PA
USD
1502442.01000000
0.067715191505
Long
ABS-O
CORP
US
Y
2
2033-06-15
Fixed
5.43700000
N
N
N
N
N
N
Roper Technologies, Inc.
54930003T4SXCIWVXY35
Roper Technologies, Inc.
776743AJ5
570000.00000000
PA
USD
561010.93000000
0.025284811199
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
2.00000000
N
N
N
N
N
N
Pacific Life Insurance Co.
8WC3XYHE06SQFW7CQK10
Pacific Life Insurance Co.
69448FAA9
266000.00000000
PA
USD
300580.00000000
0.013547166630
Long
DBT
CORP
US
Y
2
2067-10-24
Variable
4.29999840
N
N
N
N
N
N
Texas Eastern Transmission LP
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AD2
90000.00000000
PA
USD
97866.60000000
0.004410856137
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
Synchrony Card Issuance Trust
N/A
Synchrony Card Issuance Trust, Series 2018-A1, Class A
87166PAA9
2600000.00000000
PA
USD
2644728.84000000
0.119198157858
Long
ABS-O
CORP
US
N
2
2024-09-15
Fixed
3.38000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31385WZX0
256531.91000000
PA
USD
257668.99000000
0.011613163694
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Variable
1.65499920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31418AHQ4
450123.42000000
PA
USD
488325.73000000
0.022008882941
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31418MEF5
29264.58000000
PA
USD
30669.10000000
0.001382258993
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2008-2, Class 1A6
52522UAF0
526673.73000000
PA
USD
300177.53000000
0.013529027273
Long
ABS-MBS
CORP
US
N
2
2038-03-25
Fixed
6.00000000
N
N
N
N
N
N
HERO
N/A
HERO, Series 2018-1ASI, Class A
42772AAA3
614906.16000000
PA
USD
584160.85000000
0.026328180099
Long
ABS-O
CORP
KY
Y
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418AHB7
712147.92000000
PA
USD
780877.59000000
0.035194220607
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 2004-3, Class 2A1
576434NV2
178911.59000000
PA
USD
183195.14000000
0.008256620824
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Fixed
6.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-42, Class AO
31397LPC7
58727.86000000
PA
USD
53915.98000000
0.002429997887
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YXX4
92704.00000000
PA
USD
93237.62000000
0.004202227607
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
2.01899880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128283C2
1650000.00000000
PA
USD
1701433.60000000
0.076683759700
Long
DBT
UST
US
N
2
2022-10-31
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-42, Class ZC
31359PX84
5476.36000000
PA
USD
6106.92000000
0.000275239413
Long
ABS-MBS
USGSE
US
N
2
2027-07-18
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2535, Class BK
31393GQV9
16185.34000000
PA
USD
16535.60000000
0.000745260924
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292J5V8
131881.85000000
PA
USD
156075.00000000
0.007034313766
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2423, Class MT
31339WCD6
107496.13000000
PA
USD
128183.79000000
0.005777254516
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-118, Class MT
3136A12F1
334029.72000000
PA
USD
405376.80000000
0.018270367482
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
7.00000000
N
N
N
N
N
N
VOLT LXXXV LLC
N/A
VOLT LXXXV LLC, Series 2020-NPL1, Class A1A
91834TAA5
1727923.96000000
PA
USD
1734557.63000000
0.078176662600
Long
ABS-O
CORP
US
Y
3
2050-01-25
Variable
3.22819920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class PU
3139204T4
25918.71000000
PA
USD
30994.57000000
0.001396927954
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
SART
N/A
SART
N/A
2259314.89000000
PA
USD
2286144.25000000
0.103036719332
Long
ABS-MBS
CORP
US
N
2
2024-07-15
Fixed
4.75000000
N
N
N
N
N
N
Reynolds American, Inc.
02S2RPPVO9RP4NEU2740
Reynolds American, Inc.
761713BW5
100000.00000000
PA
USD
132675.55000000
0.005979698528
Long
DBT
CORP
US
N
2
2041-08-04
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-28, Class S
38374GDC3
167385.03000000
PA
USD
241268.92000000
0.010874011118
Long
ABS-MBS
USGA
US
N
2
2034-04-16
Floating
19.36720080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RJ9
8200000.00000000
PA
USD
9611296.92000000
0.433181984545
Long
DBT
UST
US
N
2
2044-11-15
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-72, Class US
38375LV72
203049.92000000
PA
USD
27368.57000000
0.001233503820
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
6.43887000
N
N
N
N
N
N
Halliburton Co.
ENYF8GB5SMQZ25S06U51
Halliburton Co.
406216BE0
540000.00000000
PA
USD
602630.04000000
0.027160588091
Long
DBT
CORP
US
N
2
2043-08-01
Fixed
4.75000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GGT0
526000.00000000
PA
USD
567499.55000000
0.025577253865
Long
DBT
CORP
US
N
2
2025-10-01
Variable
3.09300120
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368JKF6
1950000.00000000
PA
USD
2152545.04000000
0.097015391368
Long
DBT
CORP
FR
Y
2
2026-08-19
Fixed
4.25000000
N
N
N
N
N
N
Southern Natural Gas Co. LLC
N/A
Southern Natural Gas Co. LLC
84346LAA8
367000.00000000
PA
USD
416932.68000000
0.018791191994
Long
DBT
CORP
US
Y
2
2047-03-15
Fixed
4.80000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series 2010-D
649902T37
360000.00000000
PA
USD
486644.40000000
0.021933105252
Long
DBT
MUN
US
N
2
2040-03-15
Fixed
5.60000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128LXDY3
193078.84000000
PA
USD
211524.24000000
0.009533415815
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.00000000
N
N
N
N
N
N
Southern Co. Gas Capital Corp.
E8CD46SWUD2TSN8PA636
Southern Co. Gas Capital Corp.
001192AM5
254000.00000000
PA
USD
278567.66000000
0.012555068560
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.25000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp.
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp.
637432NL5
306000.00000000
PA
USD
326207.10000000
0.014702182247
Long
DBT
CORP
US
N
2
2024-02-07
Fixed
2.95000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400FV0
552000.00000000
PA
USD
592765.38000000
0.026715987011
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.05000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-46, Class MG
38373Q2Q3
354151.85000000
PA
USD
398823.57000000
0.017975012838
Long
ABS-MBS
USGA
US
N
2
2033-05-20
Fixed
6.50000000
N
N
N
N
N
N
PECO Energy Co.
YH65D4JBECK76IFEJ279
PECO Energy Co.
693304AY3
410000.00000000
PA
USD
397332.05000000
0.017907789903
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L7EW2
9581739.90000000
PA
USD
10604426.12000000
0.477942403596
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2006-A2, Class 5A3
466247K93
259236.43000000
PA
USD
270922.24000000
0.012210488819
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
2.53621080
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AN9
840000.00000000
PA
USD
815080.80000000
0.036735762243
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.80000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAB8
526000.00000000
PA
USD
569621.76000000
0.025672902053
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.75000000
N
N
N
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
06738EAE5
1000000.00000000
PA
USD
1083864.00000000
0.048849844345
Long
DBT
CORP
GB
N
2
2025-03-16
Fixed
3.65000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJZ6
646000.00000000
PA
USD
649078.29000000
0.029254014741
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3179, Class OA
31396UFA3
151672.35000000
PA
USD
137159.91000000
0.006181809022
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3131, Class BK
31396JMX0
304314.69000000
PA
USD
325556.74000000
0.014672870465
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
5.50000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2005-E, Class 4A1
05946XXQ1
21462.61000000
PA
USD
21872.42000000
0.000985791863
Long
ABS-MBS
CORP
US
N
2
2035-03-20
Variable
2.99764800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WSPZ5
693654.69000000
PA
USD
749837.88000000
0.033795258189
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBP9
500000.00000000
PA
USD
562161.99000000
0.025336689573
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
Natwest Group plc
2138005O9XJIJN4JPN90
Natwest Group plc
780097BG5
290000.00000000
PA
USD
339331.20000000
0.015293686570
Long
DBT
CORP
GB
N
2
2029-05-18
Variable
4.89200040
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1
589929Y36
64441.57000000
PA
USD
65227.18000000
0.002939794651
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
0.73762920
N
N
N
N
N
N
Pennsylvania Electric Co.
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co.
708696BY4
150000.00000000
PA
USD
155893.57000000
0.007026136700
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31416BYW2
62851.50000000
PA
USD
65313.77000000
0.002943697270
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent, Series 2015-SFR1, Class E
02666AAE8
1275000.00000000
PA
USD
1387639.24000000
0.062541020719
Long
ABS-O
CORP
US
Y
3
2052-04-17
Fixed
5.63900000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2005-4, Class 2A1
45254NPE1
103206.24000000
PA
USD
103093.39000000
0.004646428015
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.71763120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-128
3136AHNE6
1767708.01000000
PA
USD
1570355.61000000
0.070776063339
Long
ABS-MBS
USGSE
US
N
2
2043-12-25
None
0.00000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VER1
962000.00000000
PA
USD
1119440.85000000
0.050453296055
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92553PAU6
230000.00000000
PA
USD
305121.81000000
0.013751866400
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.85000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AC2
1162000.00000000
PA
USD
1320515.54000000
0.059515749747
Long
DBT
CORP
CH
Y
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
Chase Funding Trust
N/A
Chase Funding Trust, Series 2003-6, Class 1A7
161546HC3
373719.04420000
PA
USD
393384.48000000
0.017729872581
Long
ABS-O
CORP
US
N
3
2034-11-25
Variable
5.27699880
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
2027A0HR3
832000.00000000
PA
USD
946947.47000000
0.042679004480
Long
DBT
CORP
AU
Y
2
2025-12-09
Fixed
4.50000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAJ1
1000000.00000000
PA
USD
1040781.20000000
0.046908098818
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8
92922FEV6
278496.29000000
PA
USD
286762.48000000
0.012924409807
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.25000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust, Series 2018-B, Class A3
98162QAC4
2958316.54000000
PA
USD
2992960.50000000
0.134892988932
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.87000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAH8
600000.00000000
PA
USD
615759.10000000
0.027752315963
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45000000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAS2
750000.00000000
PA
USD
807401.04000000
0.036389634795
Long
DBT
CORP
NL
Y
2
2024-03-16
Fixed
3.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292J5A4
80438.64000000
PA
USD
93914.12000000
0.004232717521
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
7.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2Q5
1120000.00000000
PA
USD
1149521.35000000
0.051809026795
Long
DBT
CORP
US
N
2
2041-04-30
Variable
3.06799920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-17, Class SI
31358UWA0
8449.08000000
PA
USD
8831.26000000
0.000398025653
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
6.00000120
N
N
N
N
N
N
AIG SunAmerica Global Financing X
549300Q3UB1GMKCGGR05
AIG SunAmerica Global Financing X
00139PAA6
520000.00000000
PA
USD
745677.98000000
0.033607771136
Long
DBT
CORP
US
Y
2
2032-03-15
Fixed
6.90000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners I LLC
N/A
Pretium Mortgage Credit Partners I LLC, Series 2020-CFL1, Class A1
74142FAA8
3354327.02000000
PA
USD
3357463.32000000
0.151321162596
Long
ABS-MBS
CORP
US
Y
2
2060-02-27
Variable
3.10489920
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAM1
265000.00000000
PA
USD
287226.84000000
0.012945338553
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.40000000
N
N
N
N
N
N
ASB Bank Ltd.
549300IBZWZL1KTPF918
ASB Bank Ltd.
00216LAC7
905000.00000000
PA
USD
975845.80000000
0.043981454716
Long
DBT
CORP
NZ
Y
2
2024-05-23
Fixed
3.12500000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
400000.00000000
PA
USD
544272.14000000
0.024530392485
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
Markel Corp.
549300SCNO12JLWIK605
Markel Corp.
570535AR5
200000.00000000
PA
USD
220182.99000000
0.009923666427
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-25, Class SA
31393XRE9
181131.49000000
PA
USD
261264.31000000
0.011775205077
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Floating
19.20151800
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAT9
815000.00000000
PA
USD
886301.16000000
0.039945670036
Long
DBT
CORP
FR
Y
2
2024-03-28
Fixed
3.87500000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A
12669FYY3
199676.14000000
PA
USD
204222.95000000
0.009204346042
Long
ABS-MBS
CORP
US
N
2
2034-06-20
Variable
3.00569400
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1999-1, Class 2Z
911760MJ2
668818.60000000
PA
USD
747419.17000000
0.033686246720
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.50000000
N
N
N
N
N
N
Brookfield Finance, Inc.
N/A
Brookfield Finance, Inc.
11271LAD4
411000.00000000
PA
USD
488770.26000000
0.022028917946
Long
DBT
CORP
CA
N
2
2029-03-29
Fixed
4.85000000
N
N
N
N
N
N
Deutsche Telekom International Finance BV
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PAR4
232000.00000000
PA
USD
291105.90000000
0.013120168123
Long
DBT
CORP
NL
Y
2
2042-03-06
Fixed
4.87500000
N
N
N
N
N
N
Ohio University
549300P1K3IH2L5SFY61
Ohio University, General Receipts
677704A65
200000.00000000
PA
USD
266046.00000000
0.011990716260
Long
DBT
MUN
US
N
2
2114-12-01
Fixed
5.59000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-118, Class A2
31396L4T4
190376.89000000
PA
USD
188582.30000000
0.008499420592
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
0.19000080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2075, Class PH
3133TGCG2
100778.50000000
PA
USD
114864.22000000
0.005176940342
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJD2
590000.00000000
PA
USD
594239.90000000
0.026782443755
Long
DBT
CORP
US
N
2
2026-06-19
Variable
1.31900040
N
N
N
N
N
N
Hartford Financial Services Group, Inc. (The)
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group, Inc. (The)
416515BB9
400000.00000000
PA
USD
474882.80000000
0.021403008921
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Whole Loan, Series 2007-106, Class A7
31396XF25
114031.24000000
PA
USD
132151.70000000
0.005956088563
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
6.24999960
N
N
N
N
N
N
Cargill, Inc.
QXZYQNMR4JZ5RIRN4T31
Cargill, Inc.
141781BM5
1417000.00000000
PA
USD
1435162.17000000
0.064682883290
Long
DBT
CORP
US
Y
2
2030-04-23
Fixed
2.12500000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGA2
1000000.00000000
PA
USD
1089120.87000000
0.049086771931
Long
DBT
CORP
US
N
2
2024-09-09
Fixed
3.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418BA63
1893483.35000000
PA
USD
2124146.24000000
0.095735454992
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3318, Class AO
31397HCU0
9188.75000000
PA
USD
8619.28000000
0.000388471696
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-59, Class F
31358QZF5
694.60000000
PA
USD
695.09000000
0.000031327766
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Floating
1.15999920
N
N
N
N
N
N
CNA Financial Corp.
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117AS9
463000.00000000
PA
USD
505971.28000000
0.022804169407
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-66, Class SB
31359U4D4
14641.94000000
PA
USD
740.18000000
0.000033359976
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Floating
8.03237040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140HNWP3
3033270.96000000
PA
USD
3333183.41000000
0.150226864950
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
Eastern Energy Gas Holdings LLC
549300BFOD6TDMVV4O24
Eastern Energy Gas Holdings LLC, Series C
257375AQ8
807000.00000000
PA
USD
859043.31000000
0.038717156376
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.90000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAB3
300000.00000000
PA
USD
336943.51000000
0.015186073175
Long
DBT
CORP
CH
Y
2
2025-09-24
Fixed
4.12500000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAC4
215000.00000000
PA
USD
274167.11000000
0.012356735391
Long
DBT
CORP
US
N
2
2038-05-25
Fixed
4.98500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1573, Class PZ
3133T0R71
27787.45000000
PA
USD
29417.51000000
0.001325849723
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CL4
615000.00000000
PA
USD
682953.39000000
0.030780768432
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-15, Class NO
31396PXT3
4837.41000000
PA
USD
4829.60000000
0.000217670490
Long
ABS-MBS
USGSE
US
N
2
2022-03-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381TNR7
882997.55000000
PA
USD
971497.58000000
0.043785480064
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
3.64000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H16, Class FG
38376RDY9
2111077.16000000
PA
USD
2113574.56000000
0.095258988459
Long
ABS-MBS
USGA
US
N
2
2065-07-20
Floating
0.58388040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405XXV0
245554.06000000
PA
USD
246743.16000000
0.011120735589
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
1.99500120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJX5
386211.45000000
PA
USD
389123.50000000
0.017537829844
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
2.34200160
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp.
N/A
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-25, Class 1P
22541QYW6
164253.70000000
PA
USD
145029.68000000
0.006536500237
Long
ABS-MBS
CORP
US
N
3
2033-10-25
None
0.00000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PCQ3
400000.00000000
PA
USD
504811.80000000
0.022751911543
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
4.62500000
N
N
N
N
N
N
Bank of Nova Scotia (The)
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia (The)
064159TF3
1256000.00000000
PA
USD
1312717.05000000
0.059164271127
Long
DBT
CORP
CA
N
2
2025-02-03
Fixed
2.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284M9
21212000.00000000
PA
USD
23249512.08000000
1.047857522907
Long
DBT
UST
US
N
2
2025-04-30
Fixed
2.87500000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 2A3
9393363R2
700099.47000000
PA
USD
100122.28000000
0.004512519830
Long
ABS-MBS
CORP
US
N
3
2035-04-25
Floating
4.88237040
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAE5
400000.00000000
PA
USD
420555.62000000
0.018954478214
Long
DBT
CORP
ES
N
2
2023-02-23
Fixed
3.12500000
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92553PAP7
464000.00000000
PA
USD
524670.47000000
0.023646943520
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.37500000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAR4
500000.00000000
PA
USD
529417.87000000
0.023860909249
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128KRW91
483201.30000000
PA
USD
562349.43000000
0.025345137510
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.00000000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAE3
400000.00000000
PA
USD
402760.47000000
0.018152449262
Long
DBT
CORP
GB
Y
2
2040-09-02
Fixed
3.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2014-M3, Class A2
3136AJLC8
1501768.53000000
PA
USD
1610716.73000000
0.072595142512
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Variable
3.48800040
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class AA
00908PAA5
428152.00000000
PA
USD
418088.93000000
0.018843304282
Long
ABS-O
CORP
CA
Y
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
LV Tower 52 Issuer
N/A
LV Tower 52 Issuer, Series 2013-1, Class A
50244VAC6
2679888.60000000
PA
USD
2702908.84000000
0.121820335497
Long
ABS-O
CORP
US
Y
3
2023-02-15
Fixed
5.75000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CT0
605000.00000000
PA
USD
676391.40000000
0.030485018975
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHF9
547000.00000000
PA
USD
579944.40000000
0.026138144332
Long
DBT
CORP
US
N
2
2024-03-05
Variable
3.54999960
N
N
N
N
N
N
UDR, Inc.
P3CH2EG5X6Z1XWU1OO74
UDR, Inc.
90265EAR1
305000.00000000
PA
USD
321350.38000000
0.014483289456
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2455, Class GK
31392K5C6
238440.51000000
PA
USD
278687.89000000
0.012560487337
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
Bayview Financing Trust
N/A
Bayview Financing Trust, Series 2020-3F, Class A
07326VAA1
3889507.02000000
PA
USD
3889507.02000000
0.175300418231
Long
ABS-MBS
CORP
US
Y
3
2022-11-10
Floating
3.12050160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138M1MA3
643759.64000000
PA
USD
711215.28000000
0.032054534262
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-4A, Class C
30167GAE0
2170000.00000000
PA
USD
2211136.91000000
0.099656132023
Long
ABS-O
CORP
US
Y
2
2024-09-16
Fixed
2.44000000
N
N
N
N
N
N
State of California
N/A
State of California, Various Purpose, Series 2009
13063A7D0
350000.00000000
PA
USD
552517.00000000
0.024901989039
Long
DBT
MUN
US
N
2
2039-10-01
Fixed
7.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2271, Class PC
3133TQKD8
82331.05000000
PA
USD
97927.14000000
0.004413584680
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349SF40
140284.83000000
PA
USD
142178.86000000
0.006408013533
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Variable
2.35500120
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP
31394PPU1
216854.11000000
PA
USD
153155.49000000
0.006902731197
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
None
0.00000000
N
N
N
N
N
N
Boston Gas Co.
FN7P4E7K9JOBORDEUX61
Boston Gas Co.
100743AJ2
308000.00000000
PA
USD
366188.50000000
0.016504147407
Long
DBT
CORP
US
Y
2
2042-02-15
Fixed
4.48700000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-59, Class SD
38374NQ34
236878.72000000
PA
USD
35715.86000000
0.001609716903
Long
ABS-MBS
USGA
US
N
2
2036-10-20
Floating
6.58887120
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust, Series 2004-6, Class 15PO
05948KSR1
6083.66890000
PA
USD
4776.47000000
0.000215275916
Long
ABS-MBS
CORP
US
N
3
2019-07-25
None
0.00000000
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
180316.67000000
PA
USD
182053.71000000
0.008205176475
Long
ABS-O
CORP
US
N
3
2036-01-25
Variable
3.08116080
N
N
N
N
N
N
Liberty Mutual Insurance Co.
CNC20I6IOMGF7KY49D67
Liberty Mutual Insurance Co.
53079QAB3
100000.00000000
PA
USD
122410.29000000
0.005517042371
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
8.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-92
3136AGGA4
928759.49000000
PA
USD
857645.86000000
0.038654173184
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209DBS2
2819.92000000
PA
USD
2833.85000000
0.000127721864
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
8.00000000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
Total Capital International SA
89153VAV1
1180000.00000000
PA
USD
1153230.66000000
0.051976205718
Long
DBT
CORP
FR
N
2
2050-05-29
Fixed
3.12700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 265, Class 2
31364HJ81
1484.79000000
PA
USD
1595.48000000
0.000071908421
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
9.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406YB58
63558.69000000
PA
USD
64287.31000000
0.002897434629
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
2.88100080
N
N
N
N
N
N
Home Equity Mortgage Loan Asset-Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3
456606KH4
22410.70000000
PA
USD
22307.76000000
0.001005412675
Long
ABS-O
CORP
US
N
3
2036-03-25
Floating
0.51762960
N
N
N
N
N
N
Duke Realty LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YBC0
380000.00000000
PA
USD
404989.46000000
0.018252910035
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
2.87500000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAE3
200000.00000000
PA
USD
206880.29000000
0.009324112586
Long
DBT
CORP
CH
Y
2
2023-08-15
Variable
2.85900120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-81, Class TA
3136AFK60
2000000.00000000
PA
USD
2075276.40000000
0.093532887071
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
3.00000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4
92922FPH5
486572.42000000
PA
USD
503630.48000000
0.022698669349
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.00000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCU1
525000.00000000
PA
USD
545574.12000000
0.024589072836
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.80000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1
59020UNN1
167755.55000000
PA
USD
171179.42000000
0.007715071283
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.25410760
N
N
N
N
N
N
Progressive Corp. (The)
529900TACNVLY9DCR586
Progressive Corp. (The), Series B
743315AU7
360000.00000000
PA
USD
375300.00000000
0.016914803501
Long
DBT
CORP
US
N
2
2023-03-15
Variable
5.37500160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3966, Class NA
3137AJXA7
414913.36000000
PA
USD
460827.63000000
0.020769541192
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
Progress Energy, Inc.
549300FBMTW0JYWMNB26
Progress Energy, Inc.
743263AG0
300000.00000000
PA
USD
415670.28000000
0.018734295517
Long
DBT
CORP
US
N
2
2031-10-30
Fixed
7.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust, Series 2011-C3, Class A4
92935VAG3
276943.77000000
PA
USD
277053.77000000
0.012486837407
Long
ABS-MBS
CORP
US
Y
2
2044-03-15
Fixed
4.37500000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBE0
2500000.00000000
PA
USD
2464509.08000000
0.111075637667
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
1.95000000
N
N
N
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585AAG7
200000.00000000
PA
USD
217624.92000000
0.009808373991
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31410GVM2
236714.55000000
PA
USD
267953.45000000
0.012076685196
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31412QDW6
254983.62000000
PA
USD
292259.84000000
0.013172176299
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-22, Class SA
38374TRY2
468126.18000000
PA
USD
75190.71000000
0.003388851811
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Floating
6.15886920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-76, Class SA
38375LT67
416766.38000000
PA
USD
56590.58000000
0.002550542341
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
6.41886840
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2020-1A, Class A
12327FAA5
1273115.95000000
PA
USD
1295929.30000000
0.058407645781
Long
ABS-O
CORP
US
Y
2
2035-11-15
Fixed
2.98100000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023DG7
1385000.00000000
PA
USD
1387884.53000000
0.062552075961
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.19600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A
31398F7A3
486985.56000000
PA
USD
561624.62000000
0.025312470261
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-119
31396LM80
42267.08000000
PA
USD
40198.25000000
0.001811738608
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203CRH7
692.64000000
PA
USD
701.67000000
0.000031624327
Long
ABS-MBS
USGA
US
N
2
2023-03-15
Fixed
7.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO2
17307GBP2
4608.84500000
PA
USD
4059.08000000
0.000182943087
Long
ABS-MBS
CORP
US
N
3
2033-10-25
None
0.00000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LBE0
465000.00000000
PA
USD
513454.80000000
0.023141452302
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
3.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1
31392GVX0
389851.82000000
PA
USD
426441.91000000
0.019219773814
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.15401920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5FJ4
1906404.38000000
PA
USD
2034298.34000000
0.091686002358
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
3.76000000
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22546QAP2
402000.00000000
PA
USD
442008.63000000
0.019921367233
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
AstraZeneca plc
PY6ZZQWO2IZFZC3IOL08
AstraZeneca plc
046353AD0
300000.00000000
PA
USD
445152.43000000
0.020063058571
Long
DBT
CORP
GB
N
2
2037-09-15
Fixed
6.45000000
N
N
N
N
N
N
Pepperdine University
549300G0RVHY0VSFWD76
Pepperdine University, Series 2020
71338QAC0
600000.00000000
PA
USD
622917.11000000
0.028074928093
Long
DBT
CORP
US
N
2
2059-12-01
Fixed
3.30100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-39, Class PD
31359PSF4
71137.01000000
PA
USD
80997.52000000
0.003650565240
Long
ABS-MBS
USGSE
US
N
2
2027-05-20
Fixed
7.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122DP0
625000.00000000
PA
USD
613298.91000000
0.027641434986
Long
DBT
CORP
US
N
2
2027-11-13
Fixed
1.12500000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBJ3
250000.00000000
PA
USD
280503.48000000
0.012642316135
Long
DBT
CORP
US
N
2
2025-10-29
Fixed
4.20000000
N
N
N
N
N
N
Pepco Holdings LLC
0IYTXJPU5BH89F2Z1F31
Pepco Holdings LLC
713291AH5
316000.00000000
PA
USD
446806.47000000
0.020137606297
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
7.45000000
N
N
N
N
N
N
P -stla7.25
N/A
P -stla7.25
N/A
2600000.00000000
PA
USD
2600000.00000000
0.117182225166
Long
ABS-MBS
CORP
US
N
3
2022-10-11
Fixed
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DQT9
191295.31000000
PA
USD
194794.45000000
0.008779402731
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Variable
2.08100160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402BEZ3
88665.37000000
PA
USD
101801.61000000
0.004588207378
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31408EQC9
75748.32000000
PA
USD
80233.78000000
0.003616143413
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Variable
2.38299840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-47, Class SI
31397LYN3
6425.68000000
PA
USD
90.47000000
0.000004077490
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Floating
6.38237160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-157, Class OP
38377NF41
865434.87000000
PA
USD
793135.92000000
0.035746704601
Long
ABS-MBS
USGA
US
N
2
2040-12-20
None
0.00000000
N
N
N
N
N
N
General Motors Co.
54930070NSV60J38I987
General Motors Co.
37045VAV2
515000.00000000
PA
USD
613092.14000000
0.027632115845
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-91, Class ES
31396XYW8
738490.50000000
PA
USD
157919.84000000
0.007117460865
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Floating
6.34236840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF
31394FSB2
724241.17000000
PA
USD
721563.80000000
0.032520942955
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Floating
0.33762960
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAJ2
151000.00000000
PA
USD
156313.32000000
0.007045054869
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400KQ66
30716.75000000
PA
USD
33838.29000000
0.001525094660
Long
ABS-MBS
USGSE
US
N
2
2027-03-01
Fixed
8.00000000
N
N
N
N
N
N
Bon Secours Mercy Health, Inc.
5493006NA7JSVYYYF398
Bon Secours Mercy Health, Inc., Series 20-2
09778PAC9
800000.00000000
PA
USD
817976.71000000
0.036866281158
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.20500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3852, Class QN
3137ABAC5
157187.94000000
PA
USD
169514.29000000
0.007640023730
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.50000080
N
N
N
N
N
N
Truist Financial Corp.
549300DRQQI75D2JP341
Truist Financial Corp.
867914BS1
265000.00000000
PA
USD
295843.59000000
0.013333696222
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Continental Airlines Pass-Through Trust
N/A
Continental Airlines Pass-Through Trust, Series 2012-2, Class A
210795QB9
137868.79000000
PA
USD
141943.41000000
0.006397401781
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
Continental Airlines Pass-Through Trust
N/A
Continental Airlines Pass-Through Trust, Series 2007-1, Class A
21079NAA9
259388.09000000
PA
USD
265905.37000000
0.011984378053
Long
ABS-O
CORP
US
N
2
2022-04-19
Fixed
5.98300000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDD5
2211000.00000000
PA
USD
2186024.19000000
0.098524299558
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
1.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-2, Class NS
38374DPV5
365720.42000000
PA
USD
50878.11000000
0.002293080823
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
6.43262040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3232, Class ST
31397BP96
207703.52000000
PA
USD
43117.11000000
0.001943291881
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Floating
6.58775160
N
N
N
N
N
N
Banco Nacional de Panama
529900H2Q7WMDKKIW109
Banco Nacional de Panama
059626AC5
1250000.00000000
PA
USD
1204850.00000000
0.054302693842
Long
DBT
CORP
PA
Y
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
N
Ascension Health
N/A
Ascension Health, Series B
04352EAA3
430000.00000000
PA
USD
451487.89000000
0.020348598302
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
2.53200000
N
N
N
N
N
N
Fiserv, Inc.
GI7UBEJLXYLGR2C7GV83
Fiserv, Inc.
337738AV0
375000.00000000
PA
USD
447372.81000000
0.020163131290
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
4.40000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-22T1, Class A2
12667GGP2
3438599.92000000
PA
USD
520207.21000000
0.023445784005
Long
ABS-MBS
CORP
US
N
3
2035-06-25
Floating
4.95236880
N
N
N
N
N
N
Westpac Banking Corp.
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp.
961214CX9
690000.00000000
PA
USD
748550.29000000
0.033737226396
Long
DBT
CORP
AU
N
2
2026-05-13
Fixed
2.85000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LN8
14070000.00000000
PA
USD
14013905.16000000
0.631607919198
Long
DBT
UST
US
N
2
2023-05-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-56
31395NWL7
231215.80000000
PA
USD
216104.32000000
0.009739840417
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAL4
323000.00000000
PA
USD
376097.64000000
0.016950753205
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
5.20000000
N
N
N
N
N
N
Coca-Cola Femsa SAB de CV
5493008KEVFYPMGTXO33
Coca-Cola Femsa SAB de CV
191241AJ7
675000.00000000
PA
USD
638929.69000000
0.028796616461
Long
DBT
CORP
MX
N
2
2032-09-01
Fixed
1.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-163, Class M
31358QLK9
4588.79000000
PA
USD
4761.80000000
0.000214614738
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
7.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36213GR52
39516.98000000
PA
USD
44066.29000000
0.001986071506
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4048, Class FJ
3137AQUG1
541065.46000000
PA
USD
541109.67000000
0.024387859688
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
0.54399960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1706, Class K
3133T4UA2
43446.56000000
PA
USD
46086.70000000
0.002077131560
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-35, Class G
31358PHW0
6.77000000
PA
USD
34.80000000
0.000001568439
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
1184.77500000
N
N
N
N
N
N
CWABS, Inc. Asset-Backed Certificates Trust
N/A
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1
126673BC5
71267.78000000
PA
USD
68481.51000000
0.003086467586
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
1.01763000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2019-SFR4, Class D
74331AAG7
5000000.00000000
PA
USD
5111490.00000000
0.230375296966
Long
ABS-O
CORP
US
Y
3
2036-10-17
Fixed
3.13600000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBU8
815000.00000000
PA
USD
771131.54000000
0.034754965289
Long
DBT
CORP
US
N
2
2050-09-25
Fixed
3.98400000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-16, Class OP
38374MM63
75388.42000000
PA
USD
70171.53000000
0.003162636934
Long
ABS-MBS
USGA
US
N
2
2036-03-20
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31283YQW1
40089.30000000
PA
USD
44691.49000000
0.002014249324
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
7.00000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2020-SFR4, Class C
66981FAC4
4000000.00000000
PA
USD
4015574.40000000
0.180982285966
Long
ABS-O
CORP
US
Y
3
2037-11-17
Fixed
1.85600000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CZ6
1030000.00000000
PA
USD
1055846.33000000
0.047587085531
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
1.95000000
N
N
N
N
N
N
Cargill, Inc.
QXZYQNMR4JZ5RIRN4T31
Cargill, Inc.
141781BG8
115000.00000000
PA
USD
121687.27000000
0.005484455797
Long
DBT
CORP
US
Y
2
2023-03-01
Fixed
3.25000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2004-2CB, Class 1A9
12667FAQ8
4305865.96000000
PA
USD
4357693.09000000
0.196401604952
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
5.75000000
N
N
N
N
N
N
Jersey Central Power & Light Co.
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co.
476556DC6
560000.00000000
PA
USD
619220.52000000
0.027908322462
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
Total Capital International SA
89153VAX7
1200000.00000000
PA
USD
1208720.06000000
0.054477117782
Long
DBT
CORP
FR
N
2
2041-06-29
Fixed
2.98600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-60, Class DZ
31395NTE7
4727481.78000000
PA
USD
5433467.84000000
0.244886866099
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Fixed
6.50000000
N
N
N
N
N
N
Grupo Televisa SAB
549300O4AF0C816ILN62
Grupo Televisa SAB
40049JBC0
200000.00000000
PA
USD
259500.00000000
0.011695687473
Long
DBT
CORP
MX
N
2
2046-01-31
Fixed
6.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-52, Class SX
31393CV67
44114.89000000
PA
USD
64185.07000000
0.002892826663
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
22.59711000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-36, Class SH
38374D3F4
314066.35000000
PA
USD
1293.39000000
0.000058293199
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Floating
6.18887160
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAY6
935000.00000000
PA
USD
981015.75000000
0.044214464810
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
3.70000000
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
10440.12000000
PA
USD
10812.34000000
0.000487313100
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
5.50000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CV5
745000.00000000
PA
USD
938672.50000000
0.042306050866
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
Province of Quebec Canada
549300WN65YFEQH74Y36
Province of Quebec
74815HCC4
377000.00000000
PA
USD
486742.87000000
0.021937543303
Long
DBT
NUSS
CA
N
2
2026-03-06
Variable
7.36499880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31297GXZ9
98492.20000000
PA
USD
116123.25000000
0.005233684934
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class OE
31339NKQ8
35145.28000000
PA
USD
38115.68000000
0.001717876998
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.37500000
N
N
N
N
N
N
Digital Realty Trust LP
CD4SPTZ3YBTHY0C1AH38
Digital Realty Trust LP
25389JAR7
252000.00000000
PA
USD
283311.19000000
0.012768859868
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.70000000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2004-2, Class 14A
07384MM66
36301.84000000
PA
USD
35861.16000000
0.001616265586
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
3.24961200
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325BR5
200000.00000000
PA
USD
229937.50000000
0.010363303038
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
Natwest Group plc
2138005O9XJIJN4JPN90
Natwest Group plc
780097BM2
900000.00000000
PA
USD
956604.97000000
0.043114268842
Long
DBT
CORP
GB
N
2
2029-11-01
Variable
3.75400080
N
N
N
N
N
N
Niagara Mohawk Power Corp.
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp.
65364UAN6
1000000.00000000
PA
USD
999756.90000000
0.045059130064
Long
DBT
CORP
US
Y
2
2030-06-27
Fixed
1.96000000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AF2
1250000.00000000
PA
USD
1381187.31000000
0.062250231675
Long
DBT
CORP
FR
Y
2
2025-03-17
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-36, Class SA
31393X5V5
394989.32000000
PA
USD
581897.28000000
0.026226160803
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
19.20151800
N
N
N
N
N
N
Hutchison Whampoa International 12 II Ltd.
2549005GEGKY2Q53V676
Hutchison Whampoa International 12 II Ltd.
44842CAB9
539000.00000000
PA
USD
562581.25000000
0.025355585658
Long
DBT
CORP
KY
Y
2
2022-11-08
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2345, Class NE
313399SN8
32285.53000000
PA
USD
37863.49000000
0.001706510773
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QY7
10800000.00000000
PA
USD
12150843.70000000
0.547639577850
Long
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578DAX0
400000.00000000
PA
USD
439408.00000000
0.019804156613
Long
DBT
CORP
FR
N
2
2026-12-02
Fixed
3.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JLW39
118915.90000000
PA
USD
121175.98000000
0.005461411912
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
3.65100120
N
Y
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBX6
1832000.00000000
PA
USD
1980600.83000000
0.089265850932
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AX6
1325000.00000000
PA
USD
1342704.82000000
0.060515822518
Long
DBT
CORP
US
Y
2
2025-09-01
Fixed
1.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAE1
970000.00000000
PA
USD
905585.94000000
0.040814836741
Long
DBT
UST
US
N
2
2030-08-15
Fixed
0.62500000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833BA7
1130000.00000000
PA
USD
1232539.50000000
0.055550662005
Long
DBT
CORP
US
N
2
2045-02-09
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-4, Class QI
31393UQ97
144763.50000000
PA
USD
6146.37000000
0.000277017428
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
6.98236920
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS
362341LM9
505197.38000000
PA
USD
59511.90000000
0.002682206486
Long
ABS-MBS
CORP
US
Y
3
2035-09-25
Variable
4.24961280
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LH1
18545000.00000000
PA
USD
18526065.93000000
0.834971395865
Long
DBT
UST
US
N
2
2022-05-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3218, Class AO
31397BHE4
85180.84000000
PA
USD
72288.82000000
0.003258063377
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
None
0.00000000
N
N
N
N
N
N
Essex Portfolio LP
5493003GN3O58H286O74
Essex Portfolio LP
29717PAV9
2000000.00000000
PA
USD
2041901.20000000
0.092028663917
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-49, Class Z
313921AG3
21126.12000000
PA
USD
24678.97000000
0.001112283315
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
6.50000000
N
N
N
N
N
N
Delmarva Power & Light Co.
NJ98T8DDD027ZFXUDB24
Delmarva Power & Light Co.
247109BR1
235000.00000000
PA
USD
260709.08000000
0.011750180813
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
COBALT CMBS Commercial Mortgage Trust
N/A
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1
190749AG6
88466.82310000
PA
USD
0.88000000
0.000000039661
Long
ABS-MBS
CORP
US
N
3
2048-08-15
Variable
0.40020120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LZ1
1500000.00000000
PA
USD
1433130.41000000
0.064591311691
Long
DBT
UST
US
N
2
2026-05-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5G20
1895985.56000000
PA
USD
2043724.11000000
0.092110822628
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
3.38000000
N
N
N
N
N
N
FNMA/FHLMC
N/A
FNMA/FHLMC UMBS, Single Family, 15 Year
01F020448
5320000.00000000
PA
USD
5497718.27000000
0.247782638544
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 323, Class 300
3132HTZ66
1994382.80000000
PA
USD
2095504.55000000
0.094444571544
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Fixed
3.00000000
N
N
N
N
N
N
O'Reilly Automotive, Inc.
549300K2RLMQL149Q332
O'Reilly Automotive, Inc.
67103HAF4
432000.00000000
PA
USD
483356.85000000
0.021784935089
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M5, Class A2
3136AWWF0
3376000.00000000
PA
USD
3816601.42000000
0.172014556526
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Variable
3.16167120
N
N
N
N
N
N
Yale-New Haven Health Services Corp.
549300AVJD56IH6OKW11
Yale-New Haven Health Services Corp., Series 2020
98459HAA0
780000.00000000
PA
USD
707208.40000000
0.031873943833
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
2.49600000
N
N
N
N
N
N
Public Service Co. of Colorado
5BANEF6PGSEK0SNMQF44
Public Service Co. of Colorado
744448CM1
214000.00000000
PA
USD
227883.32000000
0.010270720967
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
3.55000000
N
N
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YBB5
830000.00000000
PA
USD
829775.01000000
0.037398031561
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
2.15000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class NG
31339NLX2
111895.30000000
PA
USD
131401.27000000
0.005922266618
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CK3
1160000.00000000
PA
USD
1152846.60000000
0.051958896101
Long
DBT
CORP
GB
N
2
2031-08-18
Variable
2.35699920
N
N
N
N
N
N
Swiss Re Finance Luxembourg SA
549300CLQZ6TM98LW631
Swiss Re Finance Luxembourg SA
87089NAA8
600000.00000000
PA
USD
687600.00000000
0.030990191547
Long
DBT
CORP
LU
Y
2
2049-04-02
Variable
5.00000040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H32, Class FH
38376RMJ2
1621286.27000000
PA
USD
1635652.65000000
0.073719006586
Long
ABS-MBS
USGA
US
N
2
2065-12-20
Floating
0.80388000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403EDC8
101269.55000000
PA
USD
106604.80000000
0.004804687568
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
2.39400000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3481, Class SJ
31397Y4R9
347688.40000000
PA
USD
66318.71000000
0.002988990003
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Floating
5.73774840
N
N
N
N
N
N
Blackstone Secured Lending Fund
549300KM7KWQHVBNH962
Blackstone Secured Lending Fund
09261LAA6
795000.00000000
PA
USD
831610.81000000
0.037480771226
Long
DBT
CORP
US
Y
2
2023-07-14
Fixed
3.65000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BZ2
485000.00000000
PA
USD
478617.78000000
0.021571344794
Long
DBT
CORP
GB
Y
2
2027-01-14
Variable
1.45599840
N
N
N
N
N
N
Regeneron Pharmaceuticals, Inc.
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals, Inc.
75886FAE7
1270000.00000000
PA
USD
1204322.93000000
0.054278938752
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.75000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9
362341NB1
418861.91000000
PA
USD
436052.09000000
0.019652905459
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Fixed
6.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHD4
7757000.00000000
PA
USD
8555279.54000000
0.385587189775
Long
DBT
CORP
US
N
2
2028-12-20
Variable
3.41899920
N
N
N
N
N
N
vMobo, Inc.
N/A
vMobo, Inc.
91834VAA0
3130868.85000000
PA
USD
3130868.85000000
0.141108530210
Long
ABS-MBS
CORP
US
N
2
2024-05-31
Fixed
7.50000000
N
N
N
N
N
N
Republic Services, Inc.
NKNQHM6BLECKVOQP7O46
Republic Services, Inc.
760759AX8
910000.00000000
PA
USD
855569.87000000
0.038560608135
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A
31392W7D6
176909.01000000
PA
USD
223326.33000000
0.010065337033
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Variable
7.49999880
N
N
N
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
92857WBM1
496000.00000000
PA
USD
643073.27000000
0.028983367970
Long
DBT
CORP
GB
N
2
2048-05-30
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3290, Class SB
31397FR79
292786.32000000
PA
USD
53163.79000000
0.002396096619
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Floating
6.33774960
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
440000.00000000
PA
USD
422222.90000000
0.019029622668
Long
DBT
CORP
US
N
2
2032-02-13
Variable
1.79399880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-60, Class AX
31396WSA5
1520342.75000000
PA
USD
385768.42000000
0.017386616097
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
7.03236960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410RP29
103101.48000000
PA
USD
105550.10000000
0.004757152147
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
1.81500120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31387Y5U3
26510.07000000
PA
USD
31545.14000000
0.001421742191
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2692, Class SC
31394KZD9
42948.77000000
PA
USD
57049.13000000
0.002571209229
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Floating
13.06216800
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F
57643QAE5
1396012.94730000
PA
USD
764659.95000000
0.034463290167
Long
ABS-MBS
CORP
US
Y
2
2035-05-25
Floating
0.46762920
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3
17307GAV0
10343.21000000
PA
USD
10559.44000000
0.000475914875
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
7.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-4, Class C
26209AAF8
1960000.00000000
PA
USD
2002959.48000000
0.090273557224
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
2.51000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280AM1
700000.00000000
PA
USD
1008476.01000000
0.045452101107
Long
DBT
CORP
GB
N
2
2042-01-14
Fixed
6.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403KJW4
62217.45000000
PA
USD
69164.15000000
0.003117234230
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2132, Class SB
3133TJVQ3
9499.11000000
PA
USD
14911.91000000
0.000672081075
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Floating
30.01752000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4
9393363L5
2914745.82000000
PA
USD
383068.43000000
0.017264927314
Long
ABS-MBS
CORP
US
N
3
2035-04-25
Floating
4.93237080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-38, Class SK
31359WVD0
2282.65000000
PA
USD
144.29000000
0.000006503162
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
7.93236960
N
N
N
N
N
N
Phillips 66 Partners LP
549300TL5L4IG0H4FX64
Phillips 66 Partners LP
718549AH1
985000.00000000
PA
USD
1000019.62000000
0.045070970877
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.15000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBH5
506000.00000000
PA
USD
561380.33000000
0.025301460089
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
3.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2172, Class QC
3133TLLL0
110950.33000000
PA
USD
129694.05000000
0.005845322065
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-68, Class DP
38374L4C2
55756.92000000
PA
USD
70439.80000000
0.003174727886
Long
ABS-MBS
USGA
US
N
2
2035-06-17
Floating
16.17499080
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2016-CA, Class D
26208BAN0
1301506.28000000
PA
USD
1311633.43000000
0.059115432280
Long
ABS-O
CORP
US
Y
2
2024-03-15
Fixed
4.18000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296QYC8
70189.97000000
PA
USD
79172.59000000
0.003568315487
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-75, Class FA
3136A0GK7
133957.46000000
PA
USD
134955.75000000
0.006082467339
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Floating
0.66763080
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P
92922FFA1
18788.28400000
PA
USD
16612.73000000
0.000748737179
Long
ABS-MBS
CORP
US
N
3
2033-10-25
None
0.00000000
N
N
N
N
N
N
International Lease Finance Corp.
N/A
International Lease Finance Corp.
459745GN9
506000.00000000
PA
USD
542734.28000000
0.024461081001
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAZ4
1000000.00000000
PA
USD
1121744.83000000
0.050557136633
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3326, Class JO
31397JJN5
10487.17000000
PA
USD
9635.05000000
0.000434252537
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2344, Class ZJ
313399C70
40500.76000000
PA
USD
47950.97000000
0.002161154370
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31410GRM7
36121.35000000
PA
USD
42879.55000000
0.001932585031
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
7.50000000
N
N
N
N
N
N
World Financial Network Credit Card Master Trust
N/A
World Financial Network Credit Card Master Trust, Series 2019-A, Class A
981464HA1
2245000.00000000
PA
USD
2305728.37000000
0.103919377317
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
3.14000000
N
N
N
N
N
N
Albemarle Corp.
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp.
012725AD9
150000.00000000
PA
USD
178167.32000000
0.008030016542
Long
DBT
CORP
US
N
2
2044-12-01
Fixed
5.45000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175AZ7
528000.00000000
PA
USD
700916.06000000
0.031590347525
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38400000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
549300G1IXWLFE766Q13
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4
90349GBF1
857000.00000000
PA
USD
893401.16000000
0.040265667651
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.24430000
N
N
N
N
N
N
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust
N/A
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-8, Class APO
1729734K2
64631.81000000
PA
USD
54501.49000000
0.002456386874
Long
ABS-MBS
CORP
US
N
3
2035-11-25
None
0.00000000
N
N
N
N
N
N
Baker Hughes Holdings LLC
549300XU3XH6F05YEQ93
Baker Hughes Holdings LLC
057224AZ0
300000.00000000
PA
USD
379838.92000000
0.017119373019
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KFSY9
2191746.87000000
PA
USD
2372387.27000000
0.106923699713
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-58, Class NI
38374LM73
802412.12000000
PA
USD
126795.72000000
0.005714694081
Long
ABS-MBS
USGA
US
N
2
2035-08-20
Floating
5.50000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8UK8
2845167.24000000
PA
USD
3147201.69000000
0.141844652723
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.17000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2367, Class ME
31339GK42
81408.18000000
PA
USD
91834.90000000
0.004139006896
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2744, Class PE
31394PR88
12156.46000000
PA
USD
12934.82000000
0.000582973457
Long
ABS-MBS
USGSE
US
N
2
2034-02-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-70, Class CO
31396QYP8
310588.13000000
PA
USD
289033.44000000
0.013026762171
Long
ABS-MBS
USGSE
US
N
2
2037-01-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-33, Class ID
31359S6G0
87538.22000000
PA
USD
12642.62000000
0.000569803978
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1250, Class J
3129093W2
500.52000000
PA
USD
513.39000000
0.000023138531
Long
ABS-MBS
USGSE
US
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
Ladder Capital Commercial Mortgage Trust
N/A
Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2
50184BAC2
998000.00000000
PA
USD
1120273.16000000
0.050490808339
Long
ABS-MBS
CORP
US
Y
2
2036-02-15
Fixed
3.98510000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS12, Class A2A
76110HDT3
41.37000000
PA
USD
0.01000000
0.000000000450
Long
ABS-MBS
CORP
US
N
3
2018-06-25
Floating
7.48236960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2710, Class HB
31394MHQ6
147398.88000000
PA
USD
152638.70000000
0.006879439427
Long
ABS-MBS
USGSE
US
N
2
2023-11-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140H26Q6
1303111.77000000
PA
USD
1431627.36000000
0.064523569097
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2136, Class PG
3133TKA26
50662.35000000
PA
USD
57364.96000000
0.002585443715
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-81, Class PI
31359RLD2
20363.10000000
PA
USD
1579.84000000
0.000071203525
Long
ABS-MBS
USGSE
US
N
2
2027-12-18
Fixed
7.00000000
N
N
N
N
N
N
Constellation Brands, Inc.
5493005GKEG8QCVY7037
Constellation Brands, Inc.
21036PBB3
325000.00000000
PA
USD
371605.50000000
0.016748292066
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-48
31396VD39
88077.34000000
PA
USD
85097.37000000
0.003835345835
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132FYA80
2902942.86000000
PA
USD
3233167.85000000
0.145719154999
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.50000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 2003-2, Class Z
911760TM8
2992524.90000000
PA
USD
3396856.91000000
0.153096635109
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
Alexandria Real Estate Equities, Inc.
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities, Inc.
015271AP4
135000.00000000
PA
USD
151448.93000000
0.006825816390
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3261, Class OA
31397EPT6
139851.52000000
PA
USD
127992.50000000
0.005768633059
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
None
0.00000000
N
N
N
N
N
N
Synchrony Card Funding LLC
N/A
Synchrony Card Funding LLC, Series 2019-A2, Class A
87166PAF8
5000000.00000000
PA
USD
5132101.50000000
0.231304259056
Long
ABS-O
CORP
US
N
2
2025-06-15
Fixed
2.34000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
985000.00000000
PA
USD
1025680.54000000
0.046227510764
Long
DBT
CORP
US
N
2
2026-04-28
Variable
2.18800080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-147, Class SA
31397QW95
1017047.20000000
PA
USD
240556.58000000
0.010841905893
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Floating
6.41237040
N
N
N
N
N
N
Csma Sfr Holdings Ii jul23
N/A
Csma Sfr Holdings Ii jul23
N/A
2967271.23000000
PA
USD
2964303.96000000
0.133601436192
Long
ABS-MBS
CORP
US
N
3
2023-07-25
Fixed
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3404, Class SC
31397PTW0
306158.58000000
PA
USD
61269.65000000
0.002761428431
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Floating
5.88774960
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BU7
268000.00000000
PA
USD
333001.70000000
0.015008415457
Long
DBT
CORP
US
N
2
2056-08-08
Fixed
3.95000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2U4
865000.00000000
PA
USD
861299.77000000
0.038818855224
Long
DBT
CORP
US
Y
2
2026-01-08
Fixed
1.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2396, Class FM
31339LJW1
133353.90000000
PA
USD
133680.88000000
0.006025008838
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Floating
0.56225160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828WJ5
8840000.00000000
PA
USD
9459835.96000000
0.426355625961
Long
DBT
UST
US
N
2
2024-05-15
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2006-IQ12, Class X1
61750WAA1
321259.84900000
PA
USD
12.88000000
0.000000580502
Long
ABS-MBS
CORP
US
Y
3
2043-12-15
Variable
0.29097360
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-28, Class PK
31392CA46
192168.31000000
PA
USD
224943.69000000
0.010138231588
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406H3D7
251854.41000000
PA
USD
261333.56000000
0.011778326181
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
1.76400000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCZ2
918000.00000000
PA
USD
972555.78000000
0.043833173230
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4HK2
3487061.22000000
PA
USD
3813149.74000000
0.171858989009
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
3.25000000
N
N
N
N
N
N
Galaxy Pipeline Assets Bidco Ltd.
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd.
36321PAE0
1100000.00000000
PA
USD
1080750.00000000
0.048709496095
Long
DBT
CORP
JE
Y
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473QAZ6
1256000.00000000
PA
USD
1633797.95000000
0.073635415097
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.80000000
N
N
N
N
N
N
Welltower, Inc.
T6IZ0MBEG5ACZDTR7D06
Welltower, Inc.
95040QAK0
414000.00000000
PA
USD
443689.58000000
0.019997127795
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.70000000
N
N
N
N
N
N
Pfizer, Inc.
765LHXWGK1KXCLTFYQ30
Pfizer, Inc.
717081EU3
950000.00000000
PA
USD
1118583.54000000
0.050414657019
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
3.90000000
N
N
N
N
N
N
Bank of New York Mellon Corp. (The)
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp. (The)
06406FAC7
254000.00000000
PA
USD
274413.55000000
0.012367842463
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
2.80000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJE0
4685000.00000000
PA
USD
4541985.64000000
0.204707686141
Long
DBT
CORP
US
N
2
2041-06-19
Variable
2.67599880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-71, Class HJ
31398TDU2
240086.42000000
PA
USD
278492.44000000
0.012551678388
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Fixed
5.50000000
N
N
N
N
N
N
Mid-Atlantic Interstate Transmission LLC
N/A
Mid-Atlantic Interstate Transmission LLC
59524QAA3
315000.00000000
PA
USD
345887.32000000
0.015589171467
Long
DBT
CORP
US
Y
2
2028-05-15
Fixed
4.10000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CYH0
6321.50000000
PA
USD
7052.38000000
0.000317851377
Long
ABS-MBS
USGA
US
N
2
2027-11-20
Fixed
8.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2K9
1065000.00000000
PA
USD
1127424.90000000
0.050813137880
Long
DBT
CORP
FR
Y
2
2031-01-13
Variable
3.05200080
N
N
N
N
N
N
Kohl's Corp.
549300JF6LPRTRJ0FH50
Kohl's Corp.
500255AW4
500000.00000000
PA
USD
645740.60000000
0.029103584764
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
9.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-71, Class DS
31393EKS7
302362.60000000
PA
USD
339637.04000000
0.015307470806
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
7.30282680
N
N
N
N
N
N
DuPont de Nemours, Inc.
5493004JF0SDFLM8GD76
DuPont de Nemours, Inc.
26078JAE0
980000.00000000
PA
USD
1266395.54000000
0.057076556660
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.31900000
N
N
N
N
N
N
Mitsubishi UFJ Lease & Finance Co. Ltd.
353800MZ3QX9RLMH7B09
Mitsubishi UFJ Lease & Finance Co. Ltd.
60682LAA0
606000.00000000
PA
USD
623070.54000000
0.028081843197
Long
DBT
CORP
JP
Y
2
2022-09-19
Fixed
2.65200000
N
N
N
N
N
N
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2018-1, Class AA
11042TAA1
539126.61000000
PA
USD
557743.89000000
0.025137565424
Long
ABS-O
CORP
US
Y
2
2031-09-20
Fixed
3.80000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91086QBF4
2113000.00000000
PA
USD
2171767.81000000
0.097881763276
Long
DBT
NUSS
MX
N
2
2046-01-23
Fixed
4.60000000
N
N
N
N
N
N
Citibank Credit Card Issuance Trust
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3
17305EDT9
800000.00000000
PA
USD
1138493.36000000
0.051311994331
Long
ABS-O
CORP
US
N
2
2039-06-15
Fixed
6.15000000
N
N
N
N
N
N
Spectra Energy Partners LP
2HKVXE7U4NF5B6UGSU72
Spectra Energy Partners LP
84756NAE9
452000.00000000
PA
USD
582996.25000000
0.026275691476
Long
DBT
CORP
US
N
2
2043-09-25
Fixed
5.95000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A9
92922FY93
1077171.19910000
PA
USD
1067312.17000000
0.048103851933
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-25, Class J
31358TWE5
8312.30000000
PA
USD
8732.40000000
0.000393570024
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-5, Class Z
31358TPN3
2972.45000000
PA
USD
3087.00000000
0.000139131357
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1671, Class QC
3133T36V5
10821.14000000
PA
USD
11912.48000000
0.000536896505
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
10.00000080
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAF3
945000.00000000
PA
USD
1050485.90000000
0.047345490487
Long
DBT
CORP
NL
N
2
2026-07-21
Fixed
3.75000000
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CM7
635000.00000000
PA
USD
585955.27000000
0.026409054763
Long
DBT
CORP
US
Y
2
2050-10-01
Fixed
2.95000000
N
N
N
N
N
N
Shire Acquisitions Investments Ireland DAC
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAD1
1713000.00000000
PA
USD
1874723.22000000
0.084493937880
Long
DBT
CORP
IE
N
2
2026-09-23
Fixed
3.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SS8
8500000.00000000
PA
USD
7558359.38000000
0.340655911828
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2019-2, Class D
21872GAL9
2000000.00000000
PA
USD
2160444.40000000
0.097371416207
Long
ABS-O
CORP
US
Y
3
2052-06-15
Fixed
4.21900000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2002-QS16, Class A3
76110GW49
378.69000000
PA
USD
340.96000000
0.000015367096
Long
ABS-MBS
CORP
US
N
2
2017-10-25
Floating
16.37677440
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1760, Class ZD
3133T5X32
74392.31000000
PA
USD
74442.41000000
0.003355125865
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
0.60999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-1, Class BI
31396YCX8
242844.70000000
PA
USD
47264.11000000
0.002130197530
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Floating
5.79237120
N
N
N
N
N
N
Jefferies Group LLC
NY9Q8VBNB6D1L6YV0J84
Jefferies Group LLC
472319AE2
749000.00000000
PA
USD
954596.73000000
0.043023757291
Long
DBT
CORP
US
N
2
2027-06-08
Fixed
6.45000000
N
N
N
N
N
N
Public Service Electric and Gas Co.
549300RUHPVD434XUK18
Public Service Electric and Gas Co.
74456QAU0
317000.00000000
PA
USD
427067.04000000
0.019247948477
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
5.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2596, Class QG
31393NXU8
156815.48000000
PA
USD
176324.38000000
0.007946955076
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2011-22, Class WA
38377QRC3
381998.75000000
PA
USD
439787.41000000
0.019821256655
Long
ABS-MBS
USGA
US
N
2
2037-02-20
Variable
5.83997040
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAH3
3945000.00000000
PA
USD
4736234.96000000
0.213462519816
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2353, Class AZ
3133TUYS1
251007.17000000
PA
USD
280718.19000000
0.012651993134
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828F96
1100000.00000000
PA
USD
1114093.75000000
0.050212301795
Long
DBT
UST
US
N
2
2021-10-31
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A
31393LFM0
282190.13000000
PA
USD
338351.16000000
0.015249516083
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
7.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A
17307GPS1
170445.48900000
PA
USD
159911.51000000
0.007207225604
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
2.22800040
N
N
N
N
N
N
Goodgreen
N/A
Goodgreen, Series 2019-2A, Class A
38218EAA5
2148424.65000000
PA
USD
2198316.44000000
0.099078312330
Long
ABS-O
CORP
KY
Y
2
2054-10-15
Fixed
2.76000000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-27, Class SA
31358TRH4
1933.53000000
PA
USD
2225.19000000
0.000100289506
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Floating
15.50000160
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAG6
820000.00000000
PA
USD
869954.16000000
0.039208909331
Long
DBT
CORP
KY
Y
2
2026-05-01
Fixed
4.37500000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-4F, Class AP
36242DY56
4365.93000000
PA
USD
4096.61000000
0.000184634567
Long
ABS-MBS
CORP
US
N
3
2035-05-25
None
0.00000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AK5
533000.00000000
PA
USD
570643.13000000
0.025718935288
Long
DBT
NUSS
CO
N
2
2025-01-16
Fixed
4.12500000
N
N
N
N
N
N
RBS Commercial Funding, Inc. Trust
N/A
RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class A
74932BAA1
664000.00000000
PA
USD
682372.42000000
0.030754584064
Long
ABS-MBS
CORP
US
Y
2
2031-03-11
Fixed
3.26000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UB56
118515.90000000
PA
USD
126392.05000000
0.005696500639
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
2.49300000
N
Y
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2019-1, Class B
12326QAB0
2961465.13000000
PA
USD
2966488.37000000
0.133699887740
Long
ABS-O
CORP
US
Y
3
2034-07-15
Fixed
5.19300000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4
3623417C7
983511.27000000
PA
USD
714129.70000000
0.032185887424
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-22, Class UD
31393ANT0
866082.31000000
PA
USD
961258.35000000
0.043323997081
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
4.00000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DG2
895000.00000000
PA
USD
971932.05000000
0.043805061665
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.25000000
N
N
N
N
N
N
Macquarie Bank Ltd.
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
556079AD3
575000.00000000
PA
USD
570818.63000000
0.025726845088
Long
DBT
CORP
AU
Y
2
2036-03-03
Variable
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-44, Class GO
31395NBG1
285832.08000000
PA
USD
267531.22000000
0.012057655254
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
None
0.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJB6
1510000.00000000
PA
USD
1550870.51000000
0.069897868194
Long
DBT
CORP
US
N
2
2031-04-29
Variable
2.59200000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2552, Class ME
31393HXK3
253847.56000000
PA
USD
296908.91000000
0.013381710286
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L92X9
8000000.00000000
PA
USD
8750397.68000000
0.394381181242
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.92000000
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440BP8
379000.00000000
PA
USD
426515.79000000
0.019223103592
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
3.95000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CE7
780000.00000000
PA
USD
788839.12000000
0.035553047453
Long
DBT
CORP
DE
N
2
2026-11-24
Variable
2.12900040
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-8, Class 2A1
12669FZW6
2420.96620000
PA
USD
229.99000000
0.000010365669
Long
ABS-MBS
CORP
US
N
2
2019-06-25
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series KPLB, Class A
3137BJQ71
353000.00000000
PA
USD
375733.91000000
0.016934359863
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Fixed
2.77000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5RM4
1675670.45000000
PA
USD
1890316.88000000
0.085196745487
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.97000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BG4
219000.00000000
PA
USD
235229.78000000
0.010601826556
Long
DBT
CORP
US
N
2
2024-09-08
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-53, Class CI
31397LC23
181243.04000000
PA
USD
33501.62000000
0.001509920914
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Floating
7.08237000
N
N
N
N
N
N
Eaton Corp.
0NZWDMRCE180888QQE14
Eaton Corp.
278062AD6
170000.00000000
PA
USD
199619.24000000
0.008996856434
Long
DBT
CORP
US
N
2
2032-11-02
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5EA4
1453645.48000000
PA
USD
1563626.58000000
0.070472785374
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
3.69000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAE2
2080000.00000000
PA
USD
2145258.38000000
0.096686980970
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-34, Class ED
31393CDP5
776997.72000000
PA
USD
905536.06000000
0.040812588645
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
Credit Suisse ABS Trust
N/A
Credit Suisse ABS Trust, Series 2020-AT1, Class A
22551XAA2
3223853.76000000
PA
USD
3294778.54000000
0.148495954133
Long
ABS-O
CORP
US
Y
2
2026-10-15
Fixed
2.61000000
N
N
N
N
N
N
FNMA/FHLMC
N/A
FNMA/FHLMC UMBS, Single Family, 30 Year
01F022642
15000000.00000000
PA
USD
15518847.60000000
0.699435805300
Long
ABS-MBS
USGSE
US
N
2
2051-04-25
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-79, Class OK
38376CXX2
108098.66000000
PA
USD
102032.42000000
0.004598610005
Long
ABS-MBS
USGA
US
N
2
2037-11-16
None
0.00000000
N
N
N
N
N
N
International Flavors & Fragrances, Inc.
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances, Inc.
459506AK7
300000.00000000
PA
USD
346937.33000000
0.015636495508
Long
DBT
CORP
US
N
2
2028-09-26
Fixed
4.45000000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAF0
410000.00000000
PA
USD
402878.76000000
0.018157780603
Long
DBT
CORP
GB
Y
2
2050-09-02
Fixed
3.55000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3194, Class SA
31396UD64
29026.03000000
PA
USD
6134.64000000
0.000276488756
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Floating
6.98775120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 351, Class 7
3136FCHW9
164460.01000000
PA
USD
20865.77000000
0.000940422060
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Variable
5.00000040
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBD7
1130000.00000000
PA
USD
1213388.02000000
0.054687503143
Long
DBT
CORP
US
N
2
2026-11-18
Fixed
2.90000000
N
N
N
N
N
N
Steel Dynamics, Inc.
549300HGGKEL4FYTTQ83
Steel Dynamics, Inc.
858119BK5
909000.00000000
PA
USD
987442.82000000
0.044504133412
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.45000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BP4
660000.00000000
PA
USD
643337.13000000
0.028995260163
Long
DBT
CORP
US
N
2
2028-01-30
Fixed
1.15000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2224, Class CB
3133TNK45
20185.02000000
PA
USD
24219.43000000
0.001091571807
Long
ABS-MBS
USGSE
US
N
2
2030-03-15
Fixed
8.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-6, Class SA
38375Y5V0
223373.02000000
PA
USD
24953.47000000
0.001124655053
Long
ABS-MBS
USGA
US
N
2
2039-02-16
Floating
5.99262120
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
1490000.00000000
PA
USD
1716784.09000000
0.077375607613
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202EWE5
603041.39000000
PA
USD
711220.94000000
0.032054789359
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
Eaton Corp.
0NZWDMRCE180888QQE14
Eaton Corp.
278058AP7
300000.00000000
PA
USD
351182.11000000
0.015827808110
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
7.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-44, Class P
31395NBC0
678288.20000000
PA
USD
633630.52000000
0.028557782410
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-64, Class SX
31393DJU6
39076.49000000
PA
USD
49896.94000000
0.002248859406
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
13.44279960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391REW8
11304.12000000
PA
USD
12746.60000000
0.000574490365
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-188, Class PZ
31358Q4G7
13501.99000000
PA
USD
14028.10000000
0.000632247681
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-33, Class TI
38374UJV4
113764.88000000
PA
USD
21273.79000000
0.000958811557
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
6.00000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-3, Class AA
023771R91
336139.26000000
PA
USD
332618.07000000
0.014991125220
Long
ABS-O
CORP
US
N
2
2028-10-15
Fixed
3.00000000
N
N
N
N
N
N
Mylan, Inc.
30ZMPDNA1RHIBH89C294
Mylan, Inc.
628530BC0
520000.00000000
PA
USD
642604.72000000
0.028962250381
Long
DBT
CORP
US
N
2
2043-11-29
Fixed
5.40000000
N
N
N
N
N
N
Quest Diagnostics, Inc.
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics, Inc.
74834LAZ3
150000.00000000
PA
USD
165828.71000000
0.007473914320
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.45000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT
35563PJE0
3666699.45000000
PA
USD
4010181.55000000
0.180739229749
Long
ABS-MBS
USGSE
US
N
3
2058-07-25
Fixed
3.50000000
N
N
N
N
N
N
Keurig Dr Pepper, Inc.
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
26138EAX7
250000.00000000
PA
USD
279579.60000000
0.012600676784
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.43000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CQX4
1922.04000000
PA
USD
2152.76000000
0.000097025079
Long
ABS-MBS
USGA
US
N
2
2026-08-20
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1541, Class M
3133T0BV5
3287.34000000
PA
USD
3743.54000000
0.000168721671
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
25.64189640
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAM6
129000.00000000
PA
USD
153187.88000000
0.006904191018
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.25000000
N
N
N
N
N
N
Saudi Arabian Oil Co.
5586006WD91QHB7J4X50
Saudi Arabian Oil Co.
80414L2H7
278000.00000000
PA
USD
280710.50000000
0.012651646545
Long
DBT
NUSS
SA
Y
2
2025-11-24
Fixed
1.62500000
N
N
N
N
N
N
Cigna Corp.
549300VIWYMSIGT1U456
Cigna Corp.
125523BZ2
300000.00000000
PA
USD
344972.44000000
0.015547937746
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1992-136, Class PK
31358PQU4
3484.71000000
PA
USD
3590.23000000
0.000161811977
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Fixed
6.00000000
N
N
N
N
N
N
Tricolor Auto Securitization Trust
N/A
Tricolor Auto Securitization Trust, Series 2020-1A, Class A
89615AAA5
3350908.28000000
PA
USD
3354608.35000000
0.151192488851
Long
ABS-O
CORP
US
Y
2
2026-11-15
Fixed
4.87500000
N
N
N
N
N
N
nVent Finance SARL
549300KO1OQ4MVFB6X02
nVent Finance SARL
67078AAD5
450000.00000000
PA
USD
479131.34000000
0.021594490987
Long
DBT
CORP
LU
N
2
2028-04-15
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8AZ7
3396541.28000000
PA
USD
3747895.24000000
0.168917963043
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.11000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-25, Class SE
38374XSE6
149857.08000000
PA
USD
24268.32000000
0.001093775284
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Floating
7.48887120
N
N
N
N
N
N
BNZ International Funding Ltd.
549300HVMZ89HDMELW08
BNZ International Funding Ltd.
05579HAH5
632000.00000000
PA
USD
656400.82000000
0.029584041803
Long
DBT
CORP
NZ
Y
2
2022-11-03
Fixed
2.65000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2004-7, Class 1A1
45254NKF3
684030.59000000
PA
USD
699476.00000000
0.031525443896
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
0.85763160
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-26CB, Class A9
02147WAJ8
937753.52760000
PA
USD
683274.51000000
0.030795241338
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2325, Class PM
3133TU3J5
59056.12000000
PA
USD
70215.03000000
0.003164597482
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
7.00000000
N
N
N
N
N
N
TransCanada PipeLines Ltd.
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd.
89352HAT6
394000.00000000
PA
USD
458069.85000000
0.020645247809
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
4.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-90
38374CUL3
28806.84000000
PA
USD
28007.72000000
0.001262310365
Long
ABS-MBS
USGA
US
N
2
2033-10-20
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3549, Class FA
31398EP99
27112.13000000
PA
USD
27665.76000000
0.001246898199
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
1.31225040
N
N
N
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080AG1
600000.00000000
PA
USD
723726.77000000
0.032618428200
Long
DBT
CORP
US
N
2
2043-10-15
Fixed
5.15000000
N
N
N
N
N
N
Gray Oak Pipeline LLC
N/A
Gray Oak Pipeline LLC
38937LAA9
535000.00000000
PA
USD
543222.73000000
0.024483095485
Long
DBT
CORP
US
Y
2
2023-09-15
Fixed
2.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1998-1, Class 2E
911760LH7
343874.80000000
PA
USD
384541.30000000
0.017331309693
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31403QVP2
80388.82000000
PA
USD
92382.47000000
0.004163685923
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.50000000
N
N
N
N
N
N
CSFB Mortgage-Backed Pass-Through Certificates
N/A
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A18
225458QQ4
841557.67000000
PA
USD
854572.36000000
0.038515650273
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2040, Class PE
3133TD3W4
72472.35000000
PA
USD
84097.15000000
0.003790265833
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RKH4
2065000.00000000
PA
USD
1982697.34000000
0.089360340820
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
AutoZone, Inc.
GA3JGKJ41LJKXDN23E90
AutoZone, Inc.
053332BA9
690000.00000000
PA
USD
652624.57000000
0.029413845888
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.65000000
N
N
N
N
N
N
Advocate Health & Hospitals Corp.
549300AEHU3PPOUCIL87
Advocate Health & Hospitals Corp., Series 2020
007589AD6
710000.00000000
PA
USD
717179.92000000
0.032323361103
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.21100000
N
N
N
N
N
N
Lennar Corp.
529900G61XVRLX5TJX09
Lennar Corp.
526057BZ6
365000.00000000
PA
USD
399985.25000000
0.018027369857
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31401A3J4
82058.15000000
PA
USD
98621.48000000
0.004444878644
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
6.00000000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
22535WAG2
500000.00000000
PA
USD
513237.81000000
0.023131672544
Long
DBT
CORP
FR
Y
2
2026-06-16
Variable
1.90699920
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2004-1, Class 30PO
55265K6X2
8917.42000000
PA
USD
7422.70000000
0.000334541731
Long
ABS-MBS
CORP
US
N
3
2034-02-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2462, Class JG
31392MQP0
106492.28000000
PA
USD
125394.03000000
0.005651519791
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BGT1
300000.00000000
PA
USD
352250.96000000
0.015875981272
Long
DBT
CORP
US
N
2
2046-06-14
Fixed
4.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828VB3
2221000.00000000
PA
USD
2297954.19000000
0.103568994351
Long
DBT
UST
US
N
2
2023-05-15
Fixed
1.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2169, Class TB
3133TL5G9
168800.61000000
PA
USD
194451.55000000
0.008763948198
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.00000000
N
N
N
N
N
N
Kellogg Co.
LONOZNOJYIBXOHXWDB86
Kellogg Co.
487836BX5
337000.00000000
PA
USD
337318.80000000
0.015202987528
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.10000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CS2
2503000.00000000
PA
USD
2684687.96000000
0.120999118857
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.50800000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3171, Class MO
31396TUG6
32224.24000000
PA
USD
31289.85000000
0.001410236249
Long
ABS-MBS
USGSE
US
N
2
2036-06-15
None
0.00000000
N
N
N
N
N
N
TC PipeLines LP
6HL0C5LCIE4TN8UZHL06
TC PipeLines LP
87233QAC2
391000.00000000
PA
USD
435369.16000000
0.019622125745
Long
DBT
CORP
US
N
2
2027-05-25
Fixed
3.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-28, Class BO
38375J8N8
76995.76000000
PA
USD
71424.85000000
0.003219124175
Long
ABS-MBS
USGA
US
N
2
2037-05-20
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-12, Class SP
38373SNF0
108623.40000000
PA
USD
13429.10000000
0.000605250699
Long
ABS-MBS
USGA
US
N
2
2033-02-20
Floating
7.58886840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410DVM9
17750.47000000
PA
USD
19453.23000000
0.000876758760
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128287C8
5000000.00000000
PA
USD
5111718.75000000
0.230385606749
Long
DBT
UST
US
N
2
2022-07-15
Fixed
1.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828T34
4340000.00000000
PA
USD
4367125.00000000
0.196826701953
Long
DBT
UST
US
N
2
2021-09-30
Fixed
1.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H31, Class FD
38375BD74
962940.73000000
PA
USD
961448.75000000
0.043332578426
Long
ABS-MBS
USGA
US
N
2
2062-12-20
Floating
0.48387960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YX48
99802.64000000
PA
USD
100333.13000000
0.004522022858
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
2.09999880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2
31393XGQ4
181313.09000000
PA
USD
214016.97000000
0.009645763372
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209UJR8
3471.56000000
PA
USD
3526.71000000
0.000158949125
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2011-75, Class SM
38377WFA7
619867.93000000
PA
USD
93584.37000000
0.004217855660
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Floating
6.48887040
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBK5
820000.00000000
PA
USD
754302.05000000
0.033996458717
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-18
31397NBW4
1.62000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KQEA2
1740138.31000000
PA
USD
1962932.15000000
0.088469521995
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
5.00000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HN6
600000.00000000
PA
USD
760402.84000000
0.034271421851
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
4.75000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCZ5
400000.00000000
PA
USD
485402.00000000
0.021877110176
Long
DBT
CORP
US
N
2
2055-03-15
Fixed
4.67200000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS12, Class A5
76110HDW6
12.59000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
3
2018-06-25
Fixed
5.00000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAK7
375000.00000000
PA
USD
457336.70000000
0.020612204675
Long
DBT
CORP
US
N
2
2042-09-01
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138EPR30
3410527.32000000
PA
USD
3816199.89000000
0.171996459534
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Variable
3.78200160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBC4
50000000.00000000
PA
USD
49238281.00000000
2.219173588820
Long
DBT
UST
US
N
2
2025-12-31
Fixed
0.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2412, Class SP
31339DW95
101305.08000000
PA
USD
133966.14000000
0.006037865531
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
15.87549960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1518, Class G
312915YY1
8403.71000000
PA
USD
8964.21000000
0.000404017721
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Floating
8.86500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3134
31396J5T8
39247.58000000
PA
USD
37263.67000000
0.001679476834
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-10, Class XI
31396YKW1
225792.56000000
PA
USD
42754.63000000
0.001926954876
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
6.11237160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 374, Class 5
3136FCZ82
110685.78000000
PA
USD
19594.71000000
0.000883135276
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-90, Class SI
38374JXC5
507002.44000000
PA
USD
82385.36000000
0.003713115309
Long
ABS-MBS
USGA
US
N
2
2034-10-20
Floating
5.98887000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M10, Class A2
3136B2HA3
3335000.00000000
PA
USD
3769766.27000000
0.169903692259
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
3.36979440
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAA9
4115000.00000000
PA
USD
4370025.07000000
0.196957408359
Long
DBT
CORP
KY
Y
2
2023-01-15
Fixed
5.50000000
N
N
N
N
N
N
Boston Scientific Corp.
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp.
101137AX5
535000.00000000
PA
USD
608772.06000000
0.027437409465
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LM0
13900000.00000000
PA
USD
13828767.23000000
0.623263736659
Long
DBT
UST
US
N
2
2023-08-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-64, Class DM
31398RM85
147129.29000000
PA
USD
166097.01000000
0.007486006625
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3064, Class MC
31396ER57
3094883.00000000
PA
USD
3677069.49000000
0.165725840357
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
Acre
N/A
Acre
N/A
3785000.00000000
PA
USD
3747150.00000000
0.168884375011
Long
ABS-MBS
USGA
US
N
3
2021-12-22
Fixed
6.71199840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2313, Class LA
3133TTK67
38268.30000000
PA
USD
43937.21000000
0.001980253859
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2015-M10, Class A2
3136AN6U6
8527501.25000000
PA
USD
9317363.61000000
0.419934384808
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Variable
3.09200040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1505, Class Q
312915ZZ7
4009.11000000
PA
USD
4218.56000000
0.000190130864
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1996-1, Class 1Z
92260MAH6
182970.67000000
PA
USD
206493.76000000
0.009306691646
Long
ABS-MBS
USGSE
US
N
2
2026-02-15
Fixed
6.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3233, Class OP
31397BYN5
56671.56000000
PA
USD
52576.33000000
0.002369619746
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XAV7
82000.00000000
PA
USD
97828.86000000
0.004409155192
Long
DBT
CORP
US
N
2
2034-07-08
Fixed
4.30000000
N
N
N
N
N
N
Emera US Finance LP
N/A
Emera US Finance LP
29103DAM8
700000.00000000
PA
USD
818506.45000000
0.036890156586
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
4.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CPT4
3192.50000000
PA
USD
3518.45000000
0.000158576846
Long
ABS-MBS
USGA
US
N
2
2026-06-20
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-72, Class SX
31392BJG2
7386.10000000
PA
USD
10092.25000000
0.000454858581
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Floating
17.19181800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-40, Class SB
38375KA77
633357.92000000
PA
USD
126103.72000000
0.005683505581
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
6.63887160
N
N
N
N
N
N
General Electric Co.
3C7474T6CDKPR9K6YT90
General Electric Co.
36962G3P7
95000.00000000
PA
USD
124710.87000000
0.005620729711
Long
DBT
CORP
US
N
2
2038-01-14
Fixed
5.87500000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp.
N/A
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1
2254W0GJ8
239258.16000000
PA
USD
243619.72000000
0.010979961878
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Variable
6.71050800
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
911596AL8
1277000.00000000
PA
USD
1660870.58000000
0.074855580875
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617K1Y72
4313636.80000000
PA
USD
4697109.92000000
0.211699150875
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8CB8
3799890.72000000
PA
USD
4224267.27000000
0.190388091690
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.30000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDM0
1345000.00000000
PA
USD
1324207.54000000
0.059682148507
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.95000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202C5G4
1491.84000000
PA
USD
1508.86000000
0.000068004450
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-4, Class QM
31393UQ89
13695.52000000
PA
USD
14639.05000000
0.000659783251
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
13.96473840
N
N
N
N
N
N
Intact US Holdings, Inc.
N/A
Intact US Holdings, Inc.
68245JAB6
500000.00000000
PA
USD
530890.52000000
0.023927281712
Long
DBT
CORP
US
N
2
2022-11-09
Fixed
4.60000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-17, Class JO
38375JTE5
72165.76000000
PA
USD
65430.61000000
0.002948963259
Long
ABS-MBS
USGA
US
N
2
2037-04-16
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-48, Class GH
31392DS45
297749.19000000
PA
USD
353159.69000000
0.015916937812
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Fixed
6.50000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CH6
320000.00000000
PA
USD
336387.32000000
0.015161005644
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.10000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2484, Class LZ
31392R3H2
123081.09000000
PA
USD
147287.37000000
0.006638254521
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
7-Eleven, Inc.
549300K23JPL0SS3LB18
7-Eleven, Inc.
817826AD2
565000.00000000
PA
USD
550508.89000000
0.024811483347
Long
DBT
CORP
US
Y
2
2028-02-10
Fixed
1.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140K22K9
3474257.46000000
PA
USD
3660695.46000000
0.164987861406
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAP6
769000.00000000
PA
USD
1030982.07000000
0.046466451180
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.15000000
N
N
N
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
06738EBQ7
1452000.00000000
PA
USD
1459433.05000000
0.065776773953
Long
DBT
CORP
GB
N
2
2024-12-10
Variable
1.00699920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KQD88
1459446.36000000
PA
USD
1638161.05000000
0.073832060392
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
5.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2003-3, Class 1A1
576434DT8
106043.86000000
PA
USD
110476.32000000
0.004979177309
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
6.50000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BK5
200000.00000000
PA
USD
221753.78000000
0.009994462068
Long
DBT
CORP
GB
Y
2
2033-03-15
Variable
4.86600120
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2005-8, Class 30PO
05946X3C5
87168.77300000
PA
USD
64984.78000000
0.002928869662
Long
ABS-MBS
CORP
US
N
3
2036-01-25
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RT7
11193300.00000000
PA
USD
11499804.01000000
0.518297162640
Long
DBT
UST
US
N
2
2046-08-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2000-52
31358SU66
10528.44000000
PA
USD
1893.99000000
0.000085362293
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Fixed
8.50000000
N
N
N
N
N
N
Thornburg Mortgage Securities Trust
N/A
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1
885220DW0
109311.43000000
PA
USD
111304.57000000
0.005016506609
Long
ABS-MBS
CORP
US
N
2
2043-09-25
Floating
0.75763080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-84, Class XM
31394FN50
977619.05000000
PA
USD
1108349.98000000
0.049953429584
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Fixed
5.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3138
31396N7B6
167456.55000000
PA
USD
154250.01000000
0.006952061309
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418A3V8
2476378.65000000
PA
USD
2778030.89000000
0.125206092796
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
Deutsche Telekom AG
251566AA3
335000.00000000
PA
USD
352404.91000000
0.015882919812
Long
DBT
CORP
DE
Y
2
2050-01-21
Fixed
3.62500000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2005-7, Class 30PO
05946XV83
120897.15420000
PA
USD
112629.61000000
0.005076226276
Long
ABS-MBS
CORP
US
N
3
2035-11-25
None
0.00000000
N
N
N
N
N
N
Saudi Arabian Oil Co.
5586006WD91QHB7J4X50
Saudi Arabian Oil Co.
80414L2G9
200000.00000000
PA
USD
201500.00000000
0.009081622450
Long
DBT
NUSS
SA
Y
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
City of Los Angeles Department of Airports
N/A
City of Los Angeles, Department of Airports, Series 2009C
544435C32
440000.00000000
PA
USD
587716.80000000
0.026488447073
Long
DBT
MUN
US
N
2
2039-05-15
Fixed
6.58200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31406UL48
63199.69000000
PA
USD
73530.04000000
0.003314005270
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAL5
4690000.00000000
PA
USD
4487194.13000000
0.202238228040
Long
DBT
UST
US
N
2
2027-09-30
Fixed
0.37500000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-4A, Class A3
14686YAD9
1124920.78000000
PA
USD
1134210.15000000
0.051118949685
Long
ABS-O
CORP
US
Y
2
2023-09-15
Fixed
2.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CLW1
905.16000000
PA
USD
987.15000000
0.000044490935
Long
ABS-MBS
USGA
US
N
2
2025-12-20
Fixed
8.00000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2021-2A, Class C
22537CAE9
7280000.00000000
PA
USD
7262287.03000000
0.327311905373
Long
ABS-O
CORP
US
Y
2
2030-06-17
Fixed
1.64000000
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BP4
550000.00000000
PA
USD
621132.53000000
0.027994496918
Long
DBT
CORP
GB
Y
2
2030-05-21
Variable
4.30499880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-72, Class IE
31393DXG1
275576.48000000
PA
USD
46727.71000000
0.002106021936
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QK7
10235000.00000000
PA
USD
13489809.94000000
0.607986902244
Long
DBT
UST
US
N
2
2040-08-15
Fixed
3.87500000
N
N
N
N
N
N
Teachers Insurance & Annuity Association of America
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BF3
400000.00000000
PA
USD
468690.84000000
0.021123936748
Long
DBT
CORP
US
Y
2
2047-05-15
Fixed
4.27000000
N
N
N
N
N
N
SITE Centers Corp.
W2AVA6SODOQ1LCYJQR54
SITE Centers Corp.
23317HAF9
330000.00000000
PA
USD
364849.88000000
0.016443815688
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
4.70000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H03, Class FA
38375BF64
1422.29000000
PA
USD
1419.05000000
0.000063956706
Long
ABS-MBS
USGA
US
N
2
2060-08-20
Floating
0.44388000
N
N
N
N
N
N
Diageo Capital plc
213800L23DJLALFC4O95
Diageo Capital plc
25243YBC2
870000.00000000
PA
USD
885490.03000000
0.039909112337
Long
DBT
CORP
GB
N
2
2025-09-29
Fixed
1.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L74C7
2707411.05000000
PA
USD
2983943.52000000
0.134486592862
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.14000000
N
N
N
N
N
N
Realty Income Corp.
549300CUWDAUZSH43859
Realty Income Corp.
756109AT1
556000.00000000
PA
USD
709541.59000000
0.031979100909
Long
DBT
CORP
US
N
2
2047-03-15
Fixed
4.65000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-1CB, Class 1A6
12667F2M6
550932.97000000
PA
USD
84747.15000000
0.003819561389
Long
ABS-MBS
CORP
US
N
3
2035-03-25
Floating
6.98236920
N
N
N
N
N
N
Assurant, Inc.
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621XAH1
660000.00000000
PA
USD
717713.96000000
0.032347430332
Long
DBT
CORP
US
N
2
2023-09-27
Fixed
4.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3511, Class SA
31397YVF5
239835.54000000
PA
USD
39289.79000000
0.001770794237
Long
ABS-MBS
USGSE
US
N
2
2039-02-15
Floating
5.88774960
N
N
N
N
N
N
Aviation Capital Group LLC
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
490000.00000000
PA
USD
514768.30000000
0.023200651861
Long
DBT
CORP
US
Y
2
2023-05-01
Fixed
3.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138EGBP8
246006.00000000
PA
USD
291399.53000000
0.013133402052
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 233, Class 13
31282YDY2
410461.05000000
PA
USD
74930.69000000
0.003377132687
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBK4
784000.00000000
PA
USD
802999.14000000
0.036191240781
Long
DBT
CORP
US
Y
2
2055-09-15
Fixed
4.00000000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Trust
N/A
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class XW
50180CAU4
1384230.15000000
PA
USD
287.64000000
0.000012963959
Long
ABS-MBS
CORP
US
Y
3
2038-11-15
Variable
0.80731440
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A
31392MEN8
266391.15000000
PA
USD
298822.91000000
0.013467974432
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Variable
5.15098080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617LNSC9
5088327.14000000
PA
USD
5301022.22000000
0.238917530536
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.00000000
N
N
N
N
N
N
Nevada Power Co.
MJZFGXRJ52U8U4MKJ519
Nevada Power Co., Series N
641423BP2
100000.00000000
PA
USD
145268.78000000
0.006547276495
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.65000000
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
92940PAE4
170000.00000000
PA
USD
192282.47000000
0.008666187575
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
3.90000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 233, Class 11
31282YDW6
287887.40000000
PA
USD
53049.76000000
0.002390957277
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
CRH America, Inc.
549300RN11MJ182CNF63
CRH America, Inc.
12626PAN3
893000.00000000
PA
USD
1138897.39000000
0.051330203998
Long
DBT
CORP
US
Y
2
2045-05-18
Fixed
5.12500000
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
413875AR6
850000.00000000
PA
USD
941798.84000000
0.042446955280
Long
DBT
CORP
US
N
2
2025-04-27
Fixed
3.83200000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31287UNA6
18787.11000000
PA
USD
21258.06000000
0.000958102605
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
7.00000000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AL9
828000.00000000
PA
USD
962750.08000000
0.043391229482
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2020-M50, Class A2
3136BCGS3
1325000.00000000
PA
USD
1304845.16000000
0.058809484363
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Fixed
1.20000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
Kingdom of Saudi Arabia
80413TAV1
622000.00000000
PA
USD
594398.75000000
0.026789603138
Long
DBT
NUSS
SA
Y
2
2033-02-02
Fixed
2.25000000
N
N
N
N
N
N
FMR LLC
6X064LF7Y6B4DKF2GZ26
FMR LLC
30251BAB4
500000.00000000
PA
USD
728826.73000000
0.032848283839
Long
DBT
CORP
US
Y
2
2039-11-15
Fixed
6.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31371HDQ8
15178.81000000
PA
USD
17343.05000000
0.000781652765
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
6.00000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AF5
454000.00000000
PA
USD
488187.68000000
0.022002661015
Long
DBT
CORP
US
Y
2
2023-05-30
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138EGU44
440880.76000000
PA
USD
440842.33000000
0.019868801991
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Variable
4.13799840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402HGD7
222303.27000000
PA
USD
255157.93000000
0.011499990002
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAY7
2110000.00000000
PA
USD
2122738.60000000
0.095672012536
Long
DBT
CORP
DK
Y
2
2023-12-08
Variable
1.17100080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXQS4
4271435.87000000
PA
USD
4700297.13000000
0.211842798705
Long
ABS-MBS
USGSE
US
N
2
2060-03-01
Fixed
3.50000000
N
N
N
N
N
N
Academic Loan Funding Trust
N/A
Academic Loan Funding Trust, Series 2013-1A, Class A
00389VAA0
823153.79000000
PA
USD
820604.73000000
0.036984726247
Long
ABS-O
CORP
US
Y
2
2044-12-26
Floating
0.91762920
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey, Consolidated
73358WCX0
440000.00000000
PA
USD
611468.00000000
0.027558915714
Long
DBT
MUN
US
N
2
2040-11-01
Fixed
5.64700000
N
N
N
N
N
N
UDR, Inc.
P3CH2EG5X6Z1XWU1OO74
UDR, Inc.
90265EAT7
640000.00000000
PA
USD
621973.93000000
0.028032418889
Long
DBT
CORP
US
N
2
2032-08-01
Fixed
2.10000000
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CK1
275000.00000000
PA
USD
332593.53000000
0.014990019200
Long
DBT
CORP
US
Y
2
2047-08-15
Fixed
4.60000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1
5899292M9
543359.40000000
PA
USD
546264.36000000
0.024620182012
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
0.75763080
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJX1
2340000.00000000
PA
USD
2423916.59000000
0.109246130628
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2
31392GVR3
517870.22000000
PA
USD
620736.28000000
0.027976637896
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.00000000
N
N
N
N
N
N
HERO Funding
549300Z5C0ID42MSJA91
HERO Funding, Series 2017-3A, Class A2
42771AAB2
1392502.13000000
PA
USD
1446709.73000000
0.065203332819
Long
ABS-O
CORP
KY
Y
2
2048-09-20
Fixed
3.95000000
N
Y
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAB4
415000.00000000
PA
USD
385209.79000000
0.017361438595
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
2.65000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578AAP3
1005000.00000000
PA
USD
994951.28000000
0.044842540354
Long
DBT
CORP
FR
Y
2
2026-01-20
Fixed
1.00000000
N
N
N
N
N
N
Camillo Issuer LLC
N/A
Camillo Issuer LLC, Series 2016-SFR, Class 1-A-1
133715AA0
4824988.55000000
PA
USD
4951644.50000000
0.223171046438
Long
ABS-O
USGA
US
N
3
2023-12-05
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2002-75, Class PB
38373V7C8
644992.29000000
PA
USD
655235.03000000
0.029531499546
Long
ABS-MBS
USGA
US
N
2
2032-11-20
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-130, Class CA
3136A2B85
595597.47000000
PA
USD
698091.99000000
0.031463066445
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
6.00000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RMD1
2487000.00000000
PA
USD
2283416.05000000
0.102913759122
Long
DBT
CORP
US
Y
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
Brown & Brown, Inc.
549300PC8KTJ71XKFY89
Brown & Brown, Inc.
115236AC5
1830000.00000000
PA
USD
1829845.80000000
0.082471308674
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.37500000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAK7
343000.00000000
PA
USD
361050.35000000
0.016272570542
Long
DBT
CORP
US
N
2
2023-02-06
Fixed
3.35000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1865, Class D
3133T7HX0
29792.47480000
PA
USD
29595.99000000
0.001333893832
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DD7
125000.00000000
PA
USD
145405.77000000
0.006553450646
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.10000000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2004-6, Class 15PO
57643MDJ0
126.77000000
PA
USD
126.05000000
0.000005681084
Long
ABS-MBS
CORP
US
N
3
2019-07-25
None
0.00000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAL1
554000.00000000
PA
USD
618520.21000000
0.027876759429
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403JD45
4661.76000000
PA
USD
4663.64000000
0.000210190658
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Variable
2.27700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHY72
69716.30000000
PA
USD
73561.17000000
0.003315408302
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
2.27000160
N
Y
N
N
N
N
Baltimore Gas and Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co.
059165EM8
450000.00000000
PA
USD
434378.69000000
0.019577485176
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-18, Class Z
31359VRN5
42999.37000000
PA
USD
46799.22000000
0.002109244898
Long
ABS-MBS
USGSE
US
N
2
2029-04-18
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2001-35, Class SA
38373RTZ2
74017.33000000
PA
USD
102.85000000
0.000004635458
Long
ABS-MBS
USGA
US
N
2
2031-08-16
Floating
8.14262040
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AT5
1060000.00000000
PA
USD
1044911.05000000
0.047094231515
Long
DBT
CORP
CH
Y
2
2027-02-02
Variable
1.30500000
N
N
N
N
N
N
Baxalta, Inc.
5493000JW8DCO3T45R55
Baxalta, Inc.
07177MAL7
149000.00000000
PA
USD
154519.94000000
0.006964227077
Long
DBT
CORP
US
N
2
2022-06-23
Fixed
3.60000000
N
N
N
N
N
N
BP Capital Markets America, Inc.
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QBM1
1070000.00000000
PA
USD
1032584.96000000
0.046538693571
Long
DBT
CORP
US
N
2
2030-08-10
Fixed
1.74900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-35, Class E
31358PHT7
4149.98000000
PA
USD
4267.49000000
0.000192336143
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2990, Class UZ
31395V4P1
1535864.38000000
PA
USD
1774148.98000000
0.079961048174
Long
ABS-MBS
USGSE
US
N
2
2035-06-15
Fixed
5.75000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1994-1, Class 1
911760DD5
81900.49000000
PA
USD
86099.57000000
0.003880515076
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Variable
5.22146880
N
N
N
N
N
N
ACC
N/A
ACC
N/A
3060255.86000000
PA
USD
3060255.86000000
0.137925996635
Long
ABS-MBS
CORP
US
N
3
2022-09-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-205, Class H
31359EK34
5445.66800000
PA
USD
5390.46000000
0.000242948499
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-64CB, Class 1A9
12668AZU2
459900.24000000
PA
USD
460998.02000000
0.020777220684
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-2, Class AA
90932JAA0
1294594.03000000
PA
USD
1284852.47000000
0.057908412094
Long
ABS-O
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2017-1, Class D
26208EAG9
865670.98000000
PA
USD
874621.41000000
0.039419262692
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
3.84000000
N
N
N
N
N
N
MRCD MARK Mortgage Trust
N/A
MRCD MARK Mortgage Trust, Series 2019-PARK, Class D
55348UAQ1
2685000.00000000
PA
USD
2702455.19000000
0.121799889452
Long
ABS-MBS
CORP
US
Y
3
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BV0
190000.00000000
PA
USD
242782.95000000
0.010942248582
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2209, Class TC
3133TNCF9
43488.73000000
PA
USD
51790.03000000
0.002334181137
Long
ABS-MBS
USGSE
US
N
2
2030-01-15
Fixed
8.00000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AP4
612000.00000000
PA
USD
635531.77000000
0.028643471912
Long
DBT
CORP
GB
N
2
2023-11-07
Variable
2.90700000
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
124857AQ6
792000.00000000
PA
USD
886390.21000000
0.039949683528
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296SLS3
87072.99000000
PA
USD
104537.33000000
0.004711506516
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-33, Class IA
31393BFR1
287378.50000000
PA
USD
58792.78000000
0.002649795686
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class MY
3139205U0
201440.62000000
PA
USD
240983.07000000
0.010861127834
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4F73
2177166.59000000
PA
USD
2279594.61000000
0.102741526490
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
3.02000000
N
N
N
N
N
N
Volkswagen Group of America Finance LLC
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BN1
705000.00000000
PA
USD
697578.35000000
0.031439916646
Long
DBT
CORP
US
Y
2
2027-11-24
Fixed
1.62500000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCV9
443000.00000000
PA
USD
484135.74000000
0.021820039729
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.85000000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust, Series 2019-1A, Class A
252722AA1
3425671.13000000
PA
USD
3546210.22000000
0.159828001725
Long
ABS-O
CORP
US
Y
2
2032-02-20
Fixed
2.89000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR3, Class C
02665XAC3
500000.00000000
PA
USD
539066.30000000
0.024295764825
Long
ABS-O
CORP
US
Y
2
2036-12-17
Fixed
4.59600000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BG4
380000.00000000
PA
USD
493787.19000000
0.022255031416
Long
DBT
CORP
US
N
2
2036-11-30
Fixed
4.75000000
N
N
N
N
N
N
NRZ Excess Spread-Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A
433674AA6
1963998.63000000
PA
USD
1973117.08000000
0.088928557672
Long
ABS-O
CORP
US
Y
2
2025-12-25
Fixed
3.84400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-39, Class LW
31393A6T9
105111.23000000
PA
USD
108816.06000000
0.004904349247
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36202SBN7
30741.43000000
PA
USD
34881.94000000
0.001572132056
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.50000000
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
34941.05000000
PA
USD
36454.85000000
0.001643023246
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.59526880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class GZ
31392KPH3
67741.70000000
PA
USD
81399.25000000
0.003668671246
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
7.00000000
N
N
N
N
N
N
CMS Energy Corp.
549300IA9XFBAGNIBW29
CMS Energy Corp.
125896BQ2
475000.00000000
PA
USD
514197.94000000
0.023174945686
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.00000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6
92922FBV9
607821.88000000
PA
USD
614413.40000000
0.027691665147
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.78514000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1570, Class F
3133T0PQ1
869.09000000
PA
USD
880.75000000
0.000039695478
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
Floating
1.95999840
N
N
N
N
N
N
Exelon Generation Co. LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co. LLC
30161MAJ2
235000.00000000
PA
USD
266964.76000000
0.012032124852
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
5.75000000
N
N
N
N
N
N
NBCUniversal Media LLC
VTBDOQJ6KOGQ6K786R46
NBCUniversal Media LLC
63946BAG5
800000.00000000
PA
USD
1147811.22000000
0.051731951088
Long
DBT
CORP
US
N
2
2041-04-01
Fixed
5.95000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-33, Class CI
38374UKD2
108222.45000000
PA
USD
15395.38000000
0.000693871109
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
5.50000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAR8
540000.00000000
PA
USD
582263.47000000
0.026242665018
Long
DBT
CORP
FR
Y
2
2023-07-20
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-62, Class HJ
31396QTN9
89117.05000000
PA
USD
94308.99000000
0.004250514346
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QSZC3
11205.90000000
PA
USD
11284.23000000
0.000508581223
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
2.14700040
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140J2H58
4500000.00000000
PA
USD
4424081.49000000
0.199393735890
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
1.45000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36201SRB7
13833.89000000
PA
USD
15426.49000000
0.000695273240
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-42, Class SB
38375KYH9
378712.71000000
PA
USD
63244.00000000
0.002850412557
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
6.63887160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DYY1
81480.21000000
PA
USD
91709.58000000
0.004133358712
Long
ABS-MBS
USGA
US
N
2
2033-08-20
Fixed
4.50000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1
576433UE4
119492.14000000
PA
USD
121540.18000000
0.005477826438
Long
ABS-MBS
CORP
US
N
2
2034-04-21
Variable
2.99622960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-27, Class SN
31396Y4G4
129150.24000000
PA
USD
23502.32000000
0.001059251597
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Floating
6.78237120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L74J2
2451274.54000000
PA
USD
2656165.30000000
0.119713600101
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
3.11000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-14, Class J
31358TV97
3707.08000000
PA
USD
3853.90000000
0.000173695606
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-40, Class TJ
38373QXZ9
566397.30000000
PA
USD
616540.74000000
0.027787544545
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-40, Class SA
38375QKS7
1936207.46000000
PA
USD
357952.87000000
0.016132966850
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
6.29262000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29364DAU4
175000.00000000
PA
USD
193842.99000000
0.008736520346
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K052, Class A2
3137BMTX4
3560000.00000000
PA
USD
3918807.06000000
0.176620973572
Long
ABS-MBS
USGSE
US
N
2
2025-11-25
Fixed
3.15100000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2S1
425000.00000000
PA
USD
441409.03000000
0.019894343209
Long
DBT
CORP
US
N
2
2028-06-02
Variable
2.39299920
N
N
N
N
N
N
American Campus Communities Operating Partnership LP
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AD0
500000.00000000
PA
USD
554702.89000000
0.025000507290
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.62500000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AQ0
1591000.00000000
PA
USD
1722307.36000000
0.077624541871
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.55000000
N
N
N
N
N
N
Walt Disney Co. (The)
549300GZKULIZ0WOW665
Walt Disney Co. (The)
254687CP9
430000.00000000
PA
USD
505540.07000000
0.022784734735
Long
DBT
CORP
US
N
2
2023-04-26
Fixed
8.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-14, Class KI
38374XBQ7
210229.94000000
PA
USD
37945.20000000
0.001710193450
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
6.50000000
N
N
N
N
N
N
Fortis, Inc.
549300MQYQ9Y065XPR71
Fortis, Inc.
349553AM9
500000.00000000
PA
USD
541309.27000000
0.024396855677
Long
DBT
CORP
CA
N
2
2026-10-04
Fixed
3.05500000
N
N
N
N
N
N
Crown Castle International Corp.
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAT8
1235000.00000000
PA
USD
1213132.56000000
0.054675989539
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-34, Class AX
31393CDE0
169412.76000000
PA
USD
197913.88000000
0.008919995711
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2006-A2, Class 4A1
466247K51
200818.33000000
PA
USD
210901.14000000
0.009505332644
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.06497880
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities Trust
N/A
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1
32051GAA3
180879.05000000
PA
USD
186822.68000000
0.008420114366
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
2.40296760
N
N
N
N
N
N
Starbucks Corp.
OQSJ1DU9TAOC51A47K68
Starbucks Corp.
855244AZ2
780000.00000000
PA
USD
808646.65000000
0.036445774546
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.55000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCQ5
1895000.00000000
PA
USD
2248015.84000000
0.101318268592
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.40000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2004-1
05946XGF4
106997.00000000
PA
USD
85255.38000000
0.003842467359
Long
ABS-MBS
CORP
US
N
3
2034-03-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-128, Class BP
31396PES6
102829.15000000
PA
USD
112686.34000000
0.005078783102
Long
ABS-MBS
USGSE
US
N
2
2037-01-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-160, Class PA
38381AH74
3964399.40000000
PA
USD
4120551.54000000
0.185713614757
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833PA2
1592000.00000000
PA
USD
1512698.31000000
0.068177443834
Long
DBT
UST
US
N
2
2026-08-15
None
0.00000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR3, Class A
02665XAA7
2663221.24000000
PA
USD
2858843.90000000
0.128848342155
Long
ABS-O
CORP
US
Y
2
2036-12-17
Fixed
3.67800000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-54, Class WA
38378MRL1
1528830.49000000
PA
USD
1736870.99000000
0.078280925936
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Variable
4.84958880
N
N
N
N
N
N
Bear Stearns Commercial Mortgage Securities Trust
N/A
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR8, Class X1
07383F6S2
12899.36000000
PA
USD
16.85000000
0.000000759430
Long
ABS-MBS
CORP
US
Y
3
2041-06-11
Variable
0.71605080
N
N
N
N
N
N
Brookfield Finance, Inc.
N/A
Brookfield Finance, Inc.
11271LAC6
337000.00000000
PA
USD
379997.34000000
0.017126513022
Long
DBT
CORP
CA
N
2
2028-01-25
Fixed
3.90000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBA7
350000.00000000
PA
USD
367573.45000000
0.016566567224
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
2.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KQD96
621537.72000000
PA
USD
690257.90000000
0.031109983330
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
5.00000000
N
N
N
N
N
N
Memorial Sloan-Kettering Cancer Center
549300IZ71UAMEHWL382
Memorial Sloan-Kettering Cancer Center, Series 2015
586054AC2
200000.00000000
PA
USD
254522.69000000
0.011471359680
Long
DBT
CORP
US
N
2
2055-07-01
Fixed
4.20000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCK8
396000.00000000
PA
USD
488557.72000000
0.022019338750
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86200000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCZ0
480000.00000000
PA
USD
585261.71000000
0.026377795954
Long
DBT
CORP
US
N
2
2042-10-01
Fixed
4.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1695, Class EB
3133T4SX5
14521.33000000
PA
USD
15450.56000000
0.000696358077
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MQ1
1900000.00000000
PA
USD
2042924.21000000
0.092074771066
Long
DBT
CORP
US
N
2
2026-04-08
Variable
3.10600080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LS7
20600000.00000000
PA
USD
20294396.94000000
0.914670227628
Long
DBT
UST
US
N
2
2024-08-15
None
0.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MCA6
542000.00000000
PA
USD
550467.93000000
0.024809637276
Long
DBT
CORP
JP
N
2
2025-07-08
Fixed
1.47400000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591EJ7
304000.00000000
PA
USD
436789.56000000
0.019686143296
Long
DBT
USGA
US
N
2
2060-09-15
Fixed
4.62500000
N
N
N
N
N
N
Alabama Power Co.
0RL818ELFOHP5JHOFU19
Alabama Power Co.
010392EZ7
239000.00000000
PA
USD
339210.64000000
0.015288252921
Long
DBT
CORP
US
N
2
2038-05-15
Fixed
6.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-4, Class C
31359RA69
1581.56900000
PA
USD
1576.95000000
0.000071073273
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
None
0.00000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2K6
2800000.00000000
PA
USD
2979502.82000000
0.134286450129
Long
DBT
CORP
US
Y
2
2026-11-12
Fixed
2.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-77, Class PC
31396KGX4
512747.99000000
PA
USD
593557.48000000
0.026751687027
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1709, Class FA
3133T4U79
1103.59000000
PA
USD
1084.93000000
0.000048897889
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
0.25999920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-42, Class AO
31396VM96
23727.06000000
PA
USD
21988.50000000
0.000991023599
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
None
0.00000000
N
N
N
N
N
N
Constellation Brands, Inc.
5493005GKEG8QCVY7037
Constellation Brands, Inc.
21036PBD9
220000.00000000
PA
USD
290841.73000000
0.013108261958
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
5.25000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BB4
200000.00000000
PA
USD
223712.02000000
0.010082720115
Long
DBT
CORP
GB
N
2
2026-05-25
Fixed
3.90000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2013-1, Class A
009089AA1
560223.44000000
PA
USD
550264.46000000
0.024800466866
Long
ABS-O
CORP
CA
Y
2
2025-05-15
Fixed
4.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1642, Class PJ
3133T2DL1
44944.63000000
PA
USD
47340.19000000
0.002133626463
Long
ABS-MBS
USGSE
US
N
2
2023-11-15
Fixed
6.00000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2006-A, Class 3A2
058927AG9
155490.81000000
PA
USD
151528.52000000
0.006829403519
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
2.85173280
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2351, Class PZ
313399HV2
38481.36000000
PA
USD
44080.07000000
0.001986692572
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
Corning, Inc.
549300X2937PB0CJ7I56
Corning, Inc.
219350BP9
1043000.00000000
PA
USD
1173754.19000000
0.052901202993
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.90000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-3, Class CX
9393365L3
840896.33000000
PA
USD
143854.99000000
0.006483556857
Long
ABS-MBS
CORP
US
N
3
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
Rush Obligated Group
N/A
Rush Obligated Group, Series 2020
78200JAA0
1137000.00000000
PA
USD
1302172.47000000
0.058689025994
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.92200000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468W2
1290000.00000000
PA
USD
1290657.18000000
0.058170030876
Long
DBT
CORP
US
N
2
2024-01-25
Variable
0.52899840
N
N
N
N
N
N
Tyson Foods, Inc.
WD6L6041MNRW1JE49D58
Tyson Foods, Inc.
902494AY9
210000.00000000
PA
USD
272363.90000000
0.012275464560
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
5.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-16, Class IS
31396YTG7
89777.10000000
PA
USD
14898.22000000
0.000671464065
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
6.08236920
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967AR2
250000.00000000
PA
USD
320125.21000000
0.014428070938
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381RTA2
2529555.93000000
PA
USD
2863304.20000000
0.129049368262
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.54000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-65, Class QO
31396KAA0
192086.15000000
PA
USD
180708.08000000
0.008144528815
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-9
31397MT31
6.15000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2024-02-25
Fixed
5.00000000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAF0
513000.00000000
PA
USD
633350.55000000
0.028545164138
Long
DBT
CORP
NL
Y
2
2045-05-27
Fixed
4.40000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDZ6
946000.00000000
PA
USD
1064991.24000000
0.047999247417
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SW9
6600000.00000000
PA
USD
6458718.75000000
0.291095013402
Long
DBT
UST
US
N
2
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3219, Class DI
31397BF22
135112.08000000
PA
USD
28073.36000000
0.001265268766
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3275, Class FL
31397FDQ2
40790.46000000
PA
USD
41114.91000000
0.001853052554
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
0.55225080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3074, Class BH
31396FM83
254797.50000000
PA
USD
279983.75000000
0.012618891859
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1455, Class WB
312914CC6
3209.61000000
PA
USD
3314.05000000
0.000149364520
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Floating
4.61175120
N
N
N
N
N
N
2021-03-30
JPMorgan Institutional Trust
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer