0001752724-21-225958.txt : 20211026
0001752724-21-225958.hdr.sgml : 20211026
20211026091131
ACCESSION NUMBER: 0001752724-21-225958
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210831
FILED AS OF DATE: 20211026
PERIOD START: 20220228
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: 211346383
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
2022-02-28
2021-08-31
N
2307525118.57
159352197.89
2148172920.68
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
USD
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810FD5
799000.00000000
PA
USD
1820284.85000000
0.084736421005
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
197224.82000000
PA
USD
24811.20000000
0.001154990818
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Floating
5.61161880
N
N
N
N
N
N
BOC Aviation Ltd.
254900H06V5RMEB3KE72
BOC Aviation Ltd.
09681LAJ9
310000.00000000
PA
USD
329626.88000000
0.015344522632
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
531725.32000000
0.024752444967
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
322097.66000000
0.014994028502
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
715761.87000000
0.033319564878
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
921752.00000000
0.042908650003
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
1941360.93000000
0.090372656284
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
1722302.25000000
PA
USD
1997212.86000000
0.092972629939
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
550521.29000000
PA
USD
71223.69000000
0.003315547333
Long
ABS-MBS
CORP
US
N
3
2035-12-25
Floating
5.01562080
N
N
N
N
N
N
Potomac Electric Power Co.
549300BXF2DWUNN57U06
Potomac Electric Power Co.
737679DB3
1085000.00000000
PA
USD
1622174.79000000
0.075514162495
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
883493.64000000
0.041127677920
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
828859.99000000
PA
USD
841105.82000000
0.039154474572
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
374370.87000000
PA
USD
406967.68000000
0.018944828699
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
2434.85000000
PA
USD
2693.47000000
0.000125384226
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
28.51625160
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
89153VAU3
815000.00000000
PA
USD
889618.51000000
0.041412797891
Long
DBT
CORP
FR
N
2
2049-07-12
Fixed
3.46100000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JRE51
51310.31000000
PA
USD
51487.39000000
0.002396799135
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
4851725.56000000
0.225853585309
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
56442.56000000
PA
USD
67931.75000000
0.003162303618
Long
ABS-MBS
USGSE
US
N
2
2033-09-25
Floating
12.35936880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LLL7
58915.04000000
PA
USD
61975.41000000
0.002885028919
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
2.36499840
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-53, Class NC
31394ABD7
22197.67000000
PA
USD
22972.93000000
0.001069417167
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
802316.64000000
PA
USD
832547.37000000
0.038756068563
Long
ABS-O
CORP
US
Y
2
2050-12-15
Fixed
3.10000000
N
N
N
N
N
N
Corporate Office Properties LP
H0TWO5VRNEP6CQAWPX27
Corporate Office Properties LP
22003BAN6
335000.00000000
PA
USD
332164.64000000
0.015462658373
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4251, Class KW
3137B4KB1
3684366.00000000
PA
USD
3834141.00000000
0.178483815855
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
575255.97000000
0.026778848409
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
4851073.00000000
0.225823207866
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
19921.90000000
PA
USD
20086.50000000
0.000935050423
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
112950.02000000
PA
USD
114667.83000000
0.005337923632
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
2.46079800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJV9
128146.64000000
PA
USD
128995.48000000
0.006004892751
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
519808.49000000
0.024197702382
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
18652.93000000
PA
USD
20963.05000000
0.000975854867
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
1167656.51000000
0.054355796908
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LQ1
11355000.00000000
PA
USD
11270291.81000000
0.524645465060
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
847668.13000000
PA
USD
794775.59000000
0.036997747357
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
759058.20000000
0.035335060445
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
716341.27000000
0.033346536636
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
1021719.05000000
0.047562234872
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
216390.80000000
PA
USD
228618.39000000
0.010642457494
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAL9
1000000.00000000
PA
USD
1016200.91000000
0.047305358903
Long
DBT
CORP
ES
N
2
2026-03-25
Fixed
1.84900000
N
N
N
N
N
N
ITC Holdings Corp.
549300HTO5U9D3SLE207
ITC Holdings Corp.
465685AM7
900000.00000000
PA
USD
922774.15000000
0.042956232299
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
3237324.90000000
0.150701317795
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
322643.10000000
PA
USD
331341.30000000
0.015424330919
Long
ABS-O
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
Xilinx, Inc.
6EY4K7ZMF9UX1CU6KC79
Xilinx, Inc.
983919AK7
895000.00000000
PA
USD
919513.01000000
0.042804422360
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.37500000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAE1
1205000.00000000
PA
USD
1356034.69000000
0.063125024849
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
4750935.09000000
0.221161669261
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
510557.40000000
0.023767053158
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
360529.59000000
0.016783080474
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
635360.93000000
0.029576805660
Long
DBT
CORP
JP
N
2
2040-07-09
Fixed
3.02500000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Selection Trust, Series 2021-1, Class A
69547JAA1
7148584.73000000
PA
USD
7167083.12000000
0.333636228769
Long
ABS-O
CORP
US
Y
2
2027-11-15
Fixed
1.18000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-247, Class SU
31359FP36
2849.76000000
PA
USD
3051.97000000
0.000142072827
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
12.66800040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class SW
31392KMK9
61706.46000000
PA
USD
10769.14000000
0.000501316253
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
7.90449840
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAA8
500000.00000000
PA
USD
542672.85000000
0.025262065487
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
4041252.20000000
PA
USD
4047094.23000000
0.188397041552
Long
ABS-O
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
50185.68000000
PA
USD
52235.28000000
0.002431614303
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
119677962.06700000
NS
USD
119737801.05000000
5.573936804496
Long
STIV
RF
US
N
1
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AN5
470000.00000000
PA
USD
456841.28000000
0.021266503995
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
284395.81000000
0.013238962620
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
2010000.00000000
PA
USD
2299857.72000000
0.107061107504
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
610891.67000000
PA
USD
698495.29000000
0.032515785078
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
764688.34000000
PA
USD
766683.64000000
0.035690033731
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Floating
0.55288080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-111, Class EO
31396LSR2
37633.03000000
PA
USD
34515.24000000
0.001606725402
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
958594.55000000
0.044623714449
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
765759.06000000
0.035646993434
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128HDR92
5111.91000000
PA
USD
5108.14000000
0.000237789981
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Variable
2.36900160
N
Y
N
N
N
N
Texas Eastern Transmission LP
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AC4
554000.00000000
PA
USD
564335.15000000
0.026270471271
Long
DBT
CORP
US
Y
2
2022-10-15
Fixed
2.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58, Class AP
31395NE29
203348.21000000
PA
USD
188260.50000000
0.008763749798
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
30788.05000000
PA
USD
35950.36000000
0.001673531942
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
1034390.10000000
PA
USD
7335.07000000
0.000341456217
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Variable
0.24999840
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404YDK5
6315.75000000
PA
USD
6356.34000000
0.000295895173
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
512853.83000000
0.023873954701
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
1114357.89000000
0.051874682865
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
2772752.20000000
PA
USD
3014616.30000000
0.140333968042
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
516044.45000000
0.024022481851
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
1553840.53000000
0.072333121558
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
36683.96000000
PA
USD
34558.81000000
0.001608753637
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
295749.32000000
PA
USD
389055.21000000
0.018110981953
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
16.26795360
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAL7
400000.00000000
PA
USD
406148.96000000
0.018906716311
Long
DBT
CORP
GB
N
2
2040-09-02
Fixed
3.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 329, Class 1
3136FAWE6
29446.21400000
PA
USD
27998.21000000
0.001303349917
Long
ABS-MBS
USGSE
US
N
2
2033-01-25
None
0.00000000
N
N
N
N
N
N
Flex Intermediate Holdco LLC
549300290TQIGM30A243
Flex Intermediate Holdco LLC
33939HAA7
775000.00000000
PA
USD
793038.88000000
0.036916901445
Long
DBT
CORP
US
Y
2
2031-06-30
Fixed
3.36300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-55, Class SA
38375QK73
149985.54000000
PA
USD
22786.72000000
0.001060748870
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Floating
6.11161920
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAN5
246000.00000000
PA
USD
287024.40000000
0.013361326606
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
108056.04000000
PA
USD
127942.79000000
0.005955888781
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
712696.98000000
PA
USD
886344.05000000
0.041260367890
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
4.62600000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAM2
1075000.00000000
PA
USD
1063107.81000000
0.049488930791
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4A23
39739.24000000
PA
USD
41987.27000000
0.001954557270
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
2.08900080
N
Y
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2015-2, Class AA
009088AA3
204901.19000000
PA
USD
215672.66000000
0.010039818392
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
1084343.22000000
0.050477464340
Long
ABS-MBS
CORP
US
Y
2
2035-04-12
Variable
3.08635920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1996-14, Class SE
31359KAJ6
25623.76000000
PA
USD
1597.19000000
0.000074351090
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
9.48999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-27, Class FD
31359B3C9
3876.25000000
PA
USD
3874.24000000
0.000180350471
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
0.96437880
N
N
N
N
N
N
DXC Technology Co.
549300DOVZ3EDJB7O259
DXC Technology Co.
23355LAC0
478000.00000000
PA
USD
515406.96000000
0.023992805934
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.25000000
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
5333477.93000000
0.248279730121
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
928755.28000000
0.043234661002
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
2060281.80000000
0.095908563978
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
177289.44000000
0.008253033929
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
304835.24000000
PA
USD
349313.92000000
0.016260977719
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
3581229.05000000
0.166710464298
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
1118689.36000000
0.052076317936
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
70340.95000000
PA
USD
3090.74000000
0.000143877616
Long
ABS-MBS
USGA
US
N
2
2036-06-20
Floating
6.41162160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-66, Class SG
31394EKR8
102950.95000000
PA
USD
148373.07000000
0.006906942572
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
17.16405120
N
N
N
N
N
N
Chevron USA, Inc.
VA8TZDWPEZYU430RZ444
Chevron USA, Inc.
166756AT3
999000.00000000
PA
USD
1476305.62000000
0.068723779440
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.00000000
N
N
N
N
N
N
LP LMS Asset Securitization Trust
N/A
LP LMS Asset Securitization Trust
50214GAA9
4348820.78000000
PA
USD
4352388.17000000
0.202608836937
Long
ABS-O
CORP
US
N
2
2028-10-15
Fixed
3.22800000
N
N
N
N
N
N
Barrick Gold Corp.
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp.
725906AN1
295000.00000000
PA
USD
414511.91000000
0.019296021563
Long
DBT
CORP
CA
N
2
2035-10-15
Fixed
6.45000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617ULWC8
2861286.43000000
PA
USD
3045798.80000000
0.141785550440
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
3.00000000
N
N
N
N
N
N
Natwest Group plc
2138005O9XJIJN4JPN90
Natwest Group plc
780097BL4
640000.00000000
PA
USD
738332.19000000
0.034370240072
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
412163.06000000
PA
USD
436889.42000000
0.020337721223
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
2851724.38000000
0.132751155763
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402AF27
16401.64000000
PA
USD
16487.06000000
0.000767492218
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
2.15200080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-23, Class KO
31395B4J9
32778.48000000
PA
USD
31835.53000000
0.001481981720
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
591038.79000000
PA
USD
128870.28000000
0.005999064542
Long
ABS-MBS
USGA
US
N
2
2037-04-16
Floating
6.71450040
N
N
N
N
N
N
General Electric Co.
3C7474T6CDKPR9K6YT90
General Electric Co.
369604BW2
780000.00000000
PA
USD
876870.21000000
0.040819349390
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
244776.60000000
0.011394641355
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
300458.85000000
PA
USD
60344.52000000
0.002809109053
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
6.62562000
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AL0
620000.00000000
PA
USD
707029.98000000
0.032913085031
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
423158.83000000
PA
USD
429548.61000000
0.019995997801
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.36999880
N
N
N
N
N
N
Leidos, Inc.
5493006I78VIN6J1BQ95
Leidos, Inc.
52532XAH8
465000.00000000
PA
USD
458364.45000000
0.021337409367
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H7EG5
6340520.58000000
PA
USD
6972927.27000000
0.324598043429
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
33796.94000000
PA
USD
34768.27000000
0.001618504249
Long
ABS-MBS
CORP
US
N
2
2034-05-20
Variable
2.58725880
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
490000.00000000
PA
USD
502718.62000000
0.023402148642
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
171649.10000000
0.007990469405
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23
12669G3R0
236982.68000000
PA
USD
205142.09000000
0.009549607856
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
2859162.50000000
0.133097409080
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
28490.44000000
PA
USD
30696.27000000
0.001428947814
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
520015.69000000
PA
USD
536880.53000000
0.024992426113
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
153155.35000000
PA
USD
28667.28000000
0.001334495920
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
6.32450160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-26, Class SC
38375KBN1
259970.56000000
PA
USD
41592.98000000
0.001936202602
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
6.11161920
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RE0
7780000.00000000
PA
USD
10308500.00000000
0.479872914361
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.62500000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYJ7
1055000.00000000
PA
USD
1066574.69000000
0.049650318171
Long
DBT
CORP
US
N
2
2032-07-21
Variable
2.38299840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-53, Class US
31395NJD0
379448.85000000
PA
USD
73456.29000000
0.003419477514
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
6.49562040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-61, Class Z
313921M70
262438.27000000
PA
USD
312979.97000000
0.014569589207
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
7999.06990000
PA
USD
8182.49000000
0.000380904624
Long
ABS-MBS
USGA
US
N
2
2063-05-20
Variable
4.38999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8C44
3364538.23000000
PA
USD
3598350.79000000
0.167507501624
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
156096.62000000
PA
USD
186439.13000000
0.008678962862
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
VOLT CI LLC
N/A
VOLT CI LLC, Series 2021-NP10, Class A1
92873EAA8
2411865.25000000
PA
USD
2416098.07000000
0.112472233810
Long
ABS-O
CORP
US
Y
2
2051-05-25
Variable
1.99180080
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
1441442.86000000
0.067100876569
Long
ABS-MBS
CORP
US
Y
2
2046-08-15
Variable
4.35436200
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAG3
440000.00000000
PA
USD
654764.08000000
0.030480045330
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
680371.05000000
0.031672080187
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
113713.93000000
PA
USD
106471.90000000
0.004956393359
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
589960.98000000
0.027463384084
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
287728.25000000
PA
USD
327587.15000000
0.015249570779
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
157578.85000000
PA
USD
168849.13000000
0.007860127477
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
415757.12000000
0.019353987567
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
626567.38220000
PA
USD
534401.14000000
0.024877007565
Long
ABS-MBS
CORP
US
Y
2
2035-09-25
Floating
0.43925040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-62, Class B
31358Q7C3
939.22600000
PA
USD
937.84000000
0.000043657565
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
1361941.45000000
0.063399991541
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
312685.89000000
0.014555899433
Long
DBT
CORP
US
N
2
2050-04-24
Fixed
3.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L96Z0
1767631.82000000
PA
USD
1917691.62000000
0.089270821801
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
518038.93000000
0.024115327263
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
5.15000000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAG8
945000.00000000
PA
USD
949128.80000000
0.044183072547
Long
DBT
CORP
GB
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-116, Class HI
31396X6G4
412571.29000000
PA
USD
17307.70000000
0.000805693984
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Floating
1.41303600
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
605000.00000000
PA
USD
703616.98000000
0.032754205828
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
3046289.07000000
0.141808373091
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
155840.41000000
PA
USD
165413.27000000
0.007700184114
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
31393359.30000000
1.461398148993
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
1275284.13000000
PA
USD
1110841.73000000
0.051711001442
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
1494033.86000000
0.069549050060
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
192968.33000000
PA
USD
181090.18000000
0.008429962888
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G-51, Class SA
31358KV39
4.02000000
PA
USD
4.07000000
0.000000189463
Long
ABS-MBS
USGSE
US
N
2
2021-12-25
Floating
27.13908960
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BN1
200000.00000000
PA
USD
218580.71000000
0.010175191573
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
1389536.53000000
PA
USD
1365775.46000000
0.063578469258
Long
ABS-MBS
CORP
US
N
3
2023-08-25
Fixed
0.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBW4
1600000.00000000
PA
USD
1698542.03000000
0.079069148188
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
18202.88600000
PA
USD
18043.04000000
0.000839924934
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
292220.91000000
0.013603230316
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
761357.59000000
0.035442099780
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
777827.89000000
0.036208811800
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
917791.69000000
PA
USD
1001547.62000000
0.046623230856
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
1163493.70000000
0.054162013160
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371HKW7
39459.09000000
PA
USD
43630.27000000
0.002031040871
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
238000.00000000
PA
USD
320286.64000000
0.014909723370
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403K4Q3
95610.72000000
PA
USD
95974.68000000
0.004467735305
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
2.33499960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-H09, Class TA
38375UFZ8
1061485.76000000
PA
USD
1067094.54000000
0.049674517806
Long
ABS-MBS
USGA
US
N
2
2064-04-20
Floating
0.70287840
N
N
N
N
N
N
Republic of Chile
549300FLZTJM5YJF8D34
Republic of Chile
168863DN5
497000.00000000
PA
USD
510605.38000000
0.023769286684
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
18344917.74000000
0.853977701859
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
1293245.37000000
PA
USD
1299148.13000000
0.060476887940
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
3342.38000000
PA
USD
3734.45000000
0.000173843081
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
77122.35000000
PA
USD
13483.37000000
0.000627666882
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
7.85450160
N
N
N
N
N
N
DH Europe Finance II SARL
222100KDGL314CKTZ511
DH Europe Finance II SARL
23291KAJ4
1000000.00000000
PA
USD
1089123.48000000
0.050699991118
Long
DBT
CORP
LU
N
2
2039-11-15
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402DNT3
12591.52000000
PA
USD
12608.95000000
0.000586961593
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
684677.71000000
0.031872560323
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
30802.80000000
PA
USD
30656.30000000
0.001427087163
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
2.22087600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2201, Class C
3133TMGW0
36135.63000000
PA
USD
41213.13000000
0.001918520134
Long
ABS-MBS
USGSE
US
N
2
2029-11-15
Fixed
8.00000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
250000.00000000
PA
USD
260218.36000000
0.012113473617
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
138280.68900000
PA
USD
136971.71000000
0.006376195728
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
1430696.71000000
0.066600630527
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
81619.45000000
PA
USD
13068.14000000
0.000608337432
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
6.09562080
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABP1
530000.00000000
PA
USD
542221.37000000
0.025241048557
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
10978.10200000
PA
USD
10691.29000000
0.000497692243
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
283587.91000000
PA
USD
291483.03000000
0.013568881126
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
384977.96000000
0.017921181125
Long
DBT
CORP
CA
N
2
2026-01-27
Fixed
4.65000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDL7
910000.00000000
PA
USD
924999.55000000
0.043059827311
Long
DBT
CORP
US
N
2
2031-06-10
Fixed
2.70000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAH5
476000.00000000
PA
USD
509593.91000000
0.023722201555
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
3683.94000000
PA
USD
3818.38000000
0.000177750122
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
31895.93000000
PA
USD
5160.64000000
0.000240233919
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
182787.24000000
PA
USD
25288.82000000
0.001177224596
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9P63
7522621.84000000
PA
USD
8347067.79000000
0.388565916162
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
29922.03000000
PA
USD
34167.49000000
0.001590537226
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
102314.22000000
0.004762848419
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
2125513.42000000
0.098945173339
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
84051.12000000
PA
USD
88682.60000000
0.004128280323
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
260908.98000000
0.012145622798
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
7152.60000000
PA
USD
8181.03000000
0.000380836659
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
11.39343120
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
396117.52000000
0.018439740869
Long
ABS-MBS
CORP
US
Y
3
2045-03-15
Variable
4.38115320
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-36, Class DE
313920LG3
70320.47000000
PA
USD
82542.94000000
0.003842471860
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
3665325.91000000
0.170625272980
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
496063.91000000
0.023092363991
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
8605.16000000
PA
USD
15086.96000000
0.000702315900
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
38.67372000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-44
31397LMA4
6206.80000000
PA
USD
5583.96000000
0.000259939967
Long
ABS-MBS
USGSE
US
N
2
2038-05-25
None
0.00000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDR9
1086000.00000000
PA
USD
1080860.81000000
0.050315354019
Long
DBT
CORP
US
Y
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAD2
974000.00000000
PA
USD
1074089.74000000
0.050000152672
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
191721.14000000
PA
USD
219293.30000000
0.010208363483
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Variable
5.85153360
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAE7
242000.00000000
PA
USD
260530.13000000
0.012127986880
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
9247.77000000
PA
USD
9952.51000000
0.000463301157
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
02765UDV3
1315000.00000000
PA
USD
2196213.45000000
0.102236343678
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
7.49900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31373UED5
6024.96000000
PA
USD
6137.23000000
0.000285695343
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Variable
3.87399960
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
96949LAE5
409000.00000000
PA
USD
502493.09000000
0.023391649953
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
38.42000000
PA
USD
38.40000000
0.000001787565
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
505831.16000000
0.023547041075
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
906961.94000000
0.042220155149
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
2508925.88000000
0.116793478581
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
3753233.58000000
PA
USD
3983811.23000000
0.185451142766
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
421886.50000000
0.019639317484
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
36375.32000000
PA
USD
37497.74000000
0.001745564318
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
2.58964560
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-90, Class AO
31396KU42
95739.01000000
PA
USD
90592.94000000
0.004217208918
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
32631.89000000
PA
USD
35841.12000000
0.001668446690
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
628192.15000000
0.029243090439
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
6371.72000000
PA
USD
648.73000000
0.000030199151
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
19.94333400
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
3072537.87000000
0.143030285896
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
1301134.21000000
0.060569342322
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
400857.60000000
PA
USD
59253.61000000
0.002758325897
Long
ABS-MBS
USGA
US
N
2
2039-08-16
Floating
6.15449880
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAE3
555000.00000000
PA
USD
562259.35000000
0.026173840317
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
171000.00000000
PA
USD
196888.03000000
0.009165371563
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
6670550.01000000
PA
USD
45133.61000000
0.002101023132
Long
ABS-MBS
CORP
US
Y
3
2063-05-10
Variable
1.43200440
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M5CE8
183943.58000000
PA
USD
206860.97000000
0.009629623761
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
332532.00000000
0.015479759417
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
568092.71000000
0.026445390151
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDV25
234366.13000000
PA
USD
253623.64000000
0.011806481571
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
149064.41000000
0.006939125270
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405KZ20
28164.74000000
PA
USD
28197.33000000
0.001312619190
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
1.43799840
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd.
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd.
052528AK2
263000.00000000
PA
USD
297295.72000000
0.013839468747
Long
DBT
CORP
AU
Y
2
2026-05-19
Fixed
4.40000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DC1
845000.00000000
PA
USD
845801.77000000
0.039373076620
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-179, Class SC
31359EFX4
1618.15000000
PA
USD
1742.70000000
0.000081124754
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
10.50000120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-66, Class CB
3136A6ZU1
3000000.00000000
PA
USD
3254200.50000000
0.151486897012
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Fixed
3.00000000
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2015-2, Class A
48250BAA9
838235.62000000
PA
USD
95833.80000000
0.004461177174
Long
ABS-MBS
CORP
US
Y
3
2041-07-25
Variable
3.30525720
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYB4
1000000.00000000
PA
USD
1032124.28000000
0.048046610683
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.61500040
N
N
N
N
N
N
Welltower, Inc.
T6IZ0MBEG5ACZDTR7D06
Welltower, Inc.
42217KAX4
350000.00000000
PA
USD
508430.98000000
0.023668065783
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
419703.75000000
0.019537707880
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
72424.50500000
PA
USD
61534.76000000
0.002864516138
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
2169663.40000000
0.101000407328
Long
ABS-MBS
USGSE
US
N
2
2043-06-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31371LPA1
10437.68000000
PA
USD
11256.88000000
0.000524021129
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
6142.58000000
PA
USD
7473.05000000
0.000347879350
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
24.20466840
N
N
N
N
N
N
Reckitt Benckiser Treasury Services plc
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services plc
75625QAC3
700000.00000000
PA
USD
711002.83000000
0.033098025915
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
296394.91000000
0.013797534972
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
508365.77000000
0.023665030180
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
438362.90140000
PA
USD
314253.47000000
0.014628872144
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
487794.95000000
PA
USD
473924.74000000
0.022061759341
Long
ABS-MBS
CORP
US
N
2
2035-06-19
Variable
3.08667960
N
N
N
N
N
N
Berkshire Hathaway Finance Corp.
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp.
084664BU4
1000000.00000000
PA
USD
1261217.37000000
0.058711166026
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
239244.45000000
PA
USD
268393.61000000
0.012494041211
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
373354.95000000
0.017380116209
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
51037.58000000
PA
USD
50149.95000000
0.002334539715
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.62041120
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BC7
1131000.00000000
PA
USD
1202205.96000000
0.055964114826
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
640629.20000000
PA
USD
642836.30000000
0.029924793009
Long
ABS-MBS
USGA
US
N
2
2062-10-20
Floating
0.61787880
N
N
N
N
N
N
Kroger Co. (The)
6CPEOKI6OYJ13Q6O7870
Kroger Co. (The)
501044CR0
1100000.00000000
PA
USD
1422837.81000000
0.066234789401
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
26102.20000000
PA
USD
23543.36000000
0.001095971361
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
835905.21000000
0.038912380002
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
292997.46000000
PA
USD
292970.39000000
0.013638119500
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
395000.00000000
PA
USD
382686.10000000
0.017814492321
Long
DBT
CORP
FR
Y
2
2041-01-26
Fixed
2.82400000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAK1
515000.00000000
PA
USD
515341.30000000
0.023989749383
Long
DBT
CORP
US
Y
2
2039-12-31
Fixed
2.74200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-30, Class LS
31397SMD3
364769.64000000
PA
USD
24304.67000000
0.001131411245
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Variable
1.60320600
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-54, Class ZQ
31358QKR5
387.31000000
PA
USD
392.49000000
0.000018270875
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
44186.82000000
PA
USD
51868.52000000
0.002414541189
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
720406.79000000
0.033535791419
Long
DBT
CORP
FR
Y
2
2032-01-20
Variable
2.27700000
N
N
N
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556CL4
1375000.00000000
PA
USD
1372822.85000000
0.063906533630
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3122, Class ZB
31396JMD4
26881.00000000
PA
USD
40386.03000000
0.001880017647
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
246180.19000000
0.011459980136
Long
DBT
CORP
MX
N
2
2026-01-30
Fixed
4.62500000
N
N
N
N
N
N
FNMA/FHLMC
N/A
FNMA/FHLMC UMBS, Single Family, 15 Year
01F0204A4
5320000.00000000
PA
USD
5496567.34000000
0.255871735793
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Fixed
2.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-12, Class IE
38374XPH2
422676.01000000
PA
USD
52041.52000000
0.002422594545
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
241671.39000000
PA
USD
282565.89000000
0.013153777672
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
2581997.61000000
0.120195054371
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
34849.18000000
PA
USD
4884.76000000
0.000227391377
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
1033000.28000000
0.048087389523
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
30592.39000000
PA
USD
34894.15000000
0.001624364112
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
8.00000000
N
N
N
N
N
N
Brixmor Operating Partnership LP
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAL7
425000.00000000
PA
USD
427241.81000000
0.019888613523
Long
DBT
CORP
US
N
2
2031-08-16
Fixed
2.50000000
N
N
N
N
N
N
Nevada Power Co.
MJZFGXRJ52U8U4MKJ519
Nevada Power Co.
641423CA4
305000.00000000
PA
USD
419232.50000000
0.019515770632
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
6431.25000000
PA
USD
6361.53000000
0.000296136774
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
0.77000040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210APW1
7917.73000000
PA
USD
8626.66000000
0.000401581265
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
5043.81000000
PA
USD
726.67000000
0.000033827351
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
30.16380240
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-165, Class SK
31359D5S8
3304.07000000
PA
USD
3510.33000000
0.000163410029
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
804895.43000000
0.037468837925
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
2744744.73000000
0.127771126038
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
244065.33000000
0.011361530892
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
765.64100000
PA
USD
781.99000000
0.000036402562
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
4498015.19000000
0.209387947622
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
547179.87000000
PA
USD
618188.55000000
0.028777410982
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
648145.53000000
0.030171943969
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.15000000
N
N
N
N
N
N
Duke Realty LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YAZ0
239000.00000000
PA
USD
259863.32000000
0.012096946083
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
4720758.56000000
0.219756915961
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
180970.87000000
PA
USD
38902.95000000
0.001810978512
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
791374.69000000
0.036839431424
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
1135547.90000000
0.052861102989
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
309762.65000000
0.014419819141
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
1455460.59000000
PA
USD
1498077.06000000
0.069737265821
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
592379.00000000
0.027575945786
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
86047.27700000
PA
USD
72980.61000000
0.003397334045
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
2412773.79000000
PA
USD
2751036.71000000
0.128064025177
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
4999329.50000000
0.232724723967
Long
ABS-MBS
CORP
US
Y
2
2026-01-25
Variable
4.44999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31409JS50
48103.24000000
PA
USD
51267.73000000
0.002386573702
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
145780.76000000
PA
USD
20996.86000000
0.000977428762
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
927132.01000000
0.043159095856
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
373645.02000000
0.017393619312
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
3652.99000000
PA
USD
3664.49000000
0.000170586360
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
783761.85000000
0.036485044684
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
11258.08000000
PA
USD
16570.61000000
0.000771381569
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Floating
24.91326360
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2262, Class Z
3133TQ5B9
8083.09000000
PA
USD
9662.71000000
0.000449810623
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
7.50000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CB3
875000.00000000
PA
USD
893533.05000000
0.041595024376
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class HC
31392BVX1
371.76000000
PA
USD
373.38000000
0.000017381282
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
338010.62000000
PA
USD
339088.94000000
0.015784992759
Long
ABS-O
CORP
US
Y
2
2023-02-21
Fixed
2.82000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBS9
9800000.00000000
PA
USD
9938578.08000000
0.462652609774
Long
DBT
UST
US
N
2
2028-03-31
Fixed
1.25000000
N
N
N
N
N
N
Pioneer Natural Resources Co.
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co.
723787AQ0
1050000.00000000
PA
USD
1013320.69000000
0.047171281243
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
1524563.43000000
0.070970237792
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
2059234.80000000
PA
USD
2149071.49000000
0.100041829468
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
1131224.30000000
0.052659834276
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
788925.13000000
PA
USD
878074.22000000
0.040875397485
Long
ABS-MBS
USGA
US
N
2
2036-08-20
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828XB1
355000.00000000
PA
USD
375287.70000000
0.017470088016
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-13, Class ST
31392B5S1
2748.89000000
PA
USD
3317.93000000
0.000154453580
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
2337.43000000
PA
USD
2628.06000000
0.000122339313
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
2569.43000000
PA
USD
2879.13000000
0.000134026919
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
849380.61000000
0.039539675871
Long
DBT
CORP
FR
Y
2
2024-11-21
Fixed
2.37500000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CU7
960000.00000000
PA
USD
1106726.37000000
0.051519426548
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.04000000
N
N
N
N
N
N
Drive Auto Receivables Trust
549300RZ091I85JWZO63
Drive Auto Receivables Trust, Series 2017-3, Class D
26207KAG6
795955.85000000
PA
USD
801094.86000000
0.037291916879
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
1335928.79600000
PA
USD
1342714.11000000
0.062504936035
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
42526.53000000
PA
USD
4437.02000000
0.000206548549
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
9.01562040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-59, Class BG
31394AVD5
81265.86000000
PA
USD
76569.24000000
0.003564389033
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
1905.29000000
PA
USD
1919.27000000
0.000089344297
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Floating
0.79549920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2247, Class Z
3133TPGX1
34071.23000000
PA
USD
39983.27000000
0.001861268690
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
7214.46000000
PA
USD
8013.08000000
0.000373018387
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
8.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UJY5
112827.70000000
PA
USD
120078.37000000
0.005589790693
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
311952.93000000
PA
USD
363017.84000000
0.016898911465
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LUY9
142501.25000000
PA
USD
150693.55000000
0.007014963672
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Variable
2.16399960
N
Y
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Trust, Series 2018-C, Class D
12655CAD8
2964000.00000000
PA
USD
3018390.88000000
0.140509679222
Long
ABS-O
CORP
US
Y
2
2024-06-17
Fixed
4.40000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series N
06051GJQ3
590000.00000000
PA
USD
596479.38000000
0.027766823343
Long
DBT
CORP
US
N
2
2027-03-11
Variable
1.65800160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M8RN6
1218256.38000000
PA
USD
1366034.69000000
0.063590536723
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Kinder Morgan, Inc.
549300WR7IX8XE0TBO16
Kinder Morgan, Inc.
49456BAR2
590000.00000000
PA
USD
575490.92000000
0.026789785610
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
110080.55000000
PA
USD
119010.33000000
0.005540072163
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Fixed
6.50000000
N
N
N
N
N
N
Brixmor Operating Partnership LP
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAK9
840000.00000000
PA
USD
857530.06000000
0.039919042445
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
2.25000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AF6
200000.00000000
PA
USD
223199.69000000
0.010390210576
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
64986.48000000
PA
USD
64990.44000000
0.003025382145
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.78437880
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AM3
770000.00000000
PA
USD
771624.70000000
0.035920045940
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
10274.69000000
PA
USD
9832.92000000
0.000457734100
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
486100.62000000
0.022628561012
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
220952.62000000
PA
USD
228913.83000000
0.010656210577
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Fixed
6.00000000
N
N
N
N
N
N
Universal Health Services, Inc.
549300YGMGQDO0NMJD09
Universal Health Services, Inc.
913903AY6
875000.00000000
PA
USD
880268.21000000
0.040977530324
Long
DBT
CORP
US
Y
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-41, Class PE
31393BE50
28773.49000000
PA
USD
29568.93000000
0.001376468798
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
54931.15000000
PA
USD
2223.11000000
0.000103488410
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
114000.00000000
PA
USD
127052.09000000
0.005914425639
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
334680.09000000
PA
USD
34275.39000000
0.001595560099
Long
ABS-MBS
USGA
US
N
2
2033-12-16
Floating
6.45450120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2512, Class PG
31392WB41
18858.72000000
PA
USD
19243.83000000
0.000895823134
Long
ABS-MBS
USGSE
US
N
2
2022-10-15
Fixed
5.50000000
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAH2
1180000.00000000
PA
USD
1153146.06000000
0.053680318232
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
886663.34000000
0.041275231219
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
409747.31000000
0.019074223776
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
163385.37000000
PA
USD
153442.88000000
0.007142948247
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
24104.74000000
PA
USD
27092.21000000
0.001261174542
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
764291.75000000
0.035578688412
Long
DBT
CORP
US
N
2
2024-01-16
Fixed
4.48000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2586, Class WI
31393MWB3
67537.95000000
PA
USD
12712.74000000
0.000591793140
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.50000000
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABW6
775000.00000000
PA
USD
770920.21000000
0.035887251095
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
1.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H07, Class HA
38375BQ96
710216.90000000
PA
USD
711668.44000000
0.033129010851
Long
ABS-MBS
USGA
US
N
2
2063-03-20
Floating
0.51288120
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-6, Class 7A1
576434SK1
232713.71000000
PA
USD
243351.15000000
0.011328284965
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
327784.62000000
PA
USD
352925.81000000
0.016429115487
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
5667.76000000
PA
USD
5986.16000000
0.000278662855
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
2384063.08000000
0.110980966990
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
1523560.39000000
0.070923545089
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
306349.42000000
0.014260929232
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
Alimentation Couche-Tard, Inc.
549300OSW32RVX8CCZ87
Alimentation Couche-Tard, Inc.
01626PAQ9
1420000.00000000
PA
USD
1513751.81000000
0.070466944044
Long
DBT
CORP
CA
Y
2
2051-05-13
Fixed
3.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3819, Class ZQ
3137A8N20
730074.83000000
PA
USD
862231.22000000
0.040137887024
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
41545.05000000
PA
USD
48076.98000000
0.002238040501
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WRUE8
614583.18000000
PA
USD
662784.73000000
0.030853416110
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2019-1, Class A
12326QAA2
1107278.57000000
PA
USD
1140372.91000000
0.053085712934
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
664579.06000000
PA
USD
630827.75000000
0.029365780749
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
111330.03000000
PA
USD
129029.88000000
0.006006494112
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
4521.54000000
PA
USD
5416.83000000
0.000252159867
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
23.14373760
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
2139070.86000000
0.099576288268
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
371840.85000000
0.017309633057
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
2814.09000000
PA
USD
0.03000000
0.000000001396
Long
ABS-MBS
CORP
US
N
3
2018-05-25
Floating
7.45850160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2043, Class CJ
3133TDML7
8868.98000000
PA
USD
10051.33000000
0.000467901345
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
441406.19000000
PA
USD
458991.72000000
0.021366609530
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
280819.34000000
PA
USD
314651.92000000
0.014647420464
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAJ6
292000.00000000
PA
USD
315639.96000000
0.014693414899
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.25000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDT5
1079000.00000000
PA
USD
1068797.84000000
0.049753808443
Long
DBT
CORP
US
Y
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
Gold Key Resorts LLC
549300MORAF4RGEXUA95
Gold Key Resorts LLC, Series 2014-A, Class A
38061LAA7
128619.82000000
PA
USD
130186.99000000
0.006060358956
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
110802.76000000
PA
USD
103583.48000000
0.004821933979
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
499178.77000000
0.023237364422
Long
DBT
CORP
GB
Y
2
2050-09-15
Fixed
3.00000000
N
N
N
N
N
N
Flex Intermediate Holdco LLC
549300290TQIGM30A243
Flex Intermediate Holdco LLC
33939HAB5
545000.00000000
PA
USD
567592.54000000
0.026422106644
Long
DBT
CORP
US
Y
2
2039-12-30
Fixed
4.31700000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBD1
496000.00000000
PA
USD
492448.92000000
0.022924081914
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
3.10000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3102, Class FB
31396H5M7
92076.41000000
PA
USD
92323.37000000
0.004297762489
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
0.39549960
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
175000.00000000
PA
USD
220075.15000000
0.010244759529
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
165283.24000000
PA
USD
170797.67000000
0.007950834327
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
19387.23000000
PA
USD
22099.03000000
0.001028736084
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2359, Class ZB
3133TV5T9
122355.74000000
PA
USD
148462.34000000
0.006911098197
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
250000.00000000
PA
USD
249852.17000000
0.011630915164
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
43308.85000000
PA
USD
1167.07000000
0.000054328494
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
793733.29000000
PA
USD
968020.32000000
0.045062495234
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
1528218.78000000
0.071140398674
Long
DBT
CORP
US
Y
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-50, Class AI
38375K3J9
198893.67000000
PA
USD
2214.56000000
0.000103090397
Long
ABS-MBS
USGA
US
N
2
2037-08-20
Floating
6.68661840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31414HWF0
32271.85000000
PA
USD
32274.90000000
0.001502434915
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
75505.61000000
PA
USD
85883.32000000
0.003997970515
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
71028.35000000
PA
USD
9314.66000000
0.000433608482
Long
ABS-MBS
USGA
US
N
2
2038-08-20
Floating
5.91162120
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
2152487.60000000
0.100200853445
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
693810.53000000
0.032297703938
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
543580.54000000
0.025304319534
Long
DBT
CORP
US
Y
2
2045-07-15
Fixed
4.45000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAK5
400000.00000000
PA
USD
500887.08000000
0.023316888281
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
6.10000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCR0
9500000.00000000
PA
USD
9452500.00000000
0.440025098026
Long
DBT
UST
US
N
2
2028-07-31
Fixed
1.00000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023DE2
2265000.00000000
PA
USD
2269987.89000000
0.105670631453
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust, Series 2021-EBO2, Class A
55351BAA2
6500000.00000000
PA
USD
6500000.00000000
0.302582717500
Long
ABS-MBS
CORP
US
Y
2
2049-12-31
Floating
2.83074840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CRE5
1923.25000000
PA
USD
2144.26000000
0.000099817848
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.00000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAM6
820000.00000000
PA
USD
829144.43000000
0.038597657666
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
2.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58
31395ND20
108879.09000000
PA
USD
101892.09000000
0.004743197766
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
1125455.00000000
0.052391266511
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
859.64000000
PA
USD
950.44000000
0.000044244110
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
549525.69000000
0.025581073325
Long
DBT
CORP
MX
N
2
2049-04-22
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-81, Class GE
31396XAU8
163437.16000000
PA
USD
189493.16000000
0.008821131584
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDV0
908000.00000000
PA
USD
893528.04000000
0.041594791154
Long
DBT
CORP
US
Y
2
2063-11-01
Fixed
2.98700000
N
N
N
N
N
N
Schlumberger Holdings Corp.
529900IKZG65COT1D505
Schlumberger Holdings Corp.
806851AG6
13000.00000000
PA
USD
14433.64000000
0.000671903079
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
5154225.03000000
0.239935294797
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
57016.11000000
PA
USD
49484.01000000
0.002303539418
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Variable
2.87022600
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GVR2
1415000.00000000
PA
USD
1579065.91000000
0.073507392947
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31410KLP7
43008.21000000
PA
USD
43876.62000000
0.002042508756
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
1043146.77000000
0.048559720679
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
973692.68000000
0.045326550326
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
24175.21000000
PA
USD
26875.03000000
0.001251064555
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
3890.96000000
PA
USD
4158.32000000
0.000193574733
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
276.18000000
PA
USD
275.07000000
0.000012804835
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Floating
0.10496880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCB5
16465000.00000000
PA
USD
16976958.59000000
0.790297579238
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
CFMT LLC
N/A
CFMT LLC, Series 2020-HB4, Class A
12529LAA8
3261270.73000000
PA
USD
3267064.70000000
0.152085740796
Long
ABS-O
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
438673.43000000
0.020420769006
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
744383.44000000
0.034651932944
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
94955.42000000
PA
USD
110310.97000000
0.005135106626
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
1963652.68000000
0.091410363714
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
469189.34000000
0.021841320849
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.65000000
N
N
N
N
N
N
Packaging Corp. of America
549300XZP8MFZFY8TJ84
Packaging Corp. of America
695156AV1
845000.00000000
PA
USD
1004277.41000000
0.046750305821
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
2616915.68000000
0.121820531988
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
1884352.32000000
0.087718837802
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
1029320.70000000
0.047916100705
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
187970.50000000
PA
USD
22172.47000000
0.001032154804
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
5.91162120
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
0.000793260162
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
1258141.84000000
0.058567996453
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
928755.99000000
0.043234694053
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
129469.88650000
PA
USD
110788.57000000
0.005157339473
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
35201.97000000
PA
USD
39691.67000000
0.001847694364
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
46142.03000000
PA
USD
54667.94000000
0.002544857514
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
73867.01000000
PA
USD
88279.39000000
0.004109510419
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
905133.75000000
PA
USD
197721.31000000
0.009204161736
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
6.45562080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31381TYU8
812003.18000000
PA
USD
811500.68000000
0.037776320155
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Variable
0.89100000
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VAY3
500000.00000000
PA
USD
625874.94000000
0.029135221563
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
783769.37000000
0.036485394748
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
65.50000000
PA
USD
66.27000000
0.000003084947
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
413852.16000000
0.019265309417
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
528682.15000000
0.024610781790
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
3.50800000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CZN6
3893.61000000
PA
USD
4315.45000000
0.000200889321
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
137366.74000000
PA
USD
143526.98000000
0.006681351329
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
2.10553560
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
425000.00000000
PA
USD
455833.42000000
0.021219586915
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
53616.00220000
PA
USD
48730.44000000
0.002268459840
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
243919.36000000
PA
USD
312411.11000000
0.014543108098
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Floating
12.49124040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1343, Class LA
312911GW4
655.93000000
PA
USD
672.21000000
0.000031292173
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
3501894.00000000
0.163017323525
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
138409.63000000
0.006443132611
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
636013.88000000
0.029607201258
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M50, Class A1
3136BCGR5
3786444.83000000
PA
USD
3730768.95000000
0.173671724193
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
134605.86000000
0.006266062601
Long
DBT
UST
US
N
2
2029-08-15
Fixed
1.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4240, Class B
3137B3TZ1
2500650.00000000
PA
USD
2730712.55000000
0.127117911398
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
1323983.46000000
PA
USD
181758.96000000
0.008461095391
Long
ABS-MBS
CORP
US
N
3
2035-07-25
Floating
4.66562160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2430, Class WF
31339NW36
192075.45000000
PA
USD
225928.31000000
0.010517231076
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2021-M3, Class 1A1
3136BDXP8
749465.13000000
PA
USD
747394.96000000
0.034792122775
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Fixed
1.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9YA4
3581806.98000000
PA
USD
3981559.60000000
0.185346326716
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.10000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1863, Class Z
3133T7DV8
6621.59000000
PA
USD
6986.79000000
0.000325243369
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
8569.04000000
PA
USD
8584.30000000
0.000399609357
Long
ABS-MBS
USGA
US
N
2
2060-04-20
Floating
0.53287920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-68, Class PG
31394E7B8
297943.06000000
PA
USD
339664.50000000
0.015811785761
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
Office Properties Income Trust
N/A
Office Properties Income Trust
67623CAE9
980000.00000000
PA
USD
980226.08000000
0.045630687854
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JSFW4
1022195.40000000
PA
USD
1101225.95000000
0.051263375466
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
335216.52000000
0.015604727011
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407WSP9
300504.48000000
PA
USD
312142.96000000
0.014530625397
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
1.69800120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282U3
569000.00000000
PA
USD
594071.56000000
0.027654736463
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
8649.53000000
PA
USD
10786.01000000
0.000502101571
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Floating
34.08815520
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402Q4R9
154930.61000000
PA
USD
159177.73000000
0.007409912324
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
2.26599840
N
N
N
N
N
N
ANZ New Zealand Int'l Ltd.
213800VD256NU2D97H12
ANZ New Zealand Int'l Ltd.
00182EBM0
778000.00000000
PA
USD
821526.66000000
0.038243041427
Long
DBT
CORP
NZ
Y
2
2030-02-13
Fixed
2.55000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAT6
244000.00000000
PA
USD
267865.26000000
0.012469445891
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
1082651.94000000
0.050398733248
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
70216.16000000
0.003268645616
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
10.01811600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2420, Class XK
31339DMW5
151800.15000000
PA
USD
177181.33000000
0.008248001280
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVY73
6120150.13000000
PA
USD
6605017.74000000
0.307471417985
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
33596.38050000
PA
USD
28236.84000000
0.001314458427
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
618653.64000000
0.028799061474
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
938535.95000000
PA
USD
978516.74000000
0.045551116047
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
603813.48000000
0.028108234406
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
46928.44000000
PA
USD
47654.65000000
0.002218380538
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.58438080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-47, Class PE
31393CRH8
122469.65000000
PA
USD
139859.30000000
0.006510616471
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
1343908.00000000
0.062560513032
Long
DBT
NUSS
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series KS01, Class A2
3137B1U75
802910.42000000
PA
USD
816707.87000000
0.038018721032
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
135657.31000000
PA
USD
131037.50000000
0.006099951206
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
395727.24000000
0.018421572872
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.25000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MV0
1004000.00000000
PA
USD
1032865.00000000
0.048081092078
Long
DBT
CORP
US
N
2
2026-02-18
Variable
3.87500040
N
N
N
N
N
N
FHLMC Multifamily Structured Credit Risk
N/A
FHLMC, Multi-Family Structured Pass-Through Certificates, Series 2021-MN2, Class M1
35563JAA1
6370000.00000000
PA
USD
6376169.98000000
0.296818283044
Long
ABS-MBS
USGSE
US
Y
2
2041-07-25
Floating
1.85000040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3720, Class A
3137A1XL2
62473.08000000
PA
USD
66124.04000000
0.003078152571
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
558062.50000000
0.025978471966
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
354138.72000000
PA
USD
42573.95000000
0.001981867920
Long
ABS-MBS
USGA
US
N
2
2036-11-20
Floating
6.71162040
N
N
N
N
N
N
ZH Trust
N/A
ZH Trust, Series 2021-1, Class A
98879EAA9
1830000.00000000
PA
USD
1830812.52000000
0.085226496543
Long
ABS-MBS
CORP
US
Y
2
2027-02-18
Fixed
2.25250000
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
276981.70000000
0.012893826997
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
13984.29000000
PA
USD
1352.83000000
0.000062975842
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Floating
9.33999840
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2003-7, Class 3A
07384MYS5
16173.21000000
PA
USD
16128.02000000
0.000750778479
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
2.52567720
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2012-CR2, Class XA
12624KAE6
2250585.88350000
PA
USD
15458.37000000
0.000719605477
Long
ABS-MBS
CORP
US
N
3
2045-08-15
Variable
1.77428880
N
N
N
N
N
N
Park Aerospace Holdings Ltd.
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd.
70014LAC4
235000.00000000
PA
USD
246621.18000000
0.011480508744
Long
DBT
CORP
KY
Y
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407KGJ2
38832.78000000
PA
USD
39645.08000000
0.001845525544
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
1.91700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296NA23
166506.24000000
PA
USD
193884.64000000
0.009025560192
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
Texas Health Resources
54930008C10TUBW7Z611
Texas Health Resources
882484AA6
300000.00000000
PA
USD
400338.15000000
0.018636216207
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
625764.95000000
0.029130101398
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
2.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCH2
9947000.00000000
PA
USD
10069783.28000000
0.468760367615
Long
DBT
UST
US
N
2
2028-06-30
Fixed
1.25000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408GU1
150000.00000000
PA
USD
205445.89000000
0.009563750106
Long
DBT
CORP
US
N
2
2041-04-15
Fixed
5.50000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBG3
1191000.00000000
PA
USD
1335258.39000000
0.062157863417
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
344761.21000000
PA
USD
379477.11000000
0.017665110026
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
252962.79000000
PA
USD
268634.14000000
0.012505238168
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
347233.87000000
PA
USD
313323.36000000
0.014585574419
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
1226494.23000000
0.057094762632
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
42291.73000000
PA
USD
4015.19000000
0.000186911861
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
3006921.61000000
0.139975771086
Long
DBT
CORP
US
N
2
2021-11-15
Floating
1.49974920
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473PAL9
740000.00000000
PA
USD
709300.46000000
0.033018778570
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
88.80000000
PA
USD
90.42000000
0.000004209158
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
1414508.73000000
0.065847060838
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
1661530.16000000
0.077346201695
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
333415.22000000
0.015520874357
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
754064.34000000
PA
USD
719230.71000000
0.033481043498
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
2.57968440
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31416BXJ2
15503.52000000
PA
USD
15963.66000000
0.000743127326
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
1127410.95000000
0.052482318306
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
1041760.09000000
PA
USD
1048497.26000000
0.048808792341
Long
ABS-MBS
USGA
US
N
2
2064-01-20
Floating
0.75287880
N
N
N
N
N
N
Microchip Technology, Inc.
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017AV6
1290000.00000000
PA
USD
1291522.69000000
0.060121914654
Long
DBT
CORP
US
Y
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WLP1
30000000.00000000
PA
USD
31144396.80000000
1.449808649023
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1996-59, Class J
31359KL96
1049.67000000
PA
USD
1070.26000000
0.000049821873
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
1115807.82000000
0.051942178828
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
2378196.69000000
PA
USD
2393361.02000000
0.111413797137
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
565278.70000000
0.026314394644
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
142125.80000000
0.006616124737
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
42161.61000000
PA
USD
8303.48000000
0.000386536852
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
8.55450000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-10, Class S
38375PYG0
201335.71000000
PA
USD
23767.94000000
0.001106425826
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Floating
5.74161840
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
800000.00000000
PA
USD
1059089.98000000
0.049301896034
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
Gray Oak Pipeline LLC
N/A
Gray Oak Pipeline LLC
38937LAC5
650000.00000000
PA
USD
669028.18000000
0.031144056121
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
66182.88000000
PA
USD
77476.76000000
0.003606635166
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
7.00000000
N
N
N
N
N
N
Airbus SE
MINO79WLOO247M1IL051
Airbus SE
009279AC4
150000.00000000
PA
USD
171774.65000000
0.007996313906
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
478296.67000000
0.022265277873
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
6055000.00000000
PA
USD
5394153.55000000
0.251104252272
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
361685.32000000
0.016836881077
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
375107.30000000
PA
USD
376584.81000000
0.017530470027
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
0.37437840
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967LP4
1573000.00000000
PA
USD
1743292.27000000
0.081152324992
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
47503.99000000
PA
USD
47730.68000000
0.002221919825
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
835000.00000000
PA
USD
874707.47000000
0.040718671275
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
0.000254762544
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
1433704.12000000
PA
USD
1441523.11000000
0.067104612302
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
11902.58000000
PA
USD
11535.92000000
0.000537010772
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
1.95334200
N
N
N
N
N
N
Prudential Financial, Inc.
5PRBRS5FEH7NREC8OR45
Prudential Financial, Inc.
744320AY8
300000.00000000
PA
USD
355524.82000000
0.016550102488
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
62797.20000000
PA
USD
65220.70000000
0.003036101022
Long
ABS-MBS
CORP
US
N
2
2034-12-20
Variable
3.23329680
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBW0
1130000.00000000
PA
USD
1130882.81000000
0.052643937511
Long
DBT
UST
US
N
2
2026-04-30
Fixed
0.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H05, Class FB
38375BL75
66960.28000000
PA
USD
66992.16000000
0.003118564588
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Floating
0.50288040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2464, Class SI
31392MWQ1
192049.09000000
PA
USD
33290.73000000
0.001549723007
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
7.90449840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-68, Class KI
38374L3B5
991090.51000000
PA
USD
200776.11000000
0.009346366303
Long
ABS-MBS
USGA
US
N
2
2035-09-20
Floating
6.21162000
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
993545.07000000
PA
USD
229191.27000000
0.010669125739
Long
ABS-MBS
CORP
US
N
3
2037-08-25
Floating
5.56562160
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591CS9
6839000.00000000
PA
USD
10207528.59000000
0.475172575342
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
552750.00000000
0.025731168784
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
188130.60000000
PA
USD
176537.86000000
0.008218046987
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
284493.02000000
PA
USD
333494.61000000
0.015524570056
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
6878.50000000
PA
USD
7824.95000000
0.000364260713
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
139489.89000000
PA
USD
143499.39000000
0.006680066982
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
407199.45000000
PA
USD
470032.52000000
0.021880571879
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
97543.95000000
PA
USD
115820.89000000
0.005391599944
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404EVB9
43565.82000000
PA
USD
44263.97000000
0.002060540358
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Variable
2.08500120
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust, Series 2017-AA, Class A
43283AAA3
115673.66000000
PA
USD
118294.45000000
0.005506747099
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
575311.07000000
0.026781413379
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
275491.21000000
0.012824442918
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
243910.34000000
PA
USD
263629.47000000
0.012272264837
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
411121.61000000
PA
USD
438467.98000000
0.020411205065
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
1940286.37000000
PA
USD
294213.38000000
0.013695982160
Long
ABS-MBS
CORP
US
Y
3
2036-04-25
Variable
4.30044120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-14, Class ES
31396PC33
454804.20000000
PA
USD
83226.85000000
0.003874308683
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
6.35562000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-46, Class QB
31393YT96
119703.23000000
PA
USD
176710.22000000
0.008226070550
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
23.66247960
N
N
N
N
N
N
NACC Reperforming Loan REMIC Trust
N/A
NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1
62951MAM2
200014.38000000
PA
USD
197852.38000000
0.009210263200
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
1475165.20000000
0.068670691535
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
37508.00000000
PA
USD
41602.01000000
0.001936622959
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
964451.90000000
0.044896381046
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
1019117.55000000
0.047441131958
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
458634.54000000
PA
USD
46558.65000000
0.002167360436
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
965580.00000000
0.044948895440
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
1389044.78000000
PA
USD
1397019.70000000
0.065032925727
Long
ABS-MBS
USGA
US
N
2
2063-08-20
Floating
0.70287840
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91086QBG2
316000.00000000
PA
USD
357712.00000000
0.016651918314
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
1146309.73000000
0.053362078953
Long
DBT
CORP
JP
N
2
2025-01-16
Fixed
2.64800000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3925, Class FL
3137AFGG1
174556.70000000
PA
USD
175347.65000000
0.008162641299
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
0.54550080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31407LE60
35869.89000000
PA
USD
40518.37000000
0.001886178231
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31371PAK6
97892.93000000
PA
USD
118076.78000000
0.005496614302
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
947931.86000000
0.044127353569
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
46911.69000000
PA
USD
53763.51000000
0.002502755224
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
44788.61000000
PA
USD
44245.75000000
0.002059692195
Long
ABS-MBS
CORP
US
N
3
2036-10-25
Variable
2.66600880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1608, Class L
3133T1W81
67854.53000000
PA
USD
71611.88000000
0.003333618039
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Whole Loan, Series 2007-54, Class FA
31396WFQ4
153364.53000000
PA
USD
155715.06000000
0.007248720924
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
0.48438000
N
N
N
N
N
N
Quanta Services, Inc.
SHVRXXEACT60MMH07S24
Quanta Services, Inc.
74762EAF9
1440000.00000000
PA
USD
1512492.83000000
0.070408337030
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
194776.86000000
PA
USD
194758.86000000
0.009066256171
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
776589.84000000
0.036151179103
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
10642556.44000000
0.495423638271
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
1470123.87000000
0.068436011637
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
14069900.00000000
PA
USD
14664573.05000000
0.682653286838
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
65887.73630000
PA
USD
67461.74000000
0.003140424094
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QS6G6
84280.30000000
PA
USD
85335.13000000
0.003972451620
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
1892726.28000000
0.088108655582
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
142174.27000000
PA
USD
156744.06000000
0.007296622096
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
1722682.89000000
0.080192933884
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
808091.11000000
0.037617600623
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
670615.06000000
PA
USD
688686.33000000
0.032059166344
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
14845.83000000
PA
USD
1493.43000000
0.000069520939
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
74539.51000000
PA
USD
86612.44000000
0.004031911917
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
4661461.64000000
0.216996573931
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
28480.04000000
PA
USD
37255.15000000
0.001734271465
Long
ABS-MBS
USGA
US
N
2
2037-09-20
Floating
19.93986000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-28CB, Class 3A5
12667GYN7
58948.18240000
PA
USD
38215.61000000
0.001778982019
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
209053.84000000
PA
USD
209042.76000000
0.009731188676
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Floating
0.30925080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3014, Class OD
31395XBJ3
38751.42000000
PA
USD
34989.75000000
0.001628814406
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
728691.00000000
0.033921431230
Long
DBT
CORP
US
Y
2
2026-04-29
Fixed
3.05000000
N
N
N
N
N
N
Freedom Frn
N/A
Freedom Frn
N/A
4400000.00000000
PA
USD
4400000.00000000
0.204825224154
Long
ABS-MBS
CORP
US
N
2
2022-03-25
Fixed
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2399, Class TH
31339MWA2
110300.20000000
PA
USD
128947.93000000
0.006002679242
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-20
31359N4H1
11060.60000000
PA
USD
168.57000000
0.000007847133
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
1088002.53000000
PA
USD
1081538.60000000
0.050346905949
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
109499.11000000
PA
USD
129384.13000000
0.006022984870
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
441924.46000000
0.020572108313
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
1831085.59000000
0.085239208276
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Fixed
3.50000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PEF5
560000.00000000
PA
USD
613503.68000000
0.028559324721
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H15, Class FJ
38376RDE3
3004520.82000000
PA
USD
3015925.68000000
0.140394921235
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
0.54288000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-H08, Class XI
38376R2M7
6854103.66000000
PA
USD
647712.80000000
0.030151799874
Long
ABS-MBS
USGA
US
N
2
2067-03-20
Variable
2.17698120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M50, Class X1
3136BCGU8
22366670.39000000
PA
USD
2435560.42000000
0.113378229310
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
2.01999960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H01, Class FA
38375BE73
42332.65000000
PA
USD
42484.94000000
0.001977724399
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
4814068.26000000
PA
USD
5300969.62000000
0.246766429693
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
335289.98000000
0.015608146661
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
2979674.42000000
0.138707382041
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
109058.94000000
PA
USD
110747.79000000
0.005155441116
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
6142.61000000
PA
USD
6186.42000000
0.000287985196
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
1.08438120
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
224681.55000000
PA
USD
221361.14000000
0.010304623890
Long
ABS-MBS
CORP
US
N
2
2034-10-19
Floating
0.74649960
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2021-1, Class A1
693577AA6
3899030.18000000
PA
USD
3909701.83000000
0.182001262205
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
3619974.22000000
0.168514097964
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
3.00000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners I LLC
N/A
Pretium Mortgage Credit Partners I LLC, Series 2021-NPL1, Class A1
741389AA8
4836857.90000000
PA
USD
4842093.80000000
0.225405215445
Long
ABS-O
CORP
US
Y
2
2060-09-27
Variable
2.23949880
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAS4
860000.00000000
PA
USD
850897.30000000
0.039610279591
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
11226.53000000
PA
USD
11633.14000000
0.000541536479
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
824246.50000000
0.038369653209
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
171964.33000000
PA
USD
172309.72000000
0.008021222050
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
179945.39000000
PA
USD
36224.49000000
0.001686293019
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
2875662.75000000
PA
USD
3176321.46000000
0.147861535234
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
573718.14000000
0.026707260596
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
213644.27000000
PA
USD
7426.23000000
0.000345699823
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Floating
1.59999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DTT6
65344.32000000
PA
USD
66323.73000000
0.003087448378
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
2.35299960
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBJ8
1215000.00000000
PA
USD
1189665.20000000
0.055380327558
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
1.50000000
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust
30259RAG0
7325000.00000000
PA
USD
7337335.30000000
0.341561669890
Long
ABS-MBS
CORP
US
N
2
2024-02-25
Fixed
3.69000000
N
N
N
N
N
N
Duquesne Light Holdings, Inc.
4CUJ1D8WDXK9X7QI6B93
Duquesne Light Holdings, Inc.
266233AG0
750000.00000000
PA
USD
819153.63000000
0.038132574063
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
325565.39000000
0.015155455450
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8F82
3671887.28000000
PA
USD
4045219.66000000
0.188309778093
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
136546.04000000
PA
USD
127226.38000000
0.005922539045
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
493498.70000000
0.022972950419
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
LHOME Mortgage Trust
N/A
LHOME Mortgage Trust, Series 2021-RTL1, Class A1
501894AA7
2075000.00000000
PA
USD
2070353.04000000
0.096377392158
Long
ABS-MBS
CORP
US
Y
2
2026-09-25
Variable
2.09000160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138EQLH3
945492.77000000
PA
USD
1058474.14000000
0.049273227951
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Tyson Foods, Inc.
WD6L6041MNRW1JE49D58
Tyson Foods, Inc.
902494AZ6
300000.00000000
PA
USD
374823.75000000
0.017448490593
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
4.87500000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAC6
795000.00000000
PA
USD
913843.30000000
0.042540490628
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
4845346.83000000
PA
USD
5295968.45000000
0.246533619291
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
2071.45000000
PA
USD
2077.39000000
0.000096704971
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
0.69549840
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBF1
265000.00000000
PA
USD
284024.32000000
0.013221669320
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XBT2
430000.00000000
PA
USD
483914.36000000
0.022526788013
Long
DBT
CORP
US
N
2
2027-01-17
Fixed
4.35000000
N
N
N
N
N
N
Graphic Packaging International LLC
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869PAP9
1246000.00000000
PA
USD
1246666.92000000
0.058033825303
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
1.51200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDZ47
466254.74000000
PA
USD
507005.54000000
0.023601709858
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
155103.19740000
PA
USD
157643.66000000
0.007338499544
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
919809.48000000
0.042818223390
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
4349082.23000000
0.202454941505
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
474155.74000000
0.022072512665
Long
DBT
CORP
US
N
2
2036-10-01
Fixed
6.65000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWZ3
505000.00000000
PA
USD
578175.28000000
0.026914745755
Long
DBT
CORP
US
N
2
2029-05-01
Variable
4.22300160
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JU2
695000.00000000
PA
USD
679944.87000000
0.031652241002
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
4.20000000
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABT3
805000.00000000
PA
USD
801067.54000000
0.037290645100
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
1357631.38000000
0.063199352665
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
588248.00000000
PA
USD
574537.41000000
0.026745398588
Long
ABS-O
CORP
CA
Y
2
2030-01-15
Fixed
3.55000000
N
N
N
N
N
N
Blackstone Secured Lending Fund
549300KM7KWQHVBNH962
Blackstone Secured Lending Fund
09261LAD0
795000.00000000
PA
USD
830223.95000000
0.038647910603
Long
DBT
CORP
US
N
2
2023-07-14
Fixed
3.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31410GH97
12488.40000000
PA
USD
14041.17000000
0.000653633134
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
243085.60000000
0.011315923297
Long
DBT
NUSS
CO
N
2
2023-09-18
Fixed
5.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31408EN81
19249.93000000
PA
USD
20337.04000000
0.000946713358
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
570710.00000000
0.026567228108
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
211240.66000000
PA
USD
225575.85000000
0.010500823645
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
663283.86000000
0.030876651205
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
4.12500000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAN8
455000.00000000
PA
USD
524737.65000000
0.024427160632
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
448337.66000000
0.020870650387
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
495578.29000000
0.023069757803
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
510069.47000000
0.023744339437
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
99464.19000000
PA
USD
111120.89000000
0.005172809364
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
119270.27000000
PA
USD
20319.37000000
0.000945890798
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
2795000.00000000
PA
USD
3323975.58000000
0.154735009830
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
3172.75000000
PA
USD
3341.86000000
0.000155567550
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
507589.85000000
0.023628910182
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
602866.59000000
0.028064155552
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
24364.24000000
PA
USD
25711.57000000
0.001196904111
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
647128.23000000
PA
USD
658265.89000000
0.030643058743
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Fixed
2.83800000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-10, Class 1A1
576434VU5
3213.92000000
PA
USD
3209.77000000
0.000149418604
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
18448.85000000
PA
USD
18909.56000000
0.000880262469
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
3600824.58000000
0.167622659485
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.62500000
N
N
N
N
N
N
HollyFrontier Corp.
549300J3U2WK73C9ZK26
HollyFrontier Corp.
436106AA6
577000.00000000
PA
USD
662316.05000000
0.030831598500
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
5.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCJ8
3195000.00000000
PA
USD
3212722.28000000
0.149556036624
Long
DBT
UST
US
N
2
2026-06-30
Fixed
0.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H23, Class FB
38376RHF6
2030296.87000000
PA
USD
2043366.09000000
0.095121117593
Long
ABS-MBS
USGA
US
N
2
2065-09-20
Floating
0.62287920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403KWA7
38966.56000000
PA
USD
44100.50000000
0.002052930635
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
92570.34900000
PA
USD
88514.41000000
0.004120450879
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
4.00000000
PA
USD
0.01000000
0.000000000465
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
2568083.50000000
0.119547336030
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
902613AH1
255000.00000000
PA
USD
254690.54000000
0.011856147033
Long
DBT
CORP
CH
Y
2
2027-08-10
Variable
1.49400000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAA1
269000.00000000
PA
USD
275007.98000000
0.012801947988
Long
DBT
CORP
CH
Y
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8NF7
1497287.23000000
PA
USD
1600168.38000000
0.074489737981
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
2.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286F2
560000.00000000
PA
USD
604690.63000000
0.028149066780
Long
DBT
UST
US
N
2
2026-02-28
Fixed
2.50000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AU4
375000.00000000
PA
USD
467417.87000000
0.021758856817
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
4.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MN2S8
535197.38000000
PA
USD
577171.40000000
0.026868013950
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.50000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAN3
115000.00000000
PA
USD
135748.00000000
0.006319230574
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128Q3NB3
16425.04000000
PA
USD
17413.87000000
0.000810636324
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
2.37499920
N
Y
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36202SD54
32866.72000000
PA
USD
37298.18000000
0.001736274563
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
1315442.40000000
0.061235405554
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQAD4
887543.95000000
PA
USD
951754.16000000
0.044305286173
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
3389458.39000000
0.157783312384
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
1032523.26000000
0.048065183675
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-52, Class KB
313921KW7
24109.30000000
PA
USD
27603.85000000
0.001284991991
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
19841.31800000
PA
USD
20269.56000000
0.000943572084
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
45024.36000000
PA
USD
53062.32000000
0.002470113997
Long
ABS-MBS
USGSE
US
N
2
2030-04-15
Fixed
8.00000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023DA0
995000.00000000
PA
USD
1039982.41000000
0.048412415964
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
7107.35500000
PA
USD
6928.17000000
0.000322514539
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
1248285.46000000
0.058109170261
Long
DBT
CORP
JP
Y
2
2030-09-17
Fixed
4.81000000
N
N
N
N
N
N
VOLT XCVI LLC
N/A
VOLT XCVI LLC, Series 2021-NPL5, Class A1
92873FAA5
3416917.44000000
PA
USD
3420410.21000000
0.159224156355
Long
ABS-O
CORP
US
Y
2
2051-03-27
Variable
2.11569840
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAW9
190000.00000000
PA
USD
232654.67000000
0.010830351121
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
1194249.72000000
0.055593742407
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
371271.88000000
0.017283146827
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31412BTY8
75344.12000000
PA
USD
75476.11000000
0.003513502533
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Variable
2.49999840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H21, Class CF
38375BWA6
11264.00000000
PA
USD
11373.69000000
0.000529458773
Long
ABS-MBS
USGA
US
N
2
2061-05-20
Floating
0.80287920
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
03523TBT4
780000.00000000
PA
USD
942049.75000000
0.043853534365
Long
DBT
CORP
US
N
2
2048-10-06
Fixed
4.43900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128LUJ31
26931.14000000
PA
USD
27090.06000000
0.001261074457
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
2.25500040
N
Y
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
53944YAP8
980000.00000000
PA
USD
983523.92000000
0.045784206221
Long
DBT
CORP
GB
N
2
2027-05-11
Variable
1.62699840
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABG1
355000.00000000
PA
USD
376227.81000000
0.017513851253
Long
DBT
CORP
US
Y
2
2027-02-10
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3
31393YU78
264670.07000000
PA
USD
314296.79000000
0.014630888741
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
504531.03000000
0.023486518480
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
8.00000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAA4
485000.00000000
PA
USD
522695.75000000
0.024332107763
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
5.45000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAZ5
2205000.00000000
PA
USD
2193221.95000000
0.102097085801
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
357930.29000000
0.016662079972
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
491673.85900000
PA
USD
440084.24000000
0.020486443887
Long
ABS-MBS
CORP
US
N
2
2034-12-26
Variable
2.88798120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H26, Class MA
38375BYQ9
3160.63000000
PA
USD
3179.15000000
0.000147993207
Long
ABS-MBS
USGA
US
N
2
2062-07-20
Floating
0.65288160
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBP5
905000.00000000
PA
USD
947969.26000000
0.044129094584
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
822216.18000000
0.038275139402
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
983018.74000000
0.045760689492
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
467822.14000000
0.021777676065
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
2035177.74000000
0.094739940179
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
660964.88000000
0.030768699932
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
18045.34000000
PA
USD
18939.47000000
0.000881654815
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
667785.87000000
0.031086225115
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
288215.70000000
0.013416783035
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
862656.20000000
0.040157670348
Long
DBT
CORP
US
N
2
2032-01-27
Variable
1.99199880
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGC2
1045000.00000000
PA
USD
1148989.93000000
0.053486845446
Long
DBT
CORP
US
N
2
2061-03-22
Fixed
3.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2234, Class PZ
3133TNXB5
32704.49000000
PA
USD
38755.71000000
0.001804124315
Long
ABS-MBS
USGSE
US
N
2
2030-05-15
Fixed
7.50000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBD3
915000.00000000
PA
USD
933118.74000000
0.043437785246
Long
DBT
CORP
FR
Y
2
2032-06-09
Variable
2.88900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A
31393AP68
41193.22000000
PA
USD
47071.38000000
0.002191228627
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.66479080
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
96145DAF2
400000.00000000
PA
USD
435107.92000000
0.020254790283
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
457312.50000000
0.021288439845
Long
DBT
CORP
SG
Y
2
2022-09-18
Fixed
2.75000000
N
N
N
N
N
N
OGE Energy Corp.
CE5OG6JPOZMDSA0LAQ19
OGE Energy Corp.
670837AC7
560000.00000000
PA
USD
560330.79000000
0.026084063559
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
0.70300000
N
N
N
N
N
N
Children's Hospital Corp. (The)
549300NXFO6BISJLOS32
Children's Hospital Corp. (The), Series 2020
16876BAB8
580000.00000000
PA
USD
571715.40000000
0.026614030672
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
610917.21000000
0.028438921472
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
1047528.72000000
0.048763705654
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
872232.83000000
0.040603473845
Long
DBT
CORP
US
N
2
2035-12-09
Fixed
4.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31418MZV7
2199986.85000000
PA
USD
2591746.14000000
0.120648860017
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
1877777.87000000
0.087412789348
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
660693.73000000
0.030756077578
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
65981.26000000
PA
USD
77375.09000000
0.003601902307
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
2089602.90000000
0.097273495996
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
71583.81000000
PA
USD
87452.22000000
0.004071004673
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
7.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526BX6
1000000.00000000
PA
USD
1004444.54000000
0.046758085921
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
66498.09000000
PA
USD
75564.60000000
0.003517621848
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
9021.88000000
PA
USD
10028.52000000
0.000466839512
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
7.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO3
17307GCA4
24153.92400000
PA
USD
21692.93000000
0.001009831647
Long
ABS-MBS
CORP
US
N
3
2033-09-25
None
0.00000000
N
N
N
N
N
N
Life Storage LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAB0
859000.00000000
PA
USD
974514.93000000
0.045364827040
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410S5Y9
70055.84000000
PA
USD
74738.70000000
0.003479175222
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
2.41800120
N
N
N
N
N
N
JPMorgan Mortgage Trust
N/A
JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1
46628KAT7
53683.34000000
PA
USD
54117.57000000
0.002519237137
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
2.57879160
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AT8
800000.00000000
PA
USD
843515.62000000
0.039266653623
Long
DBT
CORP
CH
N
2
2023-06-09
Fixed
3.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410XDA1
60359.70000000
PA
USD
64615.87000000
0.003007945467
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
68606.56000000
0.003193716825
Long
DBT
CORP
US
N
2
2045-06-23
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Whole Loan, Series 2007-101, Class A2
31396XC69
257363.52000000
PA
USD
253636.90000000
0.011807098840
Long
ABS-MBS
USGSE
US
N
2
2036-06-27
Floating
0.32830560
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-29, Class J
31359PFV3
10851.57000000
PA
USD
12322.36000000
0.000573620488
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
47946.54000000
PA
USD
50680.04000000
0.002359216034
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8BP8
4265673.30000000
PA
USD
4441763.11000000
0.206769346510
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
75601.43000000
PA
USD
109512.09000000
0.005097917814
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
19.25169840
N
N
N
N
N
N
CK Hutchison International 19 Ltd.
254900FPY8WXG61CMU70
CK Hutchison International 19 Ltd.
12564CAB2
1215000.00000000
PA
USD
1347192.00000000
0.062713387131
Long
DBT
CORP
KY
Y
2
2029-04-11
Fixed
3.62500000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAP4
170000.00000000
PA
USD
198068.48000000
0.009220322912
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
840000.00000000
PA
USD
876185.74000000
0.040787486499
Long
DBT
CORP
CH
Y
2
2032-05-14
Variable
3.09099960
N
N
N
N
N
N
RBSSP Resecuritization Trust
N/A
RBSSP Resecuritization Trust, Series 2009-12, Class 1A1
74928UAA5
10587.80000000
PA
USD
10558.49000000
0.000491510245
Long
ABS-MBS
CORP
US
Y
2
2033-11-25
Variable
5.15688120
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AE8
1480000.00000000
PA
USD
1461711.15000000
0.068044389533
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
369773.54000000
0.017213397321
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406VQ74
64093.90000000
PA
USD
64379.28000000
0.002996931922
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
1.51599960
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBA6
720000.00000000
PA
USD
762814.71000000
0.035509930446
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
149435.25000000
PA
USD
165696.30000000
0.007713359497
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.58880920
N
N
N
N
N
N
Macquarie Bank Ltd.
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
55608PAQ7
1000000.00000000
PA
USD
1109947.76000000
0.051669386077
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
7084234.43000000
PA
USD
7113782.77000000
0.331155034192
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
2248074.62000000
0.104650542717
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
45284.43000000
PA
USD
49471.70000000
0.002302966373
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
538.82400000
PA
USD
537.45000000
0.000025018935
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
FNMA/FHLMC
N/A
FNMA/FHLMC UMBS, Single Family, 30 Year
01F0226A8
71605000.00000000
PA
USD
74228748.26000000
3.455436363870
Long
ABS-MBS
USGSE
US
N
2
2051-10-25
Fixed
2.50000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BC3
190000.00000000
PA
USD
198526.28000000
0.009241634045
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
546638.48000000
0.025446670272
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
654814.16000000
0.030482376613
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
1359852.80000000
0.063302762403
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
754559.60000000
0.035125645274
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
362933.30000000
0.016894976028
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
10980.59000000
PA
USD
12063.77000000
0.000561582816
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
16287.78000000
PA
USD
18342.32000000
0.000853856773
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
15371.01000000
PA
USD
14425.52000000
0.000671525083
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
968849.13000000
0.045101077323
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
309.80000000
PA
USD
313.68000000
0.000014602176
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
9.50000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2001-2, Class A
36228FEC6
372480.88000000
PA
USD
373652.56000000
0.017393970308
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
1006883.29000000
0.046871612629
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
371392.07000000
PA
USD
68769.56000000
0.003201304668
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
5.76561960
N
N
N
N
N
N
CRH America, Inc.
549300RN11MJ182CNF63
CRH America, Inc.
12626PAM5
417000.00000000
PA
USD
456882.92000000
0.021268442386
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
3638758.94000000
PA
USD
3864808.47000000
0.179911422995
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
370778.13000000
0.017260162179
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
617.99000000
PA
USD
650.97000000
0.000030303426
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
7.00000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp., Series M
14040HCF0
387000.00000000
PA
USD
401028.75000000
0.018668364457
Long
DBT
CORP
US
N
2
2026-09-01
Variable
3.94999920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3047, Class OD
31396CJT8
679576.84000000
PA
USD
758718.46000000
0.035319245145
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
692455.96000000
0.032234647096
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
495145.94000000
0.023049631397
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
735716.00000000
0.034248453321
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
1485433.23000000
0.069148680522
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
62429.11000000
PA
USD
74933.42000000
0.003488239670
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Floating
14.07124080
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
3430000.00000000
PA
USD
3815985.86000000
0.177638672532
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQH88
632910.27000000
PA
USD
682561.97000000
0.031774070114
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
1343100.64000000
PA
USD
1348465.52000000
0.062772670999
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
0.54288000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225BYK8
54319.79000000
PA
USD
65407.86000000
0.003044813542
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
703037.55000000
0.032727232674
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
968286.64000000
0.045074892746
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
30638.54060000
PA
USD
31667.68000000
0.001474168103
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
2.66438520
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust, Series 2019-1A, Class A
35041JAA3
711051.48000000
PA
USD
732525.09000000
0.034099912672
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
260411.35000000
0.012122457530
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
155060.98000000
PA
USD
141487.28000000
0.006586400872
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
1045867.12000000
0.048686356202
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
202544.46000000
PA
USD
40404.05000000
0.001880856499
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
Floating
6.04450080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 383, Class 32
3136FFPD5
46230.06000000
PA
USD
10842.00000000
0.000504707972
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
2906614.84000000
0.135306371848
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
3.43599840
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659T2B6
805000.00000000
PA
USD
791860.44000000
0.036862043664
Long
DBT
CORP
FR
Y
2
2035-08-12
Variable
2.58800040
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
2330304.83000000
0.108478456625
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
72345.21000000
PA
USD
74538.09000000
0.003469836589
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
1518.89000000
PA
USD
1590.87000000
0.000074056887
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
14.25907800
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BJ8
400000.00000000
PA
USD
418821.74000000
0.019496649267
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
2376.61000000
PA
USD
2422.70000000
0.000112779561
Long
ABS-MBS
USGA
US
N
2
2034-08-17
Floating
14.65819920
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
36953.64000000
PA
USD
37372.66000000
0.001739741695
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918BC7
291000.00000000
PA
USD
342512.78000000
0.015944376577
Long
DBT
CORP
US
N
2
2035-02-12
Fixed
3.50000000
N
N
N
N
N
N
SVB Financial Group
549300D2KJ20JMXE7542
SVB Financial Group, Series C
78486QAJ0
1730000.00000000
PA
USD
1794875.00000000
0.083553562318
Long
DBT
CORP
US
N
2
2026-05-15
Variable
3.99999960
N
N
N
N
N
N
Kohl's Corp.
549300JF6LPRTRJ0FH50
Kohl's Corp.
500255AX2
1000000.00000000
PA
USD
1049239.63000000
0.048843350546
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
3.37500000
N
N
N
N
N
N
Plains All American Pipeline LP
N/A
Plains All American Pipeline LP
72650RBE1
610000.00000000
PA
USD
650351.66000000
0.030274641940
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.70000000
N
N
N
N
N
N
SART
N/A
SART
N/A
1781731.25000000
PA
USD
1782622.12000000
0.082983176207
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
903.54700000
PA
USD
900.45000000
0.000041917016
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
15639.73000000
PA
USD
17688.64000000
0.000823427193
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
3854802.59000000
PA
USD
523662.21000000
0.024377097623
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Variable
2.11600080
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JS7
2135000.00000000
PA
USD
2128654.72000000
0.099091404584
Long
DBT
CORP
US
N
2
2023-03-10
Fixed
1.36700000
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust, Series 2017-1A, Class A2
42771XAC0
1208754.76000000
PA
USD
1270284.61000000
0.059133256814
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
6838.23000000
PA
USD
7480.44000000
0.000348223363
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
764087.84000000
0.035569196159
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
197435.94000000
PA
USD
198399.45000000
0.009235729958
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
2.79990000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3385, Class SN
31397PAT7
34185.03000000
PA
USD
5371.49000000
0.000250049237
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
5.90450040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 218, Class 2
31364HVN4
764.32000000
PA
USD
32.62000000
0.000001518499
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LYA31
371268.99000000
PA
USD
405067.28000000
0.018856362823
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
1715221.27000000
0.079845586613
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
2524579.13000000
PA
USD
2552494.41000000
0.118821645381
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
113957.70000000
PA
USD
107047.64000000
0.004983194740
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
1564085.86000000
0.072810053834
Long
DBT
CORP
US
N
2
2039-04-22
Variable
4.45700160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405H4U9
74314.31000000
PA
USD
75290.18000000
0.003504847271
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
1.89699840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2306, Class K
3133TSJA2
5920.65700000
PA
USD
5871.86000000
0.000273342054
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
984401.46000000
0.045825056750
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
2186865.98000000
0.101801207851
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
252650.13000000
PA
USD
255517.86000000
0.011894659761
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Variable
2.74503960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400JBY4
8733.54000000
PA
USD
9817.81000000
0.000457030712
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
1168199.16000000
PA
USD
1248542.99000000
0.058121158589
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.55700080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9X98
4753574.15000000
PA
USD
5157441.33000000
0.240085017381
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
2821273.28000000
0.131333620903
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
998056.14000000
0.046460698316
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
4500000.00000000
PA
USD
4428105.48000000
0.206133567617
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
4912.89000000
PA
USD
5523.74000000
0.000257136655
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
650593.75000000
0.030285911517
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
7954932.09000000
0.370311533741
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
291045.42000000
0.013548509861
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
4.12800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SY5
14355000.00000000
PA
USD
15359850.00000000
0.715019254368
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2568, Class KG
31393KKC8
31104.39000000
PA
USD
31927.23000000
0.001486250463
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
614140.11000000
0.028588951293
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
227088.55000000
PA
USD
225898.31000000
0.010515834541
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Floating
0.33924960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1981, Class Z
3133TAUE0
37683.96000000
PA
USD
40898.85000000
0.001903890027
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
429327.74000000
0.019985716041
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
150496.70000000
PA
USD
155535.01000000
0.007240339383
Long
ABS-MBS
CORP
US
N
2
2034-11-20
Variable
2.67564960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607, Class BO
31398LQM3
77935.24000000
PA
USD
73121.12000000
0.003403874953
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31401YSJ5
22500.68000000
PA
USD
22658.67000000
0.001054787991
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
1.65600000
N
N
N
N
N
N
Nissan Motor Co. Ltd.
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AC5
2393000.00000000
PA
USD
2662530.79000000
0.123943969517
Long
DBT
CORP
JP
Y
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAR0
772000.00000000
PA
USD
857505.43000000
0.039917895889
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
276233.99940000
PA
USD
279388.98000000
0.013005888739
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 310
3132HTSS6
865914.40000000
PA
USD
759973.27000000
0.035377658040
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
486562.44000000
0.022650059281
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
537914.00000000
0.025040535369
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
78278.22400000
PA
USD
65582.28000000
0.003052933000
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
434321.82000000
0.020218196394
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.85000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 20 Year
3132D9DH4
2298171.12000000
PA
USD
2460495.01000000
0.114538964080
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
595652.72000000
0.027728341339
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
681803.92000000
PA
USD
138492.92000000
0.006447009859
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Fixed
5.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAC7
800000.00000000
PA
USD
874802.32000000
0.040723086655
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
1440488.23000000
PA
USD
1451630.26000000
0.067575112134
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
1365046.86000000
0.063544552063
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
84981.75000000
PA
USD
75977.88000000
0.003536860523
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
2.52534240
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381BJC4
8265.72000000
PA
USD
9275.59000000
0.000431789727
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
1404942.00000000
0.065401718198
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
4876.40000000
PA
USD
5588.46000000
0.000260149448
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
162135.70000000
PA
USD
189398.70000000
0.008816734359
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
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
4029611.47000000
0.187583198317
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
1310620.62000000
PA
USD
1470999.67000000
0.068476781167
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
163540.48000000
PA
USD
22713.45000000
0.001057338065
Long
ABS-MBS
USGA
US
N
2
2037-12-20
Floating
6.46161840
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa
836205AR5
640000.00000000
PA
USD
722920.00000000
0.033652784328
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
684954.27000000
PA
USD
696997.07000000
0.032446041158
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
1.68486840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2543, Class YX
31393HGW6
194050.80000000
PA
USD
223736.11000000
0.010415181564
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
407000.00000000
PA
USD
418946.92000000
0.019502476544
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
180654.48000000
PA
USD
206076.12000000
0.009593088061
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
2133767.95000000
PA
USD
327063.31000000
0.015225185405
Long
ABS-MBS
CORP
US
N
3
2035-11-25
Floating
4.76561880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-1, Class KA
31358R6V0
4200.36000000
PA
USD
4323.08000000
0.000201244506
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
494146.76000000
0.023003118382
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
474310.78000000
0.022079729961
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
5329000.00000000
PA
USD
5414763.59000000
0.252063674105
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
1042424.85000000
0.048526114446
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
547000.00000000
PA
USD
596767.67000000
0.027780243585
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.24800000
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBL2
784000.00000000
PA
USD
839328.62000000
0.039071743802
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-188, Class W
38379HTQ8
373267.02000000
PA
USD
415227.31000000
0.019329324283
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Variable
4.58583840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3424, Class PI
31397T4Y5
214340.11000000
PA
USD
51564.68000000
0.002400397077
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
6.70449960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1470, Class F
312914LG7
189.77000000
PA
USD
190.37000000
0.000008861949
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Floating
1.30600080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LAAW9
3775973.64000000
PA
USD
4162373.74000000
0.193763439615
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
520276.29000000
0.024219479027
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
982048.52000000
0.045715524599
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-77, Class S
31392F6E2
35912.79000000
PA
USD
44984.62000000
0.002094087471
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Floating
14.32863360
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410GNM1
62905.55000000
PA
USD
70700.61000000
0.003291197338
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
136995.67000000
PA
USD
136814.23000000
0.006368864847
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
881740.48000000
PA
USD
1007114.81000000
0.046882390160
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Variable
5.13617040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HSEN7
3000000.00000000
PA
USD
3491569.26000000
0.162536694620
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.81000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4ZC4
93391.00000000
PA
USD
97888.17000000
0.004556810536
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
2.08900080
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404J2J3
64419.69000000
PA
USD
64542.73000000
0.003004540713
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
1.66500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2575, Class ME
31393KSG1
551794.92000000
PA
USD
638203.74000000
0.029709141841
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
1179933.27000000
0.054927294662
Long
DBT
CORP
US
Y
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
MDC Holdings, Inc.
5299005FV4VNV75R8R35
MDC Holdings, Inc.
552676AV0
1100000.00000000
PA
USD
1084193.00000000
0.050470471420
Long
DBT
CORP
US
N
2
2061-08-06
Fixed
3.96600000
N
N
N
N
N
N
Evergy, Inc.
549300PGTHDQY6PSUI61
Evergy, Inc.
30034WAB2
985000.00000000
PA
USD
1052428.62000000
0.048991801817
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.90000000
N
N
N
N
N
N
Scentre Group Trust 1
N/A
Scentre Group Trust 1
806213AB0
420000.00000000
PA
USD
450921.32000000
0.020990922828
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
761294.63000000
0.035439168917
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
201706.58000000
0.009389680786
Long
DBT
CORP
CA
N
2
2029-04-01
Fixed
4.20000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
800000.00000000
PA
USD
843491.30000000
0.039265521498
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
128048.74000000
PA
USD
148825.75000000
0.006928015364
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
7668.53000000
PA
USD
8098.90000000
0.000377013410
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
11134.70000000
PA
USD
11133.65000000
0.000518284626
Long
ABS-MBS
USGA
US
N
2
2063-04-20
Variable
4.14000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391SQG8
41231.11000000
PA
USD
46484.12000000
0.002163890976
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
98351.99000000
PA
USD
120980.43000000
0.005631782657
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
19.78795440
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1591, Class PV
3133T1WB4
12105.12000000
PA
USD
12686.24000000
0.000590559534
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
155330.45000000
PA
USD
165701.80000000
0.007713615529
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
4131.44000000
PA
USD
4316.43000000
0.000200934941
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
8.50449960
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2S9
1145000.00000000
PA
USD
1151853.80000000
0.053620161994
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
38384631.38000000
1.786850165109
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
420478.67000000
0.019573781326
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
229533.99000000
PA
USD
251187.35000000
0.011693069379
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Variable
3.66768000
N
N
N
N
N
N
American Tower Trust #1
5493004YGM0MQZJOEJ36
American Tower Trust #1
03027WAJ1
750000.00000000
PA
USD
752887.80000000
0.035047820999
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
336479.71000000
PA
USD
76229.28000000
0.003548563491
Long
ABS-MBS
USGSE
US
N
2
2039-02-25
Floating
6.46562160
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-1, Class A
90931MAA4
619316.95000000
PA
USD
629511.03000000
0.029304485869
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
249217.48000000
0.011601369591
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
20423.16000000
PA
USD
22941.62000000
0.001067959649
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
59047.49000000
PA
USD
65549.58000000
0.003051410776
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
211416.35000000
PA
USD
220377.51000000
0.010258834746
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
32896.97470000
PA
USD
33897.22000000
0.001577955837
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
7.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
549300XDUXW4MOV3QH87
FREMF Mortgage Trust, Series 2014-K39, Class C
30292GAQ1
4650000.00000000
PA
USD
5014980.83000000
0.233453311962
Long
ABS-MBS
USGSE
US
Y
2
2047-08-25
Variable
4.28122440
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBB2
535000.00000000
PA
USD
674126.99000000
0.031381411780
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
823875.00000000
0.038352359443
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
80319.48000000
PA
USD
94496.64000000
0.004398930788
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
2217183.66000000
PA
USD
2407400.10000000
0.112067332979
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
2379.25000000
PA
USD
2488.92000000
0.000115862181
Long
ABS-MBS
CORP
US
N
2
2019-09-25
Fixed
5.50000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAM4
960000.00000000
PA
USD
963114.56000000
0.044834126281
Long
DBT
CORP
US
N
2
2026-08-17
Fixed
1.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3274, Class JO
31397F6H0
27800.84000000
PA
USD
26579.82000000
0.001237322179
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
240521.51000000
PA
USD
259482.09000000
0.012079199374
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
6.50000000
N
N
N
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust, Series 2021-EBO7, Class A1X
55349H106
6700000.00000000
PA
USD
6701688.40000000
0.311971551986
Long
ABS-MBS
CORP
US
Y
2
2022-02-16
Floating
2.84574960
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2020-SFR3, Class C
74333AAE0
3250000.00000000
PA
USD
3250065.65000000
0.151294414835
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
835512.07000000
0.038894078868
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
122089.00000000
0.005683387907
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFW9
545000.00000000
PA
USD
525767.97000000
0.024475123251
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A
31393LFK4
969292.42000000
PA
USD
1159252.70000000
0.053964589574
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
714486.28000000
0.033260184649
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
115033.99000000
0.005354968815
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
85312.04000000
0.003971376753
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
151214.75000000
PA
USD
141995.94000000
0.006610079599
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
33699.40000000
PA
USD
34705.84000000
0.001615598058
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
2271286.96000000
0.105731104704
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
218812.66000000
PA
USD
183827.58000000
0.008557392108
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
5.94384840
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class B
90933JAA9
1050347.23000000
PA
USD
1047252.07000000
0.048750827268
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
345741.44000000
PA
USD
58238.80000000
0.002711085287
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
5.76561960
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAF5
1445000.00000000
PA
USD
1522036.56000000
0.070852608993
Long
DBT
CORP
US
Y
2
2041-05-11
Fixed
3.25000000
N
N
N
N
N
N
Mid-America Apartments LP
549300FXWGE3QSYCUJ38
Mid-America Apartments LP
59523UAQ0
920000.00000000
PA
USD
1048595.73000000
0.048813376237
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
1419686.30000000
0.066088082869
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.87500000
N
N
N
N
N
N
Triton Container International Ltd.
549300O4LZFLCX53XZ54
Triton Container International Ltd.
89680YAB1
1105000.00000000
PA
USD
1104861.88000000
0.051432632325
Long
DBT
CORP
BM
Y
2
2024-06-07
Fixed
1.15000000
N
N
N
N
N
N
Xylem, Inc.
549300DF5MV96DRYLQ48
Xylem, Inc.
98419MAJ9
197000.00000000
PA
USD
215682.63000000
0.010040282508
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
610701.04000000
0.028428858502
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
725344.26000000
0.033765636509
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
208135.88000000
PA
USD
208376.59000000
0.009700177671
Long
ABS-MBS
CORP
US
N
2
2044-12-25
Variable
1.91684160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-108, Class GU
3136AGMM1
4000000.00000000
PA
USD
4323566.80000000
0.201267167944
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
773777.70000000
PA
USD
885775.93000000
0.041233921230
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
1038679.56000000
0.048351766750
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
231499.66000000
PA
USD
215538.80000000
0.010033587050
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
4616.49000000
PA
USD
5180.55000000
0.000241160753
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
1716195.63000000
0.079890944228
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
Estee Lauder Cos., Inc. (The)
549300VFZ8XJ9NUPU221
Estee Lauder Cos., Inc. (The)
29736RAQ3
1880000.00000000
PA
USD
2000618.15000000
0.093131150231
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
3695089.65000000
0.172010810416
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
1509292.52000000
0.070259358800
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
1504032.24000000
0.070014486521
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
1441229.59000000
PA
USD
1475746.89000000
0.068697769895
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
50636.88000000
PA
USD
52160.95000000
0.002428154153
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
519197.05000000
PA
USD
550949.43000000
0.025647350113
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
198493.62000000
PA
USD
167992.06000000
0.007820229851
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.80305000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDE3
1190000.00000000
PA
USD
1179095.98000000
0.054888317818
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
490709.65000000
0.022843116830
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
202244.63000000
0.009414727653
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
325877.33000000
0.015169976628
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
1187137.83000000
0.055262675484
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
528807.76000000
0.024616629085
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
4189604.39000000
0.195031058704
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
937612.78000000
0.043646988143
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
1257057.87000000
0.058517536363
Long
DBT
CORP
DE
N
2
2024-09-18
Variable
2.22199920
N
N
N
N
N
N
ML-CFC Commercial Mortgage Trust
N/A
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class XC
55312VBD9
12694.98000000
PA
USD
0.13000000
0.000000006051
Long
ABS-MBS
CORP
US
Y
3
2049-12-12
Variable
1.37158560
N
N
N
N
N
N
Liberty Mutual Group, Inc.
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBG8
408000.00000000
PA
USD
479409.77000000
0.022317094000
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
509031.14000000
0.023696003943
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
913208.70000000
0.042510949244
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
5.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1963, Class Z
3133TAA28
26387.15000000
PA
USD
29995.13000000
0.001396308914
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
419575.81000000
0.019531752121
Long
DBT
MUN
US
N
2
2056-12-01
Fixed
4.04800000
N
N
N
N
N
N
American Water Capital Corp.
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp.
03040WAX3
1096000.00000000
PA
USD
1202766.03000000
0.055990186749
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NFGD3
102392.24000000
PA
USD
106803.43000000
0.004971826475
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
1.97700120
N
Y
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAE0
175000.00000000
PA
USD
244461.14000000
0.011379956317
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
25213.76000000
PA
USD
36740.36000000
0.001710307380
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
24.21650160
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
783000.00000000
PA
USD
875249.18000000
0.040743888519
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L94G4
2596944.44000000
PA
USD
2862792.71000000
0.133266399666
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
92859.45000000
PA
USD
94801.66000000
0.004413129831
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
0.89550000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138NXRT6
1061516.25000000
PA
USD
1136391.61000000
0.052900378692
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAM1
790000.00000000
PA
USD
961035.49000000
0.044737343104
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
4194185.88000000
0.195244332503
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
755.59000000
PA
USD
766.71000000
0.000035691260
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
6647.34000000
PA
USD
7199.52000000
0.000335146204
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
10.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCD5
1405000.00000000
PA
USD
1451794.73000000
0.067582768408
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.30000000
N
N
N
N
N
N
HP, Inc.
WHKXQACZ14C5XRO8LW03
HP, Inc.
40434LAB1
665000.00000000
PA
USD
716066.25000000
0.033333734128
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
332804.56000000
0.015492447409
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
3060937.50000000
0.142490274899
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
1018927.50000000
0.047432284905
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381TYT1
496895.81000000
PA
USD
500767.31000000
0.023311312845
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
2.75000000
N
N
N
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust, Series 2021-EBO5, Class A1X
55349F100
6700000.00000000
PA
USD
6705038.40000000
0.312127498464
Long
ABS-MBS
CORP
US
Y
2
2022-02-16
Floating
1.84574880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-16, Class FC
31396PXY2
62586.12000000
PA
USD
65226.90000000
0.003036389639
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.83437920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2095, Class PE
3133TGWC9
112262.00000000
PA
USD
126067.36000000
0.005868585288
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
6.00000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ACA1
1550000.00000000
PA
USD
1578055.00000000
0.073460333886
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-31, Class DB
31397SHK3
1266626.37000000
PA
USD
1366572.44000000
0.063615569624
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
29851.95000000
PA
USD
31758.20000000
0.001478381916
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
23.99000000
PA
USD
24.01000000
0.000001117694
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
21493.35000000
PA
USD
22289.09000000
0.001037583603
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8M27
3889724.84000000
PA
USD
4168905.72000000
0.194067511040
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
82356.71000000
PA
USD
69253.37000000
0.003223826598
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
384550.78000000
0.017901295389
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
538110.63000000
0.025049688729
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
1258729.07000000
0.058595332707
Long
DBT
CORP
US
Y
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
Banc of America Mortgage Trust
N/A
Banc of America Mortgage Trust, Series 2004-A, Class 2A2
05948XT27
33495.13000000
PA
USD
34187.02000000
0.001591446371
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.45816640
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2F9
2570000.00000000
PA
USD
2783093.45000000
0.129556304485
Long
DBT
CORP
US
N
2
2027-06-17
Variable
3.19600080
N
N
N
N
N
N
Oklahoma Gas and Electric Co.
549300VJ8YXGPO8EV472
Oklahoma Gas and Electric Co.
678858BW0
675000.00000000
PA
USD
675266.65000000
0.031434464306
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
0.55300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-2, Class MS
38374DPT0
100810.01000000
PA
USD
18098.00000000
0.000842483387
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
7.06449960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1686, Class SH
3133T4EV4
1480.40000000
PA
USD
1666.96000000
0.000077598967
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
19.02795840
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2013-2, Class A
48248XAA6
2062251.23490000
PA
USD
80349.43000000
0.003740361366
Long
ABS-O
CORP
US
Y
3
2039-03-25
Variable
1.96900920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H15, Class FA
38375BUB6
41.24000000
PA
USD
41.36000000
0.000001925357
Long
ABS-MBS
USGA
US
N
2
2062-05-20
Floating
0.55288080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-110
31396LVP2
300053.44000000
PA
USD
280560.41000000
0.013060420197
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 and Electric Co.
694308HA8
308000.00000000
PA
USD
276615.26000000
0.012876768780
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
517399.86000000
PA
USD
544651.57000000
0.025354177252
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
1176309.88000000
PA
USD
1286956.83000000
0.059909368450
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
120832.40000000
PA
USD
23464.37000000
0.001092294282
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
514848.36000000
0.023966802441
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
166656.45000000
0.007758055619
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
43601.66000000
PA
USD
5803.89000000
0.000270177970
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
2615367.20000000
0.121748448405
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
1057500.17000000
0.049227888491
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
435401.06000000
PA
USD
437839.35000000
0.020381941592
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
112097.93000000
PA
USD
133685.23000000
0.006223206182
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
12341.49000000
PA
USD
1122.52000000
0.000052254638
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
15146.85000000
PA
USD
15234.06000000
0.000709163580
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Floating
1.24549920
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAD8
2132000.00000000
PA
USD
2546256.17000000
0.118531247903
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2012-2, Class A
48247KAA5
2134106.12000000
PA
USD
43840.94000000
0.002040847809
Long
ABS-O
CORP
US
Y
3
2038-08-25
Variable
0.92485800
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
5365000.00000000
PA
USD
5744112.68000000
0.267395265283
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
623010.82000000
0.029001893376
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
13371.86000000
PA
USD
13055.21000000
0.000607735526
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
91993.75000000
PA
USD
104160.14000000
0.004848778187
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
30378.07000000
PA
USD
27900.28000000
0.001298791160
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
423031.25000000
0.019692606955
Long
DBT
UST
US
N
2
2024-11-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
3136195D6
9715.83900000
PA
USD
9890.38000000
0.000460408931
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Variable
2.18900160
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCV4
1445000.00000000
PA
USD
1727580.33000000
0.080420915531
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
5784356.32000000
0.269268654507
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
4004.91000000
PA
USD
4436.75000000
0.000206535980
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
873827.46000000
0.040677705765
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 Notes
91282CBZ3
17110000.00000000
PA
USD
17341920.75000000
0.807287001109
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LJ7
1905000.00000000
PA
USD
1903872.34000000
0.088627517909
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
1955913.32000000
0.091050087317
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
1567.74000000
PA
USD
1568.62000000
0.000073021123
Long
ABS-MBS
USGSE
US
N
2
2022-09-15
Floating
1.24549920
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286U9
30000000.00000000
PA
USD
30432421.80000000
1.416665367440
Long
DBT
UST
US
N
2
2022-05-15
Fixed
2.12500000
N
N
N
N
N
N
VOLT XCIII LLC
N/A
VOLT XCIII LLC, Series 2021-NPL2, Class A1
92873CAA2
5662065.70000000
PA
USD
5683100.84000000
0.264555091691
Long
ABS-O
CORP
US
Y
2
2051-02-27
Variable
1.89249840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-62, Class SA
31358UVD5
2210.33000000
PA
USD
2368.52000000
0.000110257418
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
19.87533000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-19, Class SD
38375JTV7
323053.84000000
PA
USD
31764.04000000
0.001478653775
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Floating
6.11161920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2038, Class PN
3133TDA22
29646.59000000
PA
USD
3992.66000000
0.000185863063
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JT9
865000.00000000
PA
USD
962292.44000000
0.044795855619
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust, Series 2021-GT1, Class A
30259RAH8
4300000.00000000
PA
USD
4301982.30000000
0.200262383841
Long
ABS-MBS
CORP
US
Y
2
2026-07-25
Variable
3.62000160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-91, Class WA
38378TTL4
649384.58000000
PA
USD
717623.79000000
0.033406239464
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Variable
4.47739920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31404ADZ4
286010.96000000
PA
USD
302151.27000000
0.014065500365
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
696788.18000000
PA
USD
118906.07000000
0.005535218736
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
7277.53000000
PA
USD
7627.78000000
0.000355082215
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
844082.89000000
0.039293060715
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
21981.48000000
PA
USD
26027.33000000
0.001211603113
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Fixed
7.00000000
N
N
N
N
N
N
RFMSI Trust
N/A
RFMSI Trust, Series 2004-S9, Class 2A1
76111XRG0
12.72000000
PA
USD
13.35000000
0.000000621458
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
494198.44000000
0.023005524147
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LJJ5
59862.68000000
PA
USD
63969.00000000
0.002977832900
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
2.32599960
N
Y
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325CX1
581000.00000000
PA
USD
631220.19000000
0.029384049297
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
27372.58000000
PA
USD
31777.69000000
0.001479289199
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
2794307.55000000
0.130078334155
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
51433.47000000
PA
USD
51171.84000000
0.002382109908
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.40317640
N
N
N
N
N
N
Qwest Corp.
549300R2L4N683OO1509
Qwest Corp.
74913GAX3
741000.00000000
PA
USD
751907.52000000
0.035002187801
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
1080800.51000000
0.050312546983
Long
DBT
CORP
JP
N
2
2028-11-26
Fixed
5.00000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAR2
7294000.00000000
PA
USD
7241108.87000000
0.337082215323
Long
DBT
CORP
KY
Y
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406QGE1
16344.46000000
PA
USD
16310.55000000
0.000759275468
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
175841.62000000
PA
USD
21588.20000000
0.001004956341
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Floating
5.86162080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3256
31397EBP9
103466.80000000
PA
USD
95990.66000000
0.004468479193
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
85047.12000000
PA
USD
84294.03000000
0.003923987179
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
0.54438120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381E7J6
4728.24000000
PA
USD
4743.73000000
0.000220826263
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
801615.80000000
0.037316167254
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
7861.29000000
PA
USD
8302.40000000
0.000386486577
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
172099.91000000
0.008011455146
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
273938.10000000
PA
USD
37389.65000000
0.001740532600
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
6.11161920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3315, Class HZ
31397H3E6
152785.58000000
PA
USD
176669.14000000
0.008224158227
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
2623320.01000000
0.122118661153
Long
ABS-O
CORP
US
Y
3
2036-12-17
Fixed
6.41800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SU3
24045000.00000000
PA
USD
23736923.44000000
1.104981969165
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H28, Class FA
38375BYE6
8454.08000000
PA
USD
8487.65000000
0.000395110184
Long
ABS-MBS
USGA
US
N
2
2062-09-20
Floating
0.68288040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8K52
3000000.00000000
PA
USD
3323199.03000000
0.154698860506
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
3.34000000
N
N
N
N
N
N
Hanover Insurance Group, Inc. (The)
JJYR6MFKFF6CF8DBZ078
Hanover Insurance Group, Inc. (The)
410867AG0
500000.00000000
PA
USD
508278.63000000
0.023660973709
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
258412.50000000
0.012029408690
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
312682.98000000
PA
USD
329411.66000000
0.015334503886
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-109
31396LQW3
52288.88000000
PA
USD
48205.26000000
0.002244012087
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
2710284.57000000
0.126166964675
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
213822.73000000
0.009953701954
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Floating
6.41562120
N
N
N
N
N
N
Vale Overseas Ltd.
254900BA3U6G5DNV5V04
Vale Overseas Ltd.
91911TAQ6
1275000.00000000
PA
USD
1355305.88000000
0.063091097879
Long
DBT
CORP
KY
N
2
2030-07-08
Fixed
3.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202C5F6
8717.16000000
PA
USD
9657.17000000
0.000449552729
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
959475.81000000
0.044664738148
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
81315.88000000
PA
USD
89424.94000000
0.004162837131
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
2342873.82000000
PA
USD
365695.89000000
0.017023577873
Long
ABS-MBS
CORP
US
N
3
2035-09-25
Floating
4.96562040
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAP4
1085000.00000000
PA
USD
1214685.70000000
0.056545061540
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
4.75000000
N
N
N
N
N
N
Dollar General Corp.
OPX52SQVOZI8IVSWYU66
Dollar General Corp.
256677AF2
235000.00000000
PA
USD
270373.63000000
0.012586213493
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.12500000
N
N
N
N
N
N
American Water Capital Corp.
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp.
03040WAU9
795000.00000000
PA
USD
885922.09000000
0.041240725151
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
820250.05000000
PA
USD
882332.73000000
0.041073636181
Long
ABS-O
CORP
US
N
2
2031-08-25
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402REL9
395662.24000000
PA
USD
420898.97000000
0.019593346790
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
2.33399880
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBG9
900000.00000000
PA
USD
1059934.74000000
0.049341220615
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
346308.36000000
0.016121065332
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
840368.46000000
0.039120149588
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
816124.61570000
PA
USD
823204.66000000
0.038321154320
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
502246.80000000
PA
USD
511410.90000000
0.023806784597
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
2.19782880
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBK2
100000.00000000
PA
USD
126526.85000000
0.005889975093
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
4.65000000
N
N
N
N
N
N
Boardwalk Pipelines LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AG3
410000.00000000
PA
USD
474112.79000000
0.022070513292
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
401633.63000000
0.018696522339
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
6882193.25000000
0.320374267068
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
34334.51000000
PA
USD
38449.51000000
0.001789870341
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
1112174.04000000
0.051773022054
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31400FEM5
120167.75000000
PA
USD
121108.83000000
0.005637759829
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
2.26000080
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
30458.37730000
PA
USD
31326.13000000
0.001458268545
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
2.58964560
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-57
38375LUK4
91560.94000000
PA
USD
88949.20000000
0.004140690870
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
603128.48000000
0.028076346843
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
732417.26000000
0.034094893057
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
610672.01000000
0.028427507121
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
1131171.46000000
0.052657374511
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
597397.70000000
0.027809572229
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
638.21300000
PA
USD
588.09000000
0.000027376287
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
300963.12000000
PA
USD
301468.29000000
0.014033706835
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
43605.77000000
PA
USD
49789.18000000
0.002317745444
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
119133.12000000
PA
USD
132493.36000000
0.006167723218
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
359752.51000000
PA
USD
69429.97000000
0.003232047538
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Floating
7.51561920
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LG3
5793000.00000000
PA
USD
5791526.67000000
0.269602442812
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
828.23000000
PA
USD
847.89000000
0.000039470286
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
27118.35000000
PA
USD
27353.25000000
0.001273326264
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
0.54438120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-230, Class FA
31359FE38
2993.49000000
PA
USD
2984.16000000
0.000138916191
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
0.68438160
N
N
N
N
N
N
7-Eleven, Inc.
549300K23JPL0SS3LB18
7-Eleven, Inc.
817826AF7
574000.00000000
PA
USD
539179.87000000
0.025099463120
Long
DBT
CORP
US
Y
2
2041-02-10
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHP98
66106.12000000
PA
USD
66546.51000000
0.003097819051
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
3524116.33000000
PA
USD
3749029.66000000
0.174521781924
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
867888.76000000
0.040401252229
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
4749484.90000000
0.221094161195
Long
ABS-O
CORP
US
N
2
2025-03-15
Fixed
2.95000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AB4
729000.00000000
PA
USD
736935.14000000
0.034305205735
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
201571.58000000
0.009383396376
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
24634.54700000
PA
USD
28869.19000000
0.001343895071
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
67974.55000000
PA
USD
78518.32000000
0.003655121021
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 and New Jersey, Consolidated, Series 174
73358WJA3
2060000.00000000
PA
USD
2831195.61000000
0.131795517145
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
2564.28000000
PA
USD
2910.36000000
0.000135480713
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
32.57000000
PA
USD
32.54000000
0.000001514775
Long
ABS-MBS
USGSE
US
N
2
2021-09-25
Fixed
6.50000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AM1
400000.00000000
PA
USD
450584.99000000
0.020975266267
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1602, Class SA
3133T1D82
7070.83000000
PA
USD
8235.94000000
0.000383392785
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Floating
22.44732840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31288LGJ4
20051.21000000
PA
USD
20970.09000000
0.000976182587
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
8038.57000000
PA
USD
8232.72000000
0.000383242890
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
395203.30000000
PA
USD
456531.59000000
0.021252087557
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
126000.00000000
PA
USD
138255.53000000
0.006435959073
Long
DBT
CORP
KY
Y
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBG9
1069000.00000000
PA
USD
1149703.43000000
0.053520059718
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
93072.77000000
PA
USD
107429.24000000
0.005000958673
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
4068988.27000000
0.189416235109
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
343985.31000000
PA
USD
359460.07000000
0.016733293048
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
339590.87000000
0.015808358197
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
2310.45000000
PA
USD
2584.54000000
0.000120313405
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
3059581.20000000
0.142427137524
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
1501431.69000000
0.069893427830
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.44700000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-36, Class SE
38375KHZ8
154674.19000000
PA
USD
17815.16000000
0.000829316850
Long
ABS-MBS
USGA
US
N
2
2037-06-16
Floating
6.37449840
N
N
N
N
N
N
Roper Technologies, Inc.
54930003T4SXCIWVXY35
Roper Technologies, Inc.
776743AJ5
570000.00000000
PA
USD
568115.23000000
0.026446438484
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
310443.28000000
0.014451503275
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
98505.29000000
0.004585538205
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
2603384.94000000
0.121190659976
Long
ABS-O
CORP
US
N
2
2024-09-15
Fixed
3.38000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31385WZX0
245999.38000000
PA
USD
247241.16000000
0.011509369549
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Variable
1.65600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31418AHQ4
379394.48000000
PA
USD
406447.15000000
0.018920597410
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
18932.28000000
PA
USD
19723.25000000
0.000918140705
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBQ3
7870000.00000000
PA
USD
7798678.13000000
0.363037726382
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.50000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2008-2, Class 1A6
52522UAF0
475115.17000000
PA
USD
243953.16000000
0.011356309245
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
376772.98000000
PA
USD
357934.33000000
0.016662268039
Long
ABS-O
CORP
KY
Y
2
2047-09-20
Fixed
4.00000000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418AHB7
555036.36000000
PA
USD
605558.82000000
0.028189482055
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
166429.94000000
PA
USD
168916.74000000
0.007863274803
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
52582.28000000
PA
USD
48447.58000000
0.002255292371
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YXX4
89855.96000000
PA
USD
90359.29000000
0.004206332233
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
2.01899880
N
N
N
N
N
N
GE Capital Funding LLC
549300XAGH9TOLX5XM67
GE Capital Funding LLC
36166NAJ2
540000.00000000
PA
USD
632581.25000000
0.029447408256
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128283C2
1650000.00000000
PA
USD
1686222.65000000
0.078495666422
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
4815.86000000
PA
USD
5318.39000000
0.000247577369
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
7999.19000000
PA
USD
8117.10000000
0.000377860642
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
119935.55000000
PA
USD
141304.00000000
0.006577868971
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
95351.27000000
PA
USD
113126.22000000
0.005266159856
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
285726.57000000
PA
USD
346479.72000000
0.016129042344
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class PU
3139204T4
24793.70000000
PA
USD
29481.84000000
0.001372414656
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
1670950.22000000
PA
USD
1674292.12000000
0.077940286086
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
135963.12000000
0.006329244666
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
149861.70000000
PA
USD
210792.66000000
0.009812648598
Long
ABS-MBS
USGA
US
N
2
2034-04-16
Floating
19.39989960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RJ9
8200000.00000000
PA
USD
9918156.25000000
0.461701949341
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
178548.80000000
PA
USD
22299.41000000
0.001038064011
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
6.46161840
N
N
N
N
N
N
Halliburton Co.
ENYF8GB5SMQZ25S06U51
Halliburton Co.
406216BE0
540000.00000000
PA
USD
616859.98000000
0.028715564471
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
560134.19000000
0.026074911596
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
2141864.11000000
0.099706317372
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
457788.68000000
0.021310606590
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, Build America Bonds, General Purpose, Series 2010-D
649902T37
360000.00000000
PA
USD
493152.91000000
0.022956853484
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
187193.77000000
PA
USD
204581.50000000
0.009523511726
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
275250.54000000
0.012813239444
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.25000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400FV0
552000.00000000
PA
USD
588738.21000000
0.027406462688
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
318379.56000000
PA
USD
351019.77000000
0.016340387061
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
414052.36000000
0.019274628965
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L7EW2
9487837.60000000
PA
USD
10459421.49000000
0.486898488911
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.25000000
N
N
N
N
N
N
JPMorgan Mortgage Trust
N/A
JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3
466247K93
217057.81000000
PA
USD
219498.32000000
0.010217907408
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
2.42552160
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AN9
840000.00000000
PA
USD
820356.38000000
0.038188563504
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
574699.89000000
0.026752962225
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
1083574.00000000
0.050441656235
Long
DBT
CORP
GB
N
2
2025-03-16
Fixed
3.65000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAH4
450000.00000000
PA
USD
464049.67000000
0.021602063108
Long
DBT
CORP
KY
Y
2
2025-02-15
Fixed
2.87500000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJZ6
646000.00000000
PA
USD
680684.77000000
0.031686684225
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
132920.21000000
PA
USD
120755.37000000
0.005621305847
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
247385.70000000
PA
USD
263687.92000000
0.012274985754
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
5.50000000
N
N
N
N
N
N
Alimentation Couche-Tard, Inc.
549300OSW32RVX8CCZ87
Alimentation Couche-Tard, Inc.
01626PAP1
1275000.00000000
PA
USD
1339443.12000000
0.062352667567
Long
DBT
CORP
CA
Y
2
2041-05-13
Fixed
3.43900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WSPZ5
587096.84000000
PA
USD
633142.69000000
0.029473543954
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
547559.28000000
0.025489534605
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
341147.70000000
0.015880830482
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
54132.57000000
PA
USD
54806.15000000
0.002551291354
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
0.70437960
N
N
N
N
N
N
Pennsylvania Electric Co.
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co.
708696BY4
150000.00000000
PA
USD
159753.84000000
0.007436730928
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
3.25000000
N
N
N
N
N
N
Hackensack Meridian Health, Inc.
5493001CB3OCWTEJY668
Hackensack Meridian Health, Inc., Series 2020
404530AC1
1430000.00000000
PA
USD
1436492.93000000
0.066870451450
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
2.67500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31416BYW2
39173.76000000
PA
USD
40413.28000000
0.001881286167
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
1381707.94000000
0.064320145119
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
101768.90000000
PA
USD
102096.04000000
0.004752691881
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.68438160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-128
3136AHNE6
1439443.54000000
PA
USD
1286718.44000000
0.059898271112
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
1123312.14000000
0.052291513834
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
317642.76000000
0.014786647617
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
1299159.19000000
0.060477402796
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
314464.01420000
PA
USD
331242.68000000
0.015419740040
Long
ABS-O
CORP
US
N
3
2034-11-25
Variable
5.27699880
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAJ1
1000000.00000000
PA
USD
1051561.13000000
0.048951419128
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
262472.52000000
PA
USD
269294.52000000
0.012535979641
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
1351819.39000000
PA
USD
1359543.28000000
0.063288353880
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
604903.30000000
0.028158966821
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292J5A4
50980.11000000
PA
USD
58882.54000000
0.002741052148
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
1173941.54000000
0.054648372516
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
5095.99000000
PA
USD
5254.06000000
0.000244582731
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
744134.87000000
0.034640361715
Long
DBT
CORP
US
Y
2
2032-03-15
Fixed
6.90000000
N
N
N
N
N
N
Healthpeak Properties, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties, Inc.
40414LAM1
17000.00000000
PA
USD
18226.92000000
0.000848484766
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.40000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
400000.00000000
PA
USD
545840.20000000
0.025409509390
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
221194.94000000
0.010296887083
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
156797.05000000
PA
USD
223421.83000000
0.010400551456
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Floating
19.29295440
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A
12669FYY3
186393.91000000
PA
USD
190803.19000000
0.008882115036
Long
ABS-MBS
CORP
US
N
2
2034-06-20
Variable
2.10116160
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1999-1, Class 2Z
911760MJ2
576898.09000000
PA
USD
639492.86000000
0.029769151907
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
490357.02000000
0.022826701485
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
291628.74000000
0.013575664100
Long
DBT
CORP
NL
Y
2
2042-03-06
Fixed
4.87500000
N
N
N
N
N
N
Ohio University
549300P1K3IH2L5SFY61
Ohio State University (The), General Receipts
677704A65
200000.00000000
PA
USD
307955.82000000
0.014335709059
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
164232.91000000
PA
USD
162806.19000000
0.007578821445
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
0.14438160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2075, Class PH
3133TGCG2
88487.90000000
PA
USD
100090.07000000
0.004659311596
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
Hartford Financial Services Group, Inc. (The)
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group, Inc. (The)
416515BB9
400000.00000000
PA
USD
484237.56000000
0.022541833357
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
100117.44000000
PA
USD
117730.24000000
0.005480482454
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
6.24999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418BA63
1589981.24000000
PA
USD
1779297.13000000
0.082828393974
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
8884.99000000
PA
USD
8373.05000000
0.000389775418
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
311.32000000
PA
USD
311.45000000
0.000014498367
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Floating
0.98200080
N
N
N
N
N
N
CNA Financial Corp.
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117AS9
463000.00000000
PA
USD
499516.18000000
0.023253071258
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
3940.02000000
PA
USD
131.71000000
0.000006131256
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Floating
8.06562000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140HNWP3
1848837.27000000
PA
USD
2021407.93000000
0.094098939174
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAB3
300000.00000000
PA
USD
334039.20000000
0.015549921367
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
274118.45000000
0.012760539310
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
18963.39000000
PA
USD
19891.17000000
0.000925957580
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
687087.32000000
0.031984730530
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
565.02000000
PA
USD
564.32000000
0.000026269766
Long
ABS-MBS
USGSE
US
N
2
2022-03-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381TNR7
874718.81000000
PA
USD
952364.85000000
0.044333714517
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
1961126.43000000
PA
USD
1968748.35000000
0.091647573202
Long
ABS-MBS
USGA
US
N
2
2065-07-20
Floating
0.54288000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405XXV0
87810.09000000
PA
USD
88329.82000000
0.004111857995
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
1.99500120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJX5
372074.07000000
PA
USD
374275.76000000
0.017422981008
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
1.82700000
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
104214.32000000
PA
USD
91723.73000000
0.004269848535
Long
ABS-MBS
CORP
US
N
3
2033-10-25
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284M9
21212000.00000000
PA
USD
23000105.42000000
1.070682215504
Long
DBT
UST
US
N
2
2025-04-30
Fixed
2.87500000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918CE2
1118000.00000000
PA
USD
1202250.10000000
0.055966169595
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
2.92100000
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
645717.49000000
PA
USD
93721.12000000
0.004362829411
Long
ABS-MBS
CORP
US
N
3
2035-04-25
Floating
4.91074920
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAE5
400000.00000000
PA
USD
415187.82000000
0.019327485976
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
542490.84000000
0.025253592705
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.37500000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
500000.00000000
PA
USD
585812.08000000
0.027270247863
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
448801.77000000
PA
USD
511957.90000000
0.023832248096
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2014-M3, Class A2
3136AJLC8
1343377.91000000
PA
USD
1424103.10000000
0.066293690153
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Variable
3.50100000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class AA
00908PAA5
415582.40000000
PA
USD
422384.94000000
0.019662520457
Long
ABS-O
CORP
CA
Y
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CT0
605000.00000000
PA
USD
676300.24000000
0.031482579148
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
571219.49000000
0.026590945472
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
323812.81000000
0.015073870770
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
218260.04000000
PA
USD
247819.32000000
0.011536283583
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAG3
1405000.00000000
PA
USD
1451030.72000000
0.067547202836
Long
DBT
CORP
US
Y
2
2031-05-11
Fixed
2.50000000
N
N
N
N
N
N
Bayview Financing Trust
N/A
Bayview Financing Trust, Series 2020-3F, Class A
07326VAA1
2536446.32000000
PA
USD
2536446.32000000
0.118074587738
Long
ABS-MBS
CORP
US
Y
3
2022-11-10
Floating
3.09512880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138M1MA3
510013.64000000
PA
USD
556440.44000000
0.025902963148
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
2192100.15000000
0.102044864679
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
13063A7D0
350000.00000000
PA
USD
566559.07000000
0.026373997388
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
76550.33000000
PA
USD
90511.14000000
0.004213401031
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349SF40
117726.05000000
PA
USD
119173.25000000
0.005547656282
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
204467.56000000
PA
USD
143058.53000000
0.006659544426
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
364002.45000000
0.016944746230
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
217402.09000000
PA
USD
30361.27000000
0.001413353166
Long
ABS-MBS
USGA
US
N
2
2036-10-20
Floating
6.61161960
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
6022.24890000
PA
USD
4054.83000000
0.000188757150
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
167146.05000000
PA
USD
167871.71000000
0.007814627415
Long
ABS-O
CORP
US
N
3
2036-01-25
Variable
5.73599880
N
N
N
N
N
N
Liberty Mutual Insurance Co.
CNC20I6IOMGF7KY49D67
Liberty Mutual Insurance Co.
53079QAB3
100000.00000000
PA
USD
124044.09000000
0.005774399668
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
8.50000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ACN3
915000.00000000
PA
USD
936639.75000000
0.043601692442
Long
DBT
CORP
US
Y
2
2060-11-15
Fixed
3.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-92
3136AGGA4
775057.55000000
PA
USD
708667.28000000
0.032989303290
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
2423.17000000
PA
USD
2432.67000000
0.000113243676
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
8.00000000
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
89153VAV1
1180000.00000000
PA
USD
1221418.00000000
0.056858458099
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
1059.36000000
PA
USD
1117.93000000
0.000052040968
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
9.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406YB58
54931.45000000
PA
USD
55464.77000000
0.002581950897
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
1.96999920
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
10534.41000000
PA
USD
10511.53000000
0.000489324201
Long
ABS-O
CORP
US
N
3
2036-03-25
Floating
0.48438000
N
N
N
N
N
N
Duke Realty LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YBC0
380000.00000000
PA
USD
405115.72000000
0.018858617763
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
204595.79000000
0.009524176942
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
1633074.06000000
PA
USD
1680520.09000000
0.078230205484
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
393027.14000000
PA
USD
404405.08000000
0.018825536627
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
540738.12000000
0.025172001508
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
150568.26000000
PA
USD
153136.04000000
0.007128664481
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.07979200
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABF1
1980000.00000000
PA
USD
2218431.60000000
0.103270624941
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3966, Class NA
3137AJXA7
339732.12000000
PA
USD
377814.56000000
0.017587716350
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
418178.39000000
0.019466700560
Long
DBT
CORP
US
N
2
2031-10-30
Fixed
7.00000000
N
N
N
N
N
N
Safehold Operating Partnership LP
54930012UY5Z4Q8NL108
Safehold Operating Partnership LP
78646UAA7
2940000.00000000
PA
USD
2969962.19000000
0.138255266203
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.80000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBE0
2500000.00000000
PA
USD
2498821.93000000
0.116323127712
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
215024.00000000
0.010009622499
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
206801.45000000
PA
USD
233997.03000000
0.010892839572
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
226864.77000000
PA
USD
258486.42000000
0.012032849753
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
405994.82000000
PA
USD
62623.00000000
0.002915175002
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Floating
6.18162120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-76, Class SA
38375LT67
368633.89000000
PA
USD
46571.40000000
0.002167953964
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
6.44162040
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2020-1A, Class A
12327FAA5
1107596.51000000
PA
USD
1129736.70000000
0.052590584730
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
1390210.37000000
0.064715943331
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
422015.73000000
PA
USD
487094.56000000
0.022674830099
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
38235.21000000
PA
USD
36501.81000000
0.001699202594
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
349.42000000
PA
USD
353.34000000
0.000016448396
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
2794.11500000
PA
USD
2468.08000000
0.000114892054
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
528098.05000000
0.024583591242
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
360361.42000000
PA
USD
395267.14000000
0.018400154670
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.08689000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5FJ4
1890058.10000000
PA
USD
1994698.45000000
0.092855581168
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
435604.05000000
0.020277885723
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
451531.90000000
0.021019346052
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
639395.19000000
0.029764605253
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
59466.61000000
PA
USD
67009.86000000
0.003119388544
Long
ABS-MBS
USGSE
US
N
2
2027-05-20
Fixed
7.50000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBJ3
250000.00000000
PA
USD
278684.13000000
0.012973077135
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
445369.87000000
0.020732496239
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
0.121033087000
Long
ABS-MBS
CORP
US
N
3
2022-10-11
Fixed
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DQT9
173441.09000000
PA
USD
176768.82000000
0.008228798449
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Variable
1.93799880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402BEZ3
78258.37000000
PA
USD
89243.30000000
0.004154381574
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31408EQC9
53661.12000000
PA
USD
56080.88000000
0.002610631549
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Variable
1.97600040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-47, Class SI
31397LYN3
777.28000000
PA
USD
4.69000000
0.000000218325
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Floating
6.41562120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-157, Class OP
38377NF41
701183.19000000
PA
USD
666576.22000000
0.031029914472
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
607380.07000000
0.028274263405
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
629963.10000000
PA
USD
135469.41000000
0.006306261879
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Floating
6.37562160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF
31394FSB2
650698.18000000
PA
USD
648380.13000000
0.030182864878
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Floating
0.30925080
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAJ2
151000.00000000
PA
USD
154569.12000000
0.007195376057
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
27880.31000000
PA
USD
30463.43000000
0.001418108835
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
850807.19000000
0.039606084864
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
133719.88000000
PA
USD
145524.58000000
0.006774341981
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
293710.83000000
0.013672587861
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
132587.88000000
PA
USD
140145.36000000
0.006523932903
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
179442.39000000
PA
USD
182489.90000000
0.008495121516
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
1781000.00000000
PA
USD
1769305.54000000
0.082363273597
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
336033.35000000
PA
USD
43966.87000000
0.002046710000
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
6.44450040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3232, Class ST
31397BP96
190665.28000000
PA
USD
39262.60000000
0.001827720646
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Floating
6.60449880
N
N
N
N
N
N
Eastern Gas Transmission & Storage, Inc.
H2VQBNB3NSKRM5QWBI71
Eastern Gas Transmission & Storage, Inc.
276480AA8
807000.00000000
PA
USD
892350.97000000
0.041539997148
Long
DBT
CORP
US
Y
2
2049-11-15
Fixed
3.90000000
N
N
N
N
N
N
Banco Nacional de Panama
529900H2Q7WMDKKIW109
Banco Nacional de Panama
059626AC5
1250000.00000000
PA
USD
1209375.00000000
0.056297842150
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
454903.60000000
0.021176302690
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
458822.58000000
0.021358735862
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
3278989.55000000
PA
USD
521051.44000000
0.024255563180
Long
ABS-MBS
CORP
US
N
3
2035-06-25
Floating
4.98561840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LN8
14070000.00000000
PA
USD
14036544.07000000
0.653417792155
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
202812.50000000
PA
USD
190235.89000000
0.008855706548
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
Coca-Cola Femsa SAB de CV
5493008KEVFYPMGTXO33
Coca-Cola Femsa SAB de CV
191241AJ7
675000.00000000
PA
USD
648229.50000000
0.030175852872
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
2269.15000000
PA
USD
2328.49000000
0.000108393974
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
37322.44000000
PA
USD
41700.51000000
0.001941208251
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
474979.23000000
PA
USD
475000.60000000
0.022111841901
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
0.50024880
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1706, Class K
3133T4UA2
29543.30000000
PA
USD
31099.31000000
0.001447709804
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
4.62000000
PA
USD
15.43000000
0.000000718284
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
70444.91000000
0.003279294200
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
0.98438040
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2019-SFR4, Class D
74331AAG7
5000000.00000000
PA
USD
5083356.00000000
0.236636257307
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
806890.63000000
0.037561716853
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
65754.75000000
PA
USD
61667.95000000
0.002870716291
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
38272.78000000
PA
USD
42345.44000000
0.001971230509
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
4015876.80000000
0.186943833121
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
1056104.05000000
0.049162897448
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
1.95000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2004-2CB, Class 1A9
12667FAQ8
3723157.91000000
PA
USD
3751764.42000000
0.174649088249
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
5.75000000
N
N
N
N
N
N
F&G Global Funding
6354009CCUKJIZ7KFX73
F&G Global Funding
30321L2A9
750000.00000000
PA
USD
762484.83000000
0.035494574140
Long
DBT
CORP
US
Y
2
2026-06-30
Fixed
1.75000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2N3
323000.00000000
PA
USD
320340.95000000
0.014912251565
Long
DBT
CORP
FR
Y
2
2027-01-13
Variable
1.32300000
N
N
N
N
N
N
Jersey Central Power & Light Co.
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co.
476556DC6
560000.00000000
PA
USD
623188.73000000
0.029010175298
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
89153VAX7
1200000.00000000
PA
USD
1244076.44000000
0.057913235383
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
4298593.65000000
PA
USD
4969188.87000000
0.231321641854
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
285225.00000000
0.013277562399
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
39446.52000000
PA
USD
56714.46000000
0.002640125450
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
22.69685880
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-36, Class SH
38374D3F4
271562.92000000
PA
USD
928.23000000
0.000043210208
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Floating
6.21162000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAY6
935000.00000000
PA
USD
1029944.88000000
0.047945157025
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
9997.26000000
PA
USD
10267.05000000
0.000477943367
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Fixed
5.50000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AV5
705000.00000000
PA
USD
715605.98000000
0.033312308013
Long
DBT
CORP
NL
N
2
2027-04-01
Variable
1.72599840
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CV5
745000.00000000
PA
USD
964819.04000000
0.044913471849
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
477816.49000000
0.022242924924
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
91400.94000000
PA
USD
106841.21000000
0.004973585178
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
26570.64000000
PA
USD
28459.07000000
0.001324803498
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.37500000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBC5
395000.00000000
PA
USD
395777.52000000
0.018423913465
Long
DBT
CORP
FR
Y
2
2027-06-09
Variable
1.79200080
N
N
N
N
N
N
Digital Realty Trust LP
CD4SPTZ3YBTHY0C1AH38
Digital Realty Trust LP
25389JAR7
252000.00000000
PA
USD
282494.41000000
0.013150450193
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
30019.00000000
PA
USD
29676.00000000
0.001381453034
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
2.74028040
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325BR5
200000.00000000
PA
USD
223350.00000000
0.010397207685
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
957855.31000000
0.044589301949
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
989977.52000000
0.046084628963
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
1371825.00000000
0.063860082528
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
339663.02000000
PA
USD
498348.56000000
0.023198717161
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
19.29295440
N
N
N
N
N
N
Hutchison Whampoa International 12 II Ltd.
2549005GEGKY2Q53V676
Hutchison Whampoa International 12 II Ltd.
44842CAB9
539000.00000000
PA
USD
556371.97000000
0.025899775788
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
28838.54000000
PA
USD
33687.11000000
0.001568174967
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
3800000.00000000
PA
USD
4396867.18000000
0.204679387663
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
438768.00000000
0.020425171352
Long
DBT
CORP
FR
N
2
2026-12-02
Fixed
3.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JLW39
98689.30000000
PA
USD
100101.75000000
0.004659855314
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
2.06899920
N
Y
N
N
N
N
Mercury Financial Credit Card Master Trust
N/A
Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A
58940BAA4
2330000.00000000
PA
USD
2338371.46000000
0.108853967829
Long
ABS-O
CORP
US
Y
2
2026-03-20
Fixed
1.54000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBX6
1832000.00000000
PA
USD
2002413.87000000
0.093214743129
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
555000.00000000
PA
USD
561294.88000000
0.026128943093
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
2345000.00000000
PA
USD
2220879.88000000
0.103384595281
Long
DBT
UST
US
N
2
2030-08-15
Fixed
0.62500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust, Series 2021-R1, Class A1
89179TAA2
5912886.60640000
PA
USD
6039008.48000000
0.281123014905
Long
ABS-MBS
CORP
US
Y
2
2060-11-30
Variable
2.91808080
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833BA7
1130000.00000000
PA
USD
1274302.59000000
0.059320298553
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
88065.38000000
PA
USD
2598.55000000
0.000120965587
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
7.01561880
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS
362341LM9
473405.06000000
PA
USD
56152.47000000
0.002613964148
Long
ABS-MBS
CORP
US
Y
3
2035-09-25
Variable
4.22175960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LH1
9795000.00000000
PA
USD
9792368.67000000
0.455846388143
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
77510.20000000
PA
USD
66118.34000000
0.003077887229
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
2063737.40000000
0.096069426261
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
19866.81000000
PA
USD
23093.34000000
0.001075022395
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
271355.89000000
0.012631938862
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LZ1
1500000.00000000
PA
USD
1443924.41000000
0.067216395668
Long
DBT
UST
US
N
2
2026-05-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5G20
1877734.02000000
PA
USD
1972804.44000000
0.091836389007
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
3.38000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 323, Class 300
3132HTZ66
1584704.20000000
PA
USD
1670596.34000000
0.077768243138
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
485291.55000000
0.022590897842
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
3185345.50000000
PA
USD
3571659.42000000
0.166264986659
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Variable
3.22800120
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
743422.31000000
0.034607191201
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
238761.85000000
0.011114647601
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
844421.59000000
0.039308827602
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
98820.64000000
PA
USD
115560.47000000
0.005379477084
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
1165074.10000000
0.054235582656
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
689098.80000000
0.032078367312
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
1511542.12000000
PA
USD
1528578.11000000
0.071157125913
Long
ABS-MBS
USGA
US
N
2
2065-12-20
Floating
0.76287960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403EDC8
87222.60000000
PA
USD
91934.72000000
0.004279670370
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
2.15100000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3481, Class SJ
31397Y4R9
293061.65000000
PA
USD
56186.28000000
0.002615538044
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Floating
5.75449920
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BZ2
485000.00000000
PA
USD
480592.07000000
0.022372131469
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
1221631.94000000
0.056868417260
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.75000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MY4
2145000.00000000
PA
USD
2206227.57000000
0.102702512854
Long
DBT
CORP
US
N
2
2032-05-01
Variable
2.56100040
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9
362341NB1
355463.70000000
PA
USD
370053.00000000
0.017226406516
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
8246000.00000000
PA
USD
9056420.01000000
0.421587104223
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
3158770.83000000
PA
USD
3158770.83000000
0.147044532569
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
866790.77000000
0.040350139490
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
171548.61000000
PA
USD
224595.51000000
0.010455187654
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
660718.24000000
0.030757218547
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
274608.32000000
PA
USD
57967.40000000
0.002698451295
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Floating
6.35450040
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
440000.00000000
PA
USD
425372.13000000
0.019801577699
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
1366805.25000000
PA
USD
348707.28000000
0.016232737906
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
7.06561920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410RP29
54001.68000000
PA
USD
55211.73000000
0.002570171584
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
25361.08000000
PA
USD
29904.33000000
0.001392082067
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
38056.18000000
PA
USD
50147.82000000
0.002334440561
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Floating
13.09566600
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F
57643QAE5
1332529.19380000
PA
USD
708834.24000000
0.032997075476
Long
ABS-MBS
CORP
US
Y
2
2035-05-25
Floating
0.43925040
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3
17307GAV0
9756.61000000
PA
USD
9912.66000000
0.000461446092
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
7.00000000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833EK2
855000.00000000
PA
USD
851265.64000000
0.039627426256
Long
DBT
CORP
US
N
2
2051-08-05
Fixed
2.70000000
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
1982610.56000000
0.092292875536
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
2.51000000
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440CA0
1050000.00000000
PA
USD
1053420.99000000
0.049037997819
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
2.95000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280AM1
700000.00000000
PA
USD
1032365.04000000
0.048057818347
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
50796.01000000
PA
USD
56148.68000000
0.002613787719
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
8330.28000000
PA
USD
12696.91000000
0.000591056235
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Floating
30.13508160
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
2608975.10000000
PA
USD
352363.48000000
0.016402938357
Long
ABS-MBS
CORP
US
N
3
2035-04-25
Floating
4.96074960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-38, Class SK
31359WVD0
1224.45000000
PA
USD
59.39000000
0.000002764675
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
7.96561920
N
N
N
N
N
N
Phillips 66 Partners LP
549300TL5L4IG0H4FX64
Phillips 66 Partners LP
718549AH1
985000.00000000
PA
USD
1036704.99000000
0.048259848172
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
559296.98000000
0.026035938476
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
103687.05000000
PA
USD
120311.29000000
0.005600633396
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
48429.94000000
PA
USD
60298.80000000
0.002806980733
Long
ABS-MBS
USGA
US
N
2
2035-06-17
Floating
16.20361080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296QYC8
67690.58000000
PA
USD
76255.24000000
0.003549771960
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
104358.08000000
PA
USD
105282.34000000
0.004901017929
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Floating
0.63438120
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
18106.53700000
PA
USD
16032.65000000
0.000746338893
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
531883.41000000
0.024759804244
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RV2
260000.00000000
PA
USD
318022.66000000
0.014804332413
Long
DBT
UST
US
N
2
2047-02-15
Fixed
3.00000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAZ4
1000000.00000000
PA
USD
1117853.09000000
0.052037388575
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
VMware, Inc.
549300BUDHS3LRWBE814
VMware, Inc.
928563AE5
550000.00000000
PA
USD
635778.98000000
0.029596266384
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
4.65000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3326, Class JO
31397JJN5
9045.42000000
PA
USD
8449.44000000
0.000393331464
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
None
0.00000000
N
N
N
N
N
N
Two Frn
N/A
Two Frn
N/A
4400000.00000000
PA
USD
4411950.40000000
0.205381529462
Long
ABS-MBS
CORP
US
N
2
2022-03-25
Fixed
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2344, Class ZJ
313399C70
36912.59000000
PA
USD
43505.29000000
0.002025222903
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
30910.77000000
PA
USD
36474.20000000
0.001697917316
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
2275059.65000000
0.105906727903
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
195749.49000000
0.009112371174
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
705766.82000000
0.032854283433
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
885518.05000000
0.041221916609
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
54025.70160000
PA
USD
44976.64000000
0.002093715993
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
385761.85000000
0.017957672135
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
1472272.06000000
PA
USD
1576402.80000000
0.073383422015
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
690438.23000000
PA
USD
100654.99000000
0.004685609292
Long
ABS-MBS
USGA
US
N
2
2035-08-20
Floating
5.50000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8UK8
2816852.85000000
PA
USD
3148461.84000000
0.146564636845
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.17000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBH3
1840000.00000000
PA
USD
1813909.37000000
0.084439634842
Long
DBT
UST
US
N
2
2026-01-31
Fixed
0.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2367, Class ME
31339GK42
69353.99000000
PA
USD
78407.92000000
0.003649981770
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
9135.99000000
PA
USD
9716.43000000
0.000452311352
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
277433.31000000
PA
USD
256224.98000000
0.011927577036
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
76750.10000000
PA
USD
10579.80000000
0.000492502251
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
245.46000000
PA
USD
249.36000000
0.000011608004
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
1119238.54000000
0.052101882917
Long
ABS-MBS
CORP
US
Y
2
2036-02-15
Fixed
3.98510000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAH6
840000.00000000
PA
USD
837845.93000000
0.039002722822
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS12, Class A2A
76110HDT3
41.37000000
PA
USD
0.01000000
0.000000000465
Long
ABS-MBS
CORP
US
N
3
2018-06-25
Floating
7.51561920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2710, Class HB
31394MHQ6
103132.18000000
PA
USD
106001.14000000
0.004934478922
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
1019178.39000000
PA
USD
1110662.26000000
0.051702646900
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
43801.15000000
PA
USD
49320.04000000
0.002295906420
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
17284.38000000
PA
USD
1255.04000000
0.000058423602
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
366047.75000000
0.017039957373
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
76907.66000000
PA
USD
74507.74000000
0.003468423760
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
2402662.05000000
PA
USD
2660091.02000000
0.123830395327
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
2594581.43000000
PA
USD
2928931.91000000
0.136345257954
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
150423.64000000
0.007002399041
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
125923.10000000
PA
USD
116015.82000000
0.005400674167
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
5085315.00000000
0.236727451083
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
1023754.07000000
0.047656967469
Long
DBT
CORP
US
N
2
2026-04-28
Variable
2.18800080
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661EA1
2760000.00000000
PA
USD
2878271.44000000
0.133986952925
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-147, Class SA
31397QW95
900943.00000000
PA
USD
198282.87000000
0.009230303021
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Floating
6.44562000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3404, Class SC
31397PTW0
283439.00000000
PA
USD
56054.60000000
0.002609408184
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Floating
5.90450040
N
N
N
N
N
N
VOLT XCVII LLC
N/A
VOLT XCVII LLC, Series 2021-NPL6, Class A1
91835EAA7
3450162.89000000
PA
USD
3453037.91000000
0.160743014529
Long
ABS-O
CORP
US
Y
2
2051-04-25
Variable
2.23949880
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2U4
865000.00000000
PA
USD
871088.57000000
0.040550207183
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
104260.07000000
PA
USD
104562.59000000
0.004867512712
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Floating
0.54550080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828WJ5
8840000.00000000
PA
USD
9353825.00000000
0.435431659618
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
285299.28900000
PA
USD
75.92000000
0.000003534166
Long
ABS-MBS
CORP
US
Y
3
2043-12-15
Variable
0.29235240
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-28, Class PK
31392CA46
163956.29000000
PA
USD
190861.35000000
0.008884822453
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406H3D7
211328.35000000
PA
USD
219195.83000000
0.010203826139
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
1.75899960
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCZ2
609000.00000000
PA
USD
669026.02000000
0.031143955570
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4HK2
3444507.82000000
PA
USD
3738996.22000000
0.174054713380
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
1116500.00000000
0.051974400629
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
1721381.80000000
0.080132366599
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
439332.59000000
0.020451453687
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.70000000
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
273952.74000000
0.012752825313
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
2.80000000
N
N
N
N
N
N
Kansas City Southern
5493008C12PZMWP3WY03
Kansas City Southern
485170BB9
712000.00000000
PA
USD
888669.07000000
0.041368600332
Long
DBT
CORP
US
N
2
2048-05-01
Fixed
4.70000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJE0
4685000.00000000
PA
USD
4615913.02000000
0.214876231590
Long
DBT
CORP
US
N
2
2041-06-19
Variable
2.67599880
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CV9
815000.00000000
PA
USD
821878.60000000
0.038259424652
Long
DBT
CORP
GB
N
2
2029-08-17
Variable
2.20600080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-71, Class HJ
31398TDU2
187614.80000000
PA
USD
217057.73000000
0.010104295045
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
357207.52000000
0.016628434171
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
5162.07000000
PA
USD
5704.82000000
0.000265566144
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
1129822.60000000
0.052594583477
Long
DBT
CORP
FR
Y
2
2031-01-13
Variable
3.05200080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-71, Class DS
31393EKS7
277152.14000000
PA
USD
308974.03000000
0.014383107943
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
7.33899960
N
N
N
N
N
N
DuPont de Nemours, Inc.
5493004JF0SDFLM8GD76
DuPont de Nemours, Inc.
26078JAE0
980000.00000000
PA
USD
1295353.03000000
0.060300221529
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.31900000
N
N
N
N
N
N
Mitsubishi HC Capital, Inc.
353800MZ3QX9RLMH7B09
Mitsubishi HC Capital, Inc.
60682LAA0
606000.00000000
PA
USD
618584.05000000
0.028795821977
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
516681.89000000
PA
USD
542273.87000000
0.025243492494
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
2318093.06000000
0.107909984232
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
1136858.72000000
0.052922123217
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
625280.38000000
0.029107544089
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
886975.12920000
PA
USD
878578.93000000
0.040898892335
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
5935.56000000
PA
USD
6166.55000000
0.000287060224
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.50000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYA6
2900000.00000000
PA
USD
2910961.86000000
0.135508730790
Long
DBT
CORP
US
N
2
2027-03-09
Variable
1.43100000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAM5
410000.00000000
PA
USD
410672.86000000
0.019117309228
Long
DBT
CORP
GB
N
2
2050-09-02
Fixed
3.55000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGH1
1495000.00000000
PA
USD
1534637.38000000
0.071439192125
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-5, Class Z
31358TPN3
1807.33000000
PA
USD
1858.40000000
0.000086510726
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
8257.55000000
PA
USD
8933.27000000
0.000415854325
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
10.00000080
N
N
N
N
N
N
Nordstrom, Inc.
549300S3IZB5P35KNV16
Nordstrom, Inc.
655664AY6
1243000.00000000
PA
USD
1293737.06000000
0.060224996207
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
4.25000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAF3
945000.00000000
PA
USD
1045360.79000000
0.048662785939
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
601922.41000000
0.028020202852
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
1859262.06000000
0.086550856409
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
8800000.00000000
PA
USD
8187781.27000000
0.381150939534
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
2162753.20000000
0.100678729313
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
0.000015872092
Long
ABS-MBS
CORP
US
N
2
2017-10-25
Floating
16.44629760
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1760, Class ZD
3133T5X32
53861.96000000
PA
USD
54000.32000000
0.002513779010
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
0.75999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-1, Class BI
31396YCX8
223371.90000000
PA
USD
43774.39000000
0.002037749828
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Floating
5.82562080
N
N
N
N
N
N
Jefferies Group LLC
NY9Q8VBNB6D1L6YV0J84
Jefferies Group LLC
472319AE2
749000.00000000
PA
USD
935685.82000000
0.043557285868
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
432496.44000000
0.020133222788
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
137780.66000000
PA
USD
155606.05000000
0.007243646379
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
342221.65000000
PA
USD
392721.96000000
0.018281673519
Long
ABS-MBS
USGA
US
N
2
2037-02-20
Variable
5.88368160
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAH3
3945000.00000000
PA
USD
4863367.64000000
0.226395537956
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABD6
2275000.00000000
PA
USD
2517901.75000000
0.117211315986
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2353, Class AZ
3133TUYS1
227334.40000000
PA
USD
254693.03000000
0.011856262945
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A
31393LFM0
268440.29000000
PA
USD
324388.62000000
0.015100675410
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
148310.78900000
PA
USD
142068.88000000
0.006613475043
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
2.24476920
N
N
N
N
N
N
Goodgreen
N/A
Goodgreen, Series 2019-2A, Class A
38218EAA5
1945246.04000000
PA
USD
1999875.16000000
0.093096563165
Long
ABS-O
CORP
KY
Y
2
2055-04-15
Fixed
2.76000000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-27, Class SA
31358TRH4
1282.80000000
PA
USD
1424.28000000
0.000066301925
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
891038.22000000
0.041478887077
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
1989.96000000
PA
USD
1936.58000000
0.000090150098
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
557480.69000000
0.025951388020
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
678163.39000000
0.031569310993
Long
ABS-MBS
CORP
US
Y
2
2031-03-11
Fixed
3.26000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UB56
94132.20000000
PA
USD
100615.16000000
0.004683755159
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
2.35699920
N
Y
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2019-1, Class B
12326QAB0
2373702.58000000
PA
USD
2389662.41000000
0.111241622450
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
855671.78000000
PA
USD
601193.97000000
0.027986293105
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
793574.14000000
PA
USD
871350.04000000
0.040562378922
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
4.00000000
N
N
N
N
N
N
Macquarie Bank Ltd.
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
556079AD3
575000.00000000
PA
USD
578150.34000000
0.026913584769
Long
DBT
CORP
AU
Y
2
2036-03-03
Variable
3.05200080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-44, Class GO
31395NBG1
253120.41000000
PA
USD
237529.61000000
0.011057285366
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
1563191.88000000
0.072768438003
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
227109.32000000
PA
USD
264412.78000000
0.012308728848
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
8888254.16000000
0.413758784241
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
419935.13000000
0.019548478893
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
796916.69000000
0.037097418104
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
0.000010706307
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
378863.53000000
0.017636547149
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Fixed
2.77000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5RM4
1656372.64000000
PA
USD
1847119.22000000
0.085985592789
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
232257.28000000
0.010811852144
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
153949.40000000
PA
USD
28987.22000000
0.001349389507
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Floating
7.11561960
N
N
N
N
N
N
Eaton Corp.
0NZWDMRCE180888QQE14
Eaton Corp.
278062AD6
170000.00000000
PA
USD
200003.23000000
0.009310387821
Long
DBT
CORP
US
N
2
2032-11-02
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5EA4
1442166.67000000
PA
USD
1520348.49000000
0.070774027331
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
2179328.65000000
0.101450336191
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
697255.11000000
PA
USD
809973.44000000
0.037705225319
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
2389059.63000000
PA
USD
2433919.00000000
0.113301819260
Long
ABS-O
CORP
US
Y
2
2026-10-15
Fixed
2.61000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-79, Class OK
38376CXX2
95802.64000000
PA
USD
90737.47000000
0.004223936961
Long
ABS-MBS
USGA
US
N
2
2037-11-16
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3194, Class SA
31396UD64
28437.64000000
PA
USD
5847.16000000
0.000272192240
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Floating
7.00449840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 351, Class 7
3136FCHW9
147128.34000000
PA
USD
18230.58000000
0.000848655144
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
1210155.82000000
0.056334190248
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
995822.98000000
0.046356742067
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2224, Class CB
3133TNK45
18305.06000000
PA
USD
21740.89000000
0.001012064242
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
202077.89000000
PA
USD
18207.30000000
0.000847571432
Long
ABS-MBS
USGA
US
N
2
2039-02-16
Floating
6.00450120
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
1490000.00000000
PA
USD
1692760.38000000
0.078800005516
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
513750.27000000
PA
USD
593597.17000000
0.027632653046
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
349246.79000000
0.016257852737
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
621688.72000000
PA
USD
583544.14000000
0.027164672563
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
33718.51000000
PA
USD
42437.49000000
0.001975515545
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
13.51062360
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391REW8
10969.77000000
PA
USD
12354.43000000
0.000575113385
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
8443.74000000
PA
USD
8669.23000000
0.000403562949
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
99093.75000000
PA
USD
17041.15000000
0.000793285765
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
325821.75000000
PA
USD
328111.14000000
0.015273963135
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
657770.35000000
0.030619990768
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
164276.83000000
0.007647281483
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
3306828.21220000
PA
USD
3636798.08000000
0.169297268622
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
277277.01000000
0.012907574028
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
1740.84000000
PA
USD
1931.54000000
0.000089915480
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
2359.08000000
PA
USD
2599.09000000
0.000120990725
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
26.26979760
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAM6
129000.00000000
PA
USD
156384.13000000
0.007279866927
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
280780.00000000
0.013070642372
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
340719.97000000
0.015860919142
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
1736.59000000
PA
USD
1768.57000000
0.000082329033
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
1918791.53000000
PA
USD
1937977.91000000
0.090215172686
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
499660.30000000
0.023259780215
Long
DBT
CORP
LU
N
2
2028-04-15
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8AZ7
3355843.13000000
PA
USD
3679540.81000000
0.171286993452
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
131598.54000000
PA
USD
20192.57000000
0.000939988108
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Floating
7.51161960
N
N
N
N
N
N
BNZ International Funding Ltd.
549300HVMZ89HDMELW08
BNZ International Funding Ltd.
05579HAH5
632000.00000000
PA
USD
649587.91000000
0.030239088471
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
574441.35000000
PA
USD
581155.08000000
0.027053458983
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
0.82437840
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-26CB, Class A9
02147WAJ8
901684.20760000
PA
USD
640756.45000000
0.029827973522
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
41740.72000000
PA
USD
49228.56000000
0.002291647917
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2003-90
38374CUL3
25841.08000000
PA
USD
25286.86000000
0.001177133356
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
23828.57000000
PA
USD
24301.22000000
0.001131250644
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
1.29549960
N
N
N
N
N
N
Gray Oak Pipeline LLC
N/A
Gray Oak Pipeline LLC
38937LAA9
535000.00000000
PA
USD
545294.12000000
0.025384088717
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
289986.58000000
PA
USD
321295.71000000
0.014956696777
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31403QVP2
66504.44000000
PA
USD
74937.49000000
0.003488429133
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
683007.30000000
PA
USD
688290.29000000
0.032040730211
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
63652.12000000
PA
USD
73208.37000000
0.003407936544
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.50000000
N
N
N
N
N
N
AutoZone, Inc.
GA3JGKJ41LJKXDN23E90
AutoZone, Inc.
053332BA9
690000.00000000
PA
USD
663514.76000000
0.030887399874
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
730654.04000000
0.034012813073
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.21100000
N
N
N
N
N
N
Microchip Technology, Inc.
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017AX2
1400000.00000000
PA
USD
1398888.65000000
0.065119927568
Long
DBT
CORP
US
Y
2
2024-09-01
Fixed
0.98300000
N
N
N
N
N
N
Lennar Corp.
529900G61XVRLX5TJX09
Lennar Corp.
526057BZ6
365000.00000000
PA
USD
396583.45000000
0.018461430464
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
75193.92000000
PA
USD
89356.12000000
0.004159633479
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
511772.10000000
0.023823598885
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
8556.75000000
PA
USD
6836.75000000
0.000318258829
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
96828.36000000
PA
USD
113504.91000000
0.005283788325
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
366057.10000000
0.017040392627
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
2280255.59000000
0.106148605079
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
151107.39000000
PA
USD
172666.14000000
0.008037813824
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.00000000
N
N
N
N
N
N
Exxon Mobil Corp.
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp.
30231GAN2
1215000.00000000
PA
USD
1350973.93000000
0.062889440463
Long
DBT
CORP
US
N
2
2045-03-06
Fixed
3.56700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3171, Class MO
31396TUG6
28064.85000000
PA
USD
27239.02000000
0.001268008722
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
434879.68000000
0.020244165440
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
67112.56000000
PA
USD
62713.37000000
0.002919381833
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
96996.10000000
PA
USD
10598.01000000
0.000493349948
Long
ABS-MBS
USGA
US
N
2
2033-02-20
Floating
7.61162040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410DVM9
17271.49000000
PA
USD
18857.20000000
0.000877825049
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
5072851.55000000
0.236147262688
Long
DBT
UST
US
N
2
2022-07-15
Fixed
1.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H31, Class FD
38375BD74
857964.16000000
PA
USD
858369.29000000
0.039958109598
Long
ABS-MBS
USGA
US
N
2
2062-12-20
Floating
0.44287920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YX48
95511.64000000
PA
USD
96055.59000000
0.004471501762
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
2.04699960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2
31393XGQ4
161295.61000000
PA
USD
189296.95000000
0.008811997776
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
3214.85000000
PA
USD
3255.93000000
0.000151567407
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
552297.04000000
PA
USD
74290.41000000
0.003458306791
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Floating
6.51161880
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBK5
324000.00000000
PA
USD
313954.75000000
0.014614966373
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.95000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KQEA2
1342393.38000000
PA
USD
1489006.89000000
0.069315038638
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
788732.59000000
0.036716438532
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
4.75000000
N
N
N
N
N
N
FirstKey Homes Trust
N/A
FirstKey Homes Trust, Series 2021-SFR1, Class D
33767WAG8
4000000.00000000
PA
USD
4013021.60000000
0.186810920171
Long
ABS-O
CORP
US
Y
3
2038-08-17
Fixed
2.18900000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCZ5
400000.00000000
PA
USD
521675.52000000
0.024284614845
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
467022.15000000
0.021740435581
Long
DBT
CORP
US
N
2
2042-09-01
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138EPR30
3377697.57000000
PA
USD
3750069.07000000
0.174570167694
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
10000000.00000000
PA
USD
9868359.40000000
0.459383846849
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
86556.32000000
PA
USD
114039.64000000
0.005308680642
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
15.90900120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1518, Class G
312915YY1
5880.50000000
PA
USD
6173.59000000
0.000287387944
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Floating
8.84900160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3134
31396J5T8
33906.25000000
PA
USD
32339.53000000
0.001505443518
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
210143.50000000
PA
USD
39620.60000000
0.001844385971
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
6.14562120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 374, Class 5
3136FCZ82
103163.13000000
PA
USD
18252.74000000
0.000849686718
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
449385.69000000
PA
USD
67968.55000000
0.003164016702
Long
ABS-MBS
USGA
US
N
2
2034-10-20
Floating
6.01161840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M10, Class A2
3136B2HA3
3335000.00000000
PA
USD
3762767.44000000
0.175161291894
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
3.48199920
N
N
N
N
N
N
Boston Scientific Corp.
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp.
101137AX5
535000.00000000
PA
USD
612188.32000000
0.028498093151
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
13846454.14000000
0.644568880219
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
126652.13000000
PA
USD
142524.40000000
0.006634680040
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
3655285.23000000
0.170157867404
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
2064545.45000000
PA
USD
2043900.00000000
0.095145971738
Long
ABS-MBS
USGA
US
N
3
2021-12-22
Fixed
5.08000128
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2313, Class LA
3133TTK67
32276.19000000
PA
USD
36788.94000000
0.001712568836
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
8465156.09000000
PA
USD
9308892.59000000
0.433340002584
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
2890.23000000
PA
USD
3010.64000000
0.000140148866
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
158341.92000000
PA
USD
176761.84000000
0.008228473522
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
49046.90000000
PA
USD
45569.51000000
0.002121314795
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
95326.73000000
0.004437572463
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
832551.86000000
0.038756277578
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
2701.14000000
PA
USD
2954.13000000
0.000137518258
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
6642.60000000
PA
USD
8843.85000000
0.000411691717
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Floating
17.26925040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-40, Class SB
38375KA77
563345.46000000
PA
USD
103575.46000000
0.004821560638
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
6.66162000
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
228134.10000000
PA
USD
231133.70000000
0.010759548161
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Variable
6.70454640
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
911596AL8
1277000.00000000
PA
USD
1638780.71000000
0.076287187787
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
7.50000000
N
N
N
N
N
N
Bunge Ltd. Finance Corp.
549300QHC068L40NNM71
Bunge Ltd. Finance Corp.
120568BC3
1565000.00000000
PA
USD
1607156.26000000
0.074815032092
Long
DBT
CORP
US
N
2
2031-05-14
Fixed
2.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617K1Y72
3173073.68000000
PA
USD
3412457.91000000
0.158853967348
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202C5G4
1373.62000000
PA
USD
1379.57000000
0.000064220621
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
8331.67000000
PA
USD
8710.62000000
0.000405489703
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
14.03124120
N
N
N
N
N
N
Intact US Holdings, Inc.
N/A
Intact US Holdings, Inc.
68245JAB6
500000.00000000
PA
USD
521739.30000000
0.024287583880
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
63381.07000000
PA
USD
57629.43000000
0.002682718390
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
246495.09000000
PA
USD
290742.54000000
0.013534410437
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
339462.88000000
0.015802400110
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
112145.07000000
PA
USD
133552.76000000
0.006217039546
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
548941.00000000
0.025553855311
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
2765019.74000000
PA
USD
2912353.04000000
0.135573491871
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
1057307.86000000
0.049218936232
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
1458489.50000000
0.067894417900
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
1076794.86000000
PA
USD
1194750.64000000
0.055617060828
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
100052.02000000
PA
USD
103462.41000000
0.004816298027
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
222843.05000000
0.010373608560
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
56265.22370000
PA
USD
42049.29000000
0.001957444374
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
13193300.00000000
PA
USD
14075601.94000000
0.655235982378
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
9413.07000000
PA
USD
1593.73000000
0.000074190023
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
98758.13000000
PA
USD
100709.95000000
0.004688167746
Long
ABS-MBS
CORP
US
N
2
2043-09-25
Floating
0.72438120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-84, Class XM
31394FN50
844311.74000000
PA
USD
954846.92000000
0.044449257823
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
148937.96000000
PA
USD
138012.33000000
0.006424637824
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418A3V8
2068234.95000000
PA
USD
2314482.85000000
0.107741924670
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
362830.95000000
0.016890211514
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
110185.06290000
PA
USD
107706.34000000
0.005013858007
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
201600.00000000
0.009384719361
Long
DBT
NUSS
SA
Y
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAJ2
840000.00000000
PA
USD
842054.42000000
0.039198633028
Long
DBT
CORP
GB
N
2
2027-09-02
Fixed
1.75000000
N
N
N
N
N
N
City of Los Angeles Department of Airports
N/A
City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer, Series 2009C
544435C32
440000.00000000
PA
USD
596563.48000000
0.027770738298
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
52822.38000000
PA
USD
60299.07000000
0.002806993302
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
4529880.49000000
0.210871315171
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
219309.14000000
PA
USD
219581.28000000
0.010221769294
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
790.15000000
PA
USD
855.30000000
0.000039815230
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
7316484.45000000
0.340591038066
Long
ABS-O
CORP
US
Y
2
2030-06-17
Fixed
1.64000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-72, Class IE
31393DXG1
229836.90000000
PA
USD
37531.93000000
0.001747155903
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
13435000.00000000
PA
USD
18090542.42000000
0.842136228692
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
492964.93000000
0.022948102792
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
371444.29000000
0.017291172718
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
1213.41000000
PA
USD
1212.90000000
0.000056461935
Long
ABS-MBS
USGA
US
N
2
2060-08-20
Floating
0.40287960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L74C7
2673722.34000000
PA
USD
2937777.93000000
0.136757050687
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.14000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-1CB, Class 1A6
12667F2M6
491940.64000000
PA
USD
75261.95000000
0.003503533131
Long
ABS-MBS
CORP
US
N
3
2035-03-25
Floating
7.01561880
N
N
N
N
N
N
Assurant, Inc.
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621XAH1
660000.00000000
PA
USD
705527.54000000
0.032843144665
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
214723.04000000
PA
USD
33233.31000000
0.001547050038
Long
ABS-MBS
USGSE
US
N
2
2039-02-15
Floating
5.90450040
N
N
N
N
N
N
Aviation Capital Group LLC
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
490000.00000000
PA
USD
512531.31000000
0.023858941012
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
220072.65000000
PA
USD
259945.00000000
0.012100748384
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
355893.15000000
PA
USD
64628.38000000
0.003008527822
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Trust
N/A
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class XW
50180CAU4
891796.76000000
PA
USD
129.22000000
0.000006015344
Long
ABS-MBS
CORP
US
Y
3
2038-11-15
Variable
0.60022080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A
31392MEN8
246497.21000000
PA
USD
276491.51000000
0.012871008071
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Variable
4.99509360
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617LNSC9
4798363.72000000
PA
USD
5019215.51000000
0.233650441343
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
149526.87000000
0.006960653332
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
191633.76000000
0.008920779056
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
245395.60000000
PA
USD
44943.32000000
0.002092164907
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Lundin Energy Finance BV
549300JSNI1KL271GM17
Lundin Energy Finance BV
55037AAA6
497000.00000000
PA
USD
500862.53000000
0.023315745449
Long
DBT
CORP
NL
Y
2
2026-07-15
Fixed
2.00000000
N
N
N
N
N
N
CRH America, Inc.
549300RN11MJ182CNF63
CRH America, Inc.
12626PAN3
893000.00000000
PA
USD
1183068.52000000
0.055073244272
Long
DBT
CORP
US
Y
2
2045-05-18
Fixed
5.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31287UNA6
17812.92000000
PA
USD
19971.54000000
0.000929698899
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
978449.12000000
0.045547968256
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M50, Class A2
3136BCGS3
1325000.00000000
PA
USD
1319541.66000000
0.061426230975
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
611892.50000000
0.028484322379
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
742834.68000000
0.034579836327
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
12933.81000000
PA
USD
14768.96000000
0.000687512623
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
480109.54000000
0.022349669124
Long
DBT
CORP
US
Y
2
2023-05-30
Fixed
4.12500000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust, Series 2021-OVA, Class A
78449RAA3
3935000.00000000
PA
USD
4138875.89000000
0.192669586798
Long
ABS-MBS
CORP
US
Y
2
2041-07-15
Fixed
2.58540000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402HGD7
202970.58000000
PA
USD
230403.90000000
0.010725575105
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
2120728.91000000
0.098722448718
Long
DBT
CORP
DK
Y
2
2023-12-08
Variable
1.17100080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXQS4
3905042.16000000
PA
USD
4251476.61000000
0.197911284006
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
779948.16000000
PA
USD
777885.67000000
0.036211501528
Long
ABS-O
CORP
US
Y
2
2044-12-26
Floating
0.88437960
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York and New Jersey, Consolidated, Series 165
73358WCX0
440000.00000000
PA
USD
630927.62000000
0.029370429816
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
624665.88000000
0.029078938384
Long
DBT
CORP
US
N
2
2032-08-01
Fixed
2.10000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1
5899292M9
454227.18000000
PA
USD
456981.07000000
0.021273011385
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
0.72438120
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJX1
2340000.00000000
PA
USD
2440994.40000000
0.113631187531
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
503469.50000000
PA
USD
601767.54000000
0.028012993470
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
1214853.65000000
PA
USD
1284986.79000000
0.059817660749
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
400727.20000000
0.018654326946
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
996501.68000000
0.046388336358
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
4776907.95000000
PA
USD
4902301.78000000
0.228207968399
Long
ABS-O
USGA
US
N
3
2023-12-05
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-130, Class CA
3136A2B85
535918.59000000
PA
USD
627762.28000000
0.029223079481
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
2544818.25000000
0.118464311019
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
1852768.44000000
0.086248570688
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
356457.56000000
0.016593522642
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
22734.56480000
PA
USD
22608.12000000
0.001052434828
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
152370.97000000
0.007093049564
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
0.000005867777
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
620235.72000000
0.028872709176
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403JD45
1232.70000000
PA
USD
1234.44000000
0.000057464647
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Variable
2.27700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHY72
67563.34000000
PA
USD
71392.12000000
0.003323387950
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
1.96499880
N
Y
N
N
N
N
Baltimore Gas and Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co.
059165EM8
450000.00000000
PA
USD
457605.40000000
0.021302074688
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
33227.87000000
PA
USD
36361.65000000
0.001692677979
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
65168.70000000
PA
USD
221.21000000
0.000010297588
Long
ABS-MBS
USGA
US
N
2
2031-08-16
Floating
8.15450040
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AT5
1360000.00000000
PA
USD
1338007.55000000
0.062285840079
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
152170.90000000
0.007083736068
Long
DBT
CORP
US
N
2
2022-06-23
Fixed
3.60000000
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAQ8
930000.00000000
PA
USD
933089.02000000
0.043436401744
Long
DBT
CORP
GB
N
2
2027-06-14
Variable
1.67299920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-35, Class E
31358PHT7
1589.48000000
PA
USD
1621.00000000
0.000075459474
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
1377055.37000000
PA
USD
1587791.94000000
0.073913600004
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
59459.11000000
PA
USD
61856.70000000
0.002879502827
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Variable
5.09058360
N
N
N
N
N
N
ACC
N/A
ACC
N/A
2367240.68000000
PA
USD
2367240.68000000
0.110197864297
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
3812.36800000
PA
USD
3782.51000000
0.000176080331
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
406413.42000000
PA
USD
409759.71000000
0.019074801011
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
1262892.32000000
PA
USD
1270188.18000000
0.059128767883
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
144588.34000000
PA
USD
144882.62000000
0.006744457981
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
2711947.47000000
0.126244374644
Long
ABS-MBS
CORP
US
Y
3
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
NRZ Excess Spread-Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A
62955MAB2
7118380.46000000
PA
USD
7085287.11000000
0.329828527386
Long
ABS-O
CORP
US
Y
2
2026-07-25
Fixed
3.10400000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BV0
190000.00000000
PA
USD
251002.42000000
0.011684460668
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
38462.61000000
PA
USD
45468.90000000
0.002116631280
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
628825.09000000
0.029272554548
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
878596.90000000
0.040899728859
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
78011.90000000
PA
USD
92224.76000000
0.004293172077
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
257051.00000000
PA
USD
52468.38000000
0.002442465385
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.50000000
N
N
N
N
N
N
Consumer Receivables Asset Investment Trust
N/A
Consumer Receivables Asset Investment Trust, Series 2021-1, Class A1X
21056K104
2810000.00000000
PA
USD
2810112.40000000
0.130814068688
Long
ABS-O
CORP
US
Y
2
2023-03-24
Floating
3.12924960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class MY
3139205U0
177632.98000000
PA
USD
211184.12000000
0.009830871526
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4F73
2150824.38000000
PA
USD
2228019.92000000
0.103716972621
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
3.02000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBZ7
1155000.00000000
PA
USD
1234306.39000000
0.057458427956
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65000000
N
N
N
N
N
N
Volkswagen Group of America Finance LLC
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BN1
705000.00000000
PA
USD
703896.05000000
0.032767196868
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
478372.54000000
0.022268809712
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
2617684.99000000
PA
USD
2695650.38000000
0.125485725755
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
535885.35000000
0.024946099303
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
491935.00000000
0.022900158328
Long
DBT
CORP
US
N
2
2036-11-30
Fixed
4.75000000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2021-1A, Class A
12327BAA4
2159587.50000000
PA
USD
2174164.50000000
0.101209938877
Long
ABS-O
CORP
US
Y
2
2036-04-15
Fixed
2.16200000
N
N
N
N
N
N
NRZ Excess Spread-Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A
433674AA6
1662972.91000000
PA
USD
1680569.66000000
0.078232513026
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
68740.49000000
PA
USD
70557.49000000
0.003284534932
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
29378.48000000
PA
USD
33080.92000000
0.001539956103
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
24131.53000000
PA
USD
25220.65000000
0.001174051202
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.58738840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class GZ
31392KPH3
61562.96000000
PA
USD
73614.57000000
0.003426845636
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
511122.42000000
0.023793355510
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
501588.24000000
PA
USD
502960.79000000
0.023413421943
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.62974240
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1570, Class F
3133T0PQ1
582.57000000
PA
USD
588.96000000
0.000027416787
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
Floating
1.78200000
N
N
N
N
N
N
Exelon Generation Co. LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co. LLC
30161MAJ2
235000.00000000
PA
USD
281731.16000000
0.013114919999
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
5.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-33, Class CI
38374UKD2
91735.13000000
PA
USD
12086.01000000
0.000562618115
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
572864.40000000
0.026667517986
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
69095.75000000
PA
USD
72373.03000000
0.003369050475
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QSZC3
10916.80000000
PA
USD
10987.77000000
0.000511493739
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
4488441.08000000
0.208942261434
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
13309.30000000
PA
USD
14870.53000000
0.000692240827
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
334881.95000000
PA
USD
52847.45000000
0.002460111543
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
6.66162000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DYY1
70707.52000000
PA
USD
78165.76000000
0.003638708934
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
100462.17000000
PA
USD
100767.29000000
0.004690836991
Long
ABS-MBS
CORP
US
N
2
2034-04-21
Variable
2.66210280
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-27, Class SN
31396Y4G4
114900.00000000
PA
USD
20462.30000000
0.000952544360
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Floating
6.81562080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L74J2
2428981.93000000
PA
USD
2608577.28000000
0.121432369568
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
2126.29000000
PA
USD
2190.88000000
0.000101988065
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
509114.37000000
PA
USD
546743.93000000
0.025451579094
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
1741270.81000000
PA
USD
308977.19000000
0.014383255045
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
6.30450000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29364DAU4
175000.00000000
PA
USD
192439.17000000
0.008958271848
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K052, Class A2
3137BMTX4
3560000.00000000
PA
USD
3878034.02000000
0.180527088050
Long
ABS-MBS
USGSE
US
N
2
2025-11-25
Fixed
3.15100000
N
N
N
N
N
N
American Campus Communities Operating Partnership LP
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AD0
500000.00000000
PA
USD
547408.04000000
0.025482494203
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
1692657.87000000
0.078795233554
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
489057.73000000
0.022766217993
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
190971.89000000
PA
USD
33401.79000000
0.001554892982
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
540034.98000000
0.025139269506
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
1225407.30000000
0.057044164750
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
127214.14000000
PA
USD
148005.42000000
0.006889828028
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Mortgage Trust
N/A
JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1
466247K51
184418.17000000
PA
USD
193840.89000000
0.009023523578
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
2.22751440
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
159208.88000000
PA
USD
164683.96000000
0.007666233868
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
2.37784680
N
N
N
N
N
N
Starbucks Corp.
OQSJ1DU9TAOC51A47K68
Starbucks Corp.
855244AZ2
780000.00000000
PA
USD
814571.96000000
0.037919291885
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.55000000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AU9
430000.00000000
PA
USD
430042.39000000
0.020018983847
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.62500000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AW9
665000.00000000
PA
USD
665577.83000000
0.030983438232
Long
DBT
CORP
IT
Y
2
2027-06-03
Variable
1.98200160
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCQ5
1895000.00000000
PA
USD
2281397.66000000
0.106201769794
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
82287.82000000
PA
USD
65898.72000000
0.003067663658
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
82637.74000000
PA
USD
90518.31000000
0.004213734803
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
2796329.26000000
PA
USD
2898129.07000000
0.134911349179
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
1526284.98000000
0.071050377988
Long
DBT
UST
US
N
2
2026-08-15
None
0.00000000
N
N
N
N
N
N
Northwestern Mutual Global Funding
635400LZXFVELZDVP257
Northwestern Mutual Global Funding
66815L2D0
795000.00000000
PA
USD
812671.78000000
0.037830836250
Long
DBT
CORP
US
Y
2
2028-06-01
Fixed
1.70000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR3, Class A
02665XAA7
2632699.93000000
PA
USD
2789525.13000000
0.129855706826
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
1363681.72000000
PA
USD
1550421.84000000
0.072173977479
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Variable
4.88493000
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
11078.32000000
PA
USD
12.19000000
0.000000567458
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
378910.26000000
0.017638722486
Long
DBT
CORP
CA
N
2
2028-01-25
Fixed
3.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KQD96
402532.80000000
PA
USD
438550.84000000
0.020415062296
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
262195.36000000
0.012205505314
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
515528.80000000
0.023998477731
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
594249.88000000
0.027663037471
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
10589.76000000
PA
USD
11173.52000000
0.000520140622
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918CF9
268000.00000000
PA
USD
290851.93000000
0.013539502672
Long
DBT
CORP
US
N
2
2062-03-17
Fixed
3.04100000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LS7
20600000.00000000
PA
USD
20345752.12000000
0.947118917855
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
549845.62000000
0.025595966446
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
460942.30000000
0.021457411345
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
343238.48000000
0.015978158773
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
1048.48900000
PA
USD
1046.79000000
0.000048729317
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
3001203.55000000
0.139709588604
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
440824.09000000
PA
USD
508449.94000000
0.023668948393
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
763.31000000
PA
USD
752.69000000
0.000035038613
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
0.41000040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-42, Class AO
31396VM96
19359.51000000
PA
USD
17938.47000000
0.000835057076
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
297686.38000000
0.013857654434
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
222381.49000000
0.010352122394
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
540167.97000000
PA
USD
552961.79000000
0.025741027860
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
32424.10000000
PA
USD
33886.78000000
0.001577469843
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
141843.51000000
PA
USD
138753.56000000
0.006459142961
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
2.81267640
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2351, Class PZ
313399HV2
30697.88000000
PA
USD
35245.83000000
0.001640735234
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGK4
1060000.00000000
PA
USD
1135672.87000000
0.052866920491
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
Corning, Inc.
549300X2937PB0CJ7I56
Corning, Inc.
219350BP9
1043000.00000000
PA
USD
1202394.15000000
0.055972875294
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
780802.34000000
PA
USD
133199.41000000
0.006200590684
Long
ABS-MBS
CORP
US
N
3
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
Tyson Foods, Inc.
WD6L6041MNRW1JE49D58
Tyson Foods, Inc.
902494AY9
210000.00000000
PA
USD
278560.76000000
0.012967334115
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
80709.30000000
PA
USD
13541.76000000
0.000630385006
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
6.11561880
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967AR2
250000.00000000
PA
USD
323868.44000000
0.015076460413
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381RTA2
2496828.84000000
PA
USD
2811707.80000000
0.130888336452
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
171463.89000000
PA
USD
161719.55000000
0.007528237063
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0.00000000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAF0
513000.00000000
PA
USD
663163.30000000
0.030871038993
Long
DBT
CORP
NL
Y
2
2045-05-27
Fixed
4.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SW9
6600000.00000000
PA
USD
6650531.25000000
0.309590125914
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
116875.20000000
PA
USD
24660.01000000
0.001147952744
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
33278.74000000
PA
USD
33605.31000000
0.001564367080
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
0.53550000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3074, Class BH
31396FM83
212340.76000000
PA
USD
233020.67000000
0.010847388855
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
2060.36000000
PA
USD
2106.03000000
0.000098038197
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Floating
4.62724920
N
N
N
N
N
N
2021-09-30
JPMorgan Institutional Trust
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer