0001752724-22-093856.txt : 20220427
0001752724-22-093856.hdr.sgml : 20220427
20220427104339
ACCESSION NUMBER: 0001752724-22-093856
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220228
FILED AS OF DATE: 20220427
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: 22857248
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
2022-02-28
N
2150713620.66
76803925.57
2073909695.09
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
4182228.90000000
0.00000000
0.00000000
0.00000000
USD
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810FD5
799000.00000000
PA
USD
1792927.82000000
0.086451585825
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
178386.12000000
PA
USD
16708.61000000
0.000805657548
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Floating
5.53829040
N
N
N
N
N
N
BOC Aviation Ltd.
254900H06V5RMEB3KE72
BOC Aviation Ltd.
09681LAJ9
310000.00000000
PA
USD
317508.20000000
0.015309644424
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
500204.70000000
0.024118923846
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AU3
905000.00000000
PA
USD
864659.17000000
0.041692228550
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
1819117.83000000
0.087714418535
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
1722254.69000000
PA
USD
1833132.76000000
0.088390191932
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
483817.47000000
PA
USD
59535.19000000
0.002870674173
Long
ABS-MBS
CORP
US
N
3
2035-12-25
Floating
4.91313960
N
N
N
N
N
N
Potomac Electric Power Co.
549300BXF2DWUNN57U06
Potomac Electric Power Co.
737679DB3
1085000.00000000
PA
USD
1473951.31000000
0.071071142272
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
838977.35000000
0.040453899800
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
792787.02000000
PA
USD
784116.39000000
0.037808608149
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
290426.45000000
PA
USD
307099.83000000
0.014807772523
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
1619.45000000
PA
USD
1703.78000000
0.000082153046
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
28.77437520
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
89153VAU3
815000.00000000
PA
USD
791103.15000000
0.038145496492
Long
DBT
CORP
FR
N
2
2049-07-12
Fixed
3.46100000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JRE51
49731.62000000
PA
USD
49675.52000000
0.002395259548
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Variable
2.69300160
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVYM0
4519075.37000000
PA
USD
4550351.94000000
0.219409357638
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
51725.99000000
PA
USD
60627.75000000
0.002923355348
Long
ABS-MBS
USGSE
US
N
2
2033-09-25
Floating
12.18856680
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LLL7
51936.10000000
PA
USD
54185.89000000
0.002612741052
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
2.35000080
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-53, Class NC
31394ABD7
13506.68000000
PA
USD
13809.18000000
0.000665852521
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
800304.13000000
PA
USD
785011.76000000
0.037851781196
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
310135.42000000
0.014954142927
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
3655735.60000000
PA
USD
3682537.26000000
0.177564976368
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
563316.26000000
0.027162043811
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
4634794.35000000
0.223481010816
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
9942.45000000
PA
USD
9971.57000000
0.000480810231
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
96208.44000000
PA
USD
97593.01000000
0.004705750218
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
2.51603280
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJV9
65454.93000000
PA
USD
65742.45000000
0.003169976501
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
1.66700160
N
N
N
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAZ7
505000.00000000
PA
USD
496744.12000000
0.023952061228
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
16123.46000000
PA
USD
17561.94000000
0.000846803505
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
1050975.14000000
0.050676031964
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QM6G4
3970821.48000000
PA
USD
4038931.11000000
0.194749613233
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LQ1
11355000.00000000
PA
USD
11037216.36000000
0.532193681630
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
761910.84000000
PA
USD
690974.20000000
0.033317468047
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844BV9
600000.00000000
PA
USD
636733.49000000
0.030702083678
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
893588.39000000
0.043087140781
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
164271.15000000
PA
USD
170834.31000000
0.008237307072
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
959045.60000000
0.046243363550
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
907540.55000000
0.043759887527
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
3085128.30000000
0.148759047093
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
311330.74000000
PA
USD
307789.35000000
0.014841019873
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
860667.36000000
0.041499751027
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
1276544.27000000
0.061552548455
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
3368795.81000000
PA
USD
3383067.71000000
0.163125121504
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
480208.23000000
0.023154731912
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
339819.26000000
0.016385441507
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
1265000.00000000
PA
USD
1142164.97000000
0.055073032963
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
5067293.46000000
PA
USD
5026438.41000000
0.242365346085
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
1996.73000000
PA
USD
2077.71000000
0.000100183243
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
12.72700080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class SW
31392KMK9
52414.27000000
PA
USD
7569.51000000
0.000364987444
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
7.80886080
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAA8
500000.00000000
PA
USD
520360.76000000
0.025090810908
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
3786016.42000000
PA
USD
3718596.18000000
0.179303669239
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
32277.24000000
PA
USD
33119.08000000
0.001596939349
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
80962570.24700000
NS
USD
80986859.02000000
3.905033049979
Long
STIV
RF
US
N
1
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AN5
470000.00000000
PA
USD
404029.55000000
0.019481540153
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
252449.00000000
0.012172612944
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
2155037.62000000
0.103911834980
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
595896.71000000
PA
USD
651524.84000000
0.031415294578
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
612914.38000000
PA
USD
613288.44000000
0.029571607744
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Floating
0.55125000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-111, Class EO
31396LSR2
33313.64000000
PA
USD
29758.03000000
0.001434875880
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAW0
800000.00000000
PA
USD
764970.17000000
0.036885413661
Long
DBT
CORP
NL
Y
2
2029-12-13
Variable
2.46999960
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFT6
988000.00000000
PA
USD
857326.18000000
0.041338645652
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
672534.46000000
0.032428338687
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128HDR92
4471.32000000
PA
USD
4465.48000000
0.000215316993
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
557263.38000000
0.026870185395
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
186244.16000000
PA
USD
167659.02000000
0.008084200599
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
27162.45000000
PA
USD
30621.49000000
0.001476510287
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
817433.10000000
PA
USD
5287.40000000
0.000254948420
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Variable
0.24999840
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404YDK5
6099.09000000
PA
USD
6101.16000000
0.000294186386
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
463192.48000000
0.022334264654
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
1077316.46000000
0.051946160556
Long
DBT
CORP
GB
N
2
2024-05-18
Variable
3.94999920
N
N
N
N
N
N
Viatris, Inc.
254900ZZTSW7NL773X71
Viatris, Inc.
92556VAE6
567000.00000000
PA
USD
531495.27000000
0.025627695904
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
3.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JVK92
2018696.69000000
PA
USD
2137011.78000000
0.103042663094
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
448388.25000000
0.021620432705
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
1308760.21000000
0.063105940104
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
32135.60000000
PA
USD
29399.88000000
0.001417606565
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
252501.42000000
PA
USD
303498.15000000
0.014634106331
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
15.98613480
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 329, Class 1
3136FAWE6
25325.08400000
PA
USD
23497.36000000
0.001132998223
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
1425000.00000000
PA
USD
1362589.67000000
0.065701494777
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
134851.43000000
PA
USD
14060.53000000
0.000677972142
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Floating
6.03829080
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAN5
246000.00000000
PA
USD
271018.02000000
0.013067975941
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
97100.65000000
PA
USD
110961.62000000
0.005350359288
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
704617.43000000
PA
USD
810268.51000000
0.039069613875
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
985237.50000000
0.047506287391
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4A23
34180.54000000
PA
USD
35629.95000000
0.001718008748
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
1.97499960
N
Y
N
N
N
N
Activision Blizzard, Inc.
549300TPQQDBP9GNOF40
Activision Blizzard, Inc.
00507VAP4
842000.00000000
PA
USD
749902.79000000
0.036158893117
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.35000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCZ2
21887200.00000000
PA
USD
21041635.96000000
1.014587858372
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.87500000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2015-2, Class AA
009088AA3
198391.31000000
PA
USD
200734.47000000
0.009679036193
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
1062094.88000000
0.051212204779
Long
ABS-MBS
CORP
US
Y
2
2035-04-12
Variable
2.98680120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1996-14, Class SE
31359KAJ6
16480.01000000
PA
USD
707.58000000
0.000034118168
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
8.93000160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-27, Class FD
31359B3C9
1829.45000000
PA
USD
1828.93000000
0.000088187542
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
1.06686000
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
5263586.29000000
0.253800167985
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
873602.22000000
0.042123445493
Long
DBT
CORP
JP
N
2
2026-07-14
Fixed
2.63200000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAL5
1425000.00000000
PA
USD
1497176.25000000
0.072191004919
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.11000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LEV79
4460000.00000000
PA
USD
4329498.13000000
0.208760204952
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
2.16000000
N
N
N
N
N
N
LendingPoint Asset Securitization Trust
N/A
LendingPoint Asset Securitization Trust, Series 2020-REV1, Class A
52606YAA2
5537000.00000000
PA
USD
5517402.34000000
0.266038697493
Long
ABS-O
CORP
US
Y
2
2028-10-15
Fixed
2.73100000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833DG2
150000.00000000
PA
USD
160261.46000000
0.007727504258
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
253327.60000000
PA
USD
281434.56000000
0.013570241783
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
3409328.65000000
0.164391374324
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
1037726.65000000
0.050037214853
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
44692.38000000
PA
USD
1370.39000000
0.000066077611
Long
ABS-MBS
USGA
US
N
2
2036-06-20
Floating
6.33828960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-66, Class SG
31394EKR8
94399.43000000
PA
USD
122329.40000000
0.005898492122
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
16.90785000
N
N
N
N
N
N
PRET LLC
N/A
PRET LLC, Series 2021-NPL6, Class A1
69362GAA9
3851329.59000000
PA
USD
3772810.22000000
0.181917767631
Long
ABS-O
CORP
US
Y
3
2051-07-25
Variable
2.48709960
N
N
N
N
N
N
LP LMS Asset Securitization Trust
N/A
LP LMS Asset Securitization Trust
50214GAA9
3025571.38000000
PA
USD
3031017.41000000
0.146149922399
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
381768.32000000
0.018408145779
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
2832402.99000000
PA
USD
2935597.43000000
0.141548951574
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
683320.06000000
0.032948399904
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
360525.12000000
PA
USD
364413.92000000
0.017571349459
Long
ABS-O
CORP
US
Y
2
2052-10-15
Fixed
3.74000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402AF27
15387.29000000
PA
USD
15423.36000000
0.000743685225
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
28533.30000000
PA
USD
26969.24000000
0.001300405705
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
517668.37000000
PA
USD
98268.88000000
0.004738339390
Long
ABS-MBS
USGA
US
N
2
2037-04-16
Floating
6.68428920
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECK5
199000.00000000
PA
USD
218613.29000000
0.010541119052
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
259501.95000000
PA
USD
44939.87000000
0.002166915469
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
6.52313880
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AL0
620000.00000000
PA
USD
664811.49000000
0.032055951692
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
331925.51790000
PA
USD
338356.64000000
0.016314916739
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.40000120
N
N
N
N
N
N
Leidos, Inc.
5493006I78VIN6J1BQ95
Leidos, Inc.
52532XAH8
465000.00000000
PA
USD
418769.70000000
0.020192282286
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
5487591.48000000
PA
USD
5884045.33000000
0.283717528488
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
32727.43000000
PA
USD
33501.58000000
0.001615382775
Long
ABS-MBS
CORP
US
N
2
2034-05-20
Variable
2.67636240
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
490000.00000000
PA
USD
475909.42000000
0.022947451430
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
161242.16000000
0.007774791755
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
218697.43000000
PA
USD
181008.97000000
0.008727909919
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
2282343.49000000
PA
USD
2537720.38000000
0.122364073325
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
10271.85000000
PA
USD
10485.79000000
0.000505604946
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
405531.53000000
PA
USD
410345.92000000
0.019786103559
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
143410.05000000
PA
USD
23224.68000000
0.001119850109
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
6.22886040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-26, Class SC
38375KBN1
233452.30000000
PA
USD
26950.39000000
0.001299496794
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
6.03829080
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYJ7
1055000.00000000
PA
USD
977949.20000000
0.047154859361
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
329965.35000000
PA
USD
55595.14000000
0.002680692420
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
6.39313920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-61, Class Z
313921M70
226586.76000000
PA
USD
260622.81000000
0.012566738591
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
8176.25990000
PA
USD
8194.44000000
0.000395120386
Long
ABS-MBS
USGA
US
N
2
2063-05-20
Variable
4.38999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8C44
3333546.72000000
PA
USD
3423735.73000000
0.165086056452
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
108774.08000000
PA
USD
124776.35000000
0.006016479420
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
2184362.58000000
PA
USD
2145366.03000000
0.103445489216
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
1283545.25000000
0.061890122459
Long
ABS-MBS
CORP
US
Y
3
2046-08-15
Variable
4.21390080
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAG3
440000.00000000
PA
USD
594937.44000000
0.028686757258
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
606549.17000000
0.029246652900
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
100822.53000000
PA
USD
91349.87000000
0.004404717824
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
None
0.00000000
N
N
N
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
06738EBV6
585000.00000000
PA
USD
554303.34000000
0.026727457869
Long
DBT
CORP
GB
N
2
2032-11-24
Variable
2.89400040
N
N
N
N
N
N
University of Southern California
0GMCSQ6M60R4T46U5511
University of Southern California, Series A
914886AD8
570000.00000000
PA
USD
533196.59000000
0.025709730335
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
237907.75000000
PA
USD
264896.26000000
0.012772796261
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
133909.27000000
PA
USD
139612.29000000
0.006731840365
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
383240.16000000
0.018479115118
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
583501.73220000
PA
USD
507322.90000000
0.024462149976
Long
ABS-MBS
CORP
US
Y
2
2035-09-25
Floating
0.53686080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-62, Class B
31358Q7C3
281.10600000
PA
USD
280.53000000
0.000013526625
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
1276170.78000000
0.061534539474
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
272928.59000000
0.013160100010
Long
DBT
CORP
US
N
2
2050-04-24
Fixed
3.12500000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133KNNT6
4134525.85000000
PA
USD
4180707.76000000
0.201585814941
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L96Z0
1746360.62000000
PA
USD
1807482.46000000
0.087153383017
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
454646.85000000
0.021922210551
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
5.15000000
N
N
N
N
N
N
Fells Point Funding Trust
N/A
Fells Point Funding Trust
314382AA0
2405000.00000000
PA
USD
2383327.87000000
0.114919558727
Long
DBT
CORP
US
Y
2
2027-01-31
Fixed
3.04600000
N
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAG8
945000.00000000
PA
USD
927224.35000000
0.044709003106
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
374645.38000000
PA
USD
15919.39000000
0.000767602853
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Floating
1.25281080
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
605000.00000000
PA
USD
659735.39000000
0.031811191758
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
3013593.75000000
0.145309786493
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
113653.36000000
PA
USD
118533.00000000
0.005715436900
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
30383203.20000000
1.465020548962
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
1103509.75000000
PA
USD
984761.95000000
0.047483357271
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
1382344.25000000
0.066654023233
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
164970.93000000
PA
USD
150240.15000000
0.007244295658
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
None
0.00000000
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BN1
200000.00000000
PA
USD
204331.97000000
0.009852500833
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
RMIP
N/A
RMIP
N/A
1126235.88000000
PA
USD
1109004.47000000
0.053474096419
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
1449199.54000000
0.069877658773
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
14826.11600000
PA
USD
14704.04000000
0.000709000976
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
260929.26000000
0.012581515030
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
365000.00000000
PA
USD
409486.48000000
0.019744662989
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
677417.96000000
0.032663811814
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
891892.02000000
PA
USD
954640.28000000
0.046030947358
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
1063324.01000000
0.051271471102
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371HKW7
31221.35000000
PA
USD
33421.40000000
0.001611516647
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
297360.55000000
0.014338162876
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403K4Q3
92480.76000000
PA
USD
92599.92000000
0.004464992869
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
935456.21000000
PA
USD
937655.84000000
0.045211989809
Long
ABS-MBS
USGA
US
N
2
2064-04-20
Floating
0.70125120
N
N
N
N
N
N
Diversified Abs Phase III LLC
549300TKTDRB5WEDGC48
Diversified Abs Phase III LLC
255125AB2
5750000.00000000
PA
USD
5750000.00000000
0.277254116397
Long
ABS-O
CORP
US
N
3
2039-04-28
Fixed
4.87500000
N
N
N
N
N
N
Republic of Chile
549300FLZTJM5YJF8D34
Republic of Chile
168863DN5
497000.00000000
PA
USD
466962.56000000
0.022516050776
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
18273925.01000000
0.881134075088
Long
DBT
UST
US
N
2
2022-11-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210ASU2
3153.02000000
PA
USD
3422.01000000
0.000165002845
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
65508.54000000
PA
USD
9434.29000000
0.000454903606
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
7.75886040
N
N
N
N
N
N
DH Europe Finance II SARL
222100KDGL314CKTZ511
DH Europe Finance II SARL
23291KAJ4
1000000.00000000
PA
USD
975878.06000000
0.047054992910
Long
DBT
CORP
LU
N
2
2039-11-15
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402DNT3
12183.25000000
PA
USD
12198.96000000
0.000588210761
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
1.90500120
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WAX6
629000.00000000
PA
USD
629000.86000000
0.030329230896
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
30369.82000000
PA
USD
29584.91000000
0.001426528361
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
1.94472360
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2201, Class C
3133TMGW0
29500.25000000
PA
USD
32686.94000000
0.001576102376
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
248756.85000000
0.011994584459
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
122160.58900000
PA
USD
118077.90000000
0.005693492840
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
1408214.85000000
0.067901454597
Long
ABS-MBS
CORP
US
Y
2
2030-11-15
Fixed
2.99560000
N
N
N
N
N
N
Zimmer Biomet Holdings, Inc.
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings, Inc.
98956PAV4
1137000.00000000
PA
USD
1073276.08000000
0.051751341080
Long
DBT
CORP
US
N
2
2031-11-24
Fixed
2.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-99, Class SC
31398F4S7
67372.25000000
PA
USD
9522.59000000
0.000459161265
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
5.99313960
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABP1
530000.00000000
PA
USD
510444.67000000
0.024612675817
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
10130.77200000
PA
USD
9043.57000000
0.000436063827
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
263540.03000000
PA
USD
263243.47000000
0.012693101856
Long
ABS-O
CORP
US
N
3
2033-11-25
Variable
4.85822160
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
780082AD5
337000.00000000
PA
USD
362928.40000000
0.017499720496
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
842081.70000000
0.040603585681
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
481542.25000000
0.023219055831
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
1954.63000000
PA
USD
1995.17000000
0.000096203320
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
28589.15000000
PA
USD
4430.96000000
0.000213652504
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
159058.50000000
PA
USD
20237.87000000
0.000975831785
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9P63
7446394.64000000
PA
USD
7851566.23000000
0.378587662162
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
25507.77000000
PA
USD
28287.19000000
0.001363954759
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
91148.32000000
0.004394999464
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
1898788.27000000
0.091555976352
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
59748.90000000
PA
USD
62010.32000000
0.002990020257
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
223124.01000000
0.010758617432
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
5855.13000000
PA
USD
6335.33000000
0.000305477621
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
11.23971120
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
392216.20000000
0.018911922776
Long
ABS-MBS
CORP
US
Y
3
2045-03-15
Variable
4.23881280
N
N
N
N
N
N
Office Properties Income Trust
N/A
Office Properties Income Trust
67623CAF6
490000.00000000
PA
USD
448494.77000000
0.021625568898
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-36, Class DE
313920LG3
60553.57000000
PA
USD
68741.39000000
0.003314579712
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
3591320.09000000
0.173166657087
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
473463.61000000
0.022829519102
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
7515.18000000
PA
USD
11506.72000000
0.000554832258
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
38.05884000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TC2
1160000.00000000
PA
USD
1110518.75000000
0.053547112134
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-44
31397LMA4
6095.99000000
PA
USD
5279.79000000
0.000254581480
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
942063.48000000
0.045424517867
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
1024740.12000000
0.049411028957
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
178243.16000000
PA
USD
196825.76000000
0.009490565595
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Variable
5.83799760
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAE7
242000.00000000
PA
USD
249300.66000000
0.012020805948
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
7307.88000000
PA
USD
7717.37000000
0.000372116973
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
2069469.68000000
0.099785910876
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
7.49900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31373UED5
5153.73000000
PA
USD
5246.76000000
0.000252988836
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Variable
3.84699960
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBD0
875000.00000000
PA
USD
863545.99000000
0.041638553117
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
2403888.33000000
0.115910945191
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
3713570.63000000
PA
USD
3784194.20000000
0.182466681599
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
399611.36000000
0.019268503394
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
33765.27000000
PA
USD
34564.18000000
0.001666619336
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
2.59703640
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-90, Class AO
31396KU42
83712.43000000
PA
USD
77200.64000000
0.003722468735
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
22196.81000000
PA
USD
23655.00000000
0.001140599325
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
592711.52000000
0.028579427609
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
3610.55000000
PA
USD
247.97000000
0.000011956644
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
18.16999920
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
3027230.75000000
0.145967336821
Long
ABS-O
CORP
US
Y
2
2025-08-08
Fixed
3.08000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2021-SFR6, Class E1
74333HAJ4
3446000.00000000
PA
USD
3170734.55000000
0.152886818433
Long
ABS-O
CORP
US
Y
2
2038-07-17
Fixed
2.42500000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAL5
1200000.00000000
PA
USD
1233216.40000000
0.059463360575
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
354661.59000000
PA
USD
44094.12000000
0.002126135005
Long
ABS-MBS
USGA
US
N
2
2039-08-16
Floating
6.12429120
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAE3
555000.00000000
PA
USD
535615.50000000
0.025826365596
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
184603.94000000
0.008901252568
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
5609979.08000000
PA
USD
7873.04000000
0.000379623086
Long
ABS-MBS
CORP
US
Y
3
2063-05-10
Variable
1.24920720
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M5CE8
167902.69000000
PA
USD
183306.10000000
0.008838673180
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
309771.58000000
0.014936599251
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
543661.64000000
0.026214335237
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDV25
203178.04000000
PA
USD
214114.52000000
0.010324196878
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
130145.15000000
0.006275352794
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405KZ20
27219.10000000
PA
USD
27207.05000000
0.001311872453
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
1.68800040
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd.
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd.
052528AK2
263000.00000000
PA
USD
278471.15000000
0.013427351762
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
723560.27000000
0.034888706664
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
1076.28000000
PA
USD
1129.90000000
0.000054481639
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
10.50000120
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGM0
787000.00000000
PA
USD
734854.58000000
0.035433296914
Long
DBT
CORP
US
Y
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-66, Class CB
3136A6ZU1
3000000.00000000
PA
USD
3099190.20000000
0.149437085295
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
689218.77420000
PA
USD
74198.54000000
0.003577713155
Long
ABS-MBS
CORP
US
Y
3
2041-07-25
Variable
3.28359960
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AK4
360000.00000000
PA
USD
343234.39000000
0.016550112611
Long
DBT
CORP
CH
Y
2
2033-02-11
Variable
2.74600080
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYB4
1000000.00000000
PA
USD
945448.22000000
0.045587723623
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
471185.18000000
0.022719657520
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
373000.49000000
0.017985377612
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
65650.44500000
PA
USD
53747.95000000
0.002591624414
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
2066204.60000000
0.099628474898
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
7870.74000000
PA
USD
8299.48000000
0.000400185216
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
4303.78000000
PA
USD
4877.05000000
0.000235162119
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
23.84598960
N
N
N
N
N
N
Reckitt Benckiser Treasury Services plc
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services plc
75625QAC3
700000.00000000
PA
USD
701840.28000000
0.033841409857
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
275231.01000000
0.013271118344
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
482090.69000000
0.023245500570
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
393928.93140000
PA
USD
263710.37000000
0.012715614890
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
436275.29000000
PA
USD
424592.75000000
0.020473058735
Long
ABS-MBS
CORP
US
N
2
2035-06-19
Variable
2.92372560
N
N
N
N
N
N
Berkshire Hathaway Finance Corp.
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp.
084664BU4
1000000.00000000
PA
USD
1124360.50000000
0.054214535119
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
195267.91000000
PA
USD
212411.96000000
0.010242102657
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
338987.30000000
0.016345325970
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
48761.84000000
PA
USD
48026.53000000
0.002315748371
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.43395640
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BC7
1131000.00000000
PA
USD
1163073.89000000
0.056081221508
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
498415.57000000
PA
USD
499151.03000000
0.024068117873
Long
ABS-MBS
USGA
US
N
2
2062-10-20
Floating
0.61625160
N
N
N
N
N
N
Kroger Co. (The)
6CPEOKI6OYJ13Q6O7870
Kroger Co. (The)
501044CR0
1100000.00000000
PA
USD
1282465.50000000
0.061838058958
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
24334.38000000
PA
USD
21275.17000000
0.001025848427
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
Quanta Services, Inc.
SHVRXXEACT60MMH07S24
Quanta Services, Inc.
74762EAH5
1095000.00000000
PA
USD
993970.50000000
0.047927376122
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.35000000
N
N
N
N
N
N
APT Pipelines Ltd.
261700SS8OEHDOCOUJ33
APT Pipelines Ltd.
00205GAD9
732000.00000000
PA
USD
779908.46000000
0.037605709730
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
268605.79000000
PA
USD
268712.18000000
0.012956792701
Long
ABS-MBS
USGA
US
N
2
2032-07-20
Fixed
6.50000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAK1
515000.00000000
PA
USD
470400.64000000
0.022681828486
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
313083.48000000
PA
USD
18974.89000000
0.000914933280
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Variable
1.58961600
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-54, Class ZQ
31358QKR5
33.93000000
PA
USD
34.05000000
0.000001641826
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
39871.18000000
PA
USD
45172.51000000
0.002178132929
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
662660.79000000
0.031952249009
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
1275653.29000000
0.061509587086
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
27697.58500000
PA
USD
38607.87000000
0.001861598414
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
233196.44000000
0.011244290942
Long
DBT
CORP
MX
N
2
2026-01-30
Fixed
4.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-12, Class IE
38374XPH2
367651.75000000
PA
USD
35317.25000000
0.001702930946
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
225801.65000000
PA
USD
254661.81000000
0.012279310454
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
2492742.93000000
0.120195345819
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
28535.34000000
PA
USD
3789.17000000
0.000182706605
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
1010673.33000000
0.048732754969
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
27488.59000000
PA
USD
30466.67000000
0.001469045160
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
392835.63000000
0.018941790519
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
366754.20000000
0.017684193331
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
4129.65000000
PA
USD
4096.28000000
0.000197514868
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
1.00000080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210APW1
7189.26000000
PA
USD
7650.41000000
0.000368888289
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
3537.58000000
PA
USD
405.26000000
0.000019540870
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
30.42871560
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-165, Class SK
31359D5S8
2173.06000000
PA
USD
2269.59000000
0.000109435333
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
789865.77000000
0.038085832371
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
2593253.41000000
0.125041770918
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
218579.86000000
0.010539507121
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
199.94100000
PA
USD
202.09000000
0.000009744397
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
4495831.20000000
0.216780470752
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
479349.96000000
PA
USD
521843.42000000
0.025162301966
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
573014.52000000
0.027629675552
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
245795.71000000
0.011851803893
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
4428123.47000000
0.213515732169
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
160790.58000000
PA
USD
31838.43000000
0.001535188830
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
737866.35000000
0.035578518763
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAU2
230000.00000000
PA
USD
277583.42000000
0.013384547102
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
1413454.07000000
PA
USD
1395555.78000000
0.067291058202
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
552983.37000000
0.026663811414
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
80418.06700000
PA
USD
65001.05000000
0.003134227596
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
2130474.56000000
PA
USD
2339636.46000000
0.112812841636
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
4991149.00000000
0.240663757530
Long
ABS-MBS
CORP
US
Y
2
2026-01-25
Variable
4.44999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31409JS50
46174.61000000
PA
USD
48151.27000000
0.002321763098
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
130127.94000000
PA
USD
17485.62000000
0.000843123499
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
6.00000000
N
N
N
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080AH9
353000.00000000
PA
USD
356317.55000000
0.017180957822
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.20000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBR5
780000.00000000
PA
USD
728105.19000000
0.035107854103
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
Microchip Technology, Inc.
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017BB9
1290000.00000000
PA
USD
1257105.59000000
0.060615252099
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class SA
31392BVQ6
10819.80000000
PA
USD
14043.05000000
0.000677129290
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Floating
24.58020600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2262, Class Z
3133TQ5B9
7063.93000000
PA
USD
8150.83000000
0.000393017594
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
777946.07000000
0.037511086998
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBS9
9800000.00000000
PA
USD
9486859.42000000
0.457438404500
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
953724.50000000
0.045986790179
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
1457747.72000000
0.070289835832
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
1540401.40000000
PA
USD
1549925.13000000
0.074734456069
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
1060893.30000000
0.051154266866
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
702802.40000000
PA
USD
752451.31000000
0.036281777928
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
359936.72000000
0.017355467350
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
2440.57000000
PA
USD
2824.58000000
0.000136195901
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Floating
10.00000080
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAN5
400000.00000000
PA
USD
378227.24000000
0.018237401604
Long
DBT
CORP
ES
N
2
2027-09-14
Variable
1.72199880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31371KNW7
245.08000000
PA
USD
267.41000000
0.000012894004
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
2029.58000000
PA
USD
2205.04000000
0.000106322855
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
813518.55000000
0.039226324652
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
1042894.05000000
0.050286377100
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.04000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-28CB, Class 1A4
12667GWT6
1156749.20600000
PA
USD
1144655.97000000
0.055193144268
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
35503.42000000
PA
USD
2626.85000000
0.000126661734
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
8.91313920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-59, Class BG
31394AVD5
74926.10000000
PA
USD
68767.35000000
0.003315831454
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
1617.49000000
PA
USD
1628.66000000
0.000078530902
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Floating
0.89114040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2247, Class Z
3133TPGX1
31182.77000000
PA
USD
35370.17000000
0.001705482648
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
6158.65000000
PA
USD
6636.81000000
0.000320014416
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
8.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UJY5
102530.70000000
PA
USD
107143.15000000
0.005166239892
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
280303.39000000
PA
USD
315556.39000000
0.015215531840
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LUY9
119687.90000000
PA
USD
124959.82000000
0.006025325996
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Variable
2.09599920
N
Y
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Trust, Series 2018-C, Class D
12655CAD8
1800105.99000000
PA
USD
1816985.76000000
0.087611614155
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
565116.22000000
0.027248834476
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
1036431.90000000
PA
USD
1126405.48000000
0.054313140184
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967NE7
885000.00000000
PA
USD
833471.70000000
0.040188427778
Long
DBT
CORP
US
N
2
2032-11-03
Variable
2.52000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4
36228F2R6
97002.94000000
PA
USD
99601.77000000
0.004802608823
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
799890.17000000
0.038569189964
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
202454.43000000
0.009761969408
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
59116.12000000
PA
USD
58899.93000000
0.002840043138
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.88686000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AM3
770000.00000000
PA
USD
670816.30000000
0.032345492264
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
8305.17000000
PA
USD
7684.91000000
0.000370551814
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
417260.57000000
0.020119514894
Long
DBT
CORP
US
N
2
2048-09-26
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
N/A
FHLMC Multi-Family WI Certificates, Series K138, Class AM
3137H4LW8
1850000.00000000
PA
USD
1769404.94000000
0.085317357076
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
1.88900000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2003-9, Class 8A1
576434LD4
196178.70000000
PA
USD
201718.85000000
0.009726501133
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
814350.31000000
0.039266430545
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
16471.67000000
PA
USD
16720.51000000
0.000806231343
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
34194.78000000
PA
USD
957.64000000
0.000046175588
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
120739.81000000
0.005821845101
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
293143.05000000
PA
USD
21982.71000000
0.001059964667
Long
ABS-MBS
USGA
US
N
2
2033-12-16
Floating
6.42429000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2512, Class PG
31392WB41
8636.60000000
PA
USD
8723.68000000
0.000420639337
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
1056909.88000000
0.050962193894
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
2.25000000
N
N
N
N
N
N
UDR, Inc.
P3CH2EG5X6Z1XWU1OO74
UDR, Inc.
90265EAL4
382000.00000000
PA
USD
387561.46000000
0.018687480024
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
134663.24000000
PA
USD
121851.74000000
0.005875460261
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
21293.33000000
PA
USD
23204.65000000
0.001118884301
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
733953.37000000
0.035389842274
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
58704.08000000
PA
USD
10752.49000000
0.000518464715
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
730150.88000000
0.035206493403
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
1.50000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAB8
945000.00000000
PA
USD
932815.03000000
0.044978575113
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H07, Class HA
38375BQ96
605596.79000000
PA
USD
605531.39000000
0.029197577475
Long
ABS-MBS
USGA
US
N
2
2063-03-20
Floating
0.00001080
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-6, Class 7A1
576434SK1
205033.57000000
PA
USD
213631.06000000
0.010300885352
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
314632.64000000
PA
USD
330470.11000000
0.015934643190
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
3903.99000000
PA
USD
4056.00000000
0.000195572642
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
6.50000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HCJ2
920000.00000000
PA
USD
858693.84000000
0.041404591628
Long
DBT
CORP
US
N
2
2032-11-02
Variable
2.61799920
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CD2
2280000.00000000
PA
USD
2221066.01000000
0.107095598967
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
1467221.80000000
0.070746658037
Long
DBT
CORP
US
Y
2
2025-06-16
Fixed
3.48200000
N
N
N
N
N
N
Alimentation Couche-Tard, Inc.
549300OSW32RVX8CCZ87
Alimentation Couche-Tard, Inc.
01626PAQ9
1420000.00000000
PA
USD
1321107.69000000
0.063701312218
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
637313.56000000
PA
USD
726185.02000000
0.035015267141
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
36658.43000000
PA
USD
40731.41000000
0.001963991493
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WRUE8
494819.14000000
PA
USD
515308.54000000
0.024847202422
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
869243.65000000
PA
USD
867558.53000000
0.041832030201
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
559736.53000000
PA
USD
516295.83000000
0.024894807677
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
96333.74000000
PA
USD
107686.28000000
0.005192428592
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
3007.23000000
PA
USD
3401.86000000
0.000164031250
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
22.85679240
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
2033558.59000000
0.098054346089
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2R4
1446000.00000000
PA
USD
1338736.18000000
0.064551324639
Long
DBT
CORP
FR
Y
2
2029-09-15
Variable
2.15899920
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECG4
350000.00000000
PA
USD
358356.36000000
0.017279265382
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2043, Class CJ
3133TDML7
7590.71000000
PA
USD
8349.59000000
0.000402601425
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
427987.44000000
PA
USD
438196.01000000
0.021128982184
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
236380.73000000
PA
USD
256345.33000000
0.012360486602
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
298791.15000000
0.014407143700
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
908164.68000000
0.043789981895
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
87714.01700000
PA
USD
87942.89000000
0.004240439697
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
97401.31000000
PA
USD
88291.66000000
0.004257256726
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
441552.45000000
0.021290823368
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
512219.71000000
0.024698264886
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
415889.31000000
0.020053395332
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
75659.97000000
PA
USD
75851.31000000
0.003657406596
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
0.49114080
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAV7
560000.00000000
PA
USD
540275.29000000
0.026051051850
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
175000.00000000
PA
USD
187043.08000000
0.009018863282
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
562725.63000000
PA
USD
567011.40000000
0.027340216468
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
13717.39000000
PA
USD
14958.69000000
0.000721279717
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
105227.58000000
PA
USD
123404.94000000
0.005950352625
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
235677.02000000
0.011363899814
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
14475.06000000
PA
USD
111.50000000
0.000005376318
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
771727.54000000
PA
USD
894841.98000000
0.043147586518
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
1421860.92000000
0.068559442263
Long
DBT
CORP
US
Y
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31414HWF0
31481.60000000
PA
USD
31470.62000000
0.001517453728
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Variable
2.28499920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403R2E7
63600.67000000
PA
USD
70129.21000000
0.003381497765
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
62427.54000000
PA
USD
6057.41000000
0.000292076844
Long
ABS-MBS
USGA
US
N
2
2038-08-20
Floating
5.83828920
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
2063407.00000000
0.099493579922
Long
ABS-O
CORP
US
Y
2
2036-10-17
Fixed
5.14900000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAH5
690000.00000000
PA
USD
658252.76000000
0.031739702146
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
463222.23000000
0.022335699143
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
445434.48000000
0.021478007507
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
9026855.45000000
0.435257883762
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
2228051.76000000
0.107432438609
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
0.313417696796
Long
ABS-MBS
CORP
US
Y
2
2049-12-31
Floating
2.84000040
N
N
N
N
N
N
PRET LLC
N/A
PRET LLC, Series 2021-RN3, Class A1
74143JAA9
4383158.13000000
PA
USD
4257498.68000000
0.205288527754
Long
ABS-O
CORP
US
Y
3
2051-09-25
Variable
1.84290120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CRE5
1680.71000000
PA
USD
1824.56000000
0.000087976829
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.00000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2021-SFR3, Class E1
00180UAE5
2168000.00000000
PA
USD
2014509.72000000
0.097135845633
Long
ABS-O
CORP
US
Y
3
2038-10-17
Fixed
2.32700000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAM6
820000.00000000
PA
USD
737098.53000000
0.035541495936
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
99285.53000000
PA
USD
90227.32000000
0.004350590588
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
984475.00000000
0.047469521085
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
687.76000000
PA
USD
740.86000000
0.000035722866
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
484493.63000000
0.023361365788
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
136417.28000000
PA
USD
152517.37000000
0.007354098896
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
755994.30000000
0.036452614199
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
13574.55000000
0.000654539107
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
6152000.00000000
PA
USD
4907661.91000000
0.236638168075
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
54319.83000000
PA
USD
50527.32000000
0.002436331732
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Variable
2.73825720
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GVR2
1415000.00000000
PA
USD
1486434.76000000
0.071673070602
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
15889.51000000
PA
USD
16052.07000000
0.000774000432
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
953755.07000000
0.045988264207
Long
DBT
CORP
CH
Y
2
2030-08-13
Variable
3.12599880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-36, Class ZB
31359T5E4
21501.25000000
PA
USD
23264.16000000
0.001121753760
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
3436.85000000
PA
USD
3487.75000000
0.000168172703
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
96.47000000
PA
USD
96.25000000
0.000004640992
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Floating
0.12830040
N
N
N
N
N
N
CFMT LLC
N/A
CFMT LLC, Series 2020-HB4, Class A
12529LAA8
2608574.33000000
PA
USD
2596041.17000000
0.125176191429
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
414591.77000000
0.019990830409
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
732848.97000000
0.035336590196
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
83502.93000000
PA
USD
94195.76000000
0.004541941253
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
1847507.35000000
0.089083307454
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Variable
3.30300000
N
N
N
N
N
N
Packaging Corp. of America
549300XZP8MFZFY8TJ84
Packaging Corp. of America
695156AV1
845000.00000000
PA
USD
880967.26000000
0.042478573781
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
2363603.86000000
0.113968504298
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
1760914.89000000
0.084907982935
Long
DBT
CORP
US
N
2
2028-04-24
Variable
3.70500120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-73, Class MI
38375LD23
167027.72000000
PA
USD
13882.02000000
0.000669364728
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
5.83828920
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
0.000821665477
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
1206525.67000000
0.058176384095
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
894630.02000000
0.043137366208
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
113331.58650000
PA
USD
92926.37000000
0.004480733670
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
34164.34000000
PA
USD
37189.89000000
0.001793226102
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
41787.51000000
PA
USD
47812.21000000
0.002305414267
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
65340.13000000
PA
USD
75567.25000000
0.003643709761
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
815148.30000000
PA
USD
155543.66000000
0.007500020872
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
6.35313960
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VAY3
500000.00000000
PA
USD
558139.98000000
0.026912453387
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G92-42, Class Z
31358MQ49
9.39000000
PA
USD
9.41000000
0.000000453732
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
7.00000000
N
N
N
N
N
N
Niagara Mohawk Power Corp.
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp.
65364UAK2
493000.00000000
PA
USD
505179.97000000
0.024358821948
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
3489.02000000
PA
USD
3756.51000000
0.000181131801
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
112664.06000000
PA
USD
117810.57000000
0.005680602693
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
1.99647360
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
425000.00000000
PA
USD
433352.95000000
0.020895458998
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
50040.73220000
PA
USD
44011.28000000
0.002122140617
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
189279.52000000
PA
USD
228894.72000000
0.011036870146
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Floating
12.28628160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1343, Class LA
312911GW4
221.30000000
PA
USD
223.65000000
0.000010783979
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
3130312.90000000
0.150937762980
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
128708.93000000
0.006206100984
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M50, Class A1
3136BCGR5
2810485.79000000
PA
USD
2672426.86000000
0.128859364818
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
128364.84000000
0.006189509615
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
2600152.86000000
0.125374449338
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
1209091.79000000
PA
USD
127545.28000000
0.006149991983
Long
ABS-MBS
CORP
US
N
3
2035-07-25
Floating
4.56314040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2430, Class WF
31339NW36
172420.96000000
PA
USD
195719.62000000
0.009437229618
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
627978.99000000
PA
USD
603428.84000000
0.029096196494
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Fixed
1.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9YA4
3547214.19000000
PA
USD
3746645.10000000
0.180656135070
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
4628.64000000
PA
USD
4807.17000000
0.000231792638
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
8589.33000000
PA
USD
8584.74000000
0.000413939913
Long
ABS-MBS
USGA
US
N
2
2060-04-20
Floating
0.53124840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-68, Class PG
31394E7B8
261685.54000000
PA
USD
286578.35000000
0.013818265601
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
907211.53000000
0.043744022806
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
762803.63000000
PA
USD
802079.40000000
0.038674750491
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
310400.34000000
0.014966916868
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407WSP9
268946.32000000
PA
USD
278628.57000000
0.013434942257
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
1.83399840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282U3
569000.00000000
PA
USD
573200.82000000
0.027638658585
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
5785.29000000
PA
USD
6647.28000000
0.000320519259
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Floating
33.67571040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402Q4R9
111499.58000000
PA
USD
113761.52000000
0.005485365166
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
2.27300040
N
N
N
N
N
N
ANZ New Zealand Int'l Ltd.
213800VD256NU2D97H12
ANZ New Zealand Int'l Ltd.
00182EBM0
778000.00000000
PA
USD
766188.58000000
0.036944163085
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
252725.70000000
0.012185954894
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
959308.50000000
0.046256040090
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
56042.68000000
PA
USD
61868.89000000
0.002983200770
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
9.83365200
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2420, Class XK
31339DMW5
135490.15000000
PA
USD
152649.88000000
0.007360488277
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVY73
6066927.58000000
PA
USD
6197980.56000000
0.298854891062
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
32945.81200000
PA
USD
26585.19000000
0.001281887541
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
599314.57000000
0.028897814182
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
911448.56000000
PA
USD
923882.63000000
0.044547871693
Long
ABS-O
CORP
US
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEK7
960000.00000000
PA
USD
943823.29000000
0.045509372574
Long
DBT
CORP
US
N
2
2028-01-21
Variable
2.47500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDY8
485000.00000000
PA
USD
527312.86000000
0.025426028011
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
40647.66000000
PA
USD
41206.49000000
0.001986898952
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.68685840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-47, Class PE
31393CRH8
109814.87000000
PA
USD
120947.73000000
0.005831870610
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
1252480.00000000
0.060392214905
Long
DBT
NUSS
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SZ2
16100000.00000000
PA
USD
15443421.88000000
0.744652571737
Long
DBT
UST
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series KS01, Class A2
3137B1U75
786972.41000000
PA
USD
790405.81000000
0.038111872077
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
120837.51000000
PA
USD
113833.90000000
0.005488855193
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
373088.20000000
0.017989606822
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.25000000
N
N
N
N
N
N
FHLMC Multi-Family Structured Credit Risk
N/A
FHLMC, Multi-Family Structured Credit Risk, Series 2021-MN2, Class M1
35563JAA1
6256274.93500000
PA
USD
5964143.18000000
0.287579695206
Long
ABS-MBS
USGSE
US
Y
2
2041-07-25
Floating
1.84866840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3720, Class A
3137A1XL2
48721.85000000
PA
USD
50512.09000000
0.002435597370
Long
ABS-MBS
USGSE
US
N
2
2025-09-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-65, Class SA
38374N3Q8
316068.47000000
PA
USD
26650.48000000
0.001285035701
Long
ABS-MBS
USGA
US
N
2
2036-11-20
Floating
6.63828840
N
N
N
N
N
N
ZH Trust
N/A
ZH Trust, Series 2021-1, Class A
98879EAA9
1830000.00000000
PA
USD
1813694.70000000
0.087452925471
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
240267.07000000
0.011585223337
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
10278.39000000
PA
USD
782.63000000
0.000037736937
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Floating
8.78000040
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2003-7, Class 3A
07384MYS5
15552.19000000
PA
USD
15499.65000000
0.000747363785
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
2.47690800
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2012-CR2, Class XA
12624KAE6
2147375.24350000
PA
USD
287.53000000
0.000013864152
Long
ABS-MBS
CORP
US
N
3
2045-08-15
Variable
1.60824240
N
N
N
N
N
N
Park Aerospace Holdings Ltd.
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd.
70014LAC4
1005000.00000000
PA
USD
1025900.49000000
0.049466979802
Long
DBT
CORP
KY
Y
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407KGJ2
30899.64000000
PA
USD
31332.35000000
0.001510786611
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
1.90400040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296NA23
150922.60000000
PA
USD
169975.25000000
0.008195884825
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JY4
690000.00000000
PA
USD
677863.42000000
0.032685291052
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.70000000
N
N
N
N
N
N
Texas Health Resources
54930008C10TUBW7Z611
Texas Health Resources
882484AA6
300000.00000000
PA
USD
360569.88000000
0.017385997126
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
600479.66000000
0.028953992617
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
26962000.00000000
PA
USD
26041500.60000000
1.255671867567
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
185203.90000000
0.008930181503
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
1264711.55000000
0.060981997094
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
279795.78000000
PA
USD
298752.60000000
0.014405284892
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
200201.22000000
PA
USD
208147.05000000
0.010036456770
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
319454.33000000
PA
USD
279920.36000000
0.013497229925
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
1140003.76000000
0.054968823507
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
37265.14000000
PA
USD
3368.68000000
0.000162431373
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
7.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
25160PAH0
1300000.00000000
PA
USD
1248354.33000000
0.060193282906
Long
DBT
CORP
DE
N
2
2028-01-07
Variable
2.55200040
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473PAL9
740000.00000000
PA
USD
647631.36000000
0.031227558342
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
24.76000000
PA
USD
24.89000000
0.000001200148
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
1310787.45000000
0.063203689779
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
1517747.98000000
0.073182934801
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
2.45000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1
126694LU0
682689.86000000
PA
USD
649118.79000000
0.031299279401
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
2.48437080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31416BXJ2
8911.73000000
PA
USD
9074.55000000
0.000437557624
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
939629.30000000
0.045307146315
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
919050.52000000
PA
USD
922169.13000000
0.044465249966
Long
ABS-MBS
USGA
US
N
2
2064-01-20
Floating
0.75125160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QH4
11000000.00000000
PA
USD
14700898.41000000
0.708849495462
Long
DBT
UST
US
N
2
2040-05-15
Fixed
4.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WLP1
28910149.28000000
PA
USD
28930961.12000000
1.394996184669
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
317.61000000
PA
USD
320.49000000
0.000015453421
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
1110478.84000000
0.053545187749
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
81126.30000000
PA
USD
81126.30000000
0.003911756630
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
557069.64000000
0.026860843619
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
129124.85000000
0.006226155859
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
38198.45000000
PA
USD
5878.44000000
0.000283447250
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
8.45885880
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-10, Class S
38375PYG0
181438.55000000
PA
USD
16338.94000000
0.000787832760
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Floating
5.66829000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
800000.00000000
PA
USD
923832.34000000
0.044545446804
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828Z94
895000.00000000
PA
USD
874233.21000000
0.042153870637
Long
DBT
UST
US
N
2
2030-02-15
Fixed
1.50000000
N
N
N
N
N
N
Gray Oak Pipeline LLC
N/A
Gray Oak Pipeline LLC
38937LAC5
2450000.00000000
PA
USD
2422568.87000000
0.116811685471
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
60478.59000000
PA
USD
68472.48000000
0.003301613380
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
159608.85000000
0.007696036639
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
431962.83000000
0.020828430043
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
11555000.00000000
PA
USD
9609607.36000000
0.463357077829
Long
DBT
UST
US
N
2
2040-05-15
Fixed
1.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-56, Class FC
31395NXA0
326603.60000000
PA
USD
327611.34000000
0.015796798711
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
0.47685960
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967LP4
1573000.00000000
PA
USD
1627717.97000000
0.078485479568
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
12291.52000000
PA
USD
12237.90000000
0.000590088374
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
235000.00000000
PA
USD
225504.02000000
0.010873377010
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
0.000263885163
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
226410.40000000
PA
USD
226625.04000000
0.010927430472
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
11544.97000000
PA
USD
11125.95000000
0.000536472249
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
1.95343560
N
N
N
N
N
N
Prudential Financial, Inc.
5PRBRS5FEH7NREC8OR45
Prudential Financial, Inc.
744320AY8
300000.00000000
PA
USD
312400.84000000
0.015063377192
Long
DBT
CORP
US
N
2
2047-12-07
Fixed
3.90500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LEYK7
8350000.00000000
PA
USD
8090626.87000000
0.390114713729
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
1.98000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBW0
1130000.00000000
PA
USD
1084888.28000000
0.052311259384
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
10359.85000000
PA
USD
10372.83000000
0.000500158228
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Floating
0.50349960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2464, Class SI
31392MWQ1
170902.22000000
PA
USD
24169.57000000
0.001165410917
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
7.80886080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-68, Class KI
38374L3B5
864242.30000000
PA
USD
137725.05000000
0.006640841224
Long
ABS-MBS
USGA
US
N
2
2035-09-20
Floating
6.13829160
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
930016.72000000
PA
USD
173784.88000000
0.008379577973
Long
ABS-MBS
CORP
US
N
3
2037-08-25
Floating
5.46314040
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591CS9
6839000.00000000
PA
USD
9645206.52000000
0.465073601942
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
501187.50000000
0.024166312602
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
164049.97000000
PA
USD
149504.35000000
0.007208816775
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
247786.72000000
PA
USD
280088.42000000
0.013505333460
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
6187.22000000
PA
USD
6874.17000000
0.000331459465
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
122852.62000000
PA
USD
124769.97000000
0.006016171788
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
349857.54000000
PA
USD
390154.10000000
0.018812492218
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
87815.35000000
PA
USD
100418.45000000
0.004841987586
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TD0
6650000.00000000
PA
USD
6774687.50000000
0.326662608118
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404EVB9
28131.30000000
PA
USD
28244.75000000
0.001361908383
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Variable
1.96499880
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust, Series 2017-AA, Class A
43283AAA3
92621.52000000
PA
USD
93244.01000000
0.004496049669
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
536696.35000000
0.025878482137
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
264142.28000000
0.012736440772
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
236678.21000000
PA
USD
242610.12000000
0.011698200773
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
362589.23000000
PA
USD
377444.22000000
0.018199645861
Long
ABS-MBS
USGA
US
N
2
2033-01-20
Fixed
6.50000000
N
N
N
N
N
N
CGI, Inc.
549300WSRCZY73ZG3090
CGI, Inc.
12532HAD6
1515000.00000000
PA
USD
1397744.09000000
0.067396574369
Long
DBT
CORP
CA
Y
2
2031-09-14
Fixed
2.30000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2
36298XAD4
1785384.07000000
PA
USD
211239.32000000
0.010185560176
Long
ABS-MBS
CORP
US
Y
3
2036-04-25
Variable
4.18024800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-14, Class ES
31396PC33
393934.40000000
PA
USD
63581.05000000
0.003065757884
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
6.25313880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-46, Class QB
31393YT96
112100.68000000
PA
USD
151733.82000000
0.007316317598
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
23.25255840
N
N
N
N
N
N
NACC Reperforming Loan REMIC Trust
N/A
NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1
62951MAM2
181608.40000000
PA
USD
174558.04000000
0.008416858285
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
1394024.54000000
0.067217224708
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
33750.03000000
PA
USD
36286.01000000
0.001749642720
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
886577.53000000
0.042749090382
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
992562.07000000
0.047859464293
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
417222.89000000
PA
USD
40586.82000000
0.001957019637
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
907588.00000000
0.043762175477
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
1171582.08000000
PA
USD
1175433.77000000
0.056677191527
Long
ABS-MBS
USGA
US
N
2
2063-08-20
Floating
0.70125120
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91086QBG2
316000.00000000
PA
USD
334486.00000000
0.016128281804
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
1097089.75000000
0.052899591173
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
115058.43000000
PA
USD
115560.58000000
0.005572112434
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
0.64113840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31407LE60
27237.12000000
PA
USD
29686.46000000
0.001431424910
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
87664.68000000
PA
USD
106393.65000000
0.005130100421
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-37, Class Z
31392DCF7
41840.33000000
PA
USD
46318.11000000
0.002233371593
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
43698.28000000
PA
USD
42399.34000000
0.002044415921
Long
ABS-MBS
CORP
US
N
3
2036-10-25
Variable
2.59492680
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1608, Class L
3133T1W81
48717.66000000
PA
USD
50571.99000000
0.002438485635
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
129853.06000000
PA
USD
131071.51000000
0.006320020119
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
0.58686120
N
N
N
N
N
N
Quanta Services, Inc.
SHVRXXEACT60MMH07S24
Quanta Services, Inc.
74762EAF9
1440000.00000000
PA
USD
1380815.44000000
0.066580306908
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
170233.77000000
PA
USD
170294.12000000
0.008211260133
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
734146.63000000
0.035399160905
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
9368900.00000000
PA
USD
9368534.05000000
0.451732979125
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
1296019.10000000
0.062491587896
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
14121013.27000000
0.680888531618
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
54909.35450000
PA
USD
55585.73000000
0.002680238687
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QS6G6
81460.53000000
PA
USD
81694.30000000
0.003939144514
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
1.97200080
N
Y
N
N
N
N
Evergy Metro, Inc.
1128SIJQ26096WL7IO82
Evergy Metro, Inc.
485134BM1
1400000.00000000
PA
USD
1682424.77000000
0.081123337915
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
112449.40000000
PA
USD
119474.13000000
0.005760816407
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
1442386.47000000
0.069549145433
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
755881.73000000
0.036447186287
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
653989.51000000
PA
USD
654460.38000000
0.031556840760
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
12849.23000000
PA
USD
1230.59000000
0.000059336720
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
65260.21000000
PA
USD
74119.47000000
0.003573900550
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
4437917.44000000
0.213987978864
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
24673.27000000
PA
USD
29338.41000000
0.001414642598
Long
ABS-MBS
USGA
US
N
2
2037-09-20
Floating
19.71987120
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460DAH2
615000.00000000
PA
USD
587411.64000000
0.028323877427
Long
DBT
CORP
US
N
2
2028-11-09
Fixed
1.95000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-28CB, Class 3A5
12667GYN7
56815.51240000
PA
USD
34969.06000000
0.001686141883
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
186828.97000000
PA
USD
186825.10000000
0.009008352699
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Floating
0.40686120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3014, Class OD
31395XBJ3
34827.94000000
PA
USD
30566.31000000
0.001473849612
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
None
0.00000000
N
N
N
N
N
N
Freedom Frn
N/A
Freedom Frn
N/A
9400000.00000000
PA
USD
9400940.00000000
0.453295532696
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
101272.80000000
PA
USD
114268.61000000
0.005509816086
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
7269.11000000
PA
USD
89.29000000
0.000004305394
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
1052717.18000000
PA
USD
1026863.81000000
0.049513429269
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
101582.70000000
PA
USD
115818.71000000
0.005584558974
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-90, Class PM
3136AF6A7
1694000.00000000
PA
USD
1750038.20000000
0.084383529530
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Fixed
3.50000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDM5
470000.00000000
PA
USD
457432.28000000
0.022056518713
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
1.20000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PEF5
560000.00000000
PA
USD
543791.72000000
0.026220607449
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
2785003.61000000
PA
USD
2787915.33000000
0.134428000245
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
0.54124920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-H08, Class XI
38376R2M7
5877532.43000000
PA
USD
471966.44000000
0.022757328398
Long
ABS-MBS
USGA
US
N
2
2067-03-20
Variable
2.18781000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M50, Class X1
3136BCGU8
21390856.35000000
PA
USD
2106834.64000000
0.101587578523
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.90509840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H01, Class FA
38375BE73
3992.50000000
PA
USD
3988.77000000
0.000192330939
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
4478547.18000000
PA
USD
4839753.03000000
0.233363730419
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
311306.75000000
0.015010622243
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-4, Class 10A1
576434QG2
77806.11000000
PA
USD
78218.35000000
0.003771540785
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
4303.81000000
PA
USD
4328.94000000
0.000208733292
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
1.18685880
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
176726.05000000
PA
USD
173936.39000000
0.008386883498
Long
ABS-MBS
CORP
US
N
2
2034-10-19
Floating
0.82171080
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2021-1, Class A1
693577AA6
3594020.86000000
PA
USD
3529810.08000000
0.170200760831
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
3445965.29000000
0.166157923759
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
4238363.82000000
PA
USD
4150954.35000000
0.200151161828
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
814826.08000000
0.039289371274
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
6492.09000000
PA
USD
6630.11000000
0.000319691354
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAL3
1000000.00000000
PA
USD
927360.30000000
0.044715558357
Long
DBT
CORP
ES
N
2
2032-11-22
Variable
3.22499880
N
N
N
N
N
N
Coca-Cola Femsa SAB de CV
5493008KEVFYPMGTXO33
Coca-Cola Femsa SAB de CV
191241AH1
790000.00000000
PA
USD
759687.70000000
0.036630702956
Long
DBT
CORP
MX
N
2
2030-01-22
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 365, Class 8
3136FCZH2
157182.98000000
PA
USD
31725.94000000
0.001529764775
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
2207038.41000000
PA
USD
2362434.99000000
0.113912143599
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
541965.12000000
0.026132532254
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.87500000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703DBG5
167000.00000000
PA
USD
141416.58000000
0.006818839814
Long
DBT
CORP
US
Y
2
2051-12-15
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-13, Class SJ
31392A7G7
189064.63000000
PA
USD
6292.54000000
0.000303414368
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Floating
1.59999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DTT6
59400.87000000
PA
USD
60043.14000000
0.002895166561
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
2.35100160
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBJ8
1215000.00000000
PA
USD
1110469.09000000
0.053544717623
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
7325000.00000000
0.353197635236
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
765729.99000000
0.036922050743
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
3.61600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8F82
3633279.28000000
PA
USD
3808793.26000000
0.183652801711
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
119973.73000000
PA
USD
108490.14000000
0.005231189200
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
488105.07000000
0.023535502589
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
2024401.96000000
0.097612830722
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
762204.63000000
PA
USD
822559.19000000
0.039662247201
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
339302.46000000
0.016360522389
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
783399.86000000
0.037774058429
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
4842543.06000000
PA
USD
5003553.26000000
0.241261867469
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
1455.47000000
PA
USD
1458.87000000
0.000070343950
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
0.70629120
N
N
N
N
N
N
Southern Co. Gas Capital Corp.
E8CD46SWUD2TSN8PA636
Southern Co. Gas Capital Corp., Series 21A
8426EPAE8
420000.00000000
PA
USD
373428.18000000
0.018006000014
Long
DBT
CORP
US
N
2
2051-09-30
Fixed
3.15000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBF1
265000.00000000
PA
USD
244665.12000000
0.011797288984
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
451889.31000000
0.021789247191
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
1192920.40000000
0.057520363727
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
1.51200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDZ47
287192.23000000
PA
USD
301560.65000000
0.014540683748
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
147348.73740000
PA
USD
146043.35000000
0.007041933906
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
832785.52000000
0.040155341477
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
1936000.00000000
PA
USD
2176426.40000000
0.104943161467
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
423263.91000000
0.020408984586
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
535335.32000000
0.025812855847
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
630369.11000000
0.030395205321
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
745129.39000000
0.035928728804
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
1289641.06000000
0.062184050879
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
570456.00000000
PA
USD
554453.68000000
0.026734706979
Long
ABS-O
CORP
CA
Y
2
2030-01-15
Fixed
3.55000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBK7
755000.00000000
PA
USD
686654.55000000
0.033109182700
Long
DBT
CORP
FR
Y
2
2043-01-21
Variable
4.02699960
N
N
N
N
N
N
Blackstone Secured Lending Fund
549300KM7KWQHVBNH962
Blackstone Secured Lending Fund
09261LAD0
795000.00000000
PA
USD
806993.16000000
0.038911682698
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
7091.31000000
PA
USD
7737.42000000
0.000373083747
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
234814.00000000
0.011322286623
Long
DBT
NUSS
CO
N
2
2023-09-18
Fixed
5.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31408EN81
18859.43000000
PA
USD
19560.51000000
0.000943170768
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
531260.00000000
0.025616351630
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
164526.68000000
PA
USD
172011.31000000
0.008294059785
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
597332.10000000
0.028802223231
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
491306.16000000
0.023689853090
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
382680.69000000
0.018452138533
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
460603.30000000
0.022209419295
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
442028.13000000
0.021313759757
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
84171.11000000
PA
USD
91203.24000000
0.004397647603
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
103527.03000000
PA
USD
16871.68000000
0.000813520474
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
3083234.38000000
0.148667725856
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
2087.16000000
PA
USD
2116.95000000
0.000102075322
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
493502.86000000
0.023795773806
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
545534.48000000
0.026304640037
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
17561.29000000
PA
USD
18234.44000000
0.000879230182
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
543083.54000000
PA
USD
545592.37000000
0.026307431383
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
2603.35000000
PA
USD
2582.45000000
0.000124520850
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
11727.73000000
PA
USD
11891.22000000
0.000573372120
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
3239366.60000000
0.156196125977
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
625410.20000000
0.030156096067
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
3079056.45000000
0.148466273979
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
1840224.84000000
PA
USD
1846481.79000000
0.089033856892
Long
ABS-MBS
USGA
US
N
2
2065-09-20
Floating
0.62124840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403KWA7
33788.66000000
PA
USD
37013.26000000
0.001784709338
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
85044.88900000
PA
USD
80105.58000000
0.003862539443
Long
ABS-MBS
USGA
US
N
2
2033-06-16
None
0.00000000
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
2528616.00000000
0.121925077354
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
240520.13000000
0.011597425411
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
270181.97000000
0.013027663192
Long
DBT
CORP
CH
Y
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8NF7
1482257.41000000
PA
USD
1523485.47000000
0.073459585709
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
576362.50000000
0.027791108810
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
409875.38000000
0.019763415011
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
4.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MN2S8
490167.16000000
PA
USD
510517.08000000
0.024616167290
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
126767.25000000
0.006112476849
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128Q3NB3
11995.24000000
PA
USD
12632.86000000
0.000609132597
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
31708.31000000
PA
USD
34760.78000000
0.001676099016
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
1280469.39000000
0.061741810312
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQAD4
853718.93000000
PA
USD
889061.43000000
0.042868859338
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
3341302.02000000
0.161111258986
Long
ABS-O
CORP
US
Y
3
2027-12-20
Fixed
3.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-52, Class KB
313921KW7
21192.28000000
PA
USD
23416.94000000
0.001129120523
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
16035.12800000
PA
USD
16108.76000000
0.000776733916
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
40938.60000000
PA
USD
46684.90000000
0.002251057512
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
995726.62000000
0.048012052904
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
6098.27500000
PA
USD
5792.83000000
0.000279319297
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
1155143.34000000
0.055698825398
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
3181834.36000000
PA
USD
3126763.81000000
0.150766632578
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
204700.24000000
0.009870258116
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
1058034.59000000
0.051016425281
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
315717.19000000
0.015223285312
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31412BTY8
72653.57000000
PA
USD
72755.95000000
0.003508154196
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
11083.91580000
PA
USD
11156.74000000
0.000537956885
Long
ABS-MBS
USGA
US
N
2
2061-05-20
Floating
0.80124840
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
03523TBT4
780000.00000000
PA
USD
834595.80000000
0.040242629752
Long
DBT
CORP
US
N
2
2048-10-06
Fixed
4.43900000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
53944YAP8
980000.00000000
PA
USD
929653.95000000
0.044826153819
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
354368.72000000
0.017086988929
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
240748.87000000
PA
USD
274016.68000000
0.013212565650
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
465399.77000000
0.022440696000
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
127000.00000000
PA
USD
132195.44000000
0.006374213897
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
2061082.45000000
0.099381494521
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
347047.13000000
0.016733955717
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
419887.41900000
PA
USD
414391.01000000
0.019981150142
Long
ABS-MBS
CORP
US
N
2
2034-12-26
Variable
2.88529920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H26, Class MA
38375BYQ9
3020.13000000
PA
USD
3030.66000000
0.000146132688
Long
ABS-MBS
USGA
US
N
2
2062-07-20
Floating
0.65125080
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBP5
905000.00000000
PA
USD
834697.16000000
0.040247517140
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.00000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
65557FAD8
945000.00000000
PA
USD
959524.21000000
0.046266441218
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
433497.97000000
0.020902451588
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
2003565.36000000
0.096608129309
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
606651.95000000
0.029251608757
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
12311.41000000
PA
USD
12725.54000000
0.000613601451
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
566749.01000000
0.027327564519
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
247061.69000000
0.011912847053
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
793388.57000000
0.038255695119
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
996043.90000000
0.048027351545
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
30359.63000000
PA
USD
34775.05000000
0.001676787088
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
849984.06000000
0.040984622522
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
37904.06000000
PA
USD
41578.99000000
0.002004860197
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.42427840
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
96145DAF2
400000.00000000
PA
USD
416146.63000000
0.020065802816
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
451968.75000000
0.021793077638
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
551463.45000000
0.026590523748
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
495298.45000000
0.023882353757
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
528408.70000000
0.025478867341
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
989635.40000000
0.047718345805
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
792681.39000000
0.038221596238
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
1998266.72000000
PA
USD
2287083.24000000
0.110278824840
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
1511461.39000000
PA
USD
1513013.21000000
0.072954633154
Long
ABS-O
CORP
US
Y
2
2025-04-14
Fixed
3.71000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-21, Class PE
31392CPT5
58559.72000000
PA
USD
66287.16000000
0.003196241386
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
2029745.95000000
0.097870507804
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
63805.72000000
PA
USD
76208.28000000
0.003674619014
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2436, Class MC
3133TVR99
57981.00000000
PA
USD
63970.43000000
0.003084533051
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
7685.18000000
PA
USD
8328.07000000
0.000401563772
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
23369.58400000
PA
USD
20123.70000000
0.000970326723
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
913476.87000000
0.044046125641
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410S5Y9
67276.94000000
PA
USD
70742.87000000
0.003411087289
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
44964.10000000
PA
USD
45175.67000000
0.002178285298
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
2.61351360
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AT8
800000.00000000
PA
USD
817645.55000000
0.039425320781
Long
DBT
CORP
CH
N
2
2023-06-09
Fixed
3.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410XDA1
54564.75000000
PA
USD
57745.38000000
0.002784372923
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
2.32499880
N
N
N
N
N
N
Baxalta, Inc.
5493000JW8DCO3T45R55
Baxalta, Inc.
07177MAN3
50000.00000000
PA
USD
59410.04000000
0.002864639677
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
249863.98000000
PA
USD
246232.58000000
0.011872868938
Long
ABS-MBS
USGSE
US
N
2
2036-06-27
Floating
0.31889160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-29, Class J
31359PFV3
8675.78000000
PA
USD
9455.49000000
0.000455925830
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
34864.32000000
PA
USD
36225.22000000
0.001746711541
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class QS
31339NJ23
68572.08000000
PA
USD
89649.66000000
0.004322736916
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
19.00303560
N
N
N
N
N
N
CK Hutchison International 19 Ltd.
254900FPY8WXG61CMU70
CK Hutchison International 19 Ltd.
12564CAB2
1215000.00000000
PA
USD
1280196.90000000
0.061728671360
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
175481.87000000
0.008461403619
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
796508.66000000
0.038406139953
Long
DBT
CORP
CH
Y
2
2032-05-14
Variable
3.09099960
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AE8
1480000.00000000
PA
USD
1346398.65000000
0.064920794439
Long
DBT
CORP
CH
Y
2
2032-02-11
Variable
2.09499840
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AL4
325000.00000000
PA
USD
347786.60000000
0.016769611561
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406VQ74
47247.00000000
PA
USD
47325.18000000
0.002281930602
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
1.52600040
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBA6
720000.00000000
PA
USD
706359.32000000
0.034059309413
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
140894.96000000
PA
USD
143598.10000000
0.006924028579
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.43373920
N
N
N
N
N
N
Macquarie Bank Ltd.
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
55608PAQ7
1000000.00000000
PA
USD
1050797.59000000
0.050667470839
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
6288462.06000000
PA
USD
6129706.06000000
0.295562823902
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
2234421.16000000
0.107739559021
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
43857.14000000
PA
USD
46732.34000000
0.002253344979
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
28.90400000
PA
USD
28.88000000
0.000001392538
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BC3
190000.00000000
PA
USD
194087.95000000
0.009358553579
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
506461.93000000
0.024420635633
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
602447.34000000
0.029048870422
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
1279232.00000000
0.061682145709
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
734152.76000000
0.035399456482
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
326387.95000000
0.015737809161
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
10026.05000000
PA
USD
10765.77000000
0.000519105051
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
14360.35000000
PA
USD
15674.26000000
0.000755783148
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
12890.37000000
PA
USD
11755.94000000
0.000566849175
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36241KYC6
16.49000000
PA
USD
16.66000000
0.000000803313
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
342975.13000000
PA
USD
334821.69000000
0.016144468141
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
936725.47000000
0.045167129128
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
291770.36000000
PA
USD
46704.76000000
0.002252015124
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
5.66313840
N
N
N
N
N
N
CRH America, Inc.
549300RN11MJ182CNF63
CRH America, Inc.
12626PAM5
417000.00000000
PA
USD
433573.14000000
0.020906076143
Long
DBT
CORP
US
Y
2
2025-05-18
Fixed
3.87500000
N
N
N
N
N
N
Citrix Systems, Inc.
HCTKJGUQOPZ5NBK7NP58
Citrix Systems, Inc.
177376AG5
298000.00000000
PA
USD
293822.13000000
0.014167546961
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
448.76000000
PA
USD
465.22000000
0.000022432027
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3047, Class OD
31396CJT8
576152.67000000
PA
USD
621434.24000000
0.029964382801
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
633957.36000000
0.030568223944
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
468445.94000000
0.022587576552
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
622232.00000000
0.030002849278
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
1410466.34000000
0.068010017183
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
55572.11000000
PA
USD
61717.74000000
0.002975912603
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Floating
13.86627840
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
2470000.00000000
PA
USD
2573144.83000000
0.124072173252
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQH88
494989.20000000
PA
USD
515454.25000000
0.024854228282
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
1222343.17000000
PA
USD
1223795.68000000
0.059009111288
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
0.54124920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225BYK8
50750.92000000
PA
USD
58594.99000000
0.002825339509
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
651668.99000000
0.031422245218
Long
DBT
CORP
US
Y
2
2030-10-15
Fixed
2.65000000
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
28251.95060000
PA
USD
29083.94000000
0.001402372536
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
2.69733960
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust, Series 2019-1A, Class A
35041JAA3
540809.06000000
PA
USD
550166.63000000
0.026527993542
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
238798.44000000
0.011514408779
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
139987.20000000
PA
USD
123470.33000000
0.005953505607
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
1027780.29000000
0.049557620200
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
179745.62000000
PA
USD
31416.95000000
0.001514865862
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
Floating
5.94885960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 383, Class 32
3136FFPD5
40274.55000000
PA
USD
9610.27000000
0.000463389029
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
2746662.32000000
0.132438858186
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
3.32336880
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659T2B6
1200000.00000000
PA
USD
1083129.01000000
0.052226430715
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
2131759.44000000
0.102789405201
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
46760.85000000
PA
USD
47586.53000000
0.002294532404
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
999.01000000
PA
USD
1017.68000000
0.000049070603
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
14.38430760
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BJ8
400000.00000000
PA
USD
406624.20000000
0.019606649265
Long
DBT
CORP
GB
Y
2
2024-03-15
Variable
3.88500120
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
35240.90000000
PA
USD
36297.54000000
0.001750198674
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
313428.87000000
0.015112946853
Long
DBT
CORP
US
N
2
2035-02-12
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJS9
545000.00000000
PA
USD
520236.56000000
0.025084822219
Long
DBT
CORP
US
N
2
2027-07-22
Variable
1.73400120
N
N
N
N
N
N
Kohl's Corp.
549300JF6LPRTRJ0FH50
Kohl's Corp.
500255AX2
1000000.00000000
PA
USD
984205.62000000
0.047456532091
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
581161.39000000
0.028022502203
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.70000000
N
N
N
N
N
N
SART
N/A
SART
N/A
1344740.07000000
PA
USD
1366928.28000000
0.065910694339
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
514.43700000
PA
USD
511.85000000
0.000024680438
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
14114.69000000
PA
USD
15503.37000000
0.000747543156
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
3733564.13000000
PA
USD
465463.81000000
0.022443783888
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Variable
1.97856720
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JS7
2135000.00000000
PA
USD
2112668.33000000
0.101868868012
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
1004178.57000000
PA
USD
1031122.19000000
0.049718760293
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
5482.34000000
PA
USD
5867.24000000
0.000282907207
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
728915.16000000
0.035146909324
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
175625.67000000
PA
USD
176043.27000000
0.008488473264
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
2.74978800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3385, Class SN
31397PAT7
29619.82000000
PA
USD
4088.30000000
0.000197130087
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
5.80885920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 218, Class 2
31364HVN4
445.66000000
PA
USD
12.54000000
0.000000604655
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LYA31
306689.29000000
PA
USD
328700.64000000
0.015849322696
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
1563965.76000000
0.075411468672
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
2033491.25000000
PA
USD
2013555.92000000
0.097089855202
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
92991.24000000
PA
USD
84979.80000000
0.004097565106
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
1373995.50000000
0.066251462310
Long
DBT
CORP
US
N
2
2039-04-22
Variable
4.45700160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405H4U9
71663.94000000
PA
USD
72226.65000000
0.003482632352
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
4351.88700000
PA
USD
4284.42000000
0.000206586622
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
909758.02000000
0.043866809733
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
2037512.52000000
0.098244997109
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
223808.60000000
PA
USD
225345.25000000
0.010865721421
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Variable
2.75529240
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400JBY4
4451.48000000
PA
USD
4846.26000000
0.000233677484
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
NatWest Markets plc
RR3QWICWWIPCS8A4S074
NatWest Markets plc
63906YAD0
435000.00000000
PA
USD
413346.07000000
0.019930765113
Long
DBT
CORP
GB
Y
2
2026-09-29
Fixed
1.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M3, Class A2
3136AVYL7
1000427.35000000
PA
USD
1019849.55000000
0.049175214929
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.46669840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9X98
4702754.05000000
PA
USD
4866459.79000000
0.234651479836
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
1501427.47000000
PA
USD
1502540.33000000
0.072449650703
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
900022.62000000
0.043397387173
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
4234394.52000000
0.204174488890
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
1263.64000000
PA
USD
1378.77000000
0.000066481679
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
6.50000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AM2
594000.00000000
PA
USD
613111.61000000
0.029563081336
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
7291058.18000000
0.351561024921
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
259305.53000000
0.012503221842
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
18355000.00000000
PA
USD
18296923.68000000
0.882243027423
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
16233.27000000
PA
USD
16464.06000000
0.000793865810
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF
31394B2B9
203523.44000000
PA
USD
202504.74000000
0.009764395261
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Floating
0.43686000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1981, Class Z
3133TAUE0
31392.35000000
PA
USD
33256.80000000
0.001603579947
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
403578.52000000
0.019459792340
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
132117.15000000
PA
USD
135571.39000000
0.006536995816
Long
ABS-MBS
CORP
US
N
2
2034-11-20
Variable
2.53992240
N
N
N
N
N
N
Lear Corp.
549300UPNBTXA1SYTQ33
Lear Corp.
521865BC8
445000.00000000
PA
USD
412361.28000000
0.019883280403
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.60000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3607, Class BO
31398LQM3
67639.02000000
PA
USD
61616.54000000
0.002971032930
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31401YSJ5
11005.51000000
PA
USD
11047.72000000
0.000532700147
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
1.66299840
N
N
N
N
N
N
Nissan Motor Co. Ltd.
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AC5
2393000.00000000
PA
USD
2463454.23000000
0.118783100143
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
799040.11000000
0.038528201680
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
271442.88940000
PA
USD
269411.57000000
0.012990515963
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
750194.17000000
PA
USD
673063.52000000
0.032453848959
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
459857.96000000
0.022173480411
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
486785.00000000
0.023471851313
Long
DBT
CORP
HK
Y
2
2040-09-16
Fixed
3.20000000
N
N
N
N
N
N
Life Storage LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAD6
485000.00000000
PA
USD
451005.99000000
0.021746655173
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
2.40000000
N
N
N
N
N
N
MASTR Resecuritization Trust
N/A
MASTR Resecuritization Trust, Series 2005-PO, Class 3PO
576435BB6
63291.25400000
PA
USD
52434.65000000
0.002528299574
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
415129.08000000
0.020016738481
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
1980828.27000000
PA
USD
2065987.70000000
0.099618016391
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
566827.94000000
0.027331370374
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
609539.65000000
PA
USD
122284.50000000
0.005896327129
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
830826.82000000
0.040060896671
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
1338779.78000000
PA
USD
1364342.57000000
0.065786016297
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
1277924.62000000
0.061619106320
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
39798.90000000
PA
USD
34430.46000000
0.001660171611
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
2.25583560
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381BJC4
7190.35000000
PA
USD
7826.83000000
0.000377394927
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
1317294.00000000
0.063517423305
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
4438.70000000
PA
USD
4933.95000000
0.000237905730
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
141544.57000000
PA
USD
159646.46000000
0.007697850122
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
3970099.79000000
0.191430697267
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
1051292.71000000
PA
USD
1144726.45000000
0.055196542680
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
147503.02000000
PA
USD
14491.94000000
0.000698773916
Long
ABS-MBS
USGA
US
N
2
2037-12-20
Floating
6.38829000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa
836205AR5
640000.00000000
PA
USD
682120.00000000
0.032890535282
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
576564.19000000
PA
USD
581047.73000000
0.028017021733
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
1.55364120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2543, Class YX
31393HGW6
173959.83000000
PA
USD
193508.01000000
0.009330589970
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
398743.01000000
0.019226633201
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
143773.08000000
PA
USD
159363.60000000
0.007684211148
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
1917328.43000000
PA
USD
226971.81000000
0.010944151065
Long
ABS-MBS
CORP
US
N
3
2035-11-25
Floating
4.66314120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-1, Class KA
31358R6V0
1428.49000000
PA
USD
1450.98000000
0.000069963509
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
433959.32000000
0.020924697011
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
469457.15000000
0.022636335184
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
5103142.01000000
0.246063848492
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
955086.77000000
0.046052476260
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBL2
784000.00000000
PA
USD
712443.75000000
0.034352689111
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
329841.79000000
PA
USD
353868.39000000
0.017062863963
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Variable
4.57243920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3424, Class PI
31397T4Y5
199082.41000000
PA
USD
41602.41000000
0.002005989465
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
6.60885840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1470, Class F
312914LG7
102.49000000
PA
USD
102.71000000
0.000004952481
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Floating
1.22299920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LAAW9
3738432.12000000
PA
USD
3916785.95000000
0.188860004814
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
496347.70000000
0.023932946606
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
938785.92000000
0.045266480127
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
65559CAE1
556000.00000000
PA
USD
529407.81000000
0.025527042534
Long
DBT
CORP
FI
Y
2
2026-09-30
Fixed
1.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-77, Class S
31392F6E2
33111.11000000
PA
USD
39412.08000000
0.001900375898
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Floating
14.14075320
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410GNM1
61651.80000000
PA
USD
66877.04000000
0.003224684283
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Spectra Energy Partners LP
2HKVXE7U4NF5B6UGSU72
Spectra Energy Partners LP
84756NAG4
495000.00000000
PA
USD
519111.93000000
0.025030594689
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.50000000
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
117234.70000000
PA
USD
114502.46000000
0.005521091890
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
805895.76000000
PA
USD
887205.00000000
0.042779345797
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Variable
5.13375840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HSEN7
3000000.00000000
PA
USD
3286314.81000000
0.158459879799
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.81000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4ZC4
82439.10000000
PA
USD
86266.27000000
0.004159596254
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
2.13000120
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404J2J3
51915.80000000
PA
USD
52185.77000000
0.002516299052
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
1.62200160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2575, Class ME
31393KSG1
510476.20000000
PA
USD
569773.47000000
0.027473398255
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
1113405.18000000
0.053686290325
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
900391.69000000
0.043415183029
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
976840.38000000
0.047101394159
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
431807.93000000
0.020820961058
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
705531.71000000
0.034019403625
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
189040.65000000
0.009115182326
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
800909.59000000
0.038618344467
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
119921.65000000
PA
USD
134545.70000000
0.006487538985
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
6324.41000000
PA
USD
6523.28000000
0.000314540214
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391SQG8
39638.51000000
PA
USD
43341.04000000
0.002089822912
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
Sabra Health Care LP
549300OVKLRFSIQG0H81
Sabra Health Care LP
78574MAA1
825000.00000000
PA
USD
767278.52000000
0.036996717929
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-74, Class CS
31394FDF9
79662.41000000
PA
USD
90915.41000000
0.004383768985
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
19.50613560
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1591, Class PV
3133T1WB4
8371.32000000
PA
USD
8629.58000000
0.000416102013
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
153971.43000000
PA
USD
161567.25000000
0.007790466980
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
2454.54000000
PA
USD
2512.72000000
0.000121158602
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
8.40885840
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2S9
850000.00000000
PA
USD
830725.85000000
0.040056028088
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
38071992.63000000
1.835759421933
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
401470.01000000
0.019358123979
Long
DBT
CORP
US
Y
2
2026-01-08
Fixed
1.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617VUET0
4827346.38000000
PA
USD
5169066.99000000
0.249242626245
Long
ABS-MBS
USGA
US
N
2
2071-10-20
Variable
2.04000120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-141, Class WC
38378GPG7
194083.16000000
PA
USD
203826.27000000
0.009828116936
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Variable
3.71617920
N
N
N
N
N
N
American Tower Trust #1
5493004YGM0MQZJOEJ36
American Tower Trust #1
03027WAJ1
750000.00000000
PA
USD
751690.35000000
0.036245085877
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
270887.10000000
PA
USD
53897.38000000
0.002598829646
Long
ABS-MBS
USGSE
US
N
2
2039-02-25
Floating
6.36314040
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-1, Class A
90931MAA4
598606.35000000
PA
USD
588234.18000000
0.028363538749
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
221851.52000000
0.010697260373
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
12778.96000000
PA
USD
13948.35000000
0.000672563035
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
50625.39000000
PA
USD
54051.48000000
0.002606260056
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
195681.75000000
PA
USD
202349.72000000
0.009756920490
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
14837.96470000
PA
USD
15107.55000000
0.000728457465
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
4792939.61000000
0.231106475915
Long
ABS-MBS
USGSE
US
Y
2
2047-08-25
Variable
4.15481400
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBB2
535000.00000000
PA
USD
599957.86000000
0.028928832408
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
802658.38000000
0.038702667811
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
75103.02000000
PA
USD
84863.30000000
0.004091947696
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
2037140.85000000
PA
USD
2095628.61000000
0.101047244967
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
2249.01000000
PA
USD
2288.58000000
0.000110350995
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
910060.65000000
0.043881401979
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3274, Class JO
31397F6H0
27138.27000000
PA
USD
25288.04000000
0.001219341423
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
206370.31000000
PA
USD
216397.35000000
0.010434270619
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
6.50000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2020-SFR3, Class C
74333AAE0
3250000.00000000
PA
USD
3033247.10000000
0.146257433830
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
776272.53000000
0.037430392067
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
109934.00000000
0.005300809396
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
464683.01000000
0.022406135189
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKD0
1120000.00000000
PA
USD
1060326.96000000
0.051126959023
Long
DBT
CORP
US
N
2
2032-10-20
Variable
2.57199840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A
31393LFK4
921570.17000000
PA
USD
1081162.81000000
0.052131624272
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
663644.67000000
0.031999689840
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
107512.09000000
0.005184029480
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
76415.46000000
0.003684608841
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
132744.19000000
PA
USD
121926.49000000
0.005879064565
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
36462.35000000
0.001758145501
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
2156844.18000000
0.103998943883
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.55000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYM0
780000.00000000
PA
USD
747356.91000000
0.036036135602
Long
DBT
CORP
US
N
2
2027-10-21
Variable
1.94799960
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2006-2, Class 1A1
52520MGG2
214742.23000000
PA
USD
175404.40000000
0.008457668162
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
5.93380800
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class B
90933JAA9
986111.12000000
PA
USD
963366.96000000
0.046451731349
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
338534.96000000
PA
USD
49391.07000000
0.002381543907
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
5.66313840
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAF5
1445000.00000000
PA
USD
1321438.05000000
0.063717241552
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
984564.23000000
0.047473823586
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
1226805.59000000
0.059154243451
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
1075165.00000000
0.051842421227
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
203207.70000000
0.009798290662
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
3.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617XXAR0
4030457.00000000
PA
USD
4204543.00000000
0.202735105099
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
3.50000000
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAM1
570000.00000000
PA
USD
582136.73000000
0.028069531251
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
688113.99000000
0.033179554135
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
190459.29000000
PA
USD
190510.90000000
0.009186074998
Long
ABS-MBS
CORP
US
N
2
2044-12-25
Variable
1.90004760
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-108, Class GU
3136AGMM1
4000000.00000000
PA
USD
4117443.20000000
0.198535317605
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
641845.64000000
PA
USD
726844.35000000
0.035047058785
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
975614.43000000
0.047042281171
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
202425.44000000
PA
USD
183188.02000000
0.008832979586
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
3880.44000000
PA
USD
4225.80000000
0.000203760077
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
1589060.38000000
0.076621483749
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
1865892.67000000
0.089969812784
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
3572224.95000000
0.172245925579
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
1493733.66000000
0.072025009745
Long
DBT
CORP
US
Y
2
2022-11-10
Fixed
1.15000000
N
N
N
N
N
N
NRZ Excess Spread-Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A
65246QAA7
3688813.86000000
PA
USD
3652314.15000000
0.176107675211
Long
ABS-O
CORP
US
Y
2
2026-11-25
Fixed
3.47400000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3004, Class EK
31395VXP9
1233142.82000000
PA
USD
1435504.89000000
0.069217328671
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
1137355.48000000
PA
USD
1132503.07000000
0.054607154433
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
49472.50000000
PA
USD
49859.20000000
0.002404116250
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
466784.10000000
PA
USD
484695.63000000
0.023371105846
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
187617.91000000
PA
USD
156459.62000000
0.007544186729
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.08343960
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDE3
520000.00000000
PA
USD
469739.35000000
0.022649942334
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
467546.43000000
0.022544203882
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DB1
273000.00000000
PA
USD
285526.94000000
0.013767568601
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
1097567.87000000
0.052922645214
Long
DBT
CORP
IT
Y
2
2040-10-01
Fixed
5.70000000
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust, Series 2021-GT2, Class A
30259RAK1
3370000.00000000
PA
USD
3272089.71000000
0.157773972403
Long
ABS-MBS
CORP
US
Y
2
2026-10-25
Variable
3.84999840
N
N
N
N
N
N
Brookfield Finance, Inc.
549300XH8D8K6OYWGD17
Brookfield Finance, Inc.
11271LAB8
88000.00000000
PA
USD
95976.54000000
0.004627807094
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
3715719.46000000
PA
USD
3875788.94000000
0.186883206591
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
858564.85000000
0.041398371975
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
1222094.64000000
0.058927090359
Long
DBT
CORP
DE
N
2
2024-09-18
Variable
2.22199920
N
N
N
N
N
N
Liberty Mutual Group, Inc.
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBG8
408000.00000000
PA
USD
453465.12000000
0.021865229767
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
491461.32000000
0.023697334612
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
807972.81000000
0.038958919566
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
5.12500000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAR1
1252000.00000000
PA
USD
1173124.00000000
0.056565818790
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1963, Class Z
3133TAA28
22849.87000000
PA
USD
25212.34000000
0.001215691312
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
7.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKK4
435000.00000000
PA
USD
426138.93000000
0.020547612608
Long
DBT
CORP
US
N
2
2033-02-04
Variable
2.97200160
N
N
N
N
N
N
Ohio State University (The)
JFC10ZULKO4X2E3HBY86
Ohio State University (The), General Receipts, Series 2016A
677632G96
325000.00000000
PA
USD
389912.09000000
0.018800822954
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
1053829.25000000
0.050813651746
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NFGD3
99309.08000000
PA
USD
103645.97000000
0.004997612492
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
1.87999920
N
Y
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAE0
175000.00000000
PA
USD
230444.94000000
0.011111618820
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
22467.88000000
PA
USD
29242.07000000
0.001409997265
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
23.86581840
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
783000.00000000
PA
USD
819805.49000000
0.039529468999
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L94G4
2531020.04000000
PA
USD
2627663.45000000
0.126700957916
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
80057.70000000
PA
USD
81824.53000000
0.003945423959
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
0.99114120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138NXRT6
886431.18000000
PA
USD
917234.51000000
0.044227311930
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
851720.44000000
0.041068347479
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
3908990.38000000
0.188484117184
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
306.67000000
PA
USD
308.55000000
0.000014877696
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
4155.36000000
PA
USD
4410.56000000
0.000212668854
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
1338711.02000000
0.064550111471
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
670675.30000000
0.032338693511
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
309244.26000000
0.014911172879
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
3011484.36000000
0.145208075700
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
905778.48000000
0.043674923847
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-16, Class FC
31396PXY2
52088.28000000
PA
USD
54523.41000000
0.002629015628
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.93686040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2095, Class PE
3133TGWC9
96499.16000000
PA
USD
104999.41000000
0.005062872807
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
1474200.46000000
0.071083155813
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
1070939.10000000
PA
USD
1111087.54000000
0.053574538111
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
20439.53000000
PA
USD
21071.62000000
0.001016033632
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1502, Class PX
312915HW4
13400.70000000
PA
USD
13713.73000000
0.000661250103
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8M27
3855670.36000000
PA
USD
3972399.43000000
0.191541581555
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
79113.73000000
PA
USD
63801.57000000
0.003076390941
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
348854.82000000
0.016821119107
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
Schlumberger Holdings Corp.
529900IKZG65COT1D505
Schlumberger Holdings Corp.
806851AK7
1126000.00000000
PA
USD
1171673.36000000
0.056495871675
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
29759.98000000
PA
USD
30487.71000000
0.001470059669
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.62328400
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2F9
1827000.00000000
PA
USD
1855048.93000000
0.089446948167
Long
DBT
CORP
US
N
2
2027-06-17
Variable
3.19600080
N
N
N
N
N
N
Stellantis Finance US, Inc.
549300QZ0AI8Q7LNON33
Stellantis Finance US, Inc.
85855CAB6
785000.00000000
PA
USD
726983.83000000
0.035053784247
Long
DBT
CORP
US
Y
2
2031-09-15
Fixed
2.69100000
N
N
N
N
N
N
Oklahoma Gas and Electric Co.
549300VJ8YXGPO8EV472
Oklahoma Gas and Electric Co.
678858BW0
675000.00000000
PA
USD
665227.82000000
0.032076026336
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
89970.04000000
PA
USD
13625.41000000
0.000656991480
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
7.03428840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1686, Class SH
3133T4EV4
967.12000000
PA
USD
1039.17000000
0.000050106810
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
18.99834840
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2013-2, Class A
48248XAA6
1733697.12440000
PA
USD
64718.91000000
0.003120623340
Long
ABS-O
CORP
US
Y
3
2039-03-25
Variable
1.76405400
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H15, Class FA
38375BUB6
29.06000000
PA
USD
29.10000000
0.000001403146
Long
ABS-MBS
USGA
US
N
2
2062-05-20
Floating
0.55125000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-110
31396LVP2
259530.26000000
PA
USD
236078.69000000
0.011383267581
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
263102.62000000
0.012686310335
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
445833.84000000
PA
USD
448601.89000000
0.021630734021
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
1015497.61000000
PA
USD
1089018.42000000
0.052510406917
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
105514.08000000
PA
USD
20559.61000000
0.000991345478
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
472145.51000000
0.022765962814
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
157743.20000000
0.007606078527
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
38894.83000000
PA
USD
5035.29000000
0.000242792153
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Variable
5.00000040
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBG4
1090000.00000000
PA
USD
965104.12000000
0.046535493916
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-130, Class CP
38377LK72
99523.35000000
PA
USD
114178.70000000
0.005505480796
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
10640.74000000
PA
USD
914.96000000
0.000044117639
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
8726.88000000
PA
USD
8763.88000000
0.000422577705
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Floating
1.34114040
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAD8
2132000.00000000
PA
USD
2378989.96000000
0.114710392917
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
1781697.24750000
PA
USD
32635.35000000
0.001573614804
Long
ABS-O
CORP
US
Y
3
2038-08-25
Variable
0.83926440
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
8965000.00000000
PA
USD
9039591.58000000
0.435871995844
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
570457.44000000
0.027506377994
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
10469.50000000
PA
USD
10112.04000000
0.000487583428
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
78097.61000000
PA
USD
86780.04000000
0.004184369271
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
27084.06000000
PA
USD
24182.39000000
0.001166029073
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
406812.50000000
0.019615728735
Long
DBT
UST
US
N
2
2024-11-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
3136195D6
8172.69900000
PA
USD
8325.41000000
0.000401435511
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Variable
2.17599840
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCV4
1445000.00000000
PA
USD
1574402.93000000
0.075914729253
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
5469203.03000000
0.263714617996
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
3104.13000000
PA
USD
3346.42000000
0.000161358038
Long
ABS-MBS
USGA
US
N
2
2027-10-20
Fixed
8.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TF5
6300000.00000000
PA
USD
6432890.63000000
0.310181810000
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.37500000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822BK9
760000.00000000
PA
USD
796574.90000000
0.038409333920
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
16555261.63000000
0.798263379991
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
1900257.39000000
0.091626814537
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
1678053.55000000
0.080912565960
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
592.11000000
PA
USD
592.35000000
0.000028561995
Long
ABS-MBS
USGSE
US
N
2
2022-09-15
Floating
1.34114040
N
N
N
N
N
N
VOLT XCIII LLC
N/A
VOLT XCIII LLC, Series 2021-NPL2, Class A1
92873CAA2
5303911.80000000
PA
USD
5192190.20000000
0.250357583663
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
1288.89000000
PA
USD
1334.46000000
0.000064345135
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
20.01299760
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-19, Class SD
38375JTV7
289369.91000000
PA
USD
21135.72000000
0.001019124412
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Floating
6.03829080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2038, Class PN
3133TDA22
25164.11000000
PA
USD
3136.98000000
0.000151259237
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
907526.00000000
0.043759185954
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
4165092.66000000
0.200832884375
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
620296.68000000
PA
USD
657983.30000000
0.031726709294
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Variable
4.47608880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31404ADZ4
222979.49000000
PA
USD
230009.74000000
0.011090634300
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
623418.28000000
PA
USD
101744.36000000
0.004905920457
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
6730.64000000
PA
USD
7000.51000000
0.000337551341
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
802202.18000000
0.038680670710
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
20254.70000000
PA
USD
23160.90000000
0.001116774759
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
13.65000000
0.000000658177
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
465131.84000000
0.022427776923
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LJJ5
54544.86000000
PA
USD
57418.29000000
0.002768601262
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
2.32200000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402TVS1
25295.24000000
PA
USD
28195.79000000
0.001359547624
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
2575621.12000000
0.124191575269
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
38491.37000000
PA
USD
38140.81000000
0.001839077665
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.36867760
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060AW6
895000.00000000
PA
USD
1008865.99000000
0.048645608455
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
6830168.85000000
0.329337813800
Long
DBT
CORP
KY
Y
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406QGE1
15836.59000000
PA
USD
15882.94000000
0.000765845303
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Variable
2.04500160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-43, Class SA
38374UF97
154619.84000000
PA
USD
13007.01000000
0.000627173402
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Floating
5.78828880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3256
31397EBP9
94649.20000000
PA
USD
85248.24000000
0.004110508774
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
78920.73000000
PA
USD
76856.54000000
0.003705876884
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
0.64685880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381E7J6
4128.04000000
PA
USD
4143.20000000
0.000199777261
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
752307.73000000
0.036274854772
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
5386.76000000
PA
USD
5594.76000000
0.000269768737
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Fixed
6.50000000
N
N
N
N
N
N
Paramount Global
5KYC8KF17ROCY24M3H09
Paramount Global
124857AJ2
140000.00000000
PA
USD
147825.44000000
0.007127862912
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
248454.10000000
PA
USD
24446.82000000
0.001178779387
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
6.03829080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3315, Class HZ
31397H3E6
135457.82000000
PA
USD
150966.59000000
0.007279323220
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
2504528.74000000
0.120763635269
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
19731400.00000000
PA
USD
18368700.19000000
0.885703954877
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
5236.81000000
PA
USD
5250.51000000
0.000253169654
Long
ABS-MBS
USGA
US
N
2
2062-09-20
Floating
0.68124960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8K52
3000000.00000000
PA
USD
3168214.23000000
0.152765293373
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
473294.15000000
0.022821348061
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TB4
7225000.00000000
PA
USD
6740699.22000000
0.325023757589
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132G7H73
279821.62000000
PA
USD
284572.31000000
0.013721538149
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
47029.80000000
PA
USD
42087.80000000
0.002029394052
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
2583609.75000000
0.124576771887
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
175399.00000000
0.008457407784
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Floating
6.31314000
N
N
N
N
N
N
Vale Overseas Ltd.
254900BA3U6G5DNV5V04
Vale Overseas Ltd.
91911TAQ6
1275000.00000000
PA
USD
1252050.00000000
0.060371481119
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
7367.41000000
PA
USD
7962.40000000
0.000383931856
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31283YKV9
78001.25000000
PA
USD
83192.53000000
0.004011386329
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
2307677.33000000
PA
USD
304106.18000000
0.014663424387
Long
ABS-MBS
CORP
US
N
3
2035-09-25
Floating
4.86313920
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAP4
1085000.00000000
PA
USD
1154788.68000000
0.055681724365
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
252219.14000000
0.012161529530
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
820445.82000000
0.039560344500
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
797180.04000000
PA
USD
847384.21000000
0.040859262676
Long
ABS-O
CORP
US
N
2
2031-08-25
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402REL9
379640.16000000
PA
USD
397774.55000000
0.019179935893
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
2.40400080
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBG9
900000.00000000
PA
USD
853502.40000000
0.041154270218
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
301580.85000000
0.014541657754
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.40900000
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
721535.09570000
PA
USD
723393.91000000
0.034880685099
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
483791.90000000
PA
USD
489929.04000000
0.023623450970
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
2.00363400
N
N
N
N
N
N
Anthem, Inc.
8MYN82XMYQH89CTMTH67
Anthem, Inc.
94973VBK2
100000.00000000
PA
USD
111974.27000000
0.005399187354
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
4.65000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83367TBG3
370000.00000000
PA
USD
383433.60000000
0.018488442428
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
6392528.50000000
0.308235624489
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
31011.06000000
PA
USD
33696.11000000
0.001624762644
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
1038271.02000000
0.050063463344
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31400FEM5
114392.55000000
PA
USD
114860.86000000
0.005538373260
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
2.26100160
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
28272.89730000
PA
USD
28878.98000000
0.001392489753
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
2.59703640
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-57
38375LUK4
68433.51000000
PA
USD
66125.08000000
0.003188426196
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
546785.90000000
0.026364981141
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
654019.89000000
0.031535601166
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
552068.70000000
0.026619707758
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
1064619.89000000
0.051333955982
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
568624.36000000
0.027417990346
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
630.20300000
PA
USD
568.04000000
0.000027389813
Long
ABS-MBS
CORP
US
N
3
2033-06-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2054, Class PV
3133TE4B7
37784.36000000
PA
USD
41859.48000000
0.002018384893
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
101750.32000000
PA
USD
109834.01000000
0.005295988068
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
318785.59000000
PA
USD
53154.18000000
0.002562993949
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Floating
7.41314160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1343, Class LB
312911GX2
279.42000000
PA
USD
282.35000000
0.000013614382
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
24728.88000000
PA
USD
24954.73000000
0.001203269846
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
0.64685880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-230, Class FA
31359FE38
2137.34000000
PA
USD
2132.05000000
0.000102803415
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
0.70770960
N
N
N
N
N
N
7-Eleven, Inc.
549300K23JPL0SS3LB18
7-Eleven, Inc.
817826AF7
574000.00000000
PA
USD
480190.70000000
0.023153886648
Long
DBT
CORP
US
Y
2
2041-02-10
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHP98
64265.93000000
PA
USD
64209.81000000
0.003096075501
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
2.44500120
N
Y
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR2, Class A
02665UAA3
3471802.94000000
PA
USD
3537945.99000000
0.170593059011
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
828206.79000000
0.039934563783
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
4686220.72000000
0.225960693037
Long
ABS-O
CORP
US
N
2
2025-03-15
Fixed
2.95000000
N
N
N
N
N
N
PRET LLC
N/A
PRET LLC, Series 2021-RN4, Class A1
69359QAA2
6960823.13000000
PA
USD
6874926.57000000
0.331495946341
Long
ABS-O
CORP
US
Y
2
2051-10-25
Variable
2.48709960
N
N
N
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585ABH4
380000.00000000
PA
USD
403588.88000000
0.019460291880
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
18835.42700000
PA
USD
21336.53000000
0.001028807090
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
60690.79000000
PA
USD
67700.73000000
0.003264401056
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
2470092.23000000
0.119103171938
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
2247.05000000
PA
USD
2479.44000000
0.000119553903
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.25000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AM1
400000.00000000
PA
USD
420319.17000000
0.020266994797
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
4927.43000000
PA
USD
5379.55000000
0.000259391718
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Floating
22.40455680
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC - GNMA, Series 8, Class ZA
3129145M2
3569.69000000
PA
USD
3618.79000000
0.000174491204
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
356528.94000000
PA
USD
398386.42000000
0.019209439106
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
1626000.00000000
PA
USD
1702592.65000000
0.082095794914
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
1091246.78000000
0.052617854219
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
86732.90000000
PA
USD
96634.07000000
0.004659511946
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
3836437.50000000
0.184985754639
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
296001.61000000
PA
USD
299521.31000000
0.014442350634
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
320005.45000000
0.015430057092
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
2147.27000000
PA
USD
2336.13000000
0.000112643766
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
2848575.30000000
0.137352909181
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
1326654.30000000
0.063968759254
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.44700000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BG2
244000.00000000
PA
USD
224161.48000000
0.010808642272
Long
DBT
CORP
US
Y
2
2031-09-23
Fixed
2.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-36, Class SE
38375KHZ8
146047.73000000
PA
USD
13055.66000000
0.000629519213
Long
ABS-MBS
USGA
US
N
2
2037-06-16
Floating
6.34429080
N
N
N
N
N
N
Roper Technologies, Inc.
54930003T4SXCIWVXY35
Roper Technologies, Inc.
776743AJ5
570000.00000000
PA
USD
519012.45000000
0.025025797951
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
266069.51000000
0.012829368155
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
92116.66000000
0.004441690986
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31385WZX0
235117.74000000
PA
USD
235728.55000000
0.011366384493
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
324346.90000000
PA
USD
338336.23000000
0.016313932607
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
11158.98000000
PA
USD
11439.49000000
0.000551590555
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
7494637.91000000
0.361377254166
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
450953.35000000
PA
USD
208977.51000000
0.010076499979
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
106934.44000000
PA
USD
107030.68000000
0.005160816801
Long
ABS-O
CORP
KY
Y
2
2047-09-20
Fixed
4.00000000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418AHB7
442141.80000000
PA
USD
471755.92000000
0.022747177522
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
135375.32000000
PA
USD
139169.46000000
0.006710487941
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
47602.25000000
PA
USD
42584.74000000
0.002053355558
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YXX4
58866.84000000
PA
USD
58855.00000000
0.002837876699
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
1.83499920
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
Nationwide Building Society
63859UBH5
1000000.00000000
PA
USD
951898.78000000
0.045898757417
Long
DBT
CORP
GB
Y
2
2026-10-13
Fixed
1.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128283C2
1650000.00000000
PA
USD
1662697.26000000
0.080172114723
Long
DBT
UST
US
N
2
2022-10-31
Fixed
2.00000000
N
N
N
N
N
N
Analog Devices, Inc.
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654AW5
896000.00000000
PA
USD
825900.65000000
0.039823366077
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
2.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-42, Class ZC
31359PX84
3971.22000000
PA
USD
4280.65000000
0.000206404840
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
2574.62000000
PA
USD
2596.10000000
0.000125179028
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
105811.00000000
PA
USD
121689.81000000
0.005867652303
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
88377.72000000
PA
USD
101201.58000000
0.004879748633
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
232918.98000000
PA
USD
272172.19000000
0.013123627834
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
23617.24000000
PA
USD
27094.80000000
0.001306459970
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
1278722.06000000
PA
USD
1295729.06000000
0.062477602716
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
117783.84000000
0.005679313823
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
125063.47000000
PA
USD
161613.11000000
0.007792678262
Long
ABS-MBS
USGA
US
N
2
2034-04-16
Floating
19.31680080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RJ9
8200000.00000000
PA
USD
9202257.79000000
0.443715452595
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
159089.30000000
PA
USD
14129.63000000
0.000681304014
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
6.38829000
N
N
N
N
N
N
Halliburton Co.
ENYF8GB5SMQZ25S06U51
Halliburton Co.
406216BE0
540000.00000000
PA
USD
569463.77000000
0.027458465108
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
532937.14000000
0.025697220147
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
1742000.00000000
PA
USD
1785271.77000000
0.086082425586
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
398596.78000000
0.019219582267
Long
DBT
CORP
US
Y
2
2047-03-15
Fixed
4.80000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series 2010-D
649902T37
360000.00000000
PA
USD
461338.42000000
0.022244865390
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
180095.28000000
PA
USD
191769.44000000
0.009246759415
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
261098.47000000
0.012589674016
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
540023.02000000
0.026038887868
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
284520.63000000
PA
USD
304938.29000000
0.014703547156
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
364253.08000000
0.017563594059
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L7EW2
9395253.60000000
PA
USD
9876660.48000000
0.476233873798
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
171179.03000000
PA
USD
172868.17000000
0.008335375952
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
2.26932840
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AN9
840000.00000000
PA
USD
757374.76000000
0.036519177367
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
540837.86000000
0.026078177911
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
1024814.53000000
0.049414616867
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
445932.74000000
0.021502032661
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
614241.79000000
0.029617576476
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
114194.46000000
PA
USD
101085.39000000
0.004874146171
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
192272.52000000
PA
USD
200604.21000000
0.009672755302
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
1190577.02000000
0.057407370379
Long
DBT
CORP
CA
Y
2
2041-05-13
Fixed
3.43900000
N
N
N
N
N
N
Duke Energy Corp.
I1BZKREC126H0VB1BL91
Duke Energy Corp.
26441CAT2
985000.00000000
PA
USD
941006.51000000
0.045373552774
Long
DBT
CORP
US
N
2
2046-09-01
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WSPZ5
446192.97000000
PA
USD
463645.13000000
0.022356090580
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
475190.81000000
0.022912801416
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
315881.94000000
0.015231229245
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
47336.20000000
PA
USD
46879.82000000
0.002260456186
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
0.80686080
N
N
N
N
N
N
Pennsylvania Electric Co.
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co.
708696BY4
150000.00000000
PA
USD
150403.04000000
0.007252149905
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
1286116.59000000
0.062014107607
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
22182.42000000
PA
USD
22674.48000000
0.001093320507
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
1334661.08000000
0.064354831030
Long
ABS-O
CORP
US
Y
2
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
100391.77000000
PA
USD
98558.76000000
0.004752316855
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.78685920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-128
3136AHNE6
1185215.67000000
PA
USD
1063864.76000000
0.051297545043
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
1047508.69000000
0.050508886306
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AC2
1162000.00000000
PA
USD
1208476.69000000
0.058270458586
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
280234.82420000
PA
USD
288163.65000000
0.013894705766
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
996147.71000000
0.048032357067
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
255775.08000000
PA
USD
258840.80000000
0.012480813442
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
105680.48000000
PA
USD
105789.08000000
0.005100949199
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.87000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBD6
1730000.00000000
PA
USD
1658076.10000000
0.079949291134
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.39000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292J5A4
49831.08000000
PA
USD
55468.06000000
0.002674564863
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-17, Class SI
31358UWA0
2617.92000000
PA
USD
2660.49000000
0.000128283792
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
684744.28000000
0.033017073097
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
17508.22000000
0.000844213228
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
480752.02000000
0.023180952436
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
CGI, Inc.
549300WSRCZY73ZG3090
CGI, Inc.
12532HAA2
843000.00000000
PA
USD
801872.46000000
0.038664772236
Long
DBT
CORP
CA
Y
2
2026-09-14
Fixed
1.45000000
N
N
N
N
N
N
Markel Corp.
549300SCNO12JLWIK605
Markel Corp.
570535AR5
200000.00000000
PA
USD
208104.51000000
0.010034405571
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
135521.18000000
PA
USD
176391.18000000
0.008505248826
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Floating
19.01113560
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A
12669FYY3
134426.24000000
PA
USD
136585.92000000
0.006585914532
Long
ABS-MBS
CORP
US
N
2
2034-06-20
Variable
1.98277560
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1999-1, Class 2Z
911760MJ2
514910.68000000
PA
USD
550509.70000000
0.026544535728
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.50000000
N
N
N
N
N
N
Brookfield Finance, Inc.
549300XH8D8K6OYWGD17
Brookfield Finance, Inc.
11271LAD4
411000.00000000
PA
USD
450870.98000000
0.021740145246
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
262244.87000000
0.012644951254
Long
DBT
CORP
NL
Y
2
2042-03-06
Fixed
4.87500000
N
N
N
N
N
N
Ohio University
549300P1K3IH2L5SFY61
Ohio University, General Receipts, Federally Taxable
677704A65
200000.00000000
PA
USD
296909.98000000
0.014316437244
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
143022.45000000
PA
USD
141466.85000000
0.006821263738
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
0.16770960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2075, Class PH
3133TGCG2
74882.48000000
PA
USD
82122.62000000
0.003959797294
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
424451.88000000
0.020466266250
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
87335.39000000
PA
USD
98961.45000000
0.004771733804
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
6.24999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418BA63
1338341.37000000
PA
USD
1455534.99000000
0.070183142180
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
6273.24000000
PA
USD
5774.82000000
0.000278450889
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
42.16000000
PA
USD
42.16000000
0.000002032875
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Floating
0.91800000
N
N
N
N
N
N
CNA Financial Corp.
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117AS9
463000.00000000
PA
USD
477597.15000000
0.023028830576
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
676.10000000
PA
USD
12.28000000
0.000000592118
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Floating
7.96313880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140HNWP3
1359932.37000000
PA
USD
1440574.73000000
0.069461786760
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
314348.77000000
0.015157302689
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
244152.32000000
0.011772562738
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
12547.97000000
PA
USD
12959.74000000
0.000624894132
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
641797.06000000
0.030946239439
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381TNR7
866595.00000000
PA
USD
892262.79000000
0.043023222858
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
1793002.31000000
PA
USD
1795105.32000000
0.086556580754
Long
ABS-MBS
USGA
US
N
2
2065-07-20
Floating
0.54124920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405XXV0
52756.48000000
PA
USD
52878.95000000
0.002549722879
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
1.99500120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJX5
358363.71000000
PA
USD
358494.77000000
0.017285939250
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
1.72900080
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
101106.14000000
PA
USD
84620.50000000
0.004080240340
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
21996678.33000000
1.060638193749
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
1067493.55000000
0.051472518428
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
507963.85000000
PA
USD
56190.86000000
0.002709416911
Long
ABS-MBS
CORP
US
N
3
2035-04-25
Floating
4.81313880
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAE5
400000.00000000
PA
USD
403401.53000000
0.019451258217
Long
DBT
CORP
ES
N
2
2023-02-23
Fixed
3.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128KRW91
394391.58000000
PA
USD
439570.86000000
0.021195274849
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
700335.43000000
PA
USD
715681.11000000
0.034508788482
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
403012.80000000
PA
USD
399552.41000000
0.019265660937
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
643165.13000000
0.031012205185
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
555664.50000000
0.026793090427
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
300431.69000000
0.014486247434
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
202486.83000000
PA
USD
223469.26000000
0.010775264734
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
1306825.63000000
0.063012658318
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
1624442.06000000
PA
USD
1622167.84000000
0.078217862804
Long
ABS-MBS
CORP
US
Y
3
2022-11-10
Floating
3.08475000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138M1MA3
475309.77000000
PA
USD
509422.19000000
0.024563373767
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
1213557.94000000
PA
USD
1217275.31000000
0.058694711388
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, Build America Bonds
13063A7D0
350000.00000000
PA
USD
518758.91000000
0.025013572733
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
68595.61000000
PA
USD
78323.96000000
0.003776633099
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349SF40
113031.65000000
PA
USD
113553.11000000
0.005475316030
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
185256.76000000
PA
USD
121135.04000000
0.005840902344
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
322780.07000000
0.015563844017
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
197918.57000000
PA
USD
21119.55000000
0.001018344725
Long
ABS-MBS
USGA
US
N
2
2036-10-20
Floating
6.53829120
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
5969.45890000
PA
USD
3668.64000000
0.000176894876
Long
ABS-MBS
CORP
US
N
3
2019-07-25
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QA9
960500.00000000
PA
USD
1155564.05000000
0.055719111238
Long
DBT
UST
US
N
2
2039-02-15
Fixed
3.50000000
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
162642.43000000
PA
USD
163784.70000000
0.007897388222
Long
ABS-O
CORP
US
N
3
2036-01-25
Variable
2.90854440
N
N
N
N
N
N
Liberty Mutual Insurance Co.
CNC20I6IOMGF7KY49D67
Liberty Mutual Insurance Co.
53079QAB3
100000.00000000
PA
USD
117205.53000000
0.005651428809
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
800350.68000000
0.038591394885
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
629620.69000000
PA
USD
551958.49000000
0.026614393640
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
2003.39000000
PA
USD
2012.37000000
0.000097032672
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
1090427.31000000
0.052578340926
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
659.84000000
PA
USD
683.38000000
0.000032951290
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
9.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406YB58
53087.27000000
PA
USD
53417.38000000
0.002575684955
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
1.96999920
N
N
N
N
N
N
Duke Realty LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YBC0
380000.00000000
PA
USD
378073.17000000
0.018229972640
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
201270.85000000
0.009704899421
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
1230036.72000000
PA
USD
1247402.75000000
0.060147399520
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
376688.23000000
PA
USD
382258.47000000
0.018431779884
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
527488.35000000
0.025434489806
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
124631.55000000
PA
USD
125673.21000000
0.006059724311
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.06627760
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABF1
1980000.00000000
PA
USD
2047500.56000000
0.098726601493
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
286243.35000000
PA
USD
307249.58000000
0.014814993185
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
384809.32000000
0.018554777043
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
2745612.14000000
0.132388220494
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
2356908.68000000
0.113645675391
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
1.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31410GVM2
177225.50000000
PA
USD
194380.99000000
0.009372683413
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
223256.65000000
PA
USD
245451.59000000
0.011835211078
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
349478.53000000
PA
USD
42338.31000000
0.002041473170
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Floating
6.10828920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-76, Class SA
38375LT67
327121.21000000
PA
USD
29812.65000000
0.001437509553
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
6.36828840
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2020-1A, Class A
12327FAA5
949116.90000000
PA
USD
945980.26000000
0.045613377585
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
1351352.17000000
0.065159643797
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
348753.79000000
PA
USD
382677.32000000
0.018451976038
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
6.00000000
N
N
N
N
N
N
Zillow Cspa
N/A
Zillow Cspa
N/A
2094917.66000000
PA
USD
2096023.78000000
0.101066299316
Long
ABS-MBS
CORP
US
N
2
2022-07-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-119
31396LM80
37044.22000000
PA
USD
34555.93000000
0.001666221537
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
236.38000000
PA
USD
238.71000000
0.000011510144
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
1224.72500000
PA
USD
1059.61000000
0.000051092388
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
466614.24000000
0.022499255445
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
334183.22000000
PA
USD
350703.63000000
0.016910265226
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
4.96506960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5FJ4
1874109.88000000
PA
USD
1919780.78000000
0.092568195449
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
414819.56000000
0.020001814012
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
KLA Corp.
549300H0BF5JCG96TJ81
KLA Corp.
482480AJ9
600000.00000000
PA
USD
566735.25000000
0.027326901038
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.30000000
N
N
N
N
N
N
AstraZeneca plc
PY6ZZQWO2IZFZC3IOL08
AstraZeneca plc
046353AD0
300000.00000000
PA
USD
407150.39000000
0.019632021151
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
588791.05000000
0.028390389967
Long
DBT
CORP
US
N
2
2059-12-01
Fixed
3.30100000
N
N
N
N
N
N
OneSky Loan Trust
N/A
OneSky Loan Trust, Series A
68278AAA7
3500000.00000000
PA
USD
3513928.53000000
0.169434982551
Long
ABS-O
CORP
US
N
2
2029-07-15
Fixed
3.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-39, Class PD
31359PSF4
49666.31000000
PA
USD
53859.61000000
0.002597008448
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
261607.41000000
0.012614214139
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
409791.39000000
0.019759365172
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
7.45000000
N
N
N
N
N
N
P -stla
N/A
P -stla
N/A
2600000.00000000
PA
USD
2600000.00000000
0.125367078718
Long
ABS-MBS
CORP
US
N
3
2022-10-11
Fixed
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DQT9
161585.67000000
PA
USD
163404.00000000
0.007879031588
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Variable
1.83999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QM4X9
4469471.10000000
PA
USD
4414965.99000000
0.212881303388
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402BEZ3
67240.91000000
PA
USD
74810.34000000
0.003607212993
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31408EQC9
44948.73000000
PA
USD
46959.83000000
0.002264314117
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Variable
1.98799920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-157, Class OP
38377NF41
591119.45000000
PA
USD
544610.64000000
0.026260094221
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
569854.50000000
0.027477305369
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
571014.10000000
PA
USD
107556.90000000
0.005186190134
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Floating
6.27314040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF
31394FSB2
553133.59000000
PA
USD
551271.47000000
0.026581266836
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Floating
0.40686120
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460DAJ8
516000.00000000
PA
USD
493414.16000000
0.023791496860
Long
DBT
CORP
US
N
2
2031-11-09
Fixed
2.25000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAJ2
151000.00000000
PA
USD
152024.18000000
0.007330318208
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
24931.00000000
PA
USD
26676.69000000
0.001286299498
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
754295.35000000
0.036370694046
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
98172.25000000
PA
USD
104234.15000000
0.005025973418
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
278042.28000000
0.013406672463
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
127453.01000000
PA
USD
129724.64000000
0.006255076597
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
75102.80000000
PA
USD
75482.78000000
0.003639636777
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
1680512.04000000
0.081031109694
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
1.25000000
N
N
N
N
N
N
Bank of Ireland Group plc
635400C8EK6DRI12LJ39
Bank of Ireland Group plc
06279JAB5
755000.00000000
PA
USD
710118.27000000
0.034240558867
Long
DBT
CORP
IE
Y
2
2027-09-30
Variable
2.02899960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-2, Class NS
38374DPV5
299900.13000000
PA
USD
30617.55000000
0.001476320308
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
6.41428920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3232, Class ST
31397BP96
144107.92000000
PA
USD
25952.94000000
0.001251401643
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Floating
6.50886120
N
N
N
N
N
N
Eastern Gas Transmission & Storage, Inc.
H2VQBNB3NSKRM5QWBI71
Eastern Gas Transmission & Storage, Inc.
276480AA8
807000.00000000
PA
USD
788806.80000000
0.038034770842
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
1097500.00000000
0.052919372651
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
428173.03000000
0.020645693060
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
399720.55000000
0.019273768329
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
3009955.11000000
PA
USD
381281.25000000
0.018384660185
Long
ABS-MBS
CORP
US
N
3
2035-06-25
Floating
4.88314080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LN8
14070000.00000000
PA
USD
13875240.81000000
0.669037848795
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
184924.55000000
PA
USD
169203.37000000
0.008158666233
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
587503.13000000
0.028328288902
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
866.79000000
PA
USD
878.18000000
0.000042344177
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
32782.73000000
PA
USD
35579.46000000
0.001715574216
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
405112.14000000
PA
USD
405208.52000000
0.019538387855
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
0.49925160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1706, Class K
3133T4UA2
21389.83000000
PA
USD
22151.93000000
0.001068124135
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
4.16000000
PA
USD
8.52000000
0.000000410818
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
70335.45000000
0.003391442268
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
1.08686160
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2019-SFR4, Class D
74331AAG7
5000000.00000000
PA
USD
4895033.00000000
0.236029225939
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
701716.12000000
0.033835423097
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
58599.41000000
PA
USD
54006.63000000
0.002604097474
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
36384.10000000
PA
USD
39122.67000000
0.001886421095
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
3786385.60000000
0.182572346759
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
1025878.97000000
0.049465942149
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
3288290.10000000
PA
USD
3421763.77000000
0.164990972273
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
722107.10000000
0.034818637557
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
303647.82000000
0.014641323135
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
589008.01000000
0.028400851367
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
1099372.64000000
0.053009667807
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
3837789.99000000
PA
USD
4281577.06000000
0.206449541662
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
248725.00000000
0.011993048713
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
34092.46000000
PA
USD
44051.20000000
0.002124065483
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
22.38941880
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-36, Class SH
38374D3F4
242733.26000000
PA
USD
909.74000000
0.000043865940
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Floating
6.13829160
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAY6
935000.00000000
PA
USD
865486.12000000
0.041732102513
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
9649.64000000
PA
USD
9823.41000000
0.000473666236
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
673735.03000000
0.032486227900
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
867845.97000000
0.041845890014
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
448998.72000000
0.021649868413
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
88959.40000000
PA
USD
99817.27000000
0.004812999825
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
21937.71000000
PA
USD
23125.16000000
0.001115051443
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
369337.26000000
0.017808743595
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
263588.44000000
0.012709735656
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
21693.47000000
PA
USD
21443.96000000
0.001033987162
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
2.91341880
N
N
N
N
N
N
NatWest Group plc
2138005O9XJIJN4JPN90
NatWest Group plc
780097BM2
900000.00000000
PA
USD
910390.89000000
0.043897325527
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
928468.57000000
0.044768997039
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
1293070.00000000
0.062349387876
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
293155.60000000
PA
USD
392716.28000000
0.018936035688
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
19.01113560
N
N
N
N
N
N
Hutchison Whampoa International 12 II Ltd.
2549005GEGKY2Q53V676
Hutchison Whampoa International 12 II Ltd.
44842CAB9
539000.00000000
PA
USD
544891.27000000
0.026273625668
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
27202.78000000
PA
USD
30672.98000000
0.001478993037
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
4089453.14000000
0.197185689891
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
410018.95000000
0.019770337684
Long
DBT
CORP
FR
N
2
2026-12-02
Fixed
3.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JLW39
70249.50000000
PA
USD
70812.19000000
0.003414429768
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
2.05099920
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
2305744.47000000
0.111178634029
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
1855387.40000000
0.089463268549
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAE1
2345000.00000000
PA
USD
2125064.65000000
0.102466595099
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
5830480.97640000
PA
USD
5771581.46000000
0.278294733549
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
1155627.33000000
0.055722162480
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
35216.66000000
PA
USD
516.85000000
0.000024921528
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
6.91314120
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS
362341LM9
440880.15000000
PA
USD
34518.76000000
0.001664429270
Long
ABS-MBS
CORP
US
Y
3
2035-09-25
Variable
4.10914440
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury STRIPS Bonds
912833LH1
9795000.00000000
PA
USD
9788733.35000000
0.471994194017
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
67394.44000000
PA
USD
55304.97000000
0.002666700972
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
1912930.12000000
0.092237869591
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
18651.22000000
PA
USD
20927.10000000
0.001009065151
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
236210.44000000
0.011389620317
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
1396128.38000000
0.067318667891
Long
DBT
UST
US
N
2
2026-05-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5G20
1859776.02000000
PA
USD
1897452.72000000
0.091491578659
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
1226970.35000000
PA
USD
1245948.37000000
0.060077272069
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
451448.12000000
0.021767973845
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.60000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RLJ9
2984000.00000000
PA
USD
2705845.66000000
0.130470756099
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M5, Class A2
3136AWWF0
3152004.15000000
PA
USD
3329508.63000000
0.160542604043
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Variable
3.12014160
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
654087.88000000
0.031538879515
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
207614.97000000
0.010010800879
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
805866.11000000
0.038857338480
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
88141.62000000
PA
USD
99451.17000000
0.004795347176
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
1065396.93000000
0.051371423380
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
635274.00000000
0.030631709833
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
1394370.68000000
PA
USD
1404701.71000000
0.067732057636
Long
ABS-MBS
USGA
US
N
2
2065-12-20
Floating
0.76124880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403EDC8
78675.15000000
PA
USD
82097.36000000
0.003958579305
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
2.05999920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3481, Class SJ
31397Y4R9
271725.00000000
PA
USD
44713.63000000
0.002156006604
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Floating
5.65886160
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BZ2
485000.00000000
PA
USD
455338.71000000
0.021955570730
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
1134358.53000000
0.054696621202
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
2035717.53000000
0.098158446089
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
353782.33000000
PA
USD
359618.64000000
0.017340130134
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
6211000.00000000
PA
USD
6349750.32000000
0.306172941620
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
3100000.00000000
PA
USD
3100000.00000000
0.149476132318
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
805701.57000000
0.038849404673
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.45000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308KA4
2060000.00000000
PA
USD
2073524.23000000
0.099981413602
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A
31392W7D6
162647.00000000
PA
USD
206333.95000000
0.009949032520
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
568547.93000000
0.027414305036
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
239523.36000000
PA
USD
40477.22000000
0.001951734933
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Floating
6.25885920
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
440000.00000000
PA
USD
392746.83000000
0.018937508751
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
1211107.75000000
PA
USD
274145.87000000
0.013218794947
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
6.96314160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410RP29
52467.21000000
PA
USD
53469.87000000
0.002578215923
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
24366.00000000
PA
USD
27497.44000000
0.001325874509
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
34659.19000000
PA
USD
41660.95000000
0.002008812153
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Floating
12.90438720
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F
57643QAE5
1256644.74380000
PA
USD
645641.20000000
0.031131596594
Long
ABS-MBS
CORP
US
Y
2
2035-05-25
Floating
0.53686080
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3
17307GAV0
9152.19000000
PA
USD
9519.55000000
0.000459014682
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
766054.08000000
0.036937677750
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
1157410.00000000
PA
USD
1161844.38000000
0.056021936864
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
940613.38000000
0.045354596790
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
920228.75000000
0.044371688515
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
40295.20000000
PA
USD
43490.63000000
0.002097035859
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
7394.51000000
PA
USD
9980.05000000
0.000481219120
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Floating
30.08940840
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
2342337.11000000
PA
USD
238422.75000000
0.011496293718
Long
ABS-MBS
CORP
US
N
3
2035-04-25
Floating
4.86313920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-38, Class SK
31359WVD0
80.46000000
PA
USD
1.56000000
0.000000075220
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
7.86314160
N
N
N
N
N
N
Phillips 66 Partners LP
549300TL5L4IG0H4FX64
Phillips 66 Partners LP
718549AH1
985000.00000000
PA
USD
972656.00000000
0.046899631276
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
528346.06000000
0.025475846959
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
89643.51000000
PA
USD
100457.47000000
0.004843869057
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
42012.49000000
PA
USD
48136.40000000
0.002321046095
Long
ABS-MBS
USGA
US
N
2
2035-06-17
Floating
16.13081880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296QYC8
65056.42000000
PA
USD
71051.01000000
0.003425945216
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
87642.75000000
PA
USD
88433.37000000
0.004264089714
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Floating
0.73685880
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
17341.87700000
PA
USD
14518.35000000
0.000700047356
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
515795.91000000
0.024870702481
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
548000.00000000
PA
USD
622408.13000000
0.030011341934
Long
DBT
UST
US
N
2
2047-02-15
Fixed
3.00000000
N
N
N
N
N
N
VMware, Inc.
549300BUDHS3LRWBE814
VMware, Inc.
928563AE5
550000.00000000
PA
USD
595592.09000000
0.028718323242
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
7878.78000000
PA
USD
7149.51000000
0.000344735839
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
None
0.00000000
N
N
N
N
N
N
Two Harbors
N/A
Two Harbors
N/A
6600000.00000000
PA
USD
6602640.00000000
0.318366803319
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
34976.53000000
PA
USD
39784.93000000
0.001918354019
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
25621.11000000
PA
USD
29543.13000000
0.001424513809
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
7.50000000
N
N
N
N
N
N
Albemarle Corp.
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp.
012725AD9
150000.00000000
PA
USD
180179.96000000
0.008687936626
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
631093.65000000
0.030430141268
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
864827.07000000
0.041700324370
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
53222.61160000
PA
USD
42755.42000000
0.002061585424
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
339628.08000000
0.016376223169
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
1183638.50000000
PA
USD
1246696.95000000
0.060113367180
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
606102.23000000
PA
USD
82175.04000000
0.003962324887
Long
ABS-MBS
USGA
US
N
2
2035-08-20
Floating
5.50000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8UK8
2788932.57000000
PA
USD
2955688.48000000
0.142517703977
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
1745268.74000000
0.084153555197
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
63662.40000000
PA
USD
69522.93000000
0.003352264091
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
6847.32000000
PA
USD
7145.80000000
0.000344556950
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
249966.47000000
PA
USD
226387.63000000
0.010915983011
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
68642.59000000
PA
USD
8935.35000000
0.000430845664
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
50.04000000
PA
USD
50.16000000
0.000002418620
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
1040062.71000000
0.050149855245
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
353000.00000000
PA
USD
335228.25000000
0.016164071694
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
0.000000000482
Long
ABS-MBS
CORP
US
N
3
2018-06-25
Floating
7.41314160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2710, Class HB
31394MHQ6
64915.29000000
PA
USD
65937.15000000
0.003179364567
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
775801.38000000
PA
USD
825373.88000000
0.039797966225
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
38636.64000000
PA
USD
42151.10000000
0.002032446258
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
14996.94000000
PA
USD
1027.62000000
0.000049549891
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
345076.29000000
0.016638925543
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
68169.24000000
PA
USD
64830.52000000
0.003126004963
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
2030139.47000000
PA
USD
2198143.03000000
0.105990296260
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
2220736.21000000
PA
USD
2401414.86000000
0.115791679150
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
142332.35000000
0.006862996510
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
112427.56000000
PA
USD
100572.28000000
0.004849404978
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
5022008.50000000
0.242151744209
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
972231.91000000
0.046879182459
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
2667136.16000000
0.128604257278
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
799484.10000000
PA
USD
159554.24000000
0.007693403448
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Floating
6.34313880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3404, Class SC
31397PTW0
240046.95000000
PA
USD
38725.00000000
0.001867246201
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Floating
5.80885920
N
N
N
N
N
N
VOLT XCVII LLC
N/A
VOLT XCVII LLC, Series 2021-NPL6, Class A1
91835EAA7
3236308.95000000
PA
USD
3177538.23000000
0.153214879004
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
826070.79000000
0.039831569906
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
88407.81000000
PA
USD
88666.44000000
0.004275327908
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Floating
0.64113840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828WJ5
8840000.00000000
PA
USD
9025432.79000000
0.435189285790
Long
DBT
UST
US
N
2
2024-05-15
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-28, Class PK
31392CA46
148685.02000000
PA
USD
167135.63000000
0.008058963724
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406H3D7
184228.33000000
PA
USD
190538.71000000
0.009187415944
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
1.68999840
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCZ2
609000.00000000
PA
USD
568155.31000000
0.027395373643
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4HK2
3402316.75000000
PA
USD
3541770.47000000
0.170777468198
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
1006500.00000000
0.048531524896
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
1501070.26000000
0.072378766710
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
417947.75000000
0.020152649413
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
259605.43000000
0.012517682453
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
812680.15000000
0.039185898591
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
3685000.00000000
PA
USD
3235746.69000000
0.156021580768
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
760456.01000000
0.036667749410
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
159024.32000000
PA
USD
177462.62000000
0.008556911635
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
334492.12000000
0.016128576899
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
4684.86000000
PA
USD
5062.87000000
0.000244122008
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
1036395.60000000
0.049973034141
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
246657.82000000
PA
USD
254621.49000000
0.012277366300
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
7.32494880
N
N
N
N
N
N
DuPont de Nemours, Inc.
5493004JF0SDFLM8GD76
DuPont de Nemours, Inc.
26078JAE0
980000.00000000
PA
USD
1165031.18000000
0.056175598328
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
608444.06000000
0.029338020909
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
493808.70000000
PA
USD
502233.77000000
0.024216761761
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
2028480.00000000
0.097809466092
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
1062673.28000000
0.051240094133
Long
ABS-O
CORP
US
N
2
2039-06-15
Fixed
6.15000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3132FCFU4
2662919.44000000
PA
USD
2796354.21000000
0.134834907065
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
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 2005-6, Class 2A9
92922FY93
782443.13880000
PA
USD
756293.34000000
0.036467033342
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
3663.13000000
PA
USD
3747.17000000
0.000180681444
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
2739641.05000000
0.132100305837
Long
DBT
CORP
US
N
2
2027-03-09
Variable
1.43100000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGH1
795000.00000000
PA
USD
767832.31000000
0.037023420634
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
851.63000000
PA
USD
864.44000000
0.000041681660
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
6129.92000000
PA
USD
6474.44000000
0.000312185241
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
1112932.48000000
0.053663497626
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
974358.03000000
0.046981699941
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
523133.03000000
0.025224484520
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
1758245.52000000
0.084779270966
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
7710312.54000000
0.371776676595
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
1969573.20000000
0.094969091694
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
362.28000000
PA
USD
373.15000000
0.000017992586
Long
ABS-MBS
CORP
US
N
2
2017-10-25
Floating
16.23201840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1760, Class ZD
3133T5X32
36210.71000000
PA
USD
36280.33000000
0.001749368841
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
1.32000120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-1, Class BI
31396YCX8
191951.20000000
PA
USD
32716.64000000
0.001577534454
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Floating
5.72313960
N
N
N
N
N
N
Jefferies Group LLC
NY9Q8VBNB6D1L6YV0J84
Jefferies Group LLC
472319AE2
749000.00000000
PA
USD
879110.86000000
0.042389061687
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
388660.25000000
0.018740461598
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
123663.92000000
PA
USD
134721.45000000
0.006496013318
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
299646.69000000
PA
USD
332961.20000000
0.016054758834
Long
ABS-MBS
USGA
US
N
2
2037-02-20
Variable
5.90208840
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAH3
2583000.00000000
PA
USD
2878716.72000000
0.138806271402
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
1453000.00000000
PA
USD
1508648.64000000
0.072744181849
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
199696.53000000
PA
USD
216393.00000000
0.010434060871
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
252146.14000000
PA
USD
304053.98000000
0.014660907402
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
146408.43900000
PA
USD
139496.70000000
0.006726266834
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
2.21905080
N
N
N
N
N
N
Goodgreen
N/A
Goodgreen, Series 2019-2A, Class A
38218EAA5
1696550.62000000
PA
USD
1665158.83000000
0.080290806969
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
655.60000000
PA
USD
704.08000000
0.000033949404
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
844411.43000000
0.040715920852
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
2.03000000
PA
USD
2.03000000
0.000000097882
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
531401.00000000
0.025623150383
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
667331.29000000
0.032177451678
Long
ABS-MBS
CORP
US
Y
2
2031-03-11
Fixed
3.26000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UB56
88784.70000000
PA
USD
93659.91000000
0.004516103580
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
2.30699880
N
Y
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2019-1, Class B
12326QAB0
1927037.99000000
PA
USD
1901031.07000000
0.091664119922
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
758475.84000000
PA
USD
490266.95000000
0.023639744351
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
731538.65000000
PA
USD
772808.40000000
0.037263358275
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
535730.98000000
0.025831933823
Long
DBT
CORP
AU
Y
2
2036-03-03
Variable
3.05200080
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBP5
1413000.00000000
PA
USD
1308744.71000000
0.063105192723
Long
DBT
CORP
US
Y
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-44, Class GO
31395NBG1
224527.49000000
PA
USD
205599.82000000
0.009913634160
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
1443461.02000000
0.069600958200
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
202257.18000000
PA
USD
227002.58000000
0.010945634737
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
8375960.24000000
0.403872948751
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
385060.74000000
0.018566900039
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
750978.39000000
0.036210756513
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
2390.47620000
PA
USD
227.10000000
0.000010950332
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
361451.28000000
0.017428496566
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Fixed
2.77000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5RM4
1637286.24000000
PA
USD
1740865.37000000
0.083941233030
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
222898.75000000
0.010747755822
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
148180.12000000
PA
USD
24937.05000000
0.001202417350
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Floating
7.01313840
N
N
N
N
N
N
Eaton Corp.
0NZWDMRCE180888QQE14
Eaton Corp.
278062AD6
170000.00000000
PA
USD
185558.49000000
0.008947279162
Long
DBT
CORP
US
N
2
2032-11-02
Fixed
4.00000000
N
N
N
N
N
N
Coterra Energy, Inc.
FCNMH6O7VWU7LHXMK351
Coterra Energy, Inc.
127097AE3
935000.00000000
PA
USD
974271.64000000
0.046977534378
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5EA4
1431023.56000000
PA
USD
1464675.72000000
0.070623890879
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
2037569.37000000
0.098247738309
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
597776.47000000
PA
USD
669654.73000000
0.032289483557
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
1739122.12000000
PA
USD
1724414.36000000
0.083147996466
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
86189.13000000
PA
USD
79858.26000000
0.003850614141
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
27834.41980000
PA
USD
5151.01000000
0.000248371952
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Floating
6.90886080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 351, Class 7
3136FCHW9
125915.27000000
PA
USD
15366.54000000
0.000740945473
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
1140230.51000000
0.054979756963
Long
DBT
CORP
US
N
2
2026-11-18
Fixed
2.90000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2224, Class CB
3133TNK45
16363.96000000
PA
USD
18815.15000000
0.000907230919
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
172151.07000000
PA
USD
10148.49000000
0.000489340978
Long
ABS-MBS
USGA
US
N
2
2039-02-16
Floating
5.97429000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
1490000.00000000
PA
USD
1609022.33000000
0.077584011194
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
444972.53000000
PA
USD
497587.94000000
0.023992748632
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
330277.15000000
0.015925339024
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
563942.79000000
PA
USD
513750.64000000
0.024772083433
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
27664.21000000
PA
USD
31810.92000000
0.001533862350
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
13.48427520
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391REW8
10630.45000000
PA
USD
11602.20000000
0.000559436123
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
3087.93000000
PA
USD
3125.96000000
0.000150727874
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
86801.62000000
PA
USD
13579.98000000
0.000654800931
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
315678.72000000
PA
USD
312537.91000000
0.015069986448
Long
ABS-O
CORP
US
N
2
2028-10-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LEUY1
9000000.00000000
PA
USD
8757531.99000000
0.422271616297
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
2.16000000
N
N
N
N
N
N
Mylan, Inc.
30ZMPDNA1RHIBH89C294
Mylan, Inc.
628530BC0
520000.00000000
PA
USD
558100.83000000
0.026910565649
Long
DBT
CORP
US
N
2
2043-11-29
Fixed
5.40000000
N
N
N
N
N
N
Physicians Realty LP
549300P6Q1UMT0X60U20
Physicians Realty LP
71951QAC6
505000.00000000
PA
USD
473629.45000000
0.022837515592
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
2.62500000
N
N
N
N
N
N
Quest Diagnostics, Inc.
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics, Inc.
74834LAZ3
150000.00000000
PA
USD
155370.24000000
0.007491658887
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
2955249.96220000
PA
USD
3088783.82000000
0.148935309348
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
259034.22000000
0.012490139788
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
1562.34000000
PA
USD
1689.43000000
0.000081461116
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
1514.86000000
PA
USD
1598.33000000
0.000077068447
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
26.61514560
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAM6
129000.00000000
PA
USD
138556.36000000
0.006680925419
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
268270.00000000
0.012935471618
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
321106.18000000
0.015483132209
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
629.09000000
PA
USD
634.76000000
0.000030606925
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
1006613.36000000
PA
USD
1009901.66000000
0.048695546502
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
483180.33000000
0.023298040948
Long
DBT
CORP
LU
N
2
2028-04-15
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8AZ7
3315473.20000000
PA
USD
3468184.59000000
0.167229296348
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
116783.77000000
PA
USD
13718.22000000
0.000661466602
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Floating
7.43829120
N
N
N
N
N
N
BNZ International Funding Ltd.
549300HVMZ89HDMELW08
BNZ International Funding Ltd.
05579HAH5
632000.00000000
PA
USD
637899.64000000
0.030758313224
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
413066.42000000
PA
USD
417397.46000000
0.020126115471
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
0.92685960
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-26CB, Class A9
02147WAJ8
883765.02760000
PA
USD
610488.88000000
0.029436618259
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
34777.13000000
PA
USD
39622.99000000
0.001910545579
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
23268.37000000
PA
USD
22762.12000000
0.001097546342
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
20499.02000000
PA
USD
20937.25000000
0.001009554564
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
1.39114080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617VUD53
2618202.20750000
PA
USD
2813637.65000000
0.135668281828
Long
ABS-MBS
USGA
US
N
2
2071-08-20
Variable
2.13599880
N
N
N
N
N
N
Gray Oak Pipeline LLC
N/A
Gray Oak Pipeline LLC
38937LAA9
535000.00000000
PA
USD
533821.80000000
0.025739876777
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
245768.60000000
PA
USD
263531.55000000
0.012706992528
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31403QVP2
63126.07000000
PA
USD
68966.95000000
0.003325455788
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
634782.25000000
PA
USD
646902.85000000
0.031192430968
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
46960.23000000
PA
USD
52290.46000000
0.002521347005
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
611832.45000000
0.029501402662
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
680903.67000000
0.032831886152
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
1347126.63000000
0.064955896256
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
379680.13000000
0.018307457209
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
68404.55000000
PA
USD
77517.13000000
0.003737729284
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
486557.20000000
0.023460867228
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
8183.31000000
PA
USD
6351.29000000
0.000306247182
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
89063.08000000
PA
USD
100766.34000000
0.004858762184
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
321318.53000000
0.015493371324
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
2235488.56000000
0.107791027029
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
129978.54000000
PA
USD
144318.47000000
0.006958763457
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
1222879.63000000
0.058964941091
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
24415.30000000
PA
USD
23051.91000000
0.001111519467
Long
ABS-MBS
USGSE
US
N
2
2036-06-15
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-28, Class BO
38375J8N8
59701.11000000
PA
USD
54476.28000000
0.002626743108
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
87123.90000000
PA
USD
6517.38000000
0.000314255727
Long
ABS-MBS
USGA
US
N
2
2033-02-20
Floating
7.53828840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410DVM9
16822.36000000
PA
USD
17870.98000000
0.000861704829
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
5022265.60000000
0.242164141085
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
767740.58000000
PA
USD
766543.21000000
0.036961262672
Long
ABS-MBS
USGA
US
N
2
2062-12-20
Floating
0.44124840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YX48
90554.56000000
PA
USD
90491.79000000
0.004363342830
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
1.83200040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2
31393XGQ4
144715.01000000
PA
USD
163423.71000000
0.007879981967
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
2947.70000000
PA
USD
2976.67000000
0.000143529393
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
506281.96000000
PA
USD
58309.86000000
0.002811591080
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Floating
6.43829040
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBK5
324000.00000000
PA
USD
265713.57000000
0.012812205402
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
881894.26000000
PA
USD
963978.46000000
0.046481216722
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
699631.19000000
0.033734891719
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
3747685.20000000
0.180706286723
Long
ABS-O
CORP
US
Y
3
2038-08-17
Fixed
2.18900000
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
420009.66000000
0.020252070810
Long
DBT
CORP
US
N
2
2042-09-01
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138EPR30
3345488.00000000
PA
USD
3548775.07000000
0.171115216752
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
9503125.00000000
0.458222699980
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
68240.05000000
PA
USD
84998.54000000
0.004098468713
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
15.71771880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1518, Class G
312915YY1
3738.26000000
PA
USD
3830.50000000
0.000184699459
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Floating
8.60600160
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2L4
239000.00000000
PA
USD
238587.63000000
0.011504243919
Long
DBT
CORP
US
Y
2
2025-01-14
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3134
31396J5T8
30218.05000000
PA
USD
28022.17000000
0.001351175997
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
168110.53000000
PA
USD
27967.15000000
0.001348523036
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
6.04314000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 374, Class 5
3136FCZ82
91772.42000000
PA
USD
16191.05000000
0.000780701784
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
400159.60000000
PA
USD
44518.84000000
0.002146614199
Long
ABS-MBS
USGA
US
N
2
2034-10-20
Floating
5.93829000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M10, Class A2
3136B2HA3
3335000.00000000
PA
USD
3560801.51000000
0.171695108925
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
3.36411720
N
N
N
N
N
N
Boston Scientific Corp.
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp.
101137AX5
535000.00000000
PA
USD
567689.92000000
0.027372933418
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
13646697.94000000
0.658017944190
Long
DBT
UST
US
N
2
2023-08-15
None
0.00000000
N
N
N
N
N
N
Cfine LLC
N/A
Cfine LLC, Series 2022-RTL1, Class AA
12531CAA4
4200000.00000000
PA
USD
4200000.00000000
0.202516050238
Long
ABS-O
CORP
US
Y
2
2026-02-16
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-64, Class DM
31398RM85
108839.85000000
PA
USD
117952.99000000
0.005687469916
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
3468590.12000000
0.167248850237
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2313, Class LA
3133TTK67
28257.42000000
PA
USD
31196.90000000
0.001504255468
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDW8
3850000.00000000
PA
USD
3830148.44000000
0.184682508070
Long
DBT
UST
US
N
2
2029-01-31
Fixed
1.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2015-M10, Class A2
3136AN6U6
8397300.07000000
PA
USD
8770269.51000000
0.422885795401
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
1756.58000000
PA
USD
1804.56000000
0.000087012467
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
135522.04000000
PA
USD
146770.52000000
0.007076996667
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
41282.67000000
PA
USD
37355.00000000
0.001801187394
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
84673.61000000
0.004082801203
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
738748.10000000
0.035621035079
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
2337.59000000
PA
USD
2499.35000000
0.000120513926
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
5560.47000000
PA
USD
6788.28000000
0.000327318012
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Floating
17.03059560
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-40, Class SB
38375KA77
504246.84000000
PA
USD
68389.74000000
0.003297623814
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
6.58829160
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
206813.34000000
PA
USD
217662.35000000
0.010495266525
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Variable
6.67974240
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
911596AL8
1277000.00000000
PA
USD
1528286.66000000
0.073691090003
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
1489505.87000000
0.071821153713
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
2183351.89000000
PA
USD
2307136.00000000
0.111245730971
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
1245.24000000
PA
USD
1250.92000000
0.000060316994
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
3331.98000000
PA
USD
3400.13000000
0.000163947832
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
13.82627880
N
N
N
N
N
N
Intact US Holdings, Inc.
N/A
Intact US Holdings, Inc.
68245JAB6
500000.00000000
PA
USD
507947.98000000
0.024492290151
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
55513.16000000
PA
USD
48963.00000000
0.002360903182
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
222773.39000000
PA
USD
253144.02000000
0.012206125493
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
322797.00000000
0.015564660349
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.10000000
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MBC6
790000.00000000
PA
USD
839384.91000000
0.040473551572
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2484, Class LZ
31392R3H2
97418.40000000
PA
USD
108715.99000000
0.005242079260
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
514844.65000000
0.024824834524
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
2219381.28000000
PA
USD
2260423.39000000
0.108993337335
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
951543.85000000
0.045881643364
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
1415148.63000000
0.068235788344
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
898459.13000000
PA
USD
981669.90000000
0.047334264472
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
97322.80000000
PA
USD
100293.99000000
0.004835986361
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
206112.85000000
0.009938371496
Long
DBT
CORP
GB
Y
2
2033-03-15
Variable
4.86600120
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAW5
690000.00000000
PA
USD
664586.57000000
0.032045106475
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2005-8, Class 30PO
05946X3C5
38928.30370000
PA
USD
27928.40000000
0.001346654585
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
13054667.31000000
0.629471347807
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
8565.74000000
PA
USD
1337.18000000
0.000064476288
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
87391.85000000
PA
USD
88725.25000000
0.004278163615
Long
ABS-MBS
CORP
US
N
2
2043-09-25
Floating
0.82685880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-84, Class XM
31394FN50
727844.82000000
PA
USD
792784.52000000
0.038226568971
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
134281.39000000
PA
USD
120873.38000000
0.005828285594
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418A3V8
1660836.53000000
PA
USD
1798008.22000000
0.086696553097
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
313414.18000000
0.015112238529
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
95853.82290000
PA
USD
94209.32000000
0.004542595090
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
197500.00000000
0.009523076171
Long
DBT
NUSS
SA
Y
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GZK3
1260000.00000000
PA
USD
1241598.75000000
0.059867541626
Long
DBT
CORP
US
N
2
2028-02-24
Variable
2.63999880
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
571344.93000000
0.027549171082
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
50100.03000000
PA
USD
55960.19000000
0.002698294440
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
4340448.44000000
0.209288208173
Long
DBT
UST
US
N
2
2027-09-30
Fixed
0.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CLW1
598.97000000
PA
USD
635.54000000
0.000030644535
Long
ABS-MBS
USGA
US
N
2
2025-12-20
Fixed
8.00000000
N
N
N
N
N
N
Westpac Banking Corp.
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp.
961214EY5
882000.00000000
PA
USD
792307.91000000
0.038203587739
Long
DBT
CORP
AU
N
2
2041-11-18
Fixed
3.13300000
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
7059755.98000000
0.340408070646
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
207165.39000000
PA
USD
32705.80000000
0.001577011770
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
21115000.00000000
PA
USD
26515821.09000000
1.278542703801
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
432431.35000000
0.020851021190
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
354171.39000000
0.017077474050
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
907.30000000
PA
USD
905.27000000
0.000043650405
Long
ABS-MBS
USGA
US
N
2
2060-08-20
Floating
0.40124880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L74C7
2640253.08000000
PA
USD
2767307.13000000
0.133434311848
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
435860.59000000
PA
USD
54310.19000000
0.002618734563
Long
ABS-MBS
CORP
US
N
3
2035-03-25
Floating
6.91314120
N
N
N
N
N
N
Assurant, Inc.
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621XAH1
660000.00000000
PA
USD
681602.08000000
0.032865562160
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
196308.00000000
PA
USD
28375.22000000
0.001368199399
Long
ABS-MBS
USGSE
US
N
2
2039-02-15
Floating
5.80885920
N
N
N
N
N
N
Aviation Capital Group LLC
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
490000.00000000
PA
USD
496773.07000000
0.023953457143
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
197852.04000000
PA
USD
224057.96000000
0.010803650734
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
316329.30000000
PA
USD
60532.97000000
0.002918785236
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
335042.72000000
PA
USD
50.36000000
0.000002428263
Long
ABS-MBS
CORP
US
Y
3
2038-11-15
Variable
0.63735120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A
31392MEN8
232156.29190000
PA
USD
247883.09000000
0.011952453406
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Variable
4.59569160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617LNSC9
3952318.19000000
PA
USD
4023859.97000000
0.194022911389
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
134484.21000000
0.006484574054
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
177118.13000000
0.008540300979
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
215620.40000000
PA
USD
41694.30000000
0.002010420227
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
479915.13000000
0.023140599185
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
1075837.90000000
0.051874867191
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
16822.89000000
PA
USD
18261.84000000
0.000880551358
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
7.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TA6
980000.00000000
PA
USD
898231.25000000
0.043311010702
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AL9
828000.00000000
PA
USD
875343.79000000
0.042207420702
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
1253874.40000000
0.060459450233
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
586235.00000000
0.028267142074
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
670098.57000000
0.032310884682
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
11566.32000000
PA
USD
12814.94000000
0.000617912150
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
465336.38000000
0.022437639454
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
3810384.45000000
0.183729525881
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
173721.01000000
PA
USD
193036.46000000
0.009307852721
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAX3
655000.00000000
PA
USD
621841.25000000
0.029984008053
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAY7
2110000.00000000
PA
USD
2094787.34000000
0.101006680520
Long
DBT
CORP
DK
Y
2
2023-12-08
Variable
1.17100080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXQS4
3514268.79000000
PA
USD
3670715.00000000
0.176994929368
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
709550.20000000
PA
USD
701829.16000000
0.033840873672
Long
ABS-O
CORP
US
Y
2
2044-12-26
Floating
0.98686080
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
569205.16000000
0.027445995423
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
575747.16000000
0.027761438280
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
408450.42000000
PA
USD
402066.75000000
0.019386897652
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
0.82685880
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJX1
2340000.00000000
PA
USD
2308291.71000000
0.111301457120
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WQA9
5221714.04000000
PA
USD
5225488.82000000
0.251963180092
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2
31392GVR3
430484.45000000
PA
USD
492868.79000000
0.023765200151
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
996924.03000000
PA
USD
1005532.47000000
0.048484872431
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
344884.69000000
0.016629686953
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
2.65000000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
202712BQ7
525000.00000000
PA
USD
484245.43000000
0.023349398054
Long
DBT
CORP
AU
Y
2
2041-03-11
Fixed
3.30500000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578AAP3
1005000.00000000
PA
USD
946934.78000000
0.045659402733
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
4741597.80000000
PA
USD
4836429.76000000
0.233203488630
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
498860.81000000
PA
USD
563617.88000000
0.027176587357
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
6.00000000
N
N
N
N
N
N
Brown & Brown, Inc.
549300PC8KTJ71XKFY89
Brown & Brown, Inc.
115236AC5
1830000.00000000
PA
USD
1703616.63000000
0.082145169292
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
347557.15000000
0.016758547916
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
16876.95480000
PA
USD
16674.68000000
0.000804021507
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
01F022634
63030000.00000000
PA
USD
62185496.33000000
2.998466928296
Long
ABS-MBS
USGSE
US
N
2
2052-03-25
Fixed
2.50000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DD7
125000.00000000
PA
USD
131020.63000000
0.006317566782
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
0.000006077892
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
583559.53000000
0.028138135974
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403JD45
47.70000000
PA
USD
47.73000000
0.000002301450
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Variable
2.27700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHY72
65547.64000000
PA
USD
68401.40000000
0.003298186037
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
1.91499840
N
Y
N
N
N
N
Baltimore Gas and Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co.
059165EM8
450000.00000000
PA
USD
405597.83000000
0.019557159646
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
17719.74000000
PA
USD
18701.41000000
0.000901746592
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
55977.56000000
PA
USD
175.71000000
0.000008472403
Long
ABS-MBS
USGA
US
N
2
2031-08-16
Floating
8.12428920
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AT5
1360000.00000000
PA
USD
1260514.01000000
0.060779599660
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
149509.40000000
0.007209060276
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
879083.04000000
0.042387720260
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
418.06000000
PA
USD
421.14000000
0.000020306573
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
1252061.21000000
PA
USD
1391508.78000000
0.067095919523
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
41518.73000000
PA
USD
42481.43000000
0.002048374145
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Variable
4.91846400
N
N
N
N
N
N
ACC
N/A
ACC
N/A
532607.04000000
PA
USD
532553.78000000
0.025678735253
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
2454.61800000
PA
USD
2427.70000000
0.000117059098
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
357858.41000000
PA
USD
353803.66000000
0.017059742805
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
1229349.90000000
PA
USD
1187914.66000000
0.057278996419
Long
ABS-O
CORP
US
N
2
2032-05-01
Fixed
2.70000000
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
2563319.29000000
0.123598404311
Long
ABS-MBS
CORP
US
Y
2
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
6346548.24000000
PA
USD
6131873.71000000
0.295667343882
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
222282.50000000
0.010718041413
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
33184.08000000
PA
USD
38037.20000000
0.001834081787
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
616310.02000000
0.029717302612
Long
DBT
CORP
GB
N
2
2023-11-07
Variable
2.90700000
N
N
N
N
N
N
Paramount Global
5KYC8KF17ROCY24M3H09
Paramount Global
124857AQ6
792000.00000000
PA
USD
816409.80000000
0.039365735255
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
70841.45000000
PA
USD
79443.83000000
0.003830631111
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
223959.50000000
PA
USD
41601.06000000
0.002005924370
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
2781020.47000000
0.134095543146
Long
ABS-O
CORP
US
Y
2
2023-03-24
Floating
3.25770840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class MY
3139205U0
147269.76000000
PA
USD
168909.70000000
0.008144506021
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4F73
2124717.01000000
PA
USD
2153381.33000000
0.103831971811
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
3.02000000
N
N
N
N
N
N
Volkswagen Group of America Finance LLC
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BN1
705000.00000000
PA
USD
663582.70000000
0.031996701764
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
458071.81000000
0.022087355639
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
1938769.25000000
PA
USD
1944022.35000000
0.093737078070
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
510277.80000000
0.024604629661
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
450000.11000000
0.021698153543
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
3145764.94000000
PA
USD
3030759.86000000
0.146137503825
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
1407043.43000000
PA
USD
1395365.39000000
0.067281877957
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
40595.85000000
PA
USD
41182.05000000
0.001985720501
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
28172.09000000
PA
USD
30624.45000000
0.001476653013
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
17101.48000000
PA
USD
17908.75000000
0.000863526027
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.23999560
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class GZ
31392KPH3
57885.48000000
PA
USD
66785.31000000
0.003220261236
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
480620.37000000
0.023174604522
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
490531.59000000
PA
USD
489115.52000000
0.023584224576
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
2.51582040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1570, Class F
3133T0PQ1
366.95000000
PA
USD
369.83000000
0.000017832502
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
Floating
1.72299960
N
N
N
N
N
N
Constellation Energy Generation LLC
S2PEWKCZFFECR4533P43
Constellation Energy Generation LLC
30161MAJ2
235000.00000000
PA
USD
261049.63000000
0.012587319043
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
81655.51000000
PA
USD
9958.39000000
0.000480174716
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
553580.56000000
0.026692606785
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
49055.05000000
PA
USD
50614.72000000
0.002440545994
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QSZC3
10618.08000000
PA
USD
10607.70000000
0.000511483215
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
1.84500000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140J2H58
4500000.00000000
PA
USD
4219670.57000000
0.203464527890
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
12743.52000000
PA
USD
13830.68000000
0.000666889210
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
295835.76000000
PA
USD
35237.38000000
0.001699079766
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
6.58829160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DYY1
62375.36000000
PA
USD
67885.96000000
0.003273332496
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
91401.70000000
PA
USD
91499.44000000
0.004411929806
Long
ABS-MBS
CORP
US
N
2
2034-04-21
Variable
2.62022760
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-27, Class SN
31396Y4G4
102729.20000000
PA
USD
16032.38000000
0.000773051017
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Floating
6.71313960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L74J2
3594.05000000
PA
USD
3709.45000000
0.000178862657
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
1065.18000000
PA
USD
1084.97000000
0.000052315199
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
436826.05000000
PA
USD
456418.53000000
0.022007637607
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
1568282.05000000
PA
USD
232892.55000000
0.011229637941
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
6.27428880
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29364DAU4
175000.00000000
PA
USD
181838.96000000
0.008767930466
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
3698212.37000000
0.178320800503
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
518121.03000000
0.024982815366
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
1622746.37000000
0.078245758426
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
464992.11000000
0.022421039406
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
166269.41000000
PA
USD
27362.26000000
0.001319356385
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
6.50000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
17327CAQ6
719000.00000000
PA
USD
708826.63000000
0.034178278431
Long
DBT
CORP
US
N
2
2033-01-25
Variable
3.05700120
N
N
N
N
N
N
Fortis, Inc.
549300MQYQ9Y065XPR71
Fortis, Inc.
349553AM9
500000.00000000
PA
USD
505556.03000000
0.024376954849
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
1113047.66000000
0.053669051388
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
111003.05000000
PA
USD
124513.36000000
0.006003798540
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
148014.12000000
PA
USD
155243.23000000
0.007485534706
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
2.22374880
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
128530.24000000
PA
USD
132755.79000000
0.006401232913
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
2.30682600
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AU9
430000.00000000
PA
USD
425135.10000000
0.020499209826
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QB7
3300000.00000000
PA
USD
4338210.95000000
0.209180320641
Long
DBT
UST
US
N
2
2039-05-15
Fixed
4.25000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AW9
665000.00000000
PA
USD
620265.72000000
0.029908038979
Long
DBT
CORP
IT
Y
2
2027-06-03
Variable
1.98200160
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2004-1
05946XGF4
71651.88000000
PA
USD
55598.00000000
0.002680830324
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
66343.05000000
PA
USD
70655.62000000
0.003406880259
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
1887351.20000000
PA
USD
1928110.81000000
0.092969853729
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
1474760.93000000
0.071110180616
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
760325.18000000
0.036661441035
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
2591870.30000000
PA
USD
2621627.56000000
0.126409918725
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
1245710.48000000
PA
USD
1369862.97000000
0.066052199536
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Variable
4.88098080
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
9200.56000000
PA
USD
0.09000000
0.000000004339
Long
ABS-MBS
CORP
US
Y
3
2041-06-11
Variable
0.71605080
N
N
N
N
N
N
Brookfield Finance, Inc.
549300XH8D8K6OYWGD17
Brookfield Finance, Inc.
11271LAC6
337000.00000000
PA
USD
353855.97000000
0.017062265094
Long
DBT
CORP
CA
N
2
2028-01-25
Fixed
3.90000000
N
N
N
N
N
N
Memorial Sloan-Kettering Cancer Center
549300IZ71UAMEHWL382
Memorial Sloan-Kettering Cancer Center, Series 2015
586054AC2
200000.00000000
PA
USD
234739.97000000
0.011318717037
Long
DBT
CORP
US
N
2
2055-07-01
Fixed
4.20000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCZ0
480000.00000000
PA
USD
531400.45000000
0.025623123863
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
7427.56000000
PA
USD
7711.90000000
0.000371853220
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
255771.60000000
0.012332822427
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
19826490.39000000
0.955995839015
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
523096.89000000
0.025222741917
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
427384.46000000
0.020607669707
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
310466.09000000
0.014970087209
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
677.82900000
PA
USD
674.34000000
0.000032515398
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
3475000.00000000
PA
USD
3484658.83000000
0.168023653018
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
378079.28000000
PA
USD
420360.26000000
0.020268976079
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
508.01000000
PA
USD
502.17000000
0.000024213686
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
0.96999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-42, Class AO
31396VM96
15873.91000000
PA
USD
14407.28000000
0.000694691771
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
255983.51000000
0.012343040326
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
207771.22000000
0.010018334958
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
520112.51000000
PA
USD
522539.04000000
0.025195843446
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
22296.66000000
PA
USD
22977.11000000
0.001107912753
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
124731.03000000
PA
USD
121946.30000000
0.005880019765
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
2.70665280
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2351, Class PZ
313399HV2
21636.33000000
PA
USD
23943.82000000
0.001154525679
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
1020801.42000000
0.049221112298
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
1050774.18000000
0.050666342053
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
708766.81000000
PA
USD
118406.30000000
0.005709327666
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
248706.01000000
0.011992133051
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
71513.70000000
PA
USD
10578.39000000
0.000510069943
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
6.01314120
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967AR2
250000.00000000
PA
USD
299088.77000000
0.014421494374
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381RTA2
2464349.55000000
PA
USD
2686275.44000000
0.129527117133
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
152818.40000000
PA
USD
140578.82000000
0.006778444612
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
590791.47000000
0.028486846433
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
7095000.00000000
PA
USD
6669854.26000000
0.321607747713
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
100930.80000000
PA
USD
20720.56000000
0.000999106183
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
30392.14000000
PA
USD
30709.84000000
0.001480770357
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
0.63114120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3074, Class BH
31396FM83
176694.36000000
PA
USD
187783.70000000
0.009054574576
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
1004.09000000
PA
USD
1013.58000000
0.000048872909
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Floating
4.62185640
N
N
N
N
N
N
2022-03-30
JPMorgan Institutional Trust
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer