0001752724-23-091228.txt : 20230428
0001752724-23-091228.hdr.sgml : 20230428
20230428140212
ACCESSION NUMBER: 0001752724-23-091228
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230228
FILED AS OF DATE: 20230428
DATE AS OF CHANGE: 20230428
PERIOD START: 20230228
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: 23863768
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
2023-02-28
2023-02-28
N
2152718851.49
21285766.62
2131433084.87
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
13164888.26000000
0.00000000
0.00000000
0.00000000
USD
N
N/A
N/A
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TJ7
16975000.00000000
PA
USD
14269609.38000000
0.669484277094
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810FD5
1466188.97000000
PA
USD
1601754.18000000
0.075149165665
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
151689.56000000
PA
USD
5860.09000000
0.000274936616
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Floating
1.10214000
N
N
N
N
N
N
BOC Aviation Ltd.
254900H06V5RMEB3KE72
BOC Aviation Ltd.
09681LAJ9
310000.00000000
PA
USD
299766.90000000
0.014064100915
Long
DBT
CORP
SG
Y
2
2024-10-10
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140M1CG7
4962422.29000000
PA
USD
4213544.88000000
0.197686003370
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAX2
483000.00000000
PA
USD
457519.49000000
0.021465346167
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
816354.91000000
0.038300752474
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
1653699.89000000
0.077586291671
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
1722157.05000000
PA
USD
1475339.05000000
0.069218173466
Long
ABS-MBS
USGSE
US
N
2
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
430243.92000000
PA
USD
30995.29000000
0.001454199534
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.48300120
N
N
N
N
N
N
Potomac Electric Power Co.
549300BXF2DWUNN57U06
Potomac Electric Power Co.
737679DB3
1085000.00000000
PA
USD
1189704.03000000
0.055817095007
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
762415.95000000
0.035770109576
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
718382.07000000
PA
USD
619530.83000000
0.029066398302
Long
ABS-O
CORP
US
Y
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LHKP4
6715000.00000000
PA
USD
6273208.00000000
0.294318786948
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.54000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3852, Class TP
3137ABB59
230755.28000000
PA
USD
223557.17000000
0.010488584961
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
437.02000000
PA
USD
423.33000000
0.000019861285
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
5.93875440
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
89153VAU3
815000.00000000
PA
USD
621402.75000000
0.029154222781
Long
DBT
CORP
FR
N
2
2049-07-12
Fixed
3.46100000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JRE51
46538.18000000
PA
USD
45383.92000000
0.002129267877
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Variable
4.69299960
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVYM0
4441457.26000000
PA
USD
3835203.50000000
0.179935440020
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
41275.38000000
PA
USD
39125.80000000
0.001835656970
Long
ABS-MBS
USGSE
US
N
2
2033-09-25
Floating
4.80499920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LLL7
40899.86000000
PA
USD
41379.69000000
0.001941402256
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
4.26200040
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-53, Class NC
31394ABD7
2142.02000000
PA
USD
2132.43000000
0.000100046772
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
796279.12000000
PA
USD
691668.99000000
0.032450889258
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
257877.67000000
0.012098792677
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
2499715.44000000
PA
USD
2375939.03000000
0.111471434260
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
2.50000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority STRIPS
88059FAV3
5000000.00000000
PA
USD
4399551.50000000
0.206412837035
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
2299.42000000
PA
USD
2128.37000000
0.000099856289
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
78538.71000000
PA
USD
73097.60000000
0.003429504802
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
0.00001080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJV9
61153.15000000
PA
USD
60991.36000000
0.002861518873
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
4.86100080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1999-17, Class C
31359VSW4
11332.10000000
PA
USD
11436.26000000
0.000536552617
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Fixed
6.35000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QM6G4
3834126.85000000
PA
USD
3375749.05000000
0.158379311739
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-54CB, Class 1A11
12668APD1
628613.90570000
PA
USD
489577.21000000
0.022969391508
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAN8
682000.00000000
PA
USD
426804.13000000
0.020024280050
Long
DBT
CORP
US
N
2
2051-11-30
Fixed
3.25000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844BV9
600000.00000000
PA
USD
477161.94000000
0.022386906883
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.05000000
N
N
N
N
N
N
Microchip Technology, Inc.
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017AZ7
339000.00000000
PA
USD
333822.29000000
0.015661870521
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
2.67000000
N
N
N
N
N
N
Liberty Mutual Group, Inc.
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBJ2
900000.00000000
PA
USD
653091.28000000
0.030640946912
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
56714.66000000
PA
USD
56322.09000000
0.002642451710
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
886417.50000000
0.041587864347
Long
DBT
CORP
ES
N
2
2026-03-25
Fixed
1.84900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-101, Class E
3136AGA69
2589491.92000000
PA
USD
2431126.62000000
0.114060658871
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
288706.02000000
PA
USD
256898.33000000
0.012052845187
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
754120.51000000
0.035380914153
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
1157004.85000000
0.054282954422
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
4.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEV9
30000000.00000000
PA
USD
28549218.60000000
1.339437714590
Long
DBT
UST
US
N
2
2029-06-30
Fixed
3.25000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38145GAH3
469000.00000000
PA
USD
440248.42000000
0.020655042990
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
308866.07000000
0.014491004770
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
926610.05000000
0.043473569805
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
1101066.08000000
PA
USD
1090563.12000000
0.051165721679
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
606.23000000
PA
USD
601.80000000
0.000028234524
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
7.50742920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class SW
31392KMK9
41898.68000000
PA
USD
3834.80000000
0.000179916509
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
3.41214120
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAA8
500000.00000000
PA
USD
492376.28000000
0.023100714889
Long
DBT
CORP
JP
Y
2
2024-04-02
Fixed
4.43600000
N
N
N
N
Y
N/A
N/A
USD
XXXX
N
N
N
VOLT XCIV LLC
N/A
VOLT XCIV LLC, Series 2021-NPL3, Class A1
92873AAA6
3382144.15000000
PA
USD
3112505.41000000
0.146028764970
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
6425.90000000
PA
USD
6408.06000000
0.000300645610
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Fixed
6.88111000
N
N
N
N
N
N
CGI, Inc.
549300WSRCZY73ZG3090
CGI, Inc.
12532HAF1
1515000.00000000
PA
USD
1165748.49000000
0.054693177950
Long
DBT
CORP
CA
N
2
2031-09-14
Fixed
2.30000000
N
N
N
N
N
N
JPMorgan Prime Money Market Fund
549300YD7H8SEEU7VG41
JPMorgan Prime Money Market Fund, Class Institutional
4812A2603
63358058.02700000
NS
USD
63389737.06000000
2.974043028137
Long
STIV
RF
US
N
1
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AN5
470000.00000000
PA
USD
309026.25000000
0.014498519901
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
205095.77000000
0.009622435320
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
1957169.76000000
0.091824124054
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
564829.83000000
PA
USD
515859.53000000
0.024202473615
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
408735.76000000
PA
USD
406635.72000000
0.019078042978
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Floating
4.84157160
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust, Series 2022-GT1, Class A
30259RAM7
6000000.00000000
PA
USD
5431687.20000000
0.254837331678
Long
ABS-O
CORP
US
Y
2
2027-04-25
Fixed
6.19000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-111, Class EO
31396LSR2
29006.17000000
PA
USD
23645.41000000
0.001109366752
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
666757.25000000
0.031282110366
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
669177.17000000
0.031395645246
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
506943.82000000
0.023784177115
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128HDR92
3093.24000000
PA
USD
3025.16000000
0.000141930798
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Variable
3.96900000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140N3CX5
3743596.69000000
PA
USD
3684937.94000000
0.172885462187
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58, Class AP
31395NE29
160850.41000000
PA
USD
132775.61000000
0.006229405508
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
21818.18000000
PA
USD
22311.02000000
0.001046761456
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
691533.90000000
PA
USD
5993.66000000
0.000281203291
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Variable
0.24999840
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404YDK5
5668.50000000
PA
USD
5556.32000000
0.000260684702
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
4.16999880
N
N
N
N
N
N
Realty Income Corp.
549300CUWDAUZSH43859
Realty Income Corp.
756109BA1
530000.00000000
PA
USD
386529.80000000
0.018134737737
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
1049323.09000000
0.049230871822
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
386719.19000000
0.018143623308
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
1974638.92000000
PA
USD
1933482.01000000
0.090712770845
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
356084.22000000
0.016706328832
Long
DBT
CORP
US
N
2
2040-09-25
Fixed
3.73400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LE2A4
5218212.51000000
PA
USD
4171977.39000000
0.195735790141
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
2.29000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CM9
550000.00000000
PA
USD
481149.79000000
0.022574004007
Long
DBT
CORP
GB
N
2
2027-05-24
Variable
1.58900040
N
N
N
N
N
N
Union Carbide Corp.
QE84C8O80MNLK8IFRL44
Union Carbide Corp.
905581AS3
850000.00000000
PA
USD
1020888.26000000
0.047896800854
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
26381.86000000
PA
USD
22219.41000000
0.001042463409
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
184031.22000000
PA
USD
172791.75000000
0.008106834374
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
3.80324880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 329, Class 1
3136FAWE6
20372.52400000
PA
USD
17211.68000000
0.000807516788
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
1150057.46000000
0.053957005179
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
117081.66000000
PA
USD
3045.31000000
0.000142876171
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Floating
1.60214040
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAN5
246000.00000000
PA
USD
246840.40000000
0.011580959390
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
76577.41000000
PA
USD
80316.26000000
0.003768181162
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
687893.35640000
PA
USD
657032.84000000
0.030825872257
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
867525.00000000
0.040701488878
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4A23
26307.34000000
PA
USD
26468.40000000
0.001241812383
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
3.80400120
N
Y
N
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
92857WBY5
250000.00000000
PA
USD
240205.28000000
0.011269660854
Long
DBT
CORP
GB
N
2
2053-02-10
Fixed
5.62500000
N
N
N
N
N
N
Activision Blizzard, Inc.
549300TPQQDBP9GNOF40
Activision Blizzard, Inc.
00507VAP4
842000.00000000
PA
USD
657455.72000000
0.030845712430
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
19361622.42000000
0.908385187291
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
185371.55000000
PA
USD
168935.80000000
0.007925925575
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
1053846.81000000
0.049443110247
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
3280.75000000
PA
USD
37.01000000
0.000001736390
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
7.26000120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-27, Class FD
31359B3C9
59.97000000
PA
USD
59.96000000
0.000002813130
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Floating
5.49699840
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162CF5
1300000.00000000
PA
USD
1123226.60000000
0.052698187335
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.66300000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MAF7
872000.00000000
PA
USD
796335.98000000
0.037361528525
Long
DBT
CORP
JP
N
2
2026-07-14
Fixed
2.63200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LEV79
4460000.00000000
PA
USD
3617570.85000000
0.169724814524
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
3113128.98000000
PA
USD
3076759.23000000
0.144351668923
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
125318.32000000
0.005879533394
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
190875.52000000
PA
USD
192100.79000000
0.009012752563
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
3234616.35000000
0.151757818388
Long
ABS-O
CORP
US
Y
2
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
889038.43000000
0.041710829972
Long
DBT
CORP
AU
Y
2
2034-08-02
Variable
3.93300000
N
N
N
N
Y
N/A
N/A
USD
XXXX
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-38, Class SW
38374NPR2
10599.06000000
PA
USD
31.85000000
0.000001494299
Long
ABS-MBS
USGA
US
N
2
2036-06-20
Floating
1.90213920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-66, Class SG
31394EKR8
73139.97000000
PA
USD
75406.34000000
0.003537823473
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
5.83250040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QPCR6
4203272.30000000
PA
USD
3965880.85000000
0.186066401903
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
PRET LLC
N/A
PRET LLC, Series 2021-NPL6, Class A1
69362GAA9
2596863.76000000
PA
USD
2418965.35000000
0.113490091111
Long
ABS-O
CORP
US
Y
2
2051-07-25
Variable
2.48709960
N
N
N
N
N
N
SCF Equipment Leasing LLC
N/A
SCF Equipment Leasing LLC, Series 2022-2A, Class C
78397WAE6
3688000.00000000
PA
USD
3626882.83000000
0.170161702741
Long
ABS-O
CORP
US
Y
2
2032-08-20
Fixed
6.50000000
N
N
N
N
N
N
LP LMS Asset Securitization Trust
N/A
LP LMS Asset Securitization Trust
50214GAA9
769346.40000000
PA
USD
762191.48000000
0.035759578164
Long
ABS-O
CORP
US
N
3
2028-10-15
Fixed
3.22800000
N
N
N
N
N
N
Barrick Gold Corp.
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp.
725906AN1
295000.00000000
PA
USD
309876.68000000
0.014538419347
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
2572636.52000000
PA
USD
2297322.89000000
0.107783017271
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
240000.00000000
PA
USD
221308.69000000
0.010383093495
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
294565.83000000
PA
USD
268527.06000000
0.012598427879
Long
ABS-O
CORP
US
Y
3
2052-10-15
Fixed
3.74000000
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAJ9
375000.00000000
PA
USD
343977.82000000
0.016138335397
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402AF27
8132.35000000
PA
USD
8023.52000000
0.000376437808
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
3.90200040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-23, Class KO
31395B4J9
21868.18000000
PA
USD
19350.56000000
0.000907866174
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
438337.71000000
PA
USD
34848.59000000
0.001634984004
Long
ABS-MBS
USGA
US
N
2
2037-04-16
Floating
2.22000120
N
N
N
N
N
N
Coterra Energy, Inc.
FCNMH6O7VWU7LHXMK351
Coterra Energy, Inc.
127097AG8
935000.00000000
PA
USD
876288.55000000
0.041112646520
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECK5
199000.00000000
PA
USD
173307.28000000
0.008131021387
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
213035.70000000
PA
USD
15957.52000000
0.000748675626
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
2.09300040
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AL0
620000.00000000
PA
USD
578947.07000000
0.027162338527
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
277753.03790000
PA
USD
263188.50000000
0.012347959777
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
6.80000040
N
N
N
N
N
N
Leidos, Inc.
5493006I78VIN6J1BQ95
Leidos, Inc.
52532XAH8
465000.00000000
PA
USD
362537.19000000
0.017009081475
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
4478052.62000000
PA
USD
4289655.08000000
0.201256849696
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
30608.48000000
PA
USD
27791.96000000
0.001303909571
Long
ABS-MBS
CORP
US
N
2
2034-05-20
Variable
4.22165520
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
490000.00000000
PA
USD
422052.90000000
0.019801367586
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
148599.63000000
0.006971817743
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
Oklahoma Development Finance Authority
549300PXGPHUWC32DJ91
Oklahoma Development Finance Authority, Oklahoma Natural Gas Co.
6789084E1
575000.00000000
PA
USD
542647.57000000
0.025459282482
Long
DBT
MUN
US
N
2
2052-05-01
Fixed
4.71400000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23
12669G3R0
196576.18050000
PA
USD
127506.03000000
0.005982173726
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
1861098.11000000
PA
USD
1904035.13000000
0.089331217738
Long
ABS-MBS
USGA
US
N
2
2037-07-16
Fixed
6.00000000
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
53944YAR4
770000.00000000
PA
USD
734580.51000000
0.034464160062
Long
DBT
CORP
GB
N
2
2026-03-18
Variable
3.51100080
N
N
N
N
N
N
Bridge Trust
N/A
Bridge Trust, Series 2022-SFR1, Class C
10805VAE7
4200000.00000000
PA
USD
3925403.58000000
0.184167338297
Long
ABS-O
CORP
US
Y
2
2037-11-17
Fixed
4.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31390LY75
6709.43000000
PA
USD
6694.90000000
0.000314103222
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
314587.21000000
PA
USD
289854.49000000
0.013599042449
Long
ABS-O
CORP
US
Y
3
2042-09-20
Fixed
3.08000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3387, Class SA
31397PFM7
120636.30000000
PA
USD
8399.50000000
0.000394077583
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
1.83214080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-26, Class SC
38375KBN1
195086.77000000
PA
USD
6648.23000000
0.000311913615
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
1.60214040
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYJ7
2255000.00000000
PA
USD
1771122.39000000
0.083095378530
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
269551.20000000
PA
USD
21607.01000000
0.001013731566
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
1.96300080
N
N
N
N
N
N
NatWest Group plc
2138005O9XJIJN4JPN90
NatWest Group plc
639057AH1
905000.00000000
PA
USD
906167.22000000
0.042514457828
Long
DBT
CORP
GB
N
2
2034-03-02
Variable
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-61, Class Z
313921M70
183802.86200000
PA
USD
191560.54000000
0.008987405767
Long
ABS-MBS
USGSE
US
N
2
2031-11-25
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2544, Class HC
31393FQX7
100253.08000000
PA
USD
103161.55000000
0.004840008852
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
1978535.38000000
PA
USD
1777202.59000000
0.083380642001
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
957201.96000000
0.044908844044
Long
ABS-MBS
CORP
US
Y
2
2046-08-15
Variable
4.21390080
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAG3
440000.00000000
PA
USD
471147.73000000
0.022104739451
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
481008.38000000
0.022567369504
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
80485.27000000
PA
USD
66284.78000000
0.003109869151
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
454211.55000000
0.021310148238
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
350109.73000000
0.016426024935
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
209018.70000000
PA
USD
210864.03000000
0.009893063568
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
107435.66000000
PA
USD
103853.63000000
0.004872479025
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
313570.09000000
0.014711702292
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
523093.04770000
PA
USD
446743.85000000
0.020959787720
Long
ABS-MBS
CORP
US
Y
2
2035-09-25
Floating
4.96699920
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JC6
1200000.00000000
PA
USD
1150678.73000000
0.053986153174
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
212666.46000000
0.009977627799
Long
DBT
CORP
US
N
2
2050-04-24
Fixed
3.12500000
N
N
N
N
N
N
PG&E Wildfire Recovery Funding LLC
N/A
PG&E Wildfire Recovery Funding LLC, Series A-2
693342AB3
640000.00000000
PA
USD
592933.82000000
0.027818551950
Long
DBT
CORP
US
N
2
2036-06-01
Fixed
4.26300000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133KNNT6
4019892.33000000
PA
USD
3555084.92000000
0.166793175222
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L96Z0
1701876.52000000
PA
USD
1583379.18000000
0.074287069635
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
2.79000000
N
N
N
N
N
N
Fells Point Funding Trust
N/A
Fells Point Funding Trust
314382AA0
2405000.00000000
PA
USD
2191393.00000000
0.102813126790
Long
DBT
CORP
US
Y
2
2027-01-31
Fixed
3.04600000
N
N
N
N
N
N
Bank of Ireland Group plc
635400C8EK6DRI12LJ39
Bank of Ireland Group plc
06279JAC3
1343000.00000000
PA
USD
1345126.30000000
0.063109009123
Long
DBT
CORP
IE
Y
2
2026-09-16
Variable
6.25299840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-116, Class HI
31396X6G4
272425.97000000
PA
USD
7727.17000000
0.000362534017
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Floating
0.00001080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1994-40, Class Z
31359G5C6
44826.37000000
PA
USD
44866.80000000
0.002105006266
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-101, Class DO
3136AGZH8
924785.37000000
PA
USD
674368.38000000
0.031639200160
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
1204904.43000000
0.056530248993
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
130247.04000000
PA
USD
108862.61000000
0.005107484291
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
None
0.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCP8
1300000.00000000
PA
USD
1227838.74000000
0.057606253216
Long
DBT
CORP
US
N
2
2033-02-06
Fixed
4.90000000
N
N
N
N
N
N
Lendingpoint Asset Securitization Trust
N/A
Lendingpoint Asset Securitization Trust, Series 2022-C, Class B
525919AB2
4000000.00000000
PA
USD
3979345.20000000
0.186698105994
Long
ABS-O
CORP
US
Y
2
2030-02-15
Fixed
7.46000000
N
N
N
N
N
N
RMIP
N/A
RMIP
N/A
472579.46000000
PA
USD
463127.87000000
0.021728473358
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
1000000.00000000
PA
USD
738177.24000000
0.034632907091
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
Jonah nov37 144a
N/A
Jonah nov37 144a
N/A
2817000.00000000
PA
USD
2788830.00000000
0.130842953494
Long
ABS-MBS
CORP
US
N
3
2037-11-10
Fixed
0.00000000
N
N
N
N
N
N
AstraZeneca plc
PY6ZZQWO2IZFZC3IOL08
AstraZeneca plc
046353AG3
240000.00000000
PA
USD
209450.48000000
0.009826744338
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
320703.78000000
0.015046392132
Long
DBT
CORP
US
N
2
2047-06-06
Fixed
4.66900000
N
N
N
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VAW1
2000000.00000000
PA
USD
1567037.88000000
0.073520388283
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.10000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCY5
1715000.00000000
PA
USD
1337179.26000000
0.062736159511
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
840092.68000000
PA
USD
756985.76000000
0.035515342488
Long
ABS-O
CORP
US
N
2
2031-08-25
Fixed
4.15000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617XXDC0
3949479.81000000
PA
USD
4162715.78000000
0.195301265122
Long
ABS-MBS
USGA
US
N
2
2072-03-20
Variable
6.34799880
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFA8
620000.00000000
PA
USD
608845.78000000
0.028565090047
Long
DBT
CORP
US
N
2
2029-02-01
Variable
5.12300160
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc., Series F
257469AJ5
920000.00000000
PA
USD
896057.52000000
0.042040143148
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31371HKW7
23383.98000000
PA
USD
23554.21000000
0.001105087941
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
225542.19000000
0.010581715729
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403K4Q3
86369.34000000
PA
USD
85178.61000000
0.003996307020
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
3.33500040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-H09, Class TA
38375UFZ8
511332.12000000
PA
USD
510223.04000000
0.023938027593
Long
ABS-MBS
USGA
US
N
2
2064-04-20
Floating
4.99156920
N
N
N
N
N
N
Diversified Abs Phase III LLC
549300TKTDRB5WEDGC48
Diversified Abs Phase III LLC, Series 2022-1
255125AB2
4954291.93000000
PA
USD
4458862.74000000
0.209195530070
Long
ABS-O
CORP
US
Y
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
406080.06000000
0.019051973195
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
2.55000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210ASU2
2753.42000000
PA
USD
2824.41000000
0.000132512252
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
52366.14000000
PA
USD
4367.27000000
0.000204898292
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
3.36214080
N
N
N
N
N
N
DH Europe Finance II SARL
222100KDGL314CKTZ511
DH Europe Finance II SARL
23291KAJ4
1000000.00000000
PA
USD
796005.37000000
0.037346017365
Long
DBT
CORP
LU
N
2
2039-11-15
Fixed
3.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEW7
12000000.00000000
PA
USD
11513906.28000000
0.540195531435
Long
DBT
UST
US
N
2
2027-06-30
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402DNT3
11389.62000000
PA
USD
11219.83000000
0.000526398416
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
3.90499920
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WAX6
629000.00000000
PA
USD
536257.33000000
0.025159472929
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
26395.08000000
PA
USD
24165.73000000
0.001133778497
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
3.65946480
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2201, Class C
3133TMGW0
19966.45000000
PA
USD
20685.57000000
0.000970500558
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
691000.00000000
PA
USD
626076.98000000
0.029373522652
Long
DBT
CORP
CH
Y
2
2025-09-11
Variable
2.59300080
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CS6
445000.00000000
PA
USD
449713.35000000
0.021099107130
Long
DBT
CORP
DE
N
2
2029-01-18
Variable
6.72000120
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
104971.33900000
PA
USD
88312.74000000
0.004143350341
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-99, Class SC
31398F4S7
55887.15000000
PA
USD
3250.17000000
0.000152487545
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
1.56300120
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABP1
530000.00000000
PA
USD
462582.32000000
0.021702877903
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
6569.16200000
PA
USD
5052.68000000
0.000237055530
Long
ABS-MBS
CORP
US
N
2
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
223700.84000000
PA
USD
209794.66000000
0.009842892159
Long
ABS-O
CORP
US
N
2
2033-11-25
Variable
4.81681080
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDL7
910000.00000000
PA
USD
711438.54000000
0.033378413099
Long
DBT
CORP
US
N
2
2031-06-10
Fixed
2.70000000
N
N
N
N
N
N
US Auto Funding Trust
N/A
US Auto Funding Trust, Series 2022-1A, Class B
90355FAB4
4700000.00000000
PA
USD
4510294.37000000
0.211608537092
Long
ABS-O
CORP
US
Y
2
2025-12-15
Fixed
5.13000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAH5
476000.00000000
PA
USD
448816.55000000
0.021057032152
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-39
31393A5Z6
21560.21000000
PA
USD
3138.20000000
0.000147234272
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
118677.06000000
PA
USD
12768.89000000
0.000599075339
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9P63
7286662.08000000
PA
USD
6695200.37000000
0.314117314661
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
18790.41000000
PA
USD
19354.06000000
0.000908030382
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
68399.40000000
0.003209080335
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.35000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDW8
259000.00000000
PA
USD
158287.06000000
0.007426320869
Long
DBT
CORP
US
N
2
2063-11-01
Fixed
2.98700000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCA5
3409000.00000000
PA
USD
2875396.97000000
0.134904397910
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
23697.69000000
PA
USD
23678.52000000
0.001110920167
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Fixed
6.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AS7
975000.00000000
PA
USD
943849.40000000
0.044282384781
Long
DBT
CORP
CH
Y
2
2027-08-05
Variable
4.70300040
N
N
N
N
N
N
Arizona Public Service Co.
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co.
040555CM4
200000.00000000
PA
USD
181348.21000000
0.008508276018
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.05000000
N
N
N
N
N
N
Leidos, Inc.
5493006I78VIN6J1BQ95
Leidos, Inc.
52532XAJ4
630000.00000000
PA
USD
622193.92000000
0.029191341938
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
5.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-130, Class SX
31393UWF6
3902.01000000
PA
USD
3785.47000000
0.000177602103
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
4.59450000
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
336000.00000000
0.015764041685
Long
ABS-MBS
CORP
US
Y
2
2045-03-15
Variable
4.12017480
N
N
N
N
N
N
Office Properties Income Trust
N/A
Office Properties Income Trust
67623CAF6
490000.00000000
PA
USD
327067.32000000
0.015344949007
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.45000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617FGLD6
1620771.26000000
PA
USD
1626347.41000000
0.076303001090
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-36, Class DE
313920LG3
47699.77000000
PA
USD
49721.79000000
0.002332786816
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
2045431.34000000
PA
USD
2017220.55000000
0.094641514402
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
444019.86000000
0.020831986852
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
1.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140JBZB5
6747812.57000000
PA
USD
5426599.44000000
0.254598630307
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Variable
1.75399920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4
31396WVA1
5014.48000000
PA
USD
5624.31000000
0.000263874575
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
12.14484120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TC2
1160000.00000000
PA
USD
838417.19000000
0.039335843848
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
5850.33000000
PA
USD
4852.33000000
0.000227655751
Long
ABS-MBS
USGSE
US
N
2
2038-05-25
None
0.00000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAD2
974000.00000000
PA
USD
967498.72000000
0.045391934978
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
119804.30000000
PA
USD
120529.42000000
0.005654853575
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Variable
5.88113640
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2022-2A, Class D
96042VAG4
4910000.00000000
PA
USD
4752615.35000000
0.222977459800
Long
ABS-O
CORP
US
Y
2
2027-09-15
Fixed
5.48000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAE7
242000.00000000
PA
USD
232355.70000000
0.010901383752
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
4103.08000000
PA
USD
4127.96000000
0.000193670635
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
1642013.15000000
0.077037987336
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
7.49900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31373UED5
3554.97000000
PA
USD
3525.47000000
0.000165403738
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Variable
4.09500000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBD0
875000.00000000
PA
USD
807853.73000000
0.037901904391
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
2257428.43000000
0.105911297240
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
1.30000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2015-SFR1, Class A
02666AAA6
3627957.81000000
PA
USD
3457670.18000000
0.162222788251
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
361805.02000000
0.016974730408
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
27783.10000000
PA
USD
25411.26000000
0.001192214767
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
3.16179720
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2022-3A, Class C
22534QAE1
4100000.00000000
PA
USD
4233708.38000000
0.198632010080
Long
ABS-O
CORP
US
Y
2
2033-02-15
Fixed
8.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-90, Class AO
31396KU42
63489.20000000
PA
USD
54670.42000000
0.002564960654
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
18539.13000000
PA
USD
18653.43000000
0.000875159071
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
468197.58000000
0.021966327881
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
108.55000000
PA
USD
0.67000000
0.000000031434
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
14.04000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DU1
1400000.00000000
PA
USD
1378084.41000000
0.064655297873
Long
DBT
CORP
US
N
2
2033-02-21
Fixed
5.25000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding LLC, Series 2019-A, Class A
68377FAA6
1820319.33000000
PA
USD
1773982.01000000
0.083229542723
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
2920042.88000000
0.136999040726
Long
ABS-O
CORP
US
Y
2
2038-07-17
Fixed
2.42500000
N
N
N
N
N
N
Rogers Communications, Inc.
54930030NVF3Y2OL0A78
Rogers Communications, Inc.
775109CD1
745000.00000000
PA
USD
594169.97000000
0.027876548141
Long
DBT
CORP
CA
Y
2
2052-03-15
Fixed
4.55000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAL5
1200000.00000000
PA
USD
1113594.79000000
0.052246293721
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
292068.37000000
PA
USD
15454.16000000
0.000725059590
Long
ABS-MBS
USGA
US
N
2
2039-08-16
Floating
1.65999960
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAE3
555000.00000000
PA
USD
502936.10000000
0.023596147754
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
163476.39000000
0.007669787579
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAN2
1760000.00000000
PA
USD
1757870.00000000
0.082473618922
Long
DBT
CORP
FR
Y
2
2027-01-18
Variable
5.97499920
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class XA
90269CAH3
1045534.72000000
PA
USD
31.26000000
0.000001466618
Long
ABS-MBS
CORP
US
Y
2
2063-05-10
Variable
0.60117480
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128M5CE8
126037.47000000
PA
USD
130216.10000000
0.006109321513
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
280554.95000000
0.013162737877
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
508046.55000000
0.023835913667
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDV25
147322.58000000
PA
USD
140600.34000000
0.006596516728
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
104556.90000000
0.004905474196
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405KZ20
14269.11000000
PA
USD
13979.81000000
0.000655887820
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
3.68799840
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd.
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd.
052528AK2
263000.00000000
PA
USD
251980.52000000
0.011822117325
Long
DBT
CORP
AU
Y
2
2026-05-19
Fixed
4.40000000
N
N
N
N
Y
N/A
N/A
USD
XXXX
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DC1
845000.00000000
PA
USD
540880.35000000
0.025376370191
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
290.51000000
PA
USD
292.06000000
0.000013702517
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
10.50000120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-66, Class CB
3136A6ZU1
2724669.42000000
PA
USD
2562242.61000000
0.120212200335
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
492366.21420000
PA
USD
49457.20000000
0.002320373102
Long
ABS-MBS
CORP
US
Y
2
2041-07-25
Variable
3.70108440
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AK4
360000.00000000
PA
USD
282909.59000000
0.013273210029
Long
DBT
CORP
CH
Y
2
2033-02-11
Variable
2.74600080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617YMN65
470455.68000000
PA
USD
415426.94000000
0.019490498808
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYB4
1000000.00000000
PA
USD
803101.73000000
0.037678955802
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.61500040
N
N
N
N
N
N
Welltower OP LLC
T6IZ0MBEG5ACZDTR7D06
Welltower OP LLC
42217KAX4
350000.00000000
PA
USD
360908.07000000
0.016932648393
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
282774.77000000
0.013266884708
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
56394.01500000
PA
USD
41716.69000000
0.001957213214
Long
ABS-MBS
CORP
US
N
2
2034-08-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4217, Class KY
3137B2KH2
2300000.00000000
PA
USD
2002118.49000000
0.093932974214
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
2400.83000000
PA
USD
2360.81000000
0.000110761628
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
1306.41000000
PA
USD
1279.53000000
0.000060031441
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
8.34050160
N
N
N
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VAE1
264000.00000000
PA
USD
251274.94000000
0.011789013775
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
448274.70000000
0.021031610289
Long
DBT
CORP
AU
Y
2
2027-01-12
Variable
1.33999920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-151, Class A2
3137H9JG5
5200000.00000000
PA
USD
4927179.92000000
0.231167469200
Long
ABS-MBS
USGSE
US
N
2
2032-10-25
Variable
3.80000160
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
346217.89140000
PA
USD
181579.89000000
0.008519145700
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
387532.29000000
PA
USD
347529.31000000
0.016304959910
Long
ABS-MBS
CORP
US
N
2
2035-06-19
Variable
3.17605680
N
N
N
N
N
N
Berkshire Hathaway Finance Corp.
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp.
084664BU4
1000000.00000000
PA
USD
921966.04000000
0.043255687759
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
133420.32000000
PA
USD
136122.67000000
0.006386438822
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
222905.44000000
0.010458007881
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
44205.04000000
PA
USD
40586.83000000
0.001904203809
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
4.43973600
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H29, Class FA
38375BZQ8
313315.01000000
PA
USD
312198.48000000
0.014647350752
Long
ABS-MBS
USGA
US
N
2
2062-10-20
Floating
4.90656960
N
N
N
N
N
N
Kroger Co. (The)
6CPEOKI6OYJ13Q6O7870
Kroger Co. (The)
501044CR0
1100000.00000000
PA
USD
994426.25000000
0.046655288268
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
20188.77000000
PA
USD
15924.70000000
0.000747135817
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
US Airways Pass-Through Trust
N/A
US Airways Pass-Through Trust, Series 2011-1, Class A
903436AA1
1141960.84000000
PA
USD
1143233.10000000
0.053636828109
Long
ABS-O
CORP
US
N
2
2023-10-22
Fixed
7.12500000
N
N
N
N
N
N
Quanta Services, Inc.
SHVRXXEACT60MMH07S24
Quanta Services, Inc.
74762EAH5
1095000.00000000
PA
USD
836316.73000000
0.039237297006
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.35000000
N
N
N
N
N
N
APA Infrastructure Ltd.
261700SS8OEHDOCOUJ33
APA Infrastructure Ltd.
00205GAD9
732000.00000000
PA
USD
694408.00000000
0.032579394817
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
225573.27000000
PA
USD
225068.44000000
0.010559488899
Long
ABS-MBS
USGA
US
N
2
2032-07-20
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-30, Class LS
31397SMD3
228892.68000000
PA
USD
10725.87000000
0.000503223398
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Variable
0.00001080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2296, Class PD
3133TRUS2
33857.10000000
PA
USD
35352.54000000
0.001658627720
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
558967.07000000
0.026224941048
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
1097756.21000000
0.051503198378
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
29405.90500000
PA
USD
33003.34000000
0.001548410796
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
213789.88000000
0.010030335060
Long
DBT
CORP
MX
N
2
2026-01-30
Fixed
4.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEP2
5725000.00000000
PA
USD
5265210.94000000
0.247026799826
Long
DBT
UST
US
N
2
2032-05-15
Fixed
2.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-12, Class IE
38374XPH2
308379.63000000
PA
USD
24316.69000000
0.001140861056
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
172717.96000000
PA
USD
177763.59000000
0.008340097151
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
2403300.84000000
0.112755162573
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
22400.46000000
PA
USD
2724.50000000
0.000127824796
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1899, Class ZE
3133T86T9
19717.01000000
PA
USD
20356.16000000
0.000955045698
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
330319.12000000
0.015497513027
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
293387.69000000
0.013764808854
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
643.94000000
PA
USD
642.58000000
0.000030147791
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
2.99000160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36210APW1
5657.98000000
PA
USD
5687.69000000
0.000266848161
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
1214.30000000
PA
USD
46.47000000
0.000002180223
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
22.15802880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-165, Class SK
31359D5S8
482.38000000
PA
USD
486.74000000
0.000022836278
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
12.49999920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class A2
3137F1G44
2467000.00000000
PA
USD
2335659.14000000
0.109581631090
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Fixed
3.24300000
N
N
N
N
N
N
OneSky Loan Trust
N/A
OneSky Loan Trust, 1st Lien Term Loan
68278AAA7
3145120.19000000
PA
USD
2695259.18000000
0.126452910913
Long
LON
CORP
US
N
2
2031-01-15
Variable
3.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3920, Class LP
3137AF3W0
394011.30000000
PA
USD
393048.81000000
0.018440588765
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
452245.07000000
0.021217887308
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.15000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SC3
3757000.00000000
PA
USD
3207098.47000000
0.150466767770
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
134489.42000000
PA
USD
17292.49000000
0.000811308134
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K138, Class AM
3137H5XV4
1850000.00000000
PA
USD
1493075.99000000
0.070050333768
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Fixed
1.88900000
N
N
N
N
N
N
Regency Centers LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RAZ6
745000.00000000
PA
USD
627153.61000000
0.029424034676
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
207378.80000000
0.009729547761
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
1329441.03000000
PA
USD
1136367.64000000
0.053314722759
Long
ABS-O
CORP
US
N
2
2030-03-01
Fixed
3.70000000
N
N
N
N
N
N
Healthcare Realty Holdings LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAH7
610000.00000000
PA
USD
465440.91000000
0.021836993772
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
68922.49700000
PA
USD
46990.67000000
0.002204651430
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
1772262.17000000
PA
USD
1808964.83000000
0.084870824368
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Public Service Co. of Oklahoma
F3TJNSIZRGXRH8GEIK79
Public Service Co. of Oklahoma
744533BQ2
970000.00000000
PA
USD
961015.51000000
0.045087763571
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
5.25000000
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
4470727.00000000
0.209752163074
Long
ABS-O
CORP
US
Y
2
2026-01-25
Variable
4.44999960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31409JS50
40520.16000000
PA
USD
40719.99000000
0.001910451249
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
107612.50000000
PA
USD
13428.17000000
0.000630006641
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
337529.13000000
0.015835783557
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.20000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GLE7
1373000.00000000
PA
USD
1358653.15000000
0.063743645514
Long
DBT
CORP
US
N
2
2027-01-20
Variable
5.07999960
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBR5
780000.00000000
PA
USD
653481.61000000
0.030659259942
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
350000.00000000
PA
USD
334482.73000000
0.015692856246
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2021-H14, Class CF
38382YDZ3
4343930.67000000
PA
USD
4425616.98000000
0.207635745706
Long
ABS-MBS
USGA
US
N
2
2071-09-20
Floating
5.82631920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-1, Class SA
31392BVQ6
9697.65000000
PA
USD
10812.17000000
0.000507272317
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Floating
10.18225080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2262, Class Z
3133TQ5B9
5760.52000000
PA
USD
6137.48000000
0.000287950864
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
414000.00000000
PA
USD
269594.21000000
0.012648495132
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
8497289.04000000
0.398665531670
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
818300.88000000
0.038392051141
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
1240834.01000000
0.058215949579
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
1228516.40000000
PA
USD
1105424.62000000
0.051862975565
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
752010.23000000
PA
USD
715850.27000000
0.033585397312
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
588323.57000000
PA
USD
593863.11000000
0.027862151254
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
335807.81000000
0.015755024747
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
1857.49000000
PA
USD
1978.41000000
0.000092820647
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
344733.97000000
0.016173811528
Long
DBT
CORP
ES
N
2
2027-09-14
Variable
1.72199880
N
N
N
N
N
N
S&P Global, Inc.
Y6X4K52KMJMZE7I7MY94
S&P Global, Inc.
78409VBC7
1791000.00000000
PA
USD
1532934.51000000
0.071920367610
Long
DBT
CORP
US
Y
2
2032-03-01
Fixed
2.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CSM6
1014.60000000
PA
USD
1031.66000000
0.000048402176
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
769907.41000000
0.036121584837
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
945557.69000000
0.044362532265
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.04000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFH9
53850000.00000000
PA
USD
51390990.37000000
2.411100340648
Long
DBT
UST
US
N
2
2027-08-31
Fixed
3.12500000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-28CB, Class 1A4
12667GWT6
997144.23360000
PA
USD
868298.14000000
0.040737762126
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
18173.62000000
PA
USD
422.29000000
0.000019812491
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
4.48300080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEM9
30400000.00000000
PA
USD
28340874.85000000
1.329662894471
Long
DBT
UST
US
N
2
2029-04-30
Fixed
2.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-59, Class BG
31394AVD5
61095.19000000
PA
USD
51302.28000000
0.002406938334
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
1168.08000000
PA
USD
1171.15000000
0.000054946599
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Floating
5.28786000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECR0
934000.00000000
PA
USD
929291.80000000
0.043599388908
Long
DBT
CORP
US
N
2
2033-02-27
Fixed
5.15000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2247, Class Z
3133TPGX1
26754.11000000
PA
USD
28038.22000000
0.001315463300
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
1843.06000000
PA
USD
1874.18000000
0.000087930510
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
8.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UJY5
79217.80000000
PA
USD
80089.12000000
0.003757524482
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
4.37500080
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402CPA4
226015.64000000
PA
USD
231920.27000000
0.010880954773
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LUY9
95885.95000000
PA
USD
97215.87000000
0.004561056628
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Variable
3.84199920
N
Y
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series N
06051GJQ3
590000.00000000
PA
USD
525404.74000000
0.024650304235
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
847668.96000000
PA
USD
842519.77000000
0.039528323735
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
698345.86000000
0.032764146571
Long
DBT
CORP
US
N
2
2032-11-03
Variable
2.52000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABF7
705000.00000000
PA
USD
709333.22000000
0.033279638241
Long
DBT
CORP
DK
Y
2
2026-01-09
Variable
6.46599960
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4
36228F2R6
92781.35000000
PA
USD
93537.17000000
0.004388463830
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
705901.66000000
0.033118640458
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
181511.70000000
0.008515946444
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
50628.27000000
PA
USD
42806.92000000
0.002008363307
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.31699840
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AM3
770000.00000000
PA
USD
569553.36000000
0.026721615801
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
7237.66000000
PA
USD
5909.76000000
0.000277266973
Long
ABS-MBS
CORP
US
N
2
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
302090.14000000
0.014173099880
Long
DBT
CORP
US
N
2
2048-09-26
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140XFY47
4040649.49000000
PA
USD
3815867.67000000
0.179028264930
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
4.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2003-9, Class 8A1
576434LD4
167534.63000000
PA
USD
160499.42000000
0.007530117700
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-32, Class PI
383742YT4
5790.75000000
PA
USD
46.75000000
0.000002193359
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
109727.95000000
0.005148083267
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
246991.93000000
PA
USD
4355.43000000
0.000204342797
Long
ABS-MBS
USGA
US
N
2
2033-12-16
Floating
1.95999840
N
N
N
N
N
N
Constellation Energy Generation LLC
S2PEWKCZFFECR4533P43
Constellation Energy Generation LLC
210385AC4
1269000.00000000
PA
USD
1283484.89000000
0.060216991990
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
5.80000000
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAH2
1180000.00000000
PA
USD
888006.53000000
0.041662416535
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
350997.39000000
0.016467671093
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
113448.32000000
PA
USD
94292.31000000
0.004423892575
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
12853.85000000
PA
USD
13014.56000000
0.000610601387
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2586, Class WI
31393MWB3
46429.99000000
PA
USD
7767.14000000
0.000364409281
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
678893.27000000
0.031851493477
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
803497.49000000
0.037697523591
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
434753.19000000
PA
USD
432343.79000000
0.020284183119
Long
ABS-MBS
USGA
US
N
2
2063-03-20
Floating
4.80156840
N
N
N
N
N
N
Trane Technologies Financing Ltd.
549300A5OEF3CJI2CO89
Trane Technologies Financing Ltd.
892938AA9
650000.00000000
PA
USD
645222.65000000
0.030271776044
Long
DBT
CORP
IE
N
2
2033-03-03
Fixed
5.25000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-6, Class 7A1
576434SK1
173514.93000000
PA
USD
164441.26000000
0.007715056182
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
287143.45000000
PA
USD
271555.29000000
0.012740502712
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
4.00000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703DBJ9
1845000.00000000
PA
USD
1815564.59000000
0.085180463927
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1829, Class ZB
3133T6J36
1267.54000000
PA
USD
1268.87000000
0.000059531308
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
713498.22000000
0.033475046674
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
1956791.78000000
0.091806390446
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
1359687.80000000
0.063792187972
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
964988.26000000
0.045274152252
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
508256.41000000
PA
USD
526319.08000000
0.024693202134
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
33568.37000000
PA
USD
34399.51000000
0.001613914611
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WRUE8
413150.14000000
PA
USD
391433.15000000
0.018364787183
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-31, Class NO
38376XM59
469509.79000000
PA
USD
386555.02000000
0.018135920979
Long
ABS-MBS
USGA
US
N
2
2040-03-20
None
0.00000000
N
N
N
N
N
N
Phillips 66 Co.
RVJMT2IZVVSKIRJJBH76
Phillips 66 Co.
718547AJ1
985000.00000000
PA
USD
857121.97000000
0.040213412097
Long
DBT
CORP
US
Y
2
2029-12-15
Fixed
3.15000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2500, Class MC
31392UXE9
83819.08000000
PA
USD
86189.19000000
0.004043720190
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
811.31000000
PA
USD
818.04000000
0.000038379811
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
10.45239840
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
1883546.56000000
0.088369959787
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
1746000.00000000
PA
USD
1443804.64000000
0.067738680151
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
342681.61000000
0.016077521383
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.20000000
N
N
N
N
N
N
Universal Health Services, Inc.
549300YGMGQDO0NMJD09
Universal Health Services, Inc.
913903AW0
146000.00000000
PA
USD
118898.14000000
0.005578319152
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.65000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2043, Class CJ
3133TDML7
5441.19000000
PA
USD
5531.61000000
0.000259525388
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-109, Class PC
31394UZE5
165473.17000000
PA
USD
166569.30000000
0.007814896990
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
268919.36000000
0.012616833336
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.25000000
N
N
N
N
N
N
Eli Lilly & Co.
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co.
532457CH9
890000.00000000
PA
USD
884802.36000000
0.041512087162
Long
DBT
CORP
US
N
2
2063-02-27
Fixed
4.95000000
N
N
N
N
N
N
Gold Key Resorts LLC
549300MORAF4RGEXUA95
Gold Key Resorts LLC, Series 2014-A, Class A
38061LAA7
30111.35700000
PA
USD
29657.67000000
0.001391442696
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
79520.11000000
PA
USD
65831.57000000
0.003088605993
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
332655.35000000
0.015607121441
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
402518.49000000
0.018884875760
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
308550.76000000
0.014476211436
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
49353.29000000
PA
USD
49229.06000000
0.002309669505
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
4.88786040
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAV7
560000.00000000
PA
USD
493680.22000000
0.023161891569
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
139352.03000000
0.006537950029
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
483866.40750000
PA
USD
462465.00000000
0.021697373625
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
8081.33000000
PA
USD
8182.10000000
0.000383877873
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
79398.32000000
PA
USD
85867.62000000
0.004028633158
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
212389.41000000
0.009964629502
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
CVS Pass-Through Trust
N/A
CVS Pass-Through Trust
126650BY5
725715.86000000
PA
USD
705345.65000000
0.033092554254
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
1167870.09000000
0.054792716613
Long
DBT
CORP
US
Y
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31414HWF0
24356.70000000
PA
USD
23898.13000000
0.001121223564
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Variable
4.28500080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403R2E7
49633.77000000
PA
USD
50789.75000000
0.002382892072
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
8.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDY4
27100000.00000000
PA
USD
22957722.72000000
1.077102672514
Long
DBT
UST
US
N
2
2032-02-15
Fixed
1.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-71, Class SC
38375XML5
52290.17000000
PA
USD
843.55000000
0.000039576658
Long
ABS-MBS
USGA
US
N
2
2038-08-20
Floating
1.40213880
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
1963028.60000000
0.092099002025
Long
ABS-O
CORP
US
Y
2
2036-10-17
Fixed
5.14900000
N
N
N
N
N
N
FREMF 2019-KBF3 Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KBF3, Class B
30311TAC1
3397393.12000000
PA
USD
3203479.09000000
0.150296958076
Long
ABS-MBS
USGSE
US
Y
2
2029-01-25
Floating
7.07429160
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAH5
690000.00000000
PA
USD
616887.49000000
0.028942381272
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
350290.85000000
0.016434522504
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
370517.00000000
0.017383468551
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
8057187.50000000
0.378017379818
Long
DBT
UST
US
N
2
2028-07-31
Fixed
1.00000000
N
N
N
N
N
N
PRET LLC
N/A
PRET LLC, Series 2021-RN3, Class A1
74143JAA9
3651347.75000000
PA
USD
3344570.64000000
0.156916520801
Long
ABS-O
CORP
US
Y
2
2051-09-25
Variable
1.84290120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CRE5
1265.14000000
PA
USD
1287.12000000
0.000060387539
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
1849238.74000000
0.086760346976
Long
ABS-O
CORP
US
Y
2
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
535746.98000000
0.025135528945
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
80629.56000000
PA
USD
66569.07000000
0.003123207126
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
797186.25000000
0.037401420464
Long
DBT
CORP
MX
N
2
2050-01-16
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXTS1
5036218.25000000
PA
USD
4167819.06000000
0.195540694642
Long
ABS-MBS
USGSE
US
N
2
2061-09-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31406N4K7
545.39000000
PA
USD
537.32000000
0.000025209329
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
375687.90000000
0.017626070584
Long
DBT
CORP
MX
N
2
2049-04-22
Fixed
4.37500000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822CX0
880000.00000000
PA
USD
864956.54000000
0.040580984978
Long
DBT
CORP
JP
N
2
2034-02-22
Variable
5.44100040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-81, Class GE
31396XAU8
97085.18000000
PA
USD
101869.12000000
0.004779372184
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SN9
6152000.00000000
PA
USD
3412677.80000000
0.160111890174
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
41383.56000000
PA
USD
35770.09000000
0.001678217826
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
3.59628480
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GVR2
1415000.00000000
PA
USD
1370617.31000000
0.064304965505
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AA6
965000.00000000
PA
USD
825767.58000000
0.038742364743
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
14629.13000000
PA
USD
14802.80000000
0.000694499869
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
1147.81000000
PA
USD
1145.47000000
0.000053741776
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
8.00000000
N
N
N
N
N
N
CFMT LLC
N/A
CFMT LLC, Series 2020-HB4, Class A
12529LAA8
1354066.58000000
PA
USD
1315505.20000000
0.061719282173
Long
ABS-MBS
CORP
US
Y
3
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
373447.05000000
0.017520937093
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2000-2, Class ZE
31359XSV2
56289.72400000
PA
USD
58838.62000000
0.002760519221
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
1654054.09000000
0.077602909598
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
665847.60000000
0.031239432507
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
1945739.08000000
0.091287833233
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
1581399.01000000
0.074194166414
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
142189.66000000
PA
USD
2079.85000000
0.000097579887
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
1.40213880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXDF6
3385282.50000000
PA
USD
3105776.79000000
0.145713079713
Long
ABS-MBS
USGSE
US
N
2
2056-06-01
Fixed
3.50000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR2, Class E
02665UAE5
850000.00000000
PA
USD
836349.34000000
0.039238826962
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
91630.19650000
PA
USD
68031.48000000
0.003191818710
Long
ABS-MBS
CORP
US
N
2
2034-07-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36200MGS6
31977.23000000
PA
USD
32784.01000000
0.001538120536
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CES6
130000.00000000
PA
USD
120244.92000000
0.005641505748
Long
DBT
UST
US
N
2
2029-05-31
Fixed
2.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2256, Class MC
3133TPS67
26922.25000000
PA
USD
28394.16000000
0.001332162862
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
51407.77000000
PA
USD
54631.12000000
0.002563116824
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
678640.20000000
PA
USD
57547.33000000
0.002699936038
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
1.92300120
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822BY9
940000.00000000
PA
USD
822382.16000000
0.038583531701
Long
DBT
CORP
JP
N
2
2027-07-20
Variable
1.53799920
N
N
N
N
N
N
Elevance Health, Inc.
8MYN82XMYQH89CTMTH67
Elevance Health, Inc.
94973VAY3
500000.00000000
PA
USD
451023.13000000
0.021160557805
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.62500000
N
N
N
N
N
N
Niagara Mohawk Power Corp.
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp.
65364UAK2
493000.00000000
PA
USD
475115.85000000
0.022290910907
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
2175.32000000
PA
USD
2201.38000000
0.000103281684
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
79133.06000000
PA
USD
79934.40000000
0.003750265517
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
3.31569720
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
39257.36020000
PA
USD
32206.51000000
0.001511026089
Long
ABS-O
CORP
US
N
2
2029-04-25
Variable
6.70500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-49, Class SC
31398P5R6
150370.49000000
PA
USD
141181.56000000
0.006623785705
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Floating
3.42600120
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2022-SFR2, Class E1
74332VAJ4
4000000.00000000
PA
USD
3607702.40000000
0.169261818520
Long
ABS-O
CORP
US
Y
2
2027-04-17
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LH3F5
7251000.00000000
PA
USD
7326631.92000000
0.343742056553
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
4.67000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017BT5
2799000.00000000
PA
USD
2516004.25000000
0.118042844875
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
113641.03000000
0.005331672422
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.75000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGN8
1787000.00000000
PA
USD
1404853.93000000
0.065911237841
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M50, Class A1
3136BCGR5
2044276.47000000
PA
USD
1874054.27000000
0.087924612004
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Fixed
0.67000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4240, Class B
3137B3TZ1
2500650.00000000
PA
USD
2317995.02000000
0.108752887268
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
1072700.42000000
PA
USD
33143.01000000
0.001554963664
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
0.13299840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2430, Class WF
31339NW36
134261.71000000
PA
USD
139724.39000000
0.006555419965
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967NF4
298000.00000000
PA
USD
206234.13000000
0.009675843518
Long
DBT
CORP
US
N
2
2042-11-03
Variable
2.90400120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2021-M3, Class 1A1
3136BDXP8
310502.25000000
PA
USD
292037.43000000
0.013701458988
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Fixed
1.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1863, Class Z
3133T7DV8
1593.33000000
PA
USD
1595.43000000
0.000074852455
Long
ABS-MBS
USGSE
US
N
2
2026-07-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617XXCU1
4774520.30860000
PA
USD
5025158.27000000
0.235764298943
Long
ABS-MBS
USGA
US
N
2
2072-02-20
Variable
6.33899880
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H24, Class FG
38375BXB3
8707.34000000
PA
USD
8536.85000000
0.000400521604
Long
ABS-MBS
USGA
US
N
2
2060-04-20
Floating
4.82157000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-68, Class PG
31394E7B8
211400.71000000
PA
USD
212436.15000000
0.009966822393
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617F2E86
4108250.21000000
PA
USD
4066637.05000000
0.190793559453
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
4.50000000
N
N
N
N
N
N
Office Properties Income Trust
N/A
Office Properties Income Trust
67623CAE9
980000.00000000
PA
USD
724252.44000000
0.033979600163
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
343021.35000000
PA
USD
327038.08000000
0.015343577160
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
264848.11000000
0.012425823352
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407WSP9
179156.72000000
PA
USD
183684.40000000
0.008617882555
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
5.60700000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2571, Class SK
31393LAX1
1122.80000000
PA
USD
1127.06000000
0.000052878038
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Floating
14.71485240
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402Q4R9
80491.45000000
PA
USD
80252.99000000
0.003765212737
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
3.84999840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617XXDP1
4628620.49000000
PA
USD
4872939.91000000
0.228622702002
Long
ABS-MBS
USGA
US
N
2
2072-04-20
Variable
6.31900080
N
N
N
N
N
N
ANZ New Zealand Int'l Ltd.
213800VD256NU2D97H12
ANZ New Zealand Int'l Ltd.
00182EBM0
778000.00000000
PA
USD
655960.95000000
0.030775582618
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
230317.76000000
0.010805770147
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
786798.39000000
0.036914055411
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
48266.64000000
PA
USD
43482.61000000
0.002040064513
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
1.85940000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2420, Class XK
31339DMW5
105629.82000000
PA
USD
109237.60000000
0.005125077619
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVY73
5955116.54000000
PA
USD
5273457.04000000
0.247413680374
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
27081.77200000
PA
USD
19015.76000000
0.000892158432
Long
ABS-MBS
CORP
US
N
2
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
543102.14000000
0.025480609447
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
857273.78000000
PA
USD
767340.70000000
0.036001163041
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
856169.78000000
0.040168738398
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
416828.77000000
0.019556268172
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
33956.95000000
PA
USD
33814.01000000
0.001586444830
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
5.11700040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-47, Class PE
31393CRH8
95369.93000000
PA
USD
97508.29000000
0.004574776036
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
1135744.00000000
0.053285463572
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
10821589.88000000
0.507714267776
Long
DBT
UST
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-79, Class DO
31396KYB2
100067.80000000
PA
USD
86906.57000000
0.004077377357
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
337500.70000000
0.015834449713
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.25000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3132DN4J9
5446852.29000000
PA
USD
5124018.39000000
0.240402498505
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
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
6023932.47820000
PA
USD
5657756.90000000
0.265443796484
Long
ABS-MBS
USGSE
US
Y
2
2041-07-25
Floating
6.28413120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3720, Class A
3137A1XL2
24375.27000000
PA
USD
24152.36000000
0.001133151219
Long
ABS-MBS
USGSE
US
N
2
2025-09-15
Fixed
4.50000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAT4
1800000.00000000
PA
USD
1777095.43000000
0.083375614398
Long
DBT
CORP
SE
Y
2
2027-09-20
Fixed
5.33700000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-65, Class SA
38374N3Q8
259621.79000000
PA
USD
4012.51000000
0.000188254091
Long
ABS-MBS
USGA
US
N
2
2036-11-20
Floating
2.20214160
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
173860.56000000
0.008156979509
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
3929.01000000
PA
USD
121.64000000
0.000005706958
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Floating
7.16000040
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2003-7, Class 3A
07384MYS5
14150.86000000
PA
USD
12875.25000000
0.000604065409
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
3.58917120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class A2
3137H9C98
4145000.00000000
PA
USD
3898930.42000000
0.182925302589
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Variable
3.71000160
N
N
N
N
N
N
Park Aerospace Holdings Ltd.
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd.
70014LAC4
2385000.00000000
PA
USD
2383016.35000000
0.111803479401
Long
DBT
CORP
KY
Y
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31407KGJ2
24172.36000000
PA
USD
23894.44000000
0.001121050441
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
3.88699920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296NA23
122821.32000000
PA
USD
126107.84000000
0.005916575138
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
669796.21000000
0.031424688616
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
262576.05000000
0.012319225588
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
570532.51000000
0.026767554376
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
13469500.00000000
PA
USD
11610077.55000000
0.544707578784
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
149598.43000000
0.007018678233
Long
DBT
CORP
US
N
2
2041-04-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2
3137H7ZB2
4200000.00000000
PA
USD
3706598.70000000
0.173901715531
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Fixed
2.92000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBG3
917000.00000000
PA
USD
897283.23000000
0.042097649528
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
223756.52000000
PA
USD
214303.68000000
0.010054440907
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
119660.95000000
PA
USD
118351.90000000
0.005552691324
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
270580.02000000
PA
USD
217285.85000000
0.010194354753
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
1028516.49000000
0.048254692924
Long
DBT
CORP
GB
N
2
2028-09-22
Variable
2.01300120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LGMJ8
2957894.45000000
PA
USD
2547442.94000000
0.119517847315
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
2.43000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2089, Class PJ
3133TGKG3
28236.16000000
PA
USD
2253.55000000
0.000105729333
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
7.00000000
N
N
N
N
N
N
Berkshire Hathaway Finance Corp.
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp.
084664DB4
845000.00000000
PA
USD
682199.51000000
0.032006611647
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.85000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
25160PAH0
1300000.00000000
PA
USD
1131071.76000000
0.053066257065
Long
DBT
CORP
DE
N
2
2028-01-07
Variable
2.55200040
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DT4
825000.00000000
PA
USD
818209.14000000
0.038387746995
Long
DBT
CORP
US
N
2
2053-03-02
Fixed
5.65000000
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473PAL9
740000.00000000
PA
USD
564066.42000000
0.026464186185
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.70000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MBP4
1315000.00000000
PA
USD
1138897.53000000
0.053433417079
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
1283229.65000000
0.060205016948
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
645582.77000000
PA
USD
504637.40000000
0.023675967290
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.50880840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31416BXJ2
1924.34000000
PA
USD
1914.97000000
0.000089844246
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
684846.39000000
0.032130794762
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
556640.82000000
PA
USD
555753.70000000
0.026074180040
Long
ABS-MBS
USGA
US
N
2
2064-01-20
Floating
5.04156960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QH4
11000000.00000000
PA
USD
11473945.34000000
0.538320692375
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
25806910.18000000
PA
USD
22374404.54000000
1.049735255534
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
Walt Disney Co. (The)
549300GZKULIZ0WOW665
Walt Disney Co. (The)
254687DZ6
100000.00000000
PA
USD
108963.47000000
0.005112216319
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
29675.86000000
PA
USD
2167.89000000
0.000101710441
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
4.06213920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-10, Class S
38375PYG0
153313.19000000
PA
USD
4207.82000000
0.000197417410
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Floating
1.23213960
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
800000.00000000
PA
USD
760901.54000000
0.035699058319
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
759980.85000000
0.035655862499
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
2216962.64000000
0.104012772239
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
43167.53000000
PA
USD
45147.98000000
0.002118198329
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
125335.87000000
0.005880356783
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
310205.60000000
0.014553851218
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
7313502.57000000
0.343126069587
Long
DBT
UST
US
N
2
2040-05-15
Fixed
1.12500000
N
N
N
N
N
N
PG&E Wildfire Recovery Funding LLC
N/A
PG&E Wildfire Recovery Funding LLC, Series A-5
693342AK3
795000.00000000
PA
USD
803357.64000000
0.037690962278
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
5.09900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-56, Class FC
31395NXA0
257832.20000000
PA
USD
256305.14000000
0.012025014616
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
4.90700160
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967LP4
1573000.00000000
PA
USD
1457195.61000000
0.068366941488
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
10483.70000000
PA
USD
9689.73000000
0.000454611034
Long
ABS-MBS
USGA
US
N
2
2063-04-20
Fixed
1.65000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2U7
765000.00000000
PA
USD
619245.12000000
0.029052993706
Long
DBT
CORP
FR
Y
2
2033-01-20
Variable
3.13200000
N
N
N
N
N
N
Bank of Nova Scotia (The)
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia (The)
06417XAP6
1650000.00000000
PA
USD
1600791.41000000
0.075103995586
Long
DBT
CORP
CA
N
2
2030-02-01
Fixed
4.85000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAW2
235000.00000000
PA
USD
194555.89000000
0.009127937976
Long
DBT
CORP
FR
Y
2
2030-01-22
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6
17307GLD8
10711.96000000
PA
USD
9626.20000000
0.000451630410
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.91114440
N
N
N
N
N
N
Prudential Financial, Inc.
5PRBRS5FEH7NREC8OR45
Prudential Financial, Inc.
744320AY8
300000.00000000
PA
USD
236829.67000000
0.011111288066
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
6878861.26000000
0.322734094203
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
1007333.20000000
0.047260840940
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
9462.28000000
PA
USD
9271.47000000
0.000434987617
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Floating
4.79157120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2464, Class SI
31392MWQ1
135058.43000000
PA
USD
9149.45000000
0.000429262830
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
3.41214120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-68, Class KI
38374L3B5
715761.04000000
PA
USD
51945.64000000
0.002437122721
Long
ABS-MBS
USGA
US
N
2
2035-09-20
Floating
1.70214120
N
N
N
N
N
N
Consolidated Edison Co. of New York, Inc.
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co. of New York, Inc.
209111GD9
1090000.00000000
PA
USD
1165318.10000000
0.054672985432
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
6.15000000
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
833359.37650000
PA
USD
68458.64000000
0.003211859686
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
1.03299840
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591CS9
6839000.00000000
PA
USD
7628372.43000000
0.357898752916
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
378571.88000000
0.017761377670
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
134504.70000000
PA
USD
112353.23000000
0.005271252979
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
201803.48000000
PA
USD
210783.80000000
0.009889299434
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
5197.91000000
PA
USD
5237.45000000
0.000245724345
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2022-3A, Class D
38014QAE6
2500000.00000000
PA
USD
2455420.00000000
0.115200426296
Long
ABS-O
CORP
US
Y
2
2028-06-15
Fixed
6.42000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11
17307GRM2
99895.83000000
PA
USD
97051.13000000
0.004553327556
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
275425.51000000
PA
USD
282797.11000000
0.013267932829
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
76400.20000000
PA
USD
79023.79000000
0.003707542618
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
13625000.00000000
PA
USD
9714731.41000000
0.455784020570
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404EVB9
26105.29000000
PA
USD
25648.72000000
0.001203355628
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Variable
3.96500040
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust, Series 2017-AA, Class A
43283AAA3
54977.38930000
PA
USD
54337.06000000
0.002549320472
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
460677.28000000
0.021613499540
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.78200000
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
222213.95000000
PA
USD
203819.52000000
0.009562557766
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
297275.88000000
PA
USD
296957.97000000
0.013932314934
Long
ABS-MBS
USGA
US
N
2
2033-01-20
Fixed
6.50000000
N
N
N
N
N
N
Upstart Structured Pass-Through Trust
N/A
Upstart Structured Pass-Through Trust, Series 2022-4A, Class A
91680YBD2
1630748.02000000
PA
USD
1633430.44000000
0.076635314127
Long
ABS-O
CORP
US
Y
2
2030-11-15
Fixed
7.01000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2
36298XAD4
1566808.18000000
PA
USD
85131.43000000
0.003994093485
Long
ABS-MBS
CORP
US
Y
3
2036-04-25
Variable
1.57044240
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-14, Class ES
31396PC33
329091.60000000
PA
USD
24858.53000000
0.001166282449
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
1.82300040
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2022-3A, Class D
23345RAG1
3500000.00000000
PA
USD
3605259.35000000
0.169147198454
Long
ABS-O
CORP
US
Y
2
2028-07-17
Fixed
8.14000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-46, Class QB
31393YT96
91206.97000000
PA
USD
94075.71000000
0.004413730398
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
5.53200120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TM0
4400000.00000000
PA
USD
4337437.50000000
0.203498647496
Long
DBT
UST
US
N
2
2042-11-15
Fixed
4.00000000
N
N
N
N
N
N
NACC Reperforming Loan REMIC Trust
N/A
NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1
62951MAM2
156593.40000000
PA
USD
136734.98000000
0.006415166442
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
1249001.01000000
0.058599119008
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
26282.55000000
PA
USD
26236.53000000
0.001230933787
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
749740.43000000
0.035175414856
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
966131.50000000
0.045327789404
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
322686.98000000
PA
USD
28530.95000000
0.001338580610
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H18, Class JA
38375B7P1
828245.44000000
PA
USD
826181.54000000
0.038761786418
Long
ABS-MBS
USGA
US
N
2
2063-08-20
Floating
4.99156920
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91086QBG2
316000.00000000
PA
USD
307942.00000000
0.014447650371
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
1034689.62000000
0.048544316373
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
66737.50000000
PA
USD
66573.31000000
0.003123406053
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
5.03786160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31407LE60
22670.82000000
PA
USD
23268.16000000
0.001091667393
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
7.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAF0
1200000.00000000
PA
USD
927281.86000000
0.043505088974
Long
DBT
CORP
FR
Y
2
2032-10-19
Variable
3.11600160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31371PAK6
75456.06000000
PA
USD
80543.93000000
0.003778862708
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
33978.99860000
PA
USD
34612.20000000
0.001623893344
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
42081.69000000
PA
USD
36161.76000000
0.001696593726
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
3.31506000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1608, Class L
3133T1W81
14554.18000000
PA
USD
14578.82000000
0.000683991447
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
108006.45000000
PA
USD
106791.04000000
0.005010292875
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
5.01699960
N
N
N
N
N
N
Quanta Services, Inc.
SHVRXXEACT60MMH07S24
Quanta Services, Inc.
74762EAF9
1440000.00000000
PA
USD
1191785.31000000
0.055914741985
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
128232.74000000
PA
USD
127940.56000000
0.006002560479
Long
ABS-MBS
USGA
US
N
2
2029-02-20
Fixed
6.00000000
N
N
N
N
N
N
Kraft Heinz Foods Co.
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LAB2
629000.00000000
PA
USD
513505.30000000
0.024092020699
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YX2
9368900.00000000
PA
USD
8531920.51000000
0.400290329101
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
1008772.29000000
0.047328358425
Long
DBT
CORP
US
N
2
2044-11-04
Fixed
4.65000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3
36242DCH4
49204.51150000
PA
USD
48741.19000000
0.002286780211
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QS6G6
75840.88000000
PA
USD
74355.51000000
0.003488521902
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
3.97299960
N
Y
N
N
N
N
Evergy Metro, Inc.
1128SIJQ26096WL7IO82
Evergy Metro, Inc.
485134BM1
1400000.00000000
PA
USD
1354766.25000000
0.063561284640
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
100311.48000000
PA
USD
96030.91000000
0.004505462108
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LJBK1
5000000.00000000
PA
USD
5148680.80000000
0.241559579634
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
5.05000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BT0
1475000.00000000
PA
USD
1078021.04000000
0.050577287537
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
670265.42000000
0.031446702444
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
618950.70000000
PA
USD
532136.37000000
0.024966130711
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
9631.39000000
PA
USD
816.61000000
0.000038312720
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
48491.98000000
PA
USD
50783.07000000
0.002382578667
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
4091656.36000000
0.191967385185
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
20979.05000000
PA
USD
20947.21000000
0.000982775867
Long
ABS-MBS
USGA
US
N
2
2037-09-20
Floating
6.41142000
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460DAH2
615000.00000000
PA
USD
522128.08000000
0.024496573864
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
50687.59240000
PA
USD
24425.90000000
0.001145984838
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
151251.02000000
PA
USD
149174.09000000
0.006998769563
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Floating
4.83699960
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133BMM44
1745756.76000000
PA
USD
1718428.49000000
0.080623149851
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3014, Class OD
31395XBJ3
27458.30000000
PA
USD
22399.97000000
0.001050934704
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
3948000.00000000
PA
USD
3888780.00000000
0.182449077458
Long
ABS-MBS
CORP
US
N
3
2023-03-25
Fixed
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2399, Class TH
31339MWA2
69158.62000000
PA
USD
71449.36000000
0.003352174670
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
2651.39000000
PA
USD
18.32000000
0.000000859515
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
982146.48000000
PA
USD
845722.01000000
0.039678562559
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
76939.87000000
PA
USD
80565.35000000
0.003779867666
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
1537646.17000000
0.072141423576
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
436847.76000000
0.020495494937
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
401057.47000000
0.018816329391
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
2423706.36000000
PA
USD
2409365.05000000
0.113039675845
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
4.83157080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-H08, Class XI
38376R2M7
4945789.84200000
PA
USD
222065.96000000
0.010418622173
Long
ABS-MBS
USGA
US
N
2
2067-03-20
Variable
2.12670000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M50, Class X1
3136BCGU8
20624760.90000000
PA
USD
1496575.96000000
0.070214541128
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.89179280
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-H01, Class FA
38375BE73
761.67000000
PA
USD
678.13000000
0.000031815683
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
3842244.64000000
PA
USD
3456506.22000000
0.162168178984
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
282462.85000000
0.013252250422
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
46427.46000000
PA
USD
45081.93000000
0.002115099475
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
1306.45000000
PA
USD
1309.82000000
0.000061452550
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
5.61700080
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
125411.37000000
PA
USD
116389.80000000
0.005460635889
Long
ABS-MBS
CORP
US
N
2
2034-10-19
Floating
5.25786120
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2021-1, Class A1
693577AA6
2827425.55000000
PA
USD
2663241.75000000
0.124950755850
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
2849863.16000000
PA
USD
2675688.93000000
0.125534737590
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
3245575.94000000
PA
USD
3045470.60000000
0.142883706817
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
760218.48000000
0.035667011336
Long
DBT
CORP
IE
N
2
2026-01-30
Fixed
1.75000000
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140CJ7
790000.00000000
PA
USD
771968.72000000
0.036218294887
Long
DBT
CORP
US
N
2
2053-02-10
Fixed
5.70000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAL3
600000.00000000
PA
USD
464880.45000000
0.021810698787
Long
DBT
CORP
ES
N
2
2032-11-22
Variable
3.22499880
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2021-SFR3, Class C
00180UAC9
1600000.00000000
PA
USD
1367704.64000000
0.064168312376
Long
ABS-O
CORP
US
Y
2
2038-10-17
Fixed
1.79600000
N
N
N
N
N
N
Coca-Cola Femsa SAB de CV
5493008KEVFYPMGTXO33
Coca-Cola Femsa SAB de CV
191241AH1
357000.00000000
PA
USD
307533.19000000
0.014428470318
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
130119.78000000
PA
USD
27799.61000000
0.001304268484
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
1748862.32000000
PA
USD
1701421.56000000
0.079825239275
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703DBG5
167000.00000000
PA
USD
102067.18000000
0.004788664524
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
135617.10000000
PA
USD
3594.42000000
0.000168638650
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Floating
1.59999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DTT6
49241.19000000
PA
USD
48852.08000000
0.002291982814
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
3.52000080
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBJ8
1215000.00000000
PA
USD
1002463.14000000
0.047032353354
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
1.50000000
N
N
N
N
N
N
HGI CRE CLO Ltd.
N/A
HGI CRE CLO Ltd., Series 2022-FL3, Class B
403950AC2
1500000.00000000
PA
USD
1440538.50000000
0.067585443344
Long
ABS-CBDO
CORP
KY
Y
2
2037-04-20
Floating
7.00958160
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust, Series 2021-SAT1
30259RAG0
7325000.00000000
PA
USD
7008560.00000000
0.328819142845
Long
ABS-MBS
CORP
US
Y
3
2024-02-25
Variable
3.65000040
N
N
N
N
N
N
Duquesne Light Holdings, Inc.
4CUJ1D8WDXK9X7QI6B93
Duquesne Light Holdings, Inc.
266233AG0
750000.00000000
PA
USD
672261.77000000
0.031540364779
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
3.61600000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3117, Class OK
31396HVU0
97032.99000000
PA
USD
80325.81000000
0.003768629218
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
414714.00000000
PA
USD
433935.02000000
0.020358838524
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
1977357.97000000
0.092771290078
Long
ABS-MBS
CORP
US
Y
2
2026-02-25
Variable
2.09000160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138EQLH3
625591.75000000
PA
USD
621071.28000000
0.029138671272
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
285536.36000000
0.013396449648
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
4.87500000
N
N
N
N
N
N
FNMA, Grantor Trust
N/A
FNMA, Grantor Trust, Series 2017-T1, Class A
3136AV6R5
4835536.44000000
PA
USD
4482563.07000000
0.210307473493
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
451.43000000
PA
USD
451.94000000
0.000021203574
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
5.05900080
N
N
N
N
N
N
Southern Co. Gas Capital Corp.
E8CD46SWUD2TSN8PA636
Southern Co. Gas Capital Corp., Series 21A
8426EPAE8
420000.00000000
PA
USD
281736.41000000
0.013218168189
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
1086000.00000000
PA
USD
779266.83000000
0.036560698786
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
410767.82000000
0.019271907849
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
1088913.15000000
0.051088310382
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
1.51200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MDZ47
217937.81000000
PA
USD
207058.20000000
0.009714506238
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
143389.07050000
PA
USD
119830.66000000
0.005622069998
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
665580.09000000
0.031226881797
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAC7
350000.00000000
PA
USD
354232.53000000
0.016619453480
Long
DBT
CORP
US
N
2
2036-10-01
Fixed
6.65000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JU2
695000.00000000
PA
USD
521730.54000000
0.024477922563
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
674846.98000000
0.031661654536
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
1168462.26000000
0.054820499329
Long
DBT
CORP
VG
Y
2
2027-05-08
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LHGP9
3473638.70000000
PA
USD
3252649.11000000
0.152603857615
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.54000000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2022-D, Class C
12663UAC0
4000000.00000000
PA
USD
4045429.60000000
0.189798573960
Long
ABS-O
CORP
US
Y
2
2029-01-16
Fixed
7.69000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class A
00908PAB3
534872.00000000
PA
USD
460512.86000000
0.021605785481
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
518264.86000000
0.024315323979
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
788933.54000000
0.037014229796
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
1677.39000000
PA
USD
1719.67000000
0.000080681397
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
6.50000000
N
N
N
N
N
N
WILMA 7.951 27MAR29
N/A
WILMA 7.951 27MAR29
N/A
3000000.00000000
PA
USD
3000000.00000000
0.140750372193
Long
ABS-CBDO
CORP
US
N
3
2029-03-27
Fixed
7.95100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31408EN81
18034.78000000
PA
USD
17783.84000000
0.000834360699
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-46, Class UC
31395D5M7
87380.12000000
PA
USD
87108.53000000
0.004086852672
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
1545000.00000000
PA
USD
1378855.86000000
0.064691491831
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
393472.64000000
0.018460473509
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
302229.88000000
0.014179656032
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
412751.05000000
0.019364954636
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
340259.58000000
0.015963887509
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
62246.36000000
PA
USD
62710.01000000
0.002942152415
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
84130.07000000
PA
USD
12789.95000000
0.000600063407
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
2279453.53000000
0.106944644248
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
899.37000000
PA
USD
900.97000000
0.000042270620
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
2560000.00000000
PA
USD
2351417.24000000
0.110320950570
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
442203.96000000
0.020746790651
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
5790.62000000
PA
USD
5789.79000000
0.000271638365
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
6.50000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAN2
371000.00000000
PA
USD
357902.11000000
0.016791618397
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.30000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-10, Class 1A1
576434VU5
1315.53000000
PA
USD
1236.27000000
0.000058001820
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
1434.19000000
PA
USD
1430.61000000
0.000067119629
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LHVW7
2065000.00000000
PA
USD
2094058.68000000
0.098246512868
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
4.55000000
N
N
N
N
N
N
Public Service Co. of Oklahoma
F3TJNSIZRGXRH8GEIK79
Public Service Co. of Oklahoma, Series G
744533BJ8
2490000.00000000
PA
USD
2666515.38000000
0.125104344064
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCJ8
3195000.00000000
PA
USD
2847543.75000000
0.133597614216
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
1514739.10000000
PA
USD
1507246.29000000
0.070715158768
Long
ABS-MBS
USGA
US
N
2
2065-09-20
Floating
4.91157000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403KWA7
28001.20000000
PA
USD
28037.80000000
0.001315443595
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
70775.28900000
PA
USD
63543.02000000
0.002981234571
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
432503.22000000
PA
USD
432034.78000000
0.020269685361
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
220994.24000000
0.010368340510
Long
DBT
CORP
CH
Y
2
2027-08-10
Variable
1.49400000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286F2
560000.00000000
PA
USD
529287.50000000
0.024832470874
Long
DBT
UST
US
N
2
2026-02-28
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138MN2S8
417423.16000000
PA
USD
396093.64000000
0.018583442417
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
114334.72000000
0.005364218131
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128Q3NB3
7969.78000000
PA
USD
8113.92000000
0.000380679086
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
3.25000080
N
Y
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36202SD54
29453.27000000
PA
USD
29852.06000000
0.001400562851
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQAD4
696798.00000000
PA
USD
662486.95000000
0.031081761595
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Zoetis, Inc.
549300HD9Q1LOC9KLJ48
Zoetis, Inc.
98978VAV5
1463000.00000000
PA
USD
1515137.08000000
0.071085369311
Long
DBT
CORP
US
N
2
2032-11-16
Fixed
5.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-52, Class KB
313921KW7
17073.23000000
PA
USD
17351.42000000
0.000814072941
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
13825.55800000
PA
USD
12535.95000000
0.000588146542
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
30862.10000000
PA
USD
32541.95000000
0.001526763858
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
701000.00000000
PA
USD
649689.12000000
0.030481328483
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
4808.26500000
PA
USD
4241.79000000
0.000199011173
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
None
0.00000000
N
N
N
N
N
N
VOLT XCVI LLC
N/A
VOLT XCVI LLC, Series 2021-NPL5, Class A1
92873FAA5
2728592.88000000
PA
USD
2524582.54000000
0.118445310712
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
162788.51000000
0.007637514457
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
852989.43000000
0.040019526583
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
243201.56000000
0.011410236695
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2022-M1S, Class A2
3136BNET9
5230000.00000000
PA
USD
4302620.06000000
0.201865124950
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Variable
2.08181880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31412BTY8
67499.94000000
PA
USD
66556.73000000
0.003122628173
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Variable
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H21, Class CF
38375BWA6
9108.94000000
PA
USD
9021.63000000
0.000423265926
Long
ABS-MBS
USGA
US
N
2
2061-05-20
Floating
4.83905160
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
03523TBT4
780000.00000000
PA
USD
673217.24000000
0.031585192365
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
855921.03000000
0.040157067846
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
324616.14000000
0.015229947508
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
210605.14000000
PA
USD
219040.47000000
0.010276675892
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
390040.62000000
0.018299454145
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
126910.97000000
0.005954255420
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
3947000.00000000
PA
USD
3496886.09000000
0.164062672894
Long
DBT
CORP
FR
Y
2
2026-12-14
Variable
1.48799880
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAS4
1075000.00000000
PA
USD
1093362.59000000
0.051297063828
Long
DBT
CORP
GB
N
2
2026-11-21
Variable
6.83300160
N
N
N
N
N
N
Kraft Heinz Foods Co.
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LAX4
850000.00000000
PA
USD
747417.49000000
0.035066429967
Long
DBT
CORP
US
N
2
2039-10-01
Fixed
4.62500000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABY0
915000.00000000
PA
USD
608085.99000000
0.028529443139
Long
DBT
CORP
US
N
2
2060-11-15
Fixed
3.60000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2004-QA6, Class NB2
76110HH44
261157.08900000
PA
USD
226596.60000000
0.010631185262
Long
ABS-MBS
CORP
US
N
2
2034-12-26
Variable
3.62661840
N
N
N
N
N
N
Lending Funding Trust
N/A
Lending Funding Trust, Series 2020-2A, Class C
51507KAC0
1795000.00000000
PA
USD
1534761.62000000
0.072006089747
Long
ABS-O
CORP
US
Y
2
2031-04-21
Fixed
4.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H26, Class MA
38375BYQ9
2943.85000000
PA
USD
2903.13000000
0.000136205542
Long
ABS-MBS
USGA
US
N
2
2062-07-20
Floating
4.87963080
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBP5
905000.00000000
PA
USD
615356.75000000
0.028870563864
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.00000000
N
N
N
N
N
N
ITC Holdings Corp.
549300HTO5U9D3SLE207
ITC Holdings Corp.
465685AQ8
440000.00000000
PA
USD
375365.06000000
0.017610923967
Long
DBT
CORP
US
Y
2
2030-05-14
Fixed
2.95000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBM2
555000.00000000
PA
USD
508848.85000000
0.023873555009
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
3873.71000000
PA
USD
3874.17000000
0.000181763623
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
428878.14000000
0.020121585943
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
199731.12000000
0.009370743159
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
676117.46000000
0.031721261380
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
734621.14000000
0.034466066291
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
25245.44000000
PA
USD
26731.23000000
0.001254143523
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
728479.47000000
0.034177918845
Long
DBT
CORP
FR
Y
2
2032-06-09
Variable
2.88900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LG5D0
2172000.00000000
PA
USD
2085227.99000000
0.097832205233
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
3.87000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A
31393AP68
33659.26000000
PA
USD
33726.12000000
0.001582321314
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.17466160
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
96145DAF2
400000.00000000
PA
USD
386463.02000000
0.018131604634
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.75000000
N
N
N
N
N
N
OGE Energy Corp.
CE5OG6JPOZMDSA0LAQ19
OGE Energy Corp.
670837AC7
560000.00000000
PA
USD
553861.08000000
0.025985384384
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
0.70300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEB3
12700000.00000000
PA
USD
11201300.81000000
0.525529086017
Long
DBT
UST
US
N
2
2029-02-28
Fixed
1.87500000
N
N
N
N
N
N
Rillion Capital Iii Frn
N/A
Rillion Capital Iii Frn
N/A
5453092.78000000
PA
USD
5453092.78000000
0.255841612796
Long
ABS-MBS
CORP
US
N
3
2024-11-15
Fixed
0.00000000
N
N
N
N
N
N
Children's Hospital Corp. (The)
549300NXFO6BISJLOS32
Children's Hospital Corp. (The), Series 2020
16876BAB8
580000.00000000
PA
USD
369138.23000000
0.017318781087
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
403488.50000000
0.018930385516
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
916309.64000000
0.042990307624
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
662582.03000000
0.031086222443
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
1594111.34000000
PA
USD
1654983.53000000
0.077646515940
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-21, Class PE
31392CPT5
45684.62000000
PA
USD
47170.59000000
0.002213092699
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
1959925.68000000
0.091953422976
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
54555.38000000
PA
USD
58043.58000000
0.002723218496
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
42856.69000000
PA
USD
44026.96000000
0.002065603668
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
5227.55000000
PA
USD
5309.63000000
0.000249110799
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
9631.47400000
PA
USD
6624.32000000
0.000310791835
Long
ABS-MBS
CORP
US
N
2
2033-09-25
None
0.00000000
N
N
N
N
N
N
Life Storage LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAB0
859000.00000000
PA
USD
783757.06000000
0.036771365967
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410S5Y9
58966.36000000
PA
USD
59643.15000000
0.002798265187
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
4.31899920
N
N
N
N
N
N
JPMorgan Mortgage Trust
N/A
JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1
46628KAT7
28328.51000000
PA
USD
27034.08000000
0.001268352273
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.84901920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410XDA1
51269.55000000
PA
USD
51915.64000000
0.002435715217
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
4.32500040
N
N
N
N
N
N
Baxalta, Inc.
5493000JW8DCO3T45R55
Baxalta, Inc.
07177MAN3
50000.00000000
PA
USD
47360.13000000
0.002221985308
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
204026.96000000
PA
USD
201248.52000000
0.009441934697
Long
ABS-MBS
USGSE
US
N
2
2036-06-27
Floating
4.33943280
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-29, Class J
31359PFV3
6746.30000000
PA
USD
6907.22000000
0.000324064595
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
11607.39000000
PA
USD
11628.32000000
0.000545563455
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
65558RAD1
865000.00000000
PA
USD
862599.64000000
0.040470406794
Long
DBT
CORP
FI
Y
2
2027-09-22
Fixed
5.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class QS
31339NJ23
55783.96000000
PA
USD
58474.59000000
0.002743440102
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
7.57156320
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAP4
170000.00000000
PA
USD
145590.65000000
0.006830646058
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
Continental Finance Credit Card ABS Master Trust
N/A
Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A
66981PAH1
4080000.00000000
PA
USD
3897041.38000000
0.182836674895
Long
ABS-O
CORP
US
Y
2
2030-10-15
Fixed
6.19000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
840000.00000000
PA
USD
591053.91000000
0.027730352606
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
1136868.97000000
0.053338243554
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
312987.73000000
0.014684379829
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406VQ74
36118.35000000
PA
USD
35168.72000000
0.001650003476
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
3.03599880
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBA6
720000.00000000
PA
USD
605548.96000000
0.028410413833
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
122907.63000000
PA
USD
118480.50000000
0.005558724824
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.14734120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140MLRK8
1420174.39000000
PA
USD
1340834.59000000
0.062907655863
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2021-RPL1, Class A1
12660KAC5
5241335.26000000
PA
USD
4982315.81000000
0.233754268213
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
70859.16000000
PA
USD
70154.93000000
0.003291444169
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
40848.80000000
PA
USD
40492.74000000
0.001899789408
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
042735BC3
190000.00000000
PA
USD
190000.00000000
0.008914190238
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
449192.11000000
0.021074652222
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AQ2
300000.00000000
PA
USD
282721.84000000
0.013264401402
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
7999.68000000
PA
USD
8106.49000000
0.000380330494
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
13356.30000000
PA
USD
13533.25000000
0.000634936658
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
10373.35000000
PA
USD
8749.04000000
0.000410476878
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
None
0.00000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2001-2, Class A
36228FEC6
297176.52000000
PA
USD
272526.05000000
0.012786047656
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
843846.01000000
0.039590546660
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
232655.24000000
PA
USD
13889.98000000
0.000651673284
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
1.23300000
N
N
N
N
N
N
CRH America, Inc.
549300RN11MJ182CNF63
CRH America, Inc.
12626PAM5
417000.00000000
PA
USD
400710.57000000
0.018800053956
Long
DBT
CORP
US
Y
2
2025-05-18
Fixed
3.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
313615TX4
163.01000000
PA
USD
162.81000000
0.000007638522
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K-153, Class A2
3137H9PB9
4500000.00000000
PA
USD
4270889.70000000
0.200376438290
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Variable
3.82000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3047, Class OD
31396CJT8
410093.21000000
PA
USD
409266.91000000
0.019201489969
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
AIA Group Ltd.
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd.
00131LAH8
445000.00000000
PA
USD
407749.05000000
0.019130276849
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
506769.75000000
0.023776010309
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
1323881.67000000
0.062112279264
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
45557.11000000
PA
USD
41422.88000000
0.001943428592
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Floating
5.00600160
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
2470000.00000000
PA
USD
2334911.95000000
0.109546575333
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WQH88
448566.15000000
PA
USD
424981.04000000
0.019938746518
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
1037484.33000000
PA
USD
1030913.42000000
0.048367149187
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
4.83157080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36225BYK8
41405.84000000
PA
USD
43474.37000000
0.002039677919
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
7.00000000
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
24382.32060000
PA
USD
23025.23000000
0.001080269897
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
4.17071880
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust, Series 2019-1A, Class A
35041JAA3
265471.72000000
PA
USD
260417.75000000
0.012217965079
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
203518.41000000
0.009548430651
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
118926.27000000
PA
USD
95327.59000000
0.004472464590
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
None
0.00000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAN1
1414000.00000000
PA
USD
1507975.59000000
0.070749375183
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
5.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3260, Class CS
31397ELL7
150477.34000000
PA
USD
11522.02000000
0.000540576201
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
Floating
1.55214000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 383, Class 32
3136FFPD5
32434.98000000
PA
USD
6443.93000000
0.000302328515
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
2342963.59000000
PA
USD
2212466.84000000
0.103801843731
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
3.30184440
N
N
N
N
N
N
Paramount Global
5KYC8KF17ROCY24M3H09
Paramount Global
124857AR4
792000.00000000
PA
USD
717420.02000000
0.033659044944
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.90000000
N
N
N
N
N
N
Microchip Technology, Inc.
5493007PTFULNYZJ1R12
Microchip Technology, Inc.
595017BC7
290000.00000000
PA
USD
270897.64000000
0.012709647885
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.98300000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2020-K737, Class B
30300SAS1
550000.00000000
PA
USD
503841.42000000
0.023638622463
Long
ABS-MBS
USGSE
US
Y
2
2053-01-25
Variable
3.30473520
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
1413361.51000000
0.066310386191
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
11366.87000000
PA
USD
11311.60000000
0.000530703970
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
221.88000000
PA
USD
217.75000000
0.000010216131
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
3.30566760
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BJ8
400000.00000000
PA
USD
399645.09000000
0.018750065054
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
30669.14000000
PA
USD
29488.99000000
0.001383528772
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
263299.48000000
0.012353166602
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
480025.78000000
0.022521269065
Long
DBT
CORP
US
N
2
2027-07-22
Variable
1.73400120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LH3Z1
10120000.00000000
PA
USD
9667305.18000000
0.453558934062
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.80500000
N
N
N
N
N
N
SART
N/A
SART
N/A
679194.34000000
PA
USD
672334.48000000
0.031543776099
Long
ABS-MBS
CORP
US
N
3
2025-06-15
Fixed
4.75700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-37, Class H
31359E2U4
4.19700000
PA
USD
4.19000000
0.000000196581
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
11014.76000000
PA
USD
11267.43000000
0.000528631655
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
3416734.59000000
PA
USD
298805.74000000
0.014019006372
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Variable
1.94266080
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust, Series 2017-1A, Class A2
42771XAC0
785057.82000000
PA
USD
745431.32000000
0.034973245244
Long
ABS-O
CORP
KY
Y
3
2047-09-20
Fixed
4.46000000
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1995-2, Class Z
31359LMW2
2930.20000000
PA
USD
2969.37000000
0.000139313310
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
8.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MCR9
1480000.00000000
PA
USD
1476090.64000000
0.069253435656
Long
DBT
CORP
JP
N
2
2028-01-13
Fixed
5.52000000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2004-1, Class 12A1
07384MG48
139622.12000000
PA
USD
127465.00000000
0.005980248730
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
3.66622920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3385, Class SN
31397PAT7
27230.62000000
PA
USD
1508.67000000
0.000070781954
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
1.41213960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 218, Class 2
31364HVN4
17.77000000
PA
USD
0.05000000
0.000000002345
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LYA31
251729.18000000
PA
USD
241438.35000000
0.011327512541
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
1273715.73000000
0.059758654355
Long
DBT
CORP
CA
N
2
2038-05-15
Fixed
6.80000000
N
N
N
N
N
N
GSK Consumer Healthcare Capital US LLC
549300N8C3A3L0UVQB07
GSK Consumer Healthcare Capital US LLC
36264FAL5
1075000.00000000
PA
USD
956568.67000000
0.044879132110
Long
DBT
CORP
US
N
2
2029-03-24
Fixed
3.37500000
N
N
N
N
N
N
MVW LLC
N/A
MVW LLC, Series 2019-2A, Class B
55400DAB7
1399984.48000000
PA
USD
1299448.65000000
0.060965960377
Long
ABS-O
CORP
US
Y
2
2038-10-20
Fixed
2.44000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-16, Class OA
31394V4X5
73525.42000000
PA
USD
61588.82000000
0.002889549779
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
1116500.56000000
0.052382623124
Long
DBT
CORP
US
N
2
2039-04-22
Variable
4.45700160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405H4U9
45921.85000000
PA
USD
45321.63000000
0.002126345430
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
3.85999920
N
N
N
N
N
N
Fn 4.475
N/A
Fn 4.475
N/A
7883000.00000000
PA
USD
7761132.32000000
0.364127420893
Long
ABS-MBS
CORP
US
N
2
2036-01-31
Fixed
0.00000000
N
N
N
N
N
N
LL ABS Trust
N/A
LL ABS Trust, Series 2022-1A, Class B
50203YAB1
2900000.00000000
PA
USD
2774799.75000000
0.130184699191
Long
ABS-O
CORP
US
Y
2
2029-11-15
Fixed
5.05000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2306, Class K
3133TSJA2
1664.10700000
PA
USD
1622.55000000
0.000076124838
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
793033.25000000
0.037206575032
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
1833551.95000000
0.086024373132
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
8.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140MLRQ5
1713737.24000000
PA
USD
1717324.98000000
0.080571376703
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.00000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7
576433UM6
167854.24000000
PA
USD
156772.59000000
0.007355266797
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Variable
3.86659440
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400JBY4
3271.61000000
PA
USD
3310.93000000
0.000155338209
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
377339.94000000
0.017703578999
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
893013.12000000
PA
USD
819294.62000000
0.038438674233
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.47109040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L9X98
4596363.63000000
PA
USD
4280897.27000000
0.200845961357
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
2.78000000
N
N
N
N
N
N
Lendingpoint Asset Securitization Trust
N/A
Lendingpoint Asset Securitization Trust, Series 2022-B, Class B
52606WAB4
5237000.00000000
PA
USD
4992706.52000000
0.234241766980
Long
ABS-O
CORP
US
Y
2
2029-10-15
Fixed
5.99000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GFD1
685000.00000000
PA
USD
729148.39000000
0.034209302425
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
3818671.88000000
0.179159829464
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QDKQ6
6094367.10000000
PA
USD
5213121.56000000
0.244582933285
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AM2
594000.00000000
PA
USD
541096.90000000
0.025386530022
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
6085768.78000000
0.285524740288
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
191555.32000000
0.008987160861
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
13946215.08000000
0.654311654398
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF
31394B2B9
154620.90000000
PA
USD
152958.06000000
0.007176301291
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Floating
4.86699840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1981, Class Z
3133TAUE0
20231.53000000
PA
USD
20226.28000000
0.000948952146
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
368526.38000000
0.017290075049
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
118438.92000000
PA
USD
108808.53000000
0.005104947031
Long
ABS-MBS
CORP
US
N
2
2034-11-20
Variable
3.90396600
N
N
N
N
N
N
Lear Corp.
549300UPNBTXA1SYTQ33
Lear Corp.
521865BC8
445000.00000000
PA
USD
336427.01000000
0.015784075624
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
55297.17000000
PA
USD
46217.49000000
0.002168376306
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31401YSJ5
6536.61000000
PA
USD
6400.09000000
0.000300271683
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
3.66300000
N
N
N
N
N
N
Nissan Motor Co. Ltd.
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AC5
797000.00000000
PA
USD
726504.79000000
0.034085273197
Long
DBT
CORP
JP
Y
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
Healthpeak Properties Interim, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Interim, Inc.
40414LAR0
772000.00000000
PA
USD
687655.90000000
0.032262607955
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
240671.16940000
PA
USD
195174.96000000
0.009156982754
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
626969.81000000
PA
USD
490592.58000000
0.023017029410
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
404866.89000000
0.018995055152
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
391072.50000000
0.018347866643
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
383851.25000000
0.018009068768
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
51783.35730000
PA
USD
31370.77000000
0.001471815851
Long
ABS-MBS
CORP
US
Y
2
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
383479.60000000
0.017991632142
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
1674338.70000000
PA
USD
1600126.28000000
0.075072789821
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
536620.85000000
0.025176528121
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
499578.80000000
PA
USD
105499.60000000
0.004949702655
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
780315.08000000
0.036609879312
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
1012467.75000000
PA
USD
981829.26000000
0.046064277925
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
1161978.06000000
0.054516281475
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
1.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2022-M2S, Class A2
3136BPHK0
4225000.00000000
PA
USD
3993614.92000000
0.187367595461
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Variable
3.75090840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381BJC4
5905.69000000
PA
USD
5976.54000000
0.000280400076
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
1211469.22000000
0.056838247871
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
2763.19050000
PA
USD
2843.87000000
0.000133425253
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
117125.86000000
PA
USD
121066.15000000
0.005680035224
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
FirstKey Homes Trust
N/A
FirstKey Homes Trust, Series 2022-SFR3, Class C
33768EAE2
3466000.00000000
PA
USD
3264848.96000000
0.153176235424
Long
ABS-O
CORP
US
Y
2
2026-07-17
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36183SYB1
938287.76000000
PA
USD
905535.47000000
0.042484818145
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
125742.44000000
PA
USD
3725.69000000
0.000174797418
Long
ABS-MBS
USGA
US
N
2
2037-12-20
Floating
1.95213960
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa
836205AR5
640000.00000000
PA
USD
635720.00000000
0.029825942203
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
504443.43000000
PA
USD
428688.18000000
0.020112673629
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
2.01443040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2543, Class YX
31393HGW6
151144.61000000
PA
USD
155652.01000000
0.007302692780
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
832000.00000000
PA
USD
768439.68000000
0.036052723655
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
117574.20000000
PA
USD
119170.65000000
0.005591104447
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
1582577.24000000
PA
USD
57804.58000000
0.002712005383
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.23299920
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBD9
490000.00000000
PA
USD
319931.30000000
0.015010149850
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
425016.00000000
PA
USD
425970.62000000
0.019985174436
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
3604568.91000000
0.169114805225
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
Time Warner Cable Enterprises LLC
N/A
Time Warner Cable Enterprises LLC
88731EAJ9
700000.00000000
PA
USD
786223.45000000
0.036887081071
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
506955.48000000
0.023784724165
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
276956.29000000
PA
USD
271601.92000000
0.012742690442
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Variable
4.55958000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3424, Class PI
31397T4Y5
170930.03000000
PA
USD
15794.21000000
0.000741013645
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
2.21213880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LAAW9
3659693.72000000
PA
USD
3335685.37000000
0.156499652448
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
1480000.00000000
PA
USD
1453020.59000000
0.068171062948
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
881476.50000000
0.041356048484
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-77, Class S
31392F6E2
26999.01000000
PA
USD
27033.86000000
0.001268341952
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Floating
6.01882920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410GNM1
46704.90000000
PA
USD
46705.14000000
0.002191255279
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
409855.94000000
0.019229125366
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LHQM5
4976064.90000000
PA
USD
4814132.85000000
0.225863663474
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.97000000
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
95085.89000000
PA
USD
82711.34000000
0.003880550629
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
672330.58000000
PA
USD
673148.94000000
0.031581987948
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Variable
5.11085880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HSEN7
3000000.00000000
PA
USD
2883837.15000000
0.135300384068
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.81000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4ZC4
46797.45000000
PA
USD
47918.68000000
0.002248190681
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
5.25099960
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31404J2J3
29441.32000000
PA
USD
28922.35000000
0.001356943842
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
2.35000080
N
N
N
N
N
N
CGI, Inc.
549300WSRCZY73ZG3090
CGI, Inc.
12532HAC8
843000.00000000
PA
USD
743120.15000000
0.034864812565
Long
DBT
CORP
CA
N
2
2026-09-14
Fixed
1.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2575, Class ME
31393KSG1
419951.54000000
PA
USD
431919.19000000
0.020264262249
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
1033164.16000000
0.048472746685
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
633214.81000000
0.029708406728
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
843051.04000000
0.039553249219
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
401820.76000000
0.018852140508
Long
DBT
CORP
AU
Y
2
2025-02-12
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617FUPG4
5547157.58460000
PA
USD
5898693.72000000
0.276747778847
Long
ABS-MBS
USGA
US
N
2
2072-08-20
Variable
6.56499960
N
N
N
N
N
N
Zoetis, Inc.
549300HD9Q1LOC9KLJ48
Zoetis, Inc.
98978VAS2
760000.00000000
PA
USD
622839.39000000
0.029221625319
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXUQ3
7845352.00000000
PA
USD
6524150.24000000
0.306092191507
Long
ABS-MBS
USGSE
US
N
2
2061-12-01
Fixed
2.50000000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAT5
175000.00000000
PA
USD
165068.02000000
0.007744461750
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
2000000.00000000
PA
USD
1873805.80000000
0.087912954589
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
86113.70000000
PA
USD
89068.24000000
0.004178795976
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
4449.14000000
PA
USD
4310.70000000
0.000202244209
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
30090.62000000
PA
USD
30488.60000000
0.001430427265
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
612954.89000000
0.028757876301
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
47247.32000000
PA
USD
45462.03000000
0.002132932547
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
7.32324960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1591, Class PV
3133T1WB4
1938.97000000
PA
USD
1931.43000000
0.000090616497
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
151154.77000000
PA
USD
146915.13000000
0.006892786409
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXTC6
3983555.79000000
PA
USD
3296682.82000000
0.154669777972
Long
ABS-MBS
USGSE
US
N
2
2061-07-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2638, Class DS
31393WXE4
522.78000000
PA
USD
517.12000000
0.000024261610
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
4.01213880
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABS5
425000.00000000
PA
USD
376381.56000000
0.017658614885
Long
DBT
CORP
US
Y
2
2026-01-08
Fixed
1.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617VUET0
4874818.43000000
PA
USD
5126769.03000000
0.240531549706
Long
ABS-MBS
USGA
US
N
2
2071-10-20
Variable
6.39200160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-141, Class WC
38378GPG7
163525.02000000
PA
USD
156027.59000000
0.007320313788
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Variable
3.71382840
N
N
N
N
N
N
American Tower Trust #1
5493004YGM0MQZJOEJ36
American Tower Trust #1
03027WAJ1
750000.00000000
PA
USD
748922.33000000
0.035137032230
Long
ABS-O
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
211473.44000000
PA
USD
18172.99000000
0.000852618368
Long
ABS-MBS
USGSE
US
N
2
2039-02-25
Floating
1.93299840
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-1, Class A
90931MAA4
557185.15000000
PA
USD
478000.62000000
0.022426255057
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
174493.35000000
0.008186667985
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
9980.76000000
PA
USD
10085.86000000
0.000473196182
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
46393.81000000
PA
USD
44935.91000000
0.002108248685
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
56707.41300000
PA
USD
54661.81000000
0.002564556700
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
6.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
549300XDUXW4MOV3QH87
FREMF Mortgage Trust, Series 2014-K39, Class C
30292GAQ1
4650000.00000000
PA
USD
4503103.71000000
0.211271174402
Long
ABS-MBS
USGSE
US
Y
2
2047-08-25
Variable
4.15542240
N
N
N
N
N
N
Elevance Health, Inc.
8MYN82XMYQH89CTMTH67
Elevance Health, Inc.
94973VBB2
535000.00000000
PA
USD
479406.90000000
0.022492233202
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
746985.09000000
0.035046143146
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
64339.61000000
PA
USD
67203.61000000
0.003152977706
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
1758317.01000000
PA
USD
1591261.90000000
0.074656901560
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
1275.53000000
PA
USD
1229.33000000
0.000057676218
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
837945.78000000
0.039313726804
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
22403.43000000
PA
USD
19364.49000000
0.000908519724
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
None
0.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2020-SFR3, Class C
74333AAE0
3250000.00000000
PA
USD
2909207.60000000
0.136490684162
Long
ABS-O
CORP
US
Y
2
2027-10-17
Fixed
1.69500000
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JAP3
700000.00000000
PA
USD
682421.24000000
0.032017014507
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
86036.50000000
0.004036556465
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKD0
1120000.00000000
PA
USD
891738.81000000
0.041837523135
Long
DBT
CORP
US
N
2
2032-10-20
Variable
2.57199840
N
N
N
N
N
N
Home Depot, Inc. (The)
QEKMOTMBBKA8I816DO57
Home Depot, Inc. (The)
437076CT7
930000.00000000
PA
USD
893359.44000000
0.041913557894
Long
DBT
CORP
US
N
2
2052-09-15
Fixed
4.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A
31393LFK4
856490.20000000
PA
USD
896070.50000000
0.042040752128
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
568568.97000000
0.026675431381
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
86378.20000000
0.004052587933
Long
ABS-O
CORP
US
N
2
2037-06-25
Variable
5.67500040
N
N
N
N
N
N
PPL Electric Utilities Corp.
549300GCZLSGYEYPIR35
PPL Electric Utilities Corp.
69351UBB8
890000.00000000
PA
USD
877339.89000000
0.041161972019
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
5.25000000
N
N
N
N
N
N
Anheuser-Busch InBev Finance, Inc.
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance, Inc.
03524BAF3
70000.00000000
PA
USD
62574.61000000
0.002935799882
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
109545.04000000
PA
USD
93061.55000000
0.004366149266
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
33285.47000000
PA
USD
32769.42000000
0.001537436020
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
1880836.44000000
0.088242809654
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
683237.55000000
0.032055313152
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
206110.19000000
PA
USD
136086.07000000
0.006384721667
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
5.90698800
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class B
90933JAA9
857638.90000000
PA
USD
793921.13000000
0.037248231513
Long
ABS-O
CORP
US
N
2
2025-10-07
Fixed
3.65000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAD4
273000.00000000
PA
USD
224650.42000000
0.010539876742
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-81, Class SB
31397MUL9
269125.36000000
PA
USD
13724.86000000
0.000643926384
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
1.23300000
N
N
N
N
N
N
Mid-America Apartments LP
549300FXWGE3QSYCUJ38
Mid-America Apartments LP
59523UAQ0
920000.00000000
PA
USD
864120.81000000
0.040541775209
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
957535.13000000
0.044924475311
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
1032622.50000000
0.048447333736
Long
DBT
CORP
BM
Y
2
2024-06-07
Fixed
1.15000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617XXAR0
3956457.40000000
PA
USD
3595348.64000000
0.168682219747
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
3.50000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDU7
685000.00000000
PA
USD
659052.04000000
0.030920606641
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
3.80000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CN0
710000.00000000
PA
USD
628278.93000000
0.029476831079
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
159342.76000000
PA
USD
146259.52000000
0.006862027292
Long
ABS-MBS
CORP
US
N
2
2044-12-25
Variable
3.72000600
N
N
N
N
N
N
Prestige Auto Receivables Trust
N/A
Prestige Auto Receivables Trust, Series 2022-1A, Class C
74113RAJ8
4000000.00000000
PA
USD
4037401.20000000
0.189421907197
Long
ABS-O
CORP
US
Y
2
2028-08-15
Fixed
7.09000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-108, Class GU
3136AGMM1
3295691.65000000
PA
USD
3090779.06000000
0.145009434353
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
492390.71000000
PA
USD
500224.40000000
0.023468923493
Long
ABS-MBS
USGA
US
N
2
2049-07-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3117, Class EO
31396HUN7
162040.01000000
PA
USD
135241.53000000
0.006345098561
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
None
0.00000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280DQ9
1460000.00000000
PA
USD
1521534.61000000
0.071385520887
Long
DBT
CORP
GB
N
2
2026-11-03
Variable
7.33600080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400RXM8
3500.98000000
PA
USD
3543.43000000
0.000166246363
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Healthcare Realty Holdings LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAG9
1604000.00000000
PA
USD
1366179.62000000
0.064096763332
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
1629120.22000000
0.076433092437
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
3414550.65000000
0.160199758286
Long
ABS-MBS
CORP
US
Y
2
2030-08-10
Fixed
4.35300000
N
N
N
N
N
N
NRZ Excess Spread-Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A
65246QAA7
2938559.65000000
PA
USD
2613292.83000000
0.122607312823
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
1249565.45000000
0.058625600722
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
5.50000000
N
N
N
N
N
N
University of Miami
5493008ZSVWUNRYQE312
University of Miami, Series 2022
914453AA3
480000.00000000
PA
USD
404245.06000000
0.018965880884
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.06300000
N
N
N
N
N
N
Sierra Timeshare Receivables Funding LLC
N/A
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C
82652MAC4
716071.83000000
PA
USD
679510.92000000
0.031880471633
Long
ABS-O
CORP
US
Y
2
2036-05-20
Fixed
3.12000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408GY3
190000.00000000
PA
USD
159415.54000000
0.007479265529
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.10000000
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
40010.91000000
PA
USD
37966.05000000
0.001781245222
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
390431.93000000
PA
USD
378027.60000000
0.017735841799
Long
ABS-O
CORP
US
Y
2
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
162298.12000000
PA
USD
118230.48000000
0.005546994688
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.40235720
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDE3
520000.00000000
PA
USD
399407.70000000
0.018738927477
Long
DBT
CORP
US
N
2
2031-01-08
Fixed
2.35000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DB1
273000.00000000
PA
USD
228529.30000000
0.010721861344
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
847046.23000000
0.039740690712
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
2854608.38000000
0.133929063983
Long
ABS-O
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
74986.87000000
0.003518143287
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
3320710.67000000
PA
USD
3125086.61000000
0.146619034497
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
687040.33000000
0.032233727386
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
1197439.25000000
0.056180006705
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
386056.75000000
0.018112543750
Long
DBT
CORP
US
Y
2
2029-02-01
Fixed
4.56900000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BY4
725000.00000000
PA
USD
644920.42000000
0.030257596383
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
1016624.00000000
0.047696735460
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
15817.32000000
PA
USD
16231.47000000
0.000761528481
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
355978.65000000
0.016701375826
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
275100.74000000
0.012906843848
Long
DBT
MUN
US
N
2
2056-12-01
Fixed
4.04800000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PES7
650000.00000000
PA
USD
701162.40000000
0.032896289589
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
5.87500000
N
N
N
N
N
N
American Water Capital Corp.
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp.
03040WAX3
1096000.00000000
PA
USD
810659.86000000
0.038033559005
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.45000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NFGD3
83236.28000000
PA
USD
84373.70000000
0.003958543226
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
4.56599880
N
Y
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAE0
175000.00000000
PA
USD
197517.59000000
0.009266891435
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
16606.42000000
PA
USD
16152.95000000
0.000757844574
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
7.74451440
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
783000.00000000
PA
USD
758472.53000000
0.035585096965
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L94G4
2393431.15000000
PA
USD
2175050.38000000
0.102046383507
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
64595.65000000
PA
USD
65425.10000000
0.003069535725
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
5.38786080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138NXRT6
780024.63000000
PA
USD
706167.06000000
0.033131092175
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2022-4, Class A3
80286FAC7
4829000.00000000
PA
USD
4763927.29000000
0.223508179722
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
4.14000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAM1
790000.00000000
PA
USD
685074.26000000
0.032141485691
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
3507377.78000000
0.164554909318
Long
DBT
CORP
US
N
2
2028-06-05
Variable
3.69100080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31283LA48
2197.72000000
PA
USD
2245.71000000
0.000105361506
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
10.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3617FDDV2
2980936.02000000
PA
USD
2965983.23000000
0.139154414513
Long
ABS-MBS
USGA
US
N
2
2052-09-15
Fixed
5.00000000
N
N
N
N
N
N
HP, Inc.
WHKXQACZ14C5XRO8LW03
HP, Inc.
40434LAB1
665000.00000000
PA
USD
604729.41000000
0.028371963177
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
228533.52000000
0.010722059332
Long
DBT
UST
US
N
2
2041-11-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-16, Class FC
31396PXY2
42861.72000000
PA
USD
42852.60000000
0.002010506466
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
5.36699880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2095, Class PE
3133TGWC9
71657.57000000
PA
USD
72340.68000000
0.003393992544
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-31, Class DB
31397SHK3
861803.95000000
PA
USD
826189.38000000
0.038762154245
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
6085.78000000
PA
USD
6071.05000000
0.000284834182
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CET4
12000000.00000000
PA
USD
11229843.72000000
0.526868227753
Long
DBT
UST
US
N
2
2027-05-31
Fixed
2.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1502, Class PX
312915HW4
606.79000000
PA
USD
605.91000000
0.000028427352
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Fixed
7.00000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2004-2, Class 30PO
06051GCR8
72430.06000000
PA
USD
52530.21000000
0.002464548869
Long
ABS-MBS
CORP
US
N
2
2034-09-20
None
0.00000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AW7
1020000.00000000
PA
USD
1070883.31000000
0.050242408152
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
6.95000000
N
N
N
N
N
N
Schlumberger Holdings Corp.
529900IKZG65COT1D505
Schlumberger Holdings Corp.
806851AK7
1126000.00000000
PA
USD
1057969.26000000
0.049636522371
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
25625.46000000
PA
USD
24659.29000000
0.001156934748
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
4.17728520
N
N
N
N
N
N
Stellantis Finance US, Inc.
549300QZ0AI8Q7LNON33
Stellantis Finance US, Inc.
85855CAB6
785000.00000000
PA
USD
617186.53000000
0.028956411270
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
667622.91000000
0.031322724355
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
78735.16000000
PA
USD
6749.12000000
0.000316647050
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
2.57000040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1686, Class SH
3133T4EV4
237.84000000
PA
USD
234.49000000
0.000011001518
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
9.20475000
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust, Series 2013-2, Class A
48248XAA6
1363187.93440000
PA
USD
47229.01000000
0.002215833578
Long
ABS-O
CORP
US
Y
2
2039-03-25
Variable
1.62916560
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H15, Class FA
38375BUB6
25.39000000
PA
USD
25.10000000
0.000001177611
Long
ABS-MBS
USGA
US
N
2
2062-05-20
Floating
4.84157160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-110
31396LVP2
216497.60000000
PA
USD
178108.33000000
0.008356271246
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
213572.12000000
0.010020118460
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
3.75000000
N
N
N
N
N
N
ITC Holdings Corp.
549300HTO5U9D3SLE207
ITC Holdings Corp.
465685AR6
1565000.00000000
PA
USD
1543686.33000000
0.072424808498
Long
DBT
CORP
US
Y
2
2027-09-22
Fixed
4.95000000
N
N
N
N
N
N
vMobo, Inc.
N/A
vMobo, Inc.
91834VAC6
6000000.00000000
PA
USD
5790000.00000000
0.271648218332
Long
ABS-O
CORP
US
N
3
2027-07-18
Fixed
7.46000000
N
N
N
N
N
N
Renew
N/A
Renew, Series 2017-1A, Class A
75973LAA6
377616.73000000
PA
USD
342643.04000000
0.016075711803
Long
ABS-O
CORP
KY
Y
3
2052-09-20
Fixed
3.67000000
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132H4CL3
872835.87000000
PA
USD
838207.42000000
0.039326002113
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
84749.28000000
PA
USD
17065.87000000
0.000800675851
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
378568.39000000
0.017761213931
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LFWP5
971000.00000000
PA
USD
838315.25000000
0.039331061150
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.53000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 345, Class 6
3136FCCH7
30842.08000000
PA
USD
4245.83000000
0.000199200717
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
838519.48000000
0.039340642967
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
84151.18000000
PA
USD
89080.89000000
0.004179389474
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
7793.84000000
PA
USD
584.00000000
0.000027399405
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
289.50000000
PA
USD
289.71000000
0.000013592263
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Floating
5.73786000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAD8
1397000.00000000
PA
USD
1414197.35000000
0.066349601122
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
1269461.20750000
PA
USD
19429.10000000
0.000911551018
Long
ABS-O
CORP
US
Y
2
2038-08-25
Variable
0.76596840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
8965000.00000000
PA
USD
6429936.11000000
0.301671966886
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
498731.83000000
0.023398896899
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDU2
1729000.00000000
PA
USD
1084470.30000000
0.050879866119
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group, Inc.
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MCW8
1480000.00000000
PA
USD
1491378.55000000
0.069970695331
Long
DBT
CORP
JP
N
2
2030-01-13
Fixed
5.71000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-132, Class OA
31393UVB6
5358.90000000
PA
USD
4940.00000000
0.000231768946
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
None
0.00000000
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2022-3A, Class C
38014QAD8
2361000.00000000
PA
USD
2321985.89000000
0.108940126081
Long
ABS-O
CORP
US
Y
2
2028-06-15
Fixed
5.34000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2399, Class OH
31339MTG3
61061.68000000
PA
USD
62392.79000000
0.002927269471
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
20528.57000000
PA
USD
16918.87000000
0.000793779083
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
3136195D6
6003.02900000
PA
USD
5878.81000000
0.000275814898
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Variable
3.37200120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVZ64
5433729.48000000
PA
USD
4745854.43000000
0.222660259132
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
3617FLK20
4969475.20000000
PA
USD
4820822.89000000
0.226177538681
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CX40
2433.06000000
PA
USD
2474.59000000
0.000116099821
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
26895000.00000000
PA
USD
20701795.83000000
0.971261822712
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
639325.01000000
0.029995077703
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
14804828.56000000
0.694595043358
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
BP Capital Markets America, Inc.
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QBP4
1995000.00000000
PA
USD
1324233.34000000
0.062128778491
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.93900000
N
N
N
N
N
N
VOLT XCIII LLC
N/A
VOLT XCIII LLC, Series 2021-NPL2, Class A1
92873CAA2
4743999.94000000
PA
USD
4287248.10000000
0.201143921919
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
51.66000000
PA
USD
51.36000000
0.000002409646
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
7.83399960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-19, Class SD
38375JTV7
241099.83000000
PA
USD
3999.63000000
0.000187649803
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Floating
1.60214040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2038, Class PN
3133TDA22
17537.94000000
PA
USD
1820.90000000
0.000085430784
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
846347.06000000
0.039707887899
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
3621100.09000000
0.169890395138
Long
ABS-O
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
547142.12000000
PA
USD
527037.05000000
0.024726886982
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Variable
4.45686840
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400HS5
1695000.00000000
PA
USD
1734681.10000000
0.081385670153
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.85000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31404ADZ4
176218.99000000
PA
USD
168935.79000000
0.007925925106
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.00000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAU2
1445000.00000000
PA
USD
999127.19000000
0.046875841286
Long
DBT
CORP
US
N
2
2041-05-11
Fixed
3.25000000
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
561745.09000000
PA
USD
87083.24000000
0.004085666147
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31390RK44
5573.59000000
PA
USD
5593.98000000
0.000262451589
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
715843.84000000
0.033585095637
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
16912.16000000
PA
USD
17821.76000000
0.000836139784
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
14.23000000
0.000000667625
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
323859.76000000
0.015194460586
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31300LJJ5
47777.84000000
PA
USD
47829.94000000
0.002244027285
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
3.89900160
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402TVS1
23064.19000000
PA
USD
23526.93000000
0.001103808051
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
3180000.00000000
PA
USD
2496440.56000000
0.117124979325
Long
ABS-O
CORP
US
Y
2
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
26431.33000000
PA
USD
23551.42000000
0.001104957043
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
4.16637360
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060AW6
895000.00000000
PA
USD
883674.19000000
0.041459157046
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
6077555.33000000
0.285139391573
Long
DBT
CORP
KY
Y
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406QGE1
14808.90000000
PA
USD
14493.51000000
0.000679988975
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Variable
4.04499960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-43, Class SA
38374UF97
130181.98000000
PA
USD
3642.99000000
0.000170917399
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Floating
1.35213840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3256
31397EBP9
78582.24000000
PA
USD
62603.34000000
0.002937147801
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
56833.18000000
PA
USD
51283.78000000
0.002406070374
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
5.07700080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31381E7J6
2902.88000000
PA
USD
2893.24000000
0.000135741535
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
608368.13000000
0.028542680242
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
1742.13000000
PA
USD
1742.50000000
0.000081752507
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
104790.42000000
0.004916430205
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
216103.50000000
PA
USD
7471.43000000
0.000350535517
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
1.60214040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3315, Class HZ
31397H3E6
82287.40000000
PA
USD
82811.89000000
0.003885268113
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
2352029.05000000
0.110349654732
Long
ABS-O
CORP
US
Y
2
2036-12-17
Fixed
6.41800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SU3
18386400.00000000
PA
USD
12004308.10000000
0.563203610998
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
3199.61000000
PA
USD
3164.33000000
0.000148460208
Long
ABS-MBS
USGA
US
N
2
2062-09-20
Floating
4.96294920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8K52
2000000.00000000
PA
USD
1897726.04000000
0.089035215483
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
390293.44000000
0.018311315648
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
4699072.23000000
0.220465388444
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
240600.94000000
PA
USD
219143.09000000
0.010281490493
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
41789.09000000
PA
USD
33927.36000000
0.001591762849
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
2397894.84000000
0.112501530403
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
93448.17000000
0.004384288236
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Floating
1.88300160
N
N
N
N
N
N
Vale Overseas Ltd.
254900BA3U6G5DNV5V04
Vale Overseas Ltd.
91911TAQ6
675000.00000000
PA
USD
584516.25000000
0.027423626580
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
5830.26000000
PA
USD
5908.78000000
0.000277220994
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
71499.67000000
PA
USD
71015.41000000
0.003331815129
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
2115321.28000000
PA
USD
105388.06000000
0.004944469556
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
0.43300080
N
N
N
N
N
N
American Water Capital Corp.
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp.
03040WAU9
795000.00000000
PA
USD
720825.55000000
0.033818821482
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
751040.02000000
PA
USD
673015.07000000
0.031575707198
Long
ABS-O
CORP
US
N
2
2031-08-25
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31402REL9
343899.84000000
PA
USD
348328.77000000
0.016342468007
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
3.95600040
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBG9
900000.00000000
PA
USD
682690.33000000
0.032029639346
Long
DBT
CORP
US
N
2
2055-05-15
Fixed
4.37500000
N
N
N
N
N
N
MyMichigan Health
N/A
MyMichigan Health, Series 2020
597861AA1
310000.00000000
PA
USD
219207.79000000
0.010284526010
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
639479.11370000
PA
USD
580991.20000000
0.027258242546
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
352404.10000000
PA
USD
362343.87000000
0.017000011521
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
3.95007840
N
N
N
N
N
N
Elevance Health, Inc.
8MYN82XMYQH89CTMTH67
Elevance Health, Inc.
94973VBK2
100000.00000000
PA
USD
88143.57000000
0.004135413427
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
366101.21000000
0.017176293855
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
4854891.58000000
0.227775932280
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
Corebridge Financial, Inc.
549300XY1661QCIA7J65
Corebridge Financial, Inc.
21871XAE9
545000.00000000
PA
USD
492300.31000000
0.023097150621
Long
DBT
CORP
US
Y
2
2029-04-05
Fixed
3.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2019, Class Z
3133TCC63
23808.84000000
PA
USD
24119.97000000
0.001131631584
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
909606.24000000
0.042675805609
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31400FEM5
88245.90000000
PA
USD
87003.89000000
0.004081943299
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Variable
3.65600160
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
23263.82730000
PA
USD
21277.80000000
0.000998286089
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
3.16179720
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-57
38375LUK4
36962.63000000
PA
USD
35240.81000000
0.001653385707
Long
ABS-MBS
USGA
US
N
2
2037-03-20
None
0.00000000
N
N
N
N
N
N
Parker-Hannifin Corp.
5493002CONDB4N2HKI23
Parker-Hannifin Corp.
70109HAN5
592000.00000000
PA
USD
519720.00000000
0.024383594478
Long
DBT
CORP
US
N
2
2044-11-21
Fixed
4.45000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFJ5
27735000.00000000
PA
USD
26191157.30000000
1.228805046047
Long
DBT
UST
US
N
2
2029-08-31
Fixed
3.12500000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAG8
545000.00000000
PA
USD
415029.60000000
0.019471856890
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
967685.00000000
0.045400674638
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
440729.74000000
0.020677624980
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
606.98300000
PA
USD
525.88000000
0.000024672601
Long
ABS-MBS
CORP
US
N
2
2033-06-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2054, Class PV
3133TE4B7
26781.78000000
PA
USD
27546.64000000
0.001292399944
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
68198.97000000
PA
USD
69072.89000000
0.003240678325
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
244298.91000000
PA
USD
17850.58000000
0.000837491926
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Floating
2.98299960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-58, Class FL
31395NC96
20082.24000000
PA
USD
19992.56000000
0.000937986753
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
5.07700080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-230, Class FA
31359FE38
674.74000000
PA
USD
675.50000000
0.000031692292
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
5.10585840
N
N
N
N
N
N
Pendoor Proper
N/A
Pendoor Proper
N/A
4150000.00000000
PA
USD
3952875.00000000
0.185456209160
Long
ABS-MBS
CORP
US
N
3
2026-02-15
Fixed
0.00000000
N
N
N
N
N
N
7-Eleven, Inc.
549300K23JPL0SS3LB18
7-Eleven, Inc.
817826AF7
574000.00000000
PA
USD
374772.92000000
0.017583142659
Long
DBT
CORP
US
Y
2
2041-02-10
Fixed
2.50000000
N
N
N
N
N
N
7-Eleven, Inc.
549300K23JPL0SS3LB18
7-Eleven, Inc.
817826AE0
560000.00000000
PA
USD
429939.76000000
0.020171393746
Long
DBT
CORP
US
Y
2
2031-02-10
Fixed
1.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHP98
60690.82000000
PA
USD
60286.47000000
0.002828447696
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
4.44499920
N
Y
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR2, Class A
02665UAA3
3410570.31000000
PA
USD
3313054.26000000
0.155437873396
Long
ABS-O
CORP
US
Y
2
2036-10-17
Fixed
3.78600000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TG3
2025000.00000000
PA
USD
1658206.06000000
0.077797706705
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AH9
783000.00000000
PA
USD
753975.25000000
0.035374099020
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140J2T89
4020498.53000000
PA
USD
3425217.21000000
0.160700199049
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
1.00000000
N
N
N
N
N
N
PRET LLC
N/A
PRET LLC, Series 2021-RN4, Class A1
69359QAA2
5588736.00000000
PA
USD
5190763.79000000
0.243533978469
Long
ABS-O
CORP
US
Y
2
2051-10-25
Variable
2.48709960
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YCL1
1550000.00000000
PA
USD
1543583.00000000
0.072419960586
Long
DBT
CORP
JP
N
2
2028-09-13
Variable
5.41400040
N
N
N
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585ABH4
380000.00000000
PA
USD
374654.38000000
0.017577581142
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
14103.14700000
PA
USD
14719.77000000
0.000690604368
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
47753.15000000
PA
USD
49097.66000000
0.002303504639
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
1878233.63000000
0.088120694162
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
1795.16000000
PA
USD
1844.73000000
0.000086548811
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
384745.47000000
0.018051022700
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
1377.30000000
PA
USD
1342.71000000
0.000062995644
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Floating
8.25824880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128K7XQ6
292292.40000000
PA
USD
299964.77000000
0.014073384340
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
1606594.26000000
0.075376246686
Long
DBT
CORP
KY
Y
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2474, Class NR
31392R3C3
74029.04000000
PA
USD
75854.26000000
0.003558838442
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
2728460.96000000
0.128010631878
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
222630.11000000
PA
USD
208055.76000000
0.009761308552
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
290015.87000000
0.013606613881
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
1799.29000000
PA
USD
1835.06000000
0.000086095125
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
2715131.10000000
0.127385237625
Long
ABS-O
CORP
US
Y
2
2037-10-19
Fixed
2.66800000
N
N
N
N
N
N
Memorial Health Services
549300FTIZOMIONZZ882
Memorial Health Services
58601VAC6
1340000.00000000
PA
USD
1008379.99000000
0.047309952968
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.44700000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-36, Class SE
38375KHZ8
121834.22000000
PA
USD
3468.73000000
0.000162741679
Long
ABS-MBS
USGA
US
N
2
2037-06-16
Floating
1.87999920
N
N
N
N
N
N
Roper Technologies, Inc.
54930003T4SXCIWVXY35
Roper Technologies, Inc.
776743AJ5
570000.00000000
PA
USD
459000.49000000
0.021534829934
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
207089.32000000
0.009715966289
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
82578.52000000
0.003874319141
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31385WZX0
152661.52000000
PA
USD
149137.66000000
0.006997060384
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Variable
3.65199840
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HCS2
782000.00000000
PA
USD
757159.54000000
0.035523495688
Long
DBT
CORP
US
N
2
2028-05-10
Variable
4.92699960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31418AHQ4
269012.54000000
PA
USD
257091.91000000
0.012061927340
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
2936.25000000
PA
USD
2931.08000000
0.000137516866
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
6996614.47000000
0.328258696914
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
430019.45000000
PA
USD
148850.76000000
0.006983599957
Long
ABS-MBS
CORP
US
N
2
2038-03-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418AHB7
356456.19000000
PA
USD
341895.99000000
0.016040662614
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2022-SFR5, Class E1
74332YAJ8
3619000.00000000
PA
USD
3379387.82000000
0.158550031149
Long
ABS-O
CORP
US
Y
2
2039-06-17
Fixed
6.61800000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2004-3, Class 2A1
576434NV2
99397.26000000
PA
USD
98352.99000000
0.004614406649
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
38846.47000000
PA
USD
31838.53000000
0.001493761649
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YXX4
54926.52000000
PA
USD
54101.87000000
0.002538286112
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
3.83500080
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
Nationwide Building Society
63859UBH5
1000000.00000000
PA
USD
865249.40000000
0.040594725029
Long
DBT
CORP
GB
Y
2
2026-10-13
Fixed
1.50000000
N
N
N
N
N
N
Analog Devices, Inc.
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654AW5
896000.00000000
PA
USD
649956.29000000
0.030493863242
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
2482.71000000
PA
USD
2511.99000000
0.000117854509
Long
ABS-MBS
USGSE
US
N
2
2027-07-18
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292J5V8
87648.60000000
PA
USD
92005.51000000
0.004316603258
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
67638.92000000
PA
USD
71116.70000000
0.003336567331
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
188384.46000000
PA
USD
199390.50000000
0.009354762362
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
16706.19000000
PA
USD
17626.08000000
0.000826959106
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2022-SFR3, Class E2
74331UAL2
2685000.00000000
PA
USD
2525697.88000000
0.118497638885
Long
ABS-O
CORP
US
Y
2
2039-04-17
Fixed
5.60000000
N
N
N
N
N
N
SART
N/A
SART
N/A
581353.36000000
PA
USD
569726.29000000
0.026729729121
Long
ABS-MBS
CORP
US
N
3
2024-07-15
Fixed
4.75000000
N
N
N
N
N
N
Reynolds American, Inc.
02S2RPPVO9RP4NEU2740
Reynolds American, Inc.
761713BW5
100000.00000000
PA
USD
99410.56000000
0.004664024439
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
103024.66000000
PA
USD
105238.31000000
0.004937443767
Long
ABS-MBS
USGA
US
N
2
2034-04-16
Floating
7.04000160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RJ9
8200000.00000000
PA
USD
6858851.54000000
0.321795302357
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
136040.83000000
PA
USD
2491.86000000
0.000116910074
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
1.95213960
N
N
N
N
N
N
Halliburton Co.
ENYF8GB5SMQZ25S06U51
Halliburton Co.
406216BE0
540000.00000000
PA
USD
465096.82000000
0.021820850173
Long
DBT
CORP
US
N
2
2043-08-01
Fixed
4.75000000
N
N
N
N
N
N
Southern Natural Gas Co. LLC
N/A
Southern Natural Gas Co. LLC
84346LAA8
367000.00000000
PA
USD
306176.21000000
0.014364805171
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
649902T37
360000.00000000
PA
USD
376672.03000000
0.017672242805
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
167708.56000000
PA
USD
162012.52000000
0.007601107496
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
238835.26000000
0.011205383912
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
444214.66000000
0.020841126242
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
232755.42000000
PA
USD
234644.53000000
0.011008768310
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
267668.57000000
0.012558150283
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L7EW2
9200964.00000000
PA
USD
8779497.56000000
0.411905849745
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
114165.87000000
PA
USD
108531.00000000
0.005091926214
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
4.18381200
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AN9
840000.00000000
PA
USD
654798.93000000
0.030721064369
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
494187.66000000
0.023185699026
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.75000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAH4
450000.00000000
PA
USD
418548.23000000
0.019636939717
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
1646000.00000000
PA
USD
1235687.11000000
0.057974473548
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
96822.20000000
PA
USD
79357.01000000
0.003723176231
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
113406.41000000
PA
USD
112738.32000000
0.005289320166
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
907214.57000000
0.042563596128
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
726186.36000000
0.034070333483
Long
DBT
CORP
US
N
2
2046-09-01
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WSPZ5
378200.43000000
PA
USD
359433.32000000
0.016863457856
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
NatWest Group plc
2138005O9XJIJN4JPN90
NatWest Group plc
780097BG5
690000.00000000
PA
USD
659559.37000000
0.030944408936
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
33786.44000000
PA
USD
31138.22000000
0.001460905351
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
5.23699920
N
N
N
N
N
N
Pennsylvania Electric Co.
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co.
708696BY4
150000.00000000
PA
USD
135649.12000000
0.006364221375
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
1014780.74000000
0.047610255616
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
3709.56000000
PA
USD
3694.34000000
0.000173326576
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2015-SFR1, Class E
02666AAE8
1275000.00000000
PA
USD
1253089.25000000
0.058790926109
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
86386.51000000
PA
USD
75988.00000000
0.003565113094
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
5.21700120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-128
3136AHNE6
956540.97000000
PA
USD
723221.11000000
0.033931213470
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
921620.89000000
0.043239494429
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
975551.70000000
0.045769754956
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
239041.68420000
PA
USD
235185.77000000
0.011034161554
Long
ABS-O
CORP
US
N
2
2034-11-25
Variable
4.84460280
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAT2
2100000.00000000
PA
USD
2125667.42000000
0.099729493507
Long
DBT
CORP
GB
N
2
2029-01-10
Variable
6.53400000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAJ1
1000000.00000000
PA
USD
921787.09000000
0.043247292000
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
174602.21000000
PA
USD
168084.10000000
0.007885966544
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.25000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBD6
1730000.00000000
PA
USD
1342856.07000000
0.063002497218
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
47450.70000000
PA
USD
48624.52000000
0.002281306429
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
292.00000000
NC
USD
-30240.10000000
-0.00141876844
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 5 Year Note
2023-06-30
31269093.90000000
USD
-30240.10000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-17, Class SI
31358UWA0
49.96000000
PA
USD
49.98000000
0.000002344901
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
559207.97000000
0.026236243303
Long
DBT
CORP
US
Y
2
2032-03-15
Fixed
6.90000000
N
N
N
N
N
N
Healthpeak Properties Interim, Inc.
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Interim, Inc.
40414LAM1
17000.00000000
PA
USD
16377.07000000
0.000768359565
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXUD2
6744959.83000000
PA
USD
5842597.25000000
0.274115912503
Long
ABS-MBS
USGSE
US
N
2
2061-12-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LHBH2
3843584.00000000
PA
USD
3669804.65000000
0.172175456787
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.80000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617WJ5S6
2481482.19000000
PA
USD
2607479.70000000
0.122334579420
Long
ABS-MBS
USGA
US
N
2
2072-08-20
Variable
6.32099880
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
400000.00000000
PA
USD
383094.68000000
0.017973572931
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140KEEM6
7284114.92000000
PA
USD
6189165.31000000
0.290375773648
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Markel Corp.
549300SCNO12JLWIK605
Markel Corp.
570535AR5
200000.00000000
PA
USD
185635.43000000
0.008709418621
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
100709.47000000
PA
USD
101393.34000000
0.004757050114
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Floating
6.82824960
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A
12669FYY3
113695.07000000
PA
USD
104803.22000000
0.004917030740
Long
ABS-MBS
CORP
US
N
2
2034-06-20
Variable
2.71321560
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1999-1, Class 2Z
911760MJ2
394750.54000000
PA
USD
391651.55000000
0.018375033810
Long
ABS-MBS
CORP
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
394270.80000000
0.018497920614
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
210230.67000000
0.009863348349
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
188805.76000000
0.008858160330
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
120645.94000000
PA
USD
119325.88000000
0.005598387340
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
4.21767000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2075, Class PH
3133TGCG2
55377.17000000
PA
USD
56432.08000000
0.002647612087
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
331785.00000000
0.015566287412
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
58547.04000000
PA
USD
60059.45000000
0.002817796647
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Variable
6.18395760
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418BA63
1082825.77000000
PA
USD
1064175.44000000
0.049927696419
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
5457.68000000
PA
USD
4709.76000000
0.000220966824
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
None
0.00000000
N
N
N
N
N
N
CNA Financial Corp.
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117AS9
463000.00000000
PA
USD
454893.87000000
0.021342160503
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140HNWP3
895458.18000000
PA
USD
872830.56000000
0.040950408727
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDS7
1086000.00000000
PA
USD
703286.11000000
0.032995927246
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAB3
300000.00000000
PA
USD
290320.16000000
0.013620890191
Long
DBT
CORP
CH
Y
2
2025-09-24
Fixed
4.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1573, Class PZ
3133T0R71
2405.45000000
PA
USD
2406.45000000
0.000112902911
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
547246.19000000
0.025675034974
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381TNR7
849370.93000000
PA
USD
826722.38000000
0.038787160895
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
1604550.29000000
PA
USD
1594010.80000000
0.074785871126
Long
ABS-MBS
USGA
US
N
2
2065-07-20
Floating
4.83157080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405XXV0
49502.02000000
PA
USD
48463.89000000
0.002273770185
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
3.99499920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406DJX5
330965.91000000
PA
USD
327952.96000000
0.015386500393
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
3.51699840
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
80261.08000000
PA
USD
57506.07000000
0.002698000251
Long
ABS-MBS
CORP
US
N
2
2033-10-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QPSN8
2145161.71000000
PA
USD
2025327.03000000
0.095021844428
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918CE2
1118000.00000000
PA
USD
804322.64000000
0.037736236981
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
382590.97000000
PA
USD
12323.98000000
0.000578201590
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
0.38300040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128KRW91
342432.21000000
PA
USD
345445.87000000
0.016207211591
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
392871.38000000
PA
USD
385751.61000000
0.018098227560
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
377873.60000000
PA
USD
323913.78000000
0.015196995031
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
596530.64000000
0.027987303201
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
NSTAR Electric Co.
54930080R72Y2Z31UR68
NSTAR Electric Co.
67021CAT4
1000000.00000000
PA
USD
955006.24000000
0.044805827908
Long
DBT
CORP
US
N
2
2052-09-15
Fixed
4.95000000
N
N
N
N
N
N
UDR, Inc.
P3CH2EG5X6Z1XWU1OO74
UDR, Inc.
90265EAR1
305000.00000000
PA
USD
257170.84000000
0.012065630482
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
166081.48000000
PA
USD
168227.82000000
0.007892709426
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138M1MA3
375203.30000000
PA
USD
359865.52000000
0.016883735293
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
State of California
N/A
State of California, Various Purpose
13063A7D0
350000.00000000
PA
USD
427137.20000000
0.020039906625
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
46877.16000000
PA
USD
49359.08000000
0.002315769627
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349SF40
103635.44000000
PA
USD
101659.99000000
0.004769560476
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Variable
4.35499920
N
Y
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP
31394PPU1
155868.67000000
PA
USD
85008.48000000
0.003988325066
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
256709.32000000
0.012043977445
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
163472.75000000
PA
USD
8265.12000000
0.000387772905
Long
ABS-MBS
USGA
US
N
2
2036-10-20
Floating
2.10214080
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
5778.77470000
PA
USD
2434.21000000
0.000114205321
Long
ABS-MBS
CORP
US
N
2
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
904483.34000000
0.042435455582
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
151395.80000000
PA
USD
120092.86000000
0.005634371580
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
2.88787680
N
N
N
N
N
N
Liberty Mutual Insurance Co.
CNC20I6IOMGF7KY49D67
Liberty Mutual Insurance Co.
53079QAB3
100000.00000000
PA
USD
105546.44000000
0.004951900237
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
8.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-92
3136AGGA4
528283.01000000
PA
USD
394628.78000000
0.018514715887
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
None
0.00000000
N
N
N
N
N
N
PG&E Wildfire Recovery Funding LLC
N/A
PG&E Wildfire Recovery Funding LLC, Series A-4
693342AJ6
420000.00000000
PA
USD
418172.08000000
0.019619291966
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
5.21200000
N
N
N
N
N
N
Huntington National Bank (The)
2WHM8VNJH63UN14OL754
Huntington National Bank (The)
44644MAJ0
1972000.00000000
PA
USD
1989514.65000000
0.093341642490
Long
DBT
CORP
US
N
2
2030-01-10
Fixed
5.65000000
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBU4
239000.00000000
PA
USD
226189.27000000
0.010612074646
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
3.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209DBS2
1109.59000000
PA
USD
1109.08000000
0.000052034474
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
844447.85000000
0.039618783061
Long
DBT
CORP
FR
N
2
2050-05-29
Fixed
3.12700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LHKK5
820000.00000000
PA
USD
769181.21000000
0.036087513863
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.67000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 265, Class 2
31364HJ81
159.28000000
PA
USD
160.21000000
0.000007516539
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
9.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406YB58
42308.13000000
PA
USD
41441.58000000
0.001944305936
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
3.14700120
N
N
N
N
N
N
Diversified Abs Phase VI LLC
549300N7EGAMCATEDO05
Diversified Abs Phase LLC, Series VI, Class A
25512VAA7
3080345.47000000
PA
USD
3003336.83000000
0.140906925547
Long
ABS-O
CORP
US
N
3
2039-11-28
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-81, Class TA
3136AFK60
878503.83000000
PA
USD
838521.19000000
0.039340723194
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
307310.16000000
PA
USD
269734.52000000
0.012655078027
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QPK30
1671052.78000000
PA
USD
1577358.82000000
0.074004613665
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1
59020UNN1
98948.16000000
PA
USD
91592.28000000
0.004297215833
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
3.61130760
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABF1
2980000.00000000
PA
USD
2702106.63000000
0.126774171292
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
236979.16000000
PA
USD
228738.38000000
0.010731670706
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
323391.70000000
0.015172500713
Long
DBT
CORP
US
N
2
2031-10-30
Fixed
7.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCQ6
920000.00000000
PA
USD
843025.09000000
0.039552031728
Long
DBT
CORP
US
N
2
2053-02-06
Fixed
5.55000000
N
N
N
N
N
N
Safehold Operating Partnership LP
54930012UY5Z4Q8NL108
Safehold Operating Partnership LP
78646UAA7
2940000.00000000
PA
USD
2264027.00000000
0.106220880968
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
2118751.70000000
0.099405030119
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
124580.00000000
PA
USD
127795.85000000
0.005995771150
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QDXH2
3276656.48000000
PA
USD
2784101.84000000
0.130621123401
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, 30 Year
31412QDW6
166296.19000000
PA
USD
168043.74000000
0.007884072983
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
276811.53000000
PA
USD
11894.45000000
0.000558049421
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Floating
1.67213880
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-76, Class SA
38375LT67
280020.96000000
PA
USD
7693.41000000
0.000360950106
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Floating
1.93214160
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2020-1A, Class A
12327FAA5
459745.22000000
PA
USD
432805.07000000
0.020305824896
Long
ABS-O
CORP
US
Y
3
2035-11-15
Fixed
2.98100000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023DG7
1385000.00000000
PA
USD
1258064.75000000
0.059024360601
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
259166.04000000
PA
USD
261988.59000000
0.012291663850
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-119
31396LM80
33348.69000000
PA
USD
28856.62000000
0.001353860001
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
None
0.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO2
17307GBP2
553.28500000
PA
USD
507.19000000
0.000023795727
Long
ABS-MBS
CORP
US
N
2
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
357413.52000000
0.016768695322
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
285925.40000000
PA
USD
272580.80000000
0.012788616350
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
4.83289920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5FJ4
1840088.18000000
PA
USD
1815963.39000000
0.085199174343
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
379967.16000000
0.017826839730
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
435729.06000000
0.020443009123
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
339090.90000000
0.015909056794
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
415867.25000000
0.019511156740
Long
DBT
CORP
US
N
2
2059-12-01
Fixed
3.30100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1997-39, Class PD
31359PSF4
31873.79000000
PA
USD
32587.96000000
0.001528922499
Long
ABS-MBS
USGSE
US
N
2
2027-05-20
Fixed
7.50000000
N
N
N
N
N
N
TSMC Arizona Corp.
2549005GOBWLCSY63Q97
TSMC Arizona Corp.
872898AJ0
280000.00000000
PA
USD
260802.50000000
0.012236016314
Long
DBT
CORP
US
N
2
2052-04-22
Fixed
4.50000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAH5
522000.00000000
PA
USD
413948.74000000
0.019421146407
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.90000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HBJ3
250000.00000000
PA
USD
241355.19000000
0.011323610941
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
346326.20000000
0.016248513850
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
7.45000000
N
N
N
N
N
N
P -stla
N/A
P4 SFR
N/A
2600000.00000000
PA
USD
2483000.00000000
0.116494391385
Long
ABS-MBS
CORP
US
N
3
2026-10-11
Fixed
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403DQT9
105189.67000000
PA
USD
103512.62000000
0.004856479930
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Variable
3.88000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QM4X9
4145915.20000000
PA
USD
3523312.54000000
0.165302517119
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BK9
2000000.00000000
PA
USD
1838052.44000000
0.086235521680
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402BEZ3
56585.43000000
PA
USD
57016.28000000
0.002675020877
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31408EQC9
35630.01000000
PA
USD
35019.97000000
0.001643024603
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Variable
4.70800080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-157, Class OP
38377NF41
503930.51000000
PA
USD
415598.60000000
0.019498552544
Long
ABS-MBS
USGA
US
N
2
2040-12-20
None
0.00000000
N
N
N
N
N
N
Toronto-Dominion Bank (The)
PT3QB789TSUIDF371261
Toronto-Dominion Bank (The)
89115A2M3
600000.00000000
PA
USD
597216.00000000
0.028019458093
Long
DBT
CORP
CA
N
2
2028-01-10
Fixed
5.15600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-91, Class ES
31396XYW8
492502.70000000
PA
USD
37590.37000000
0.001763619522
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Floating
1.84299840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF
31394FSB2
458934.15390000
PA
USD
454088.22000000
0.021304361991
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Floating
4.83699960
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460DAJ8
516000.00000000
PA
USD
415331.69000000
0.019486029983
Long
DBT
CORP
US
N
2
2031-11-09
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31400KQ66
18463.04000000
PA
USD
18689.81000000
0.000876865904
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
558022.91000000
0.026180644091
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
81549.41000000
PA
USD
77344.33000000
0.003628747744
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.50000080
N
N
N
N
N
N
Jonah Energy Abs I LLC
2549003KXV9PPFRCPA79
Jonah Energy Abs I LLC, Series 2022-1, Class A1
47987EAC1
2272292.23000000
PA
USD
2251941.13000000
0.105653850734
Long
ABS-O
CORP
US
Y
3
2037-12-10
Fixed
7.20000000
N
N
N
N
N
N
Truist Financial Corp.
549300DRQQI75D2JP341
Truist Financial Corp.
867914BS1
265000.00000000
PA
USD
258243.71000000
0.012115966099
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
117027.61000000
PA
USD
112709.43000000
0.005287964740
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDD5
1781000.00000000
PA
USD
1575252.02000000
0.073905769370
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
1.25000000
N
N
N
N
N
N
NatWest Group plc
2138005O9XJIJN4JPN90
NatWest Group plc
639057AG3
670000.00000000
PA
USD
696154.41000000
0.032661330770
Long
DBT
CORP
GB
N
2
2026-11-10
Variable
7.47200160
N
N
N
N
N
N
Bank of Ireland Group plc
635400C8EK6DRI12LJ39
Bank of Ireland Group plc
06279JAB5
755000.00000000
PA
USD
655137.66000000
0.030736956494
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
262450.55000000
PA
USD
8524.84000000
0.000399958134
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Floating
1.95000120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3232, Class ST
31397BP96
136350.40000000
PA
USD
10711.99000000
0.000502572193
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Floating
2.11214160
N
N
N
N
N
N
Banco Nacional de Panama
529900H2Q7WMDKKIW109
Banco Nacional de Panama
059626AC5
1250000.00000000
PA
USD
991250.00000000
0.046506268812
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
369066.38000000
0.017315410116
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
303186.72000000
0.014224547894
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
2795301.27000000
PA
USD
164797.82000000
0.007731784833
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.45299880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-56
31395NWL7
145168.77000000
PA
USD
120263.41000000
0.005642373239
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
509128.88000000
0.023886693118
Long
DBT
CORP
MX
N
2
2032-09-01
Fixed
1.85000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36213GR52
18752.42000000
PA
USD
19225.54000000
0.000902000636
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
321132.62000000
PA
USD
315187.01000000
0.014787562989
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
3.66472080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1706, Class K
3133T4UA2
6935.98000000
PA
USD
6937.82000000
0.000325500249
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
7.00000000
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
54237.09000000
PA
USD
52916.28000000
0.002482662035
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
5.51700000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2019-SFR4, Class D
74331AAG7
5000000.00000000
PA
USD
4728006.00000000
0.221822868076
Long
ABS-O
CORP
US
Y
2
2036-10-17
Fixed
3.13600000
N
N
N
N
N
N
KeyCorp
RKPI3RZGV1V1FJTH5T61
KeyCorp
49326EEN9
225000.00000000
PA
USD
210871.52000000
0.009893414974
Long
DBT
CORP
US
N
2
2033-06-01
Variable
4.78900080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2006-16, Class OP
38374MM63
48387.18000000
PA
USD
41062.48000000
0.001926519781
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
32335.22000000
PA
USD
32745.56000000
0.001536316585
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
3581878.40000000
0.168050239316
Long
ABS-O
CORP
US
Y
2
2037-11-17
Fixed
1.85600000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2022-4, Class C
33843XAE9
5190000.00000000
PA
USD
5362214.06000000
0.251577874907
Long
ABS-O
CORP
US
Y
2
2028-10-16
Fixed
7.71000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2004-2CB, Class 1A9
12667FAQ8
2788523.75000000
PA
USD
2731500.39000000
0.128153232179
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
664377.14000000
0.031170443243
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
285985.59000000
0.013417526078
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
537014.85000000
0.025195013336
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
893205.64000000
0.041906342091
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
3112468.39000000
PA
USD
3175110.86000000
0.148966011766
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Fixed
6.50000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HBA5
1405000.00000000
PA
USD
1102433.25000000
0.051722630085
Long
DBT
CORP
US
N
2
2031-05-11
Fixed
2.50000000
N
N
N
N
N
N
Grupo Televisa SAB
549300O4AF0C816ILN62
Grupo Televisa SAB
40049JBC0
200000.00000000
PA
USD
198725.00000000
0.009323539238
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
26738.25000000
PA
USD
28536.50000000
0.001338840998
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
9.09900000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-36, Class SH
38374D3F4
205627.17000000
PA
USD
213.09000000
0.000009997498
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Floating
1.70214120
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAY6
935000.00000000
PA
USD
652620.87000000
0.030618876784
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
8675.83000000
PA
USD
8196.68000000
0.000384561920
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
625768.52000000
0.029359050698
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
709254.04000000
0.033275923369
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
398691.80000000
0.018705339746
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
47476.26000000
PA
USD
48775.76000000
0.002288402124
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
11974.67000000
PA
USD
12022.48000000
0.000564056178
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
345167.34000000
0.016194143857
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
233352.63000000
0.010948156508
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
18786.24000000
PA
USD
17113.60000000
0.000802915189
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
3.20294520
N
N
N
N
N
N
NatWest Group plc
2138005O9XJIJN4JPN90
NatWest Group plc
780097BM2
900000.00000000
PA
USD
844194.48000000
0.039606895754
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
796063.85000000
0.037348761058
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
1212125.00000000
0.056869014964
Long
DBT
CORP
FR
Y
2
2025-03-17
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QNXM9
4610705.20000000
PA
USD
4353161.30000000
0.204236357730
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-36, Class SA
31393X5V5
235951.22000000
PA
USD
238026.74000000
0.011167450748
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Floating
6.82824960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2345, Class NE
313399SN8
23685.13000000
PA
USD
24491.67000000
0.001149070556
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
3088242.18000000
0.144890412085
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
368557.14000000
0.017291518209
Long
DBT
CORP
FR
N
2
2026-12-02
Fixed
3.37500000
N
N
N
N
N
N
Amazon.com, Inc.
ZXTILKJKG63JELOEG630
Amazon.com, Inc.
023135CJ3
1760000.00000000
PA
USD
1477663.12000000
0.069327211371
Long
DBT
CORP
US
N
2
2052-04-13
Fixed
3.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JLW39
55393.34000000
PA
USD
54359.23000000
0.002550360618
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
2.82399840
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LHSL5
5575000.00000000
PA
USD
5327365.64000000
0.249942898879
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.81000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBX6
1832000.00000000
PA
USD
1620320.04000000
0.076020216233
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust, Series 2021-R1, Class A1
89179TAA2
5605532.01640000
PA
USD
4455299.27000000
0.209028343494
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
914429.23000000
0.042902084822
Long
DBT
CORP
US
N
2
2045-02-09
Fixed
3.45000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS
362341LM9
395296.15000000
PA
USD
3600.16000000
0.000168907953
Long
ABS-MBS
CORP
US
Y
2
2035-09-25
Variable
0.00001080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3218, Class AO
31397BHE4
57572.02000000
PA
USD
43883.95000000
0.002058894098
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
None
0.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
273.00000000
NC
USD
-49628.12000000
-0.00232839212
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 10 Year Note
2023-06-21
30490687.50000000
USD
-49628.12000000
N
N
N
Essex Portfolio LP
5493003GN3O58H286O74
Essex Portfolio LP
29717PAV9
2000000.00000000
PA
USD
1587256.66000000
0.074468988553
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
15212.65000000
PA
USD
15719.96000000
0.000737530073
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
186304.33000000
0.008740801262
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
1302776.21000000
0.061122078813
Long
DBT
UST
US
N
2
2026-05-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 323, Class 300
3132HTZ66
914905.60000000
PA
USD
827235.29000000
0.038811224986
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
405928.72000000
0.019044872807
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
2021371.75000000
0.094836275384
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
2751915.03000000
PA
USD
2559186.59000000
0.120068821684
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Variable
3.09857040
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
478900.34000000
0.022468467032
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
157385.06000000
0.007384001924
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
508000.00000000
PA
USD
446942.01000000
0.020969084752
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
67082.60000000
PA
USD
69414.79000000
0.003256719176
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
915972.17000000
0.042974474615
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
570000.00000000
0.026742570716
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
1220728.12000000
PA
USD
1217954.38000000
0.057142510766
Long
ABS-MBS
USGA
US
N
2
2065-12-20
Floating
5.05157040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403EDC8
66683.60000000
PA
USD
67722.31000000
0.003177313446
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
4.06000080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFF3
36000000.00000000
PA
USD
32715000.00000000
1.534882808765
Long
DBT
UST
US
N
2
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3481, Class SJ
31397Y4R9
209683.30000000
PA
USD
13470.35000000
0.000631985592
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Floating
1.26213840
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BZ2
485000.00000000
PA
USD
428269.55000000
0.020093032853
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
988765.46000000
0.046389702168
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
1722379.32000000
0.080808510115
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
284965.50000000
PA
USD
272700.27000000
0.012794221499
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
5653152.14000000
0.265227755922
Long
DBT
CORP
US
N
2
2028-12-20
Variable
3.41899920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A
31392W7D6
156299.08000000
PA
USD
160625.88000000
0.007536050797
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Variable
7.49999880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3290, Class SB
31397FR79
204765.92000000
PA
USD
14225.99000000
0.000667437795
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Floating
1.86213960
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
1740000.00000000
PA
USD
1324239.95000000
0.062129088611
Long
DBT
CORP
US
N
2
2032-02-13
Variable
1.79399880
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AM0
1838000.00000000
PA
USD
1791903.58000000
0.084070365273
Long
DBT
CORP
CH
Y
2
2026-05-12
Variable
4.48800120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-60, Class AX
31396WSA5
970940.50000000
PA
USD
117648.57000000
0.005519693338
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
2.53299960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410RP29
49597.14000000
PA
USD
50044.92000000
0.002347947038
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
5.56499880
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140CH1
842000.00000000
PA
USD
821813.76000000
0.038556864197
Long
DBT
CORP
US
N
2
2043-02-10
Fixed
5.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31387Y5U3
21769.86000000
PA
USD
22853.67000000
0.001072220852
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
30290.25000000
PA
USD
28623.36000000
0.001342916191
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Floating
4.11094800
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F
57643QAE5
1153981.53470000
PA
USD
607653.79000000
0.028509165702
Long
ABS-MBS
CORP
US
Y
2
2035-05-25
Floating
4.96699920
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3
17307GAV0
7887.72000000
PA
USD
7719.33000000
0.000362166190
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
1855000.00000000
PA
USD
1242135.83000000
0.058277026795
Long
DBT
CORP
US
N
2
2051-08-05
Fixed
2.70000000
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440CA0
1050000.00000000
PA
USD
695804.40000000
0.032644909424
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
746901.07000000
0.035042201197
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
34432.20000000
PA
USD
34003.66000000
0.001595342600
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
5235.19000000
PA
USD
5221.32000000
0.000244967577
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Floating
10.76586480
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
1989025.44000000
PA
USD
59385.34000000
0.002786169569
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
0.43300080
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBH5
506000.00000000
PA
USD
485869.67000000
0.022795445629
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
59597.32000000
PA
USD
62122.78000000
0.002914601468
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
31482.66000000
PA
USD
28900.98000000
0.001355941230
Long
ABS-MBS
USGA
US
N
2
2035-06-17
Floating
5.37348960
N
N
N
N
N
N
VM Master Issuer LLC
549300DTHP15ZDVADB72
VM Master Issuer LLC, Series 2022-1, Class A1
92859MAA8
4000000.00000000
PA
USD
3747600.00000000
0.175825364943
Long
ABS-MBS
CORP
US
Y
3
2025-05-24
Variable
5.16300120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296QYC8
59250.69000000
PA
USD
60104.22000000
0.002819897111
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
61931.93000000
PA
USD
61833.77000000
0.002901042047
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Floating
5.16700080
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
9236.30700000
PA
USD
6799.59000000
0.000319014941
Long
ABS-MBS
CORP
US
N
2
2033-10-25
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RV2
548000.00000000
PA
USD
456124.38000000
0.021399892083
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
530797.65000000
0.024903322265
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
6220.65000000
PA
USD
4977.36000000
0.000233521757
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2344, Class ZJ
313399C70
27259.89000000
PA
USD
28422.59000000
0.001333496707
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
20491.77000000
PA
USD
22097.97000000
0.001036765834
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
138065.19000000
0.006477575626
Long
DBT
CORP
US
N
2
2044-12-01
Fixed
5.45000000
N
N
N
N
N
N
Pagaya AI Technology in Housing Trust
N/A
Pagaya AI Technology in Housing Trust, Series 2022-1, Class A
69547NAA2
2667000.00000000
PA
USD
2520657.98000000
0.118261182952
Long
ABS-O
CORP
US
Y
2
2025-08-25
Fixed
4.25000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175AZ7
528000.00000000
PA
USD
506814.53000000
0.023778111243
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
201627.45000000
PA
USD
201277.77000000
0.009443307013
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.24430000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXUH3
4699208.65000000
PA
USD
4410386.50000000
0.206921180463
Long
ABS-MBS
USGSE
US
N
2
2061-12-01
Fixed
4.00000000
N
N
N
N
N
N
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust
N/A
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-8, Class APO
1729734K2
50571.04160000
PA
USD
32960.28000000
0.001546390559
Long
ABS-MBS
CORP
US
N
2
2035-11-25
None
0.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617KFSY9
1160360.61000000
PA
USD
1104212.37000000
0.051806100685
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.00000000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust, Series 2022-AA, Class C
56847QAC5
2033000.00000000
PA
USD
2025856.04000000
0.095046663879
Long
ABS-O
CORP
US
Y
2
2037-10-20
Fixed
7.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-58, Class NI
38374LM73
500175.62000000
PA
USD
65723.88000000
0.003083553523
Long
ABS-MBS
USGA
US
N
2
2035-08-20
Floating
5.50000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8UK8
2730273.69000000
PA
USD
2532106.55000000
0.118798313114
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.17000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617YMMJ8
2454904.10000000
PA
USD
2167762.95000000
0.101704480679
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBH3
1840000.00000000
PA
USD
1634509.37000000
0.076685934060
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
55688.33000000
PA
USD
57229.09000000
0.002685005239
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
3805.93000000
PA
USD
3757.92000000
0.000176309546
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
198790.41000000
PA
USD
167510.44000000
0.007859052258
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
55650.83000000
PA
USD
6747.34000000
0.000316563538
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.00000000
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
898904.69000000
0.042173723227
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
316051.64000000
0.014828128654
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
0.000000000469
Long
ABS-MBS
CORP
US
N
3
2018-06-25
Floating
4.01442840
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBY6
380000.00000000
PA
USD
329789.12000000
0.015472647128
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
2.87500000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKP3
1500000.00000000
PA
USD
1434090.71000000
0.067282933730
Long
DBT
CORP
US
N
2
2028-04-27
Variable
4.37600160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2710, Class HB
31394MHQ6
8723.80000000
PA
USD
8691.03000000
0.000407755235
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
662959.08000000
PA
USD
650732.04000000
0.030530258942
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
28052.19000000
PA
USD
28383.38000000
0.001331657099
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
9486.07000000
PA
USD
573.64000000
0.000026913347
Long
ABS-MBS
USGSE
US
N
2
2027-12-18
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-48
31396VD39
54147.53000000
PA
USD
45039.59000000
0.002113113018
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
1599246.26000000
PA
USD
1575254.72000000
0.073905896046
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
1719302.19000000
PA
USD
1703575.90000000
0.079926313994
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
129251.49000000
0.006064065108
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
95016.46000000
PA
USD
76217.24000000
0.003575868299
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
None
0.00000000
N
N
N
N
N
N
Eastern Gas Transmission & Storage, Inc.
H2VQBNB3NSKRM5QWBI71
Eastern Gas Transmission & Storage, Inc.
276480AB6
807000.00000000
PA
USD
593160.70000000
0.027829196431
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.90000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661EA1
2760000.00000000
PA
USD
2269805.26000000
0.106491978383
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.62500000
N
N
N
N
N
N
Tricon Residential Trust
N/A
Tricon Residential Trust, Series 2022-SFR1, Class D
89616QAD3
1837000.00000000
PA
USD
1717168.45000000
0.080564032818
Long
ABS-O
CORP
US
Y
2
2039-04-17
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-147, Class SA
31397QW95
659946.55000000
PA
USD
69816.21000000
0.003275552514
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Floating
1.91300040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3404, Class SC
31397PTW0
191847.70000000
PA
USD
12423.83000000
0.000582886232
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Floating
1.41213960
N
N
N
N
N
N
VOLT XCVII LLC
N/A
VOLT XCVII LLC, Series 2021-NPL6, Class A1
91835EAA7
2848320.82000000
PA
USD
2590292.29000000
0.121528201302
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
760223.05000000
0.035667225745
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
61894.55000000
PA
USD
61952.66000000
0.002906619984
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Floating
5.03786160
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAR6
400000.00000000
PA
USD
395036.48000000
0.018533843863
Long
DBT
CORP
ES
N
2
2025-08-18
Fixed
5.14700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-28, Class PK
31392CA46
119001.49000000
PA
USD
122721.69000000
0.005757707847
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31406H3D7
127844.55000000
PA
USD
128680.58000000
0.006037279843
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
4.90200120
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCZ2
609000.00000000
PA
USD
445574.55000000
0.020904927917
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
Galaxy Pipeline Assets Bidco Ltd.
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd.
36321PAE0
1063183.00000000
PA
USD
836618.70000000
0.039251464469
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
1212934.36000000
0.056906987538
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.80000000
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
237080.19000000
0.011123041660
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
1712000.00000000
PA
USD
1497107.48000000
0.070239478340
Long
DBT
CORP
US
N
2
2048-05-01
Fixed
4.70000000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BX6
939000.00000000
PA
USD
903927.10000000
0.042409358586
Long
DBT
CORP
GB
N
2
2026-09-12
Variable
4.29199920
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJE0
3685000.00000000
PA
USD
2524205.10000000
0.118427602438
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
675596.56000000
0.031696822424
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
129211.01000000
PA
USD
132602.79000000
0.006221297348
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
297883.73000000
0.013975748622
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
3065.21000000
PA
USD
3120.22000000
0.000146390708
Long
ABS-MBS
USGA
US
N
2
2027-11-20
Fixed
8.00000000
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2F7
1000000.00000000
PA
USD
967500.00000000
0.045391995032
Long
DBT
CORP
CH
N
2
2023-08-09
Fixed
0.52000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-71, Class DS
31393EKS7
215904.12000000
PA
USD
185326.89000000
0.008694942914
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
1.37923920
N
N
N
N
N
N
DuPont de Nemours, Inc.
5493004JF0SDFLM8GD76
DuPont de Nemours, Inc.
26078JAE0
980000.00000000
PA
USD
951104.93000000
0.044622790964
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.31900000
N
N
N
N
N
N
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2018-1, Class AA
11042TAA1
446744.01000000
PA
USD
404279.56000000
0.018967499513
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
1694097.75000000
0.079481629614
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
875677.44000000
0.041083975200
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
2106092.27000000
PA
USD
2012611.49000000
0.094425272099
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
673416.83880000
PA
USD
566547.88000000
0.026580608325
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
15.60000000
PA
USD
15.55000000
0.000000729556
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
2556030.04000000
0.119920726488
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
686167.00000000
0.032192753545
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1671, Class QC
3133T36V5
2202.96000000
PA
USD
2228.28000000
0.000104543746
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
10.00000080
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAF3
945000.00000000
PA
USD
886207.98000000
0.041578034341
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
397941.15000000
0.018670121657
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
1594609.04000000
0.074813938627
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
5391718.73000000
0.252962139335
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
1740342.60000000
0.081651289564
Long
ABS-O
CORP
US
Y
2
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
360.45000000
0.000016911157
Long
ABS-MBS
CORP
US
N
3
2017-10-25
Floating
8.22497760
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1760, Class ZD
3133T5X32
11203.61000000
PA
USD
11156.06000000
0.000523406532
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
2.94000120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-1, Class BI
31396YCX8
157360.30000000
PA
USD
10483.09000000
0.000491832939
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Floating
1.29300120
N
N
N
N
N
N
Jefferies Financial Group, Inc.
549300HOF34RGOJ5YL07
Jefferies Financial Group, Inc.
472319AE2
749000.00000000
PA
USD
774267.30000000
0.036326136883
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
310007.42000000
0.014544553249
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
99846.69000000
PA
USD
101527.54000000
0.004763346347
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
250508.66000000
PA
USD
255624.60000000
0.011993085863
Long
ABS-MBS
USGA
US
N
2
2037-02-20
Variable
5.87268000
N
N
N
N
N
N
Anheuser-Busch Cos. LLC
N/A
Anheuser-Busch Cos. LLC
03522AAH3
2583000.00000000
PA
USD
2424479.12000000
0.113748779504
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2353, Class AZ
3133TUYS1
150271.34000000
PA
USD
150828.35000000
0.007076382133
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
238474.61000000
PA
USD
250602.69000000
0.011757473963
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
144746.84150000
PA
USD
112291.10000000
0.005268338039
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
2.87941680
N
N
N
N
N
N
Goodgreen
N/A
Goodgreen, Series 2019-2A, Class A
38218EAA5
1377401.77000000
PA
USD
1191227.74000000
0.055888582590
Long
ABS-O
CORP
KY
Y
3
2055-04-15
Fixed
2.76000000
N
Y
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAG6
820000.00000000
PA
USD
762833.58000000
0.035789703435
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
0.000000095241
Long
ABS-MBS
CORP
US
N
2
2035-05-25
None
0.00000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AK5
533000.00000000
PA
USD
508781.81000000
0.023870409707
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
661623.01000000
0.031041228302
Long
ABS-MBS
CORP
US
Y
2
2031-03-11
Fixed
3.26000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
31349UB56
53756.10000000
PA
USD
54781.27000000
0.002570161380
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
4.30300080
N
Y
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179XDD5
9527860.44000000
PA
USD
9005372.01000000
0.422503154048
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
4.00000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4
3623417C7
688412.41770000
PA
USD
357632.94000000
0.016778989804
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
595591.12000000
PA
USD
572436.32000000
0.026856875032
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
4.00000000
N
N
N
N
N
N
American Express Co.
R4PP93JZOLY261QX3811
American Express Co.
025816DB2
1470000.00000000
PA
USD
1513216.15000000
0.070995245440
Long
DBT
CORP
US
N
2
2027-11-05
Fixed
5.85000000
N
N
N
N
N
N
Macquarie Bank Ltd.
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
556079AD3
575000.00000000
PA
USD
436931.29000000
0.020499413896
Long
DBT
CORP
AU
Y
2
2036-03-03
Variable
3.05200080
N
N
N
N
Y
N/A
N/A
USD
XXXX
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBP5
1413000.00000000
PA
USD
1041631.81000000
0.048870021648
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
184548.35000000
PA
USD
154476.09000000
0.007247522387
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
1246977.92000000
0.058504202118
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
171385.52000000
PA
USD
176171.36000000
0.008265394829
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
7268900.16000000
0.341033467651
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
301299.23000000
0.014135992921
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
699067.57000000
0.032798006888
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
2321.15350000
PA
USD
1368.42000000
0.000064201874
Long
ABS-MBS
CORP
US
N
3
2019-06-25
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L5RM4
1596914.37000000
PA
USD
1558153.07000000
0.073103541512
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
211643.97000000
0.009929655849
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
96608.27000000
PA
USD
8699.57000000
0.000408155905
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Floating
2.58300000
N
N
N
N
N
N
Eaton Corp.
0NZWDMRCE180888QQE14
Eaton Corp.
278062AD6
170000.00000000
PA
USD
155734.46000000
0.007306561069
Long
DBT
CORP
US
N
2
2032-11-02
Fixed
4.00000000
N
N
N
N
N
N
Corebridge Financial, Inc.
549300XY1661QCIA7J65
Corebridge Financial, Inc.
21871XAC3
770000.00000000
PA
USD
718446.19000000
0.033707189547
Long
DBT
CORP
US
Y
2
2027-04-05
Fixed
3.65000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAE2
2080000.00000000
PA
USD
1771915.50000000
0.083132588706
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
455401.50000000
PA
USD
465242.45000000
0.021827682665
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
871948.72000000
PA
USD
842246.66000000
0.039515510291
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
72295.84000000
PA
USD
60389.45000000
0.002833279188
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
19916.74980000
PA
USD
1826.87000000
0.000085710877
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Floating
2.51214120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 351, Class 7
3136FCHW9
101610.34000000
PA
USD
12956.79000000
0.000607891004
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
1031550.95000000
0.048397060049
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
11829.54000000
PA
USD
12554.92000000
0.000589036554
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
129953.80000000
PA
USD
406.53000000
0.000019073082
Long
ABS-MBS
USGA
US
N
2
2039-02-16
Floating
1.50999840
N
N
N
N
N
N
Bridge Trust
N/A
Bridge Trust, Series 2022-SFR1, Class A
10805VAA5
3000000.00000000
PA
USD
2796804.90000000
0.131217110208
Long
ABS-O
CORP
US
Y
2
2037-11-17
Fixed
3.40000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
1490000.00000000
PA
USD
1494982.05000000
0.070139759986
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
375836.51000000
PA
USD
396288.22000000
0.018592571486
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
307105.91000000
0.014408423711
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
455904.87000000
PA
USD
376071.64000000
0.017644074433
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
22138.48000000
PA
USD
19713.86000000
0.000924911044
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
2.33607600
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31391REW8
6254.42000000
PA
USD
6332.61000000
0.000297105738
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-33, Class TI
38374UJV4
71440.02000000
PA
USD
10012.60000000
0.000469759058
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
159595.58000000
PA
USD
141341.90000000
0.006631308343
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
7434301.41000000
0.348793563484
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
420958.38000000
0.019750016220
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
403239.30000000
0.018918693852
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
141773.67000000
0.006651565606
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
2623892.26440000
PA
USD
2405890.37000000
0.112876655011
Long
ABS-MBS
USGSE
US
N
2
2058-07-25
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CQX4
1135.53000000
PA
USD
1154.57000000
0.000054168719
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
236.33000000
PA
USD
238.09000000
0.000011170418
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Floating
20.25372240
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAM6
129000.00000000
PA
USD
111001.61000000
0.005207839307
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
252337.13000000
0.011838848321
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
293159.72000000
0.013754113234
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
4.50000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU
35563P7E3
3404765.35370000
PA
USD
2990240.62000000
0.140292493403
Long
ABS-MBS
USGSE
US
N
2
2061-11-25
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QEB76
4527040.02000000
PA
USD
3901771.45000000
0.183058594599
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
nVent Finance SARL
549300KO1OQ4MVFB6X02
nVent Finance SARL
67078AAD5
450000.00000000
PA
USD
416432.06000000
0.019537655812
Long
DBT
CORP
LU
N
2
2028-04-15
Fixed
4.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L8AZ7
3230842.03000000
PA
USD
3059098.77000000
0.143523096817
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
96672.45000000
PA
USD
4055.31000000
0.000190262130
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Floating
3.00214080
N
N
N
N
N
N
Southern California Gas Co.
XY0N0J73VHV5F4CUJV89
Southern California Gas Co.
842434CX8
1370000.00000000
PA
USD
1499289.27000000
0.070341840925
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
6.35000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2004-7, Class 1A1
45254NKF3
312311.48000000
PA
USD
303411.04000000
0.014235072269
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
5.35700160
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-26CB, Class A9
02147WAJ8
872476.34770000
PA
USD
492644.47000000
0.023113297503
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDJ7
1173600.00000000
PA
USD
955337.91000000
0.044821388800
Long
DBT
UST
US
N
2
2031-11-15
Fixed
1.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2325, Class PM
3133TU3J5
27445.85000000
PA
USD
28834.88000000
0.001352840030
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
18825.46000000
PA
USD
18790.41000000
0.000881585733
Long
ABS-MBS
USGA
US
N
2
2033-10-20
None
0.00000000
N
N
N
N
N
N
Home Depot, Inc. (The)
QEKMOTMBBKA8I816DO57
Home Depot, Inc. (The)
437076CS9
1800000.00000000
PA
USD
1735326.14000000
0.081415933360
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3549, Class FA
31398EP99
8946.38000000
PA
USD
9019.48000000
0.000423165055
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
5.78786040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617VUD53
2630473.28900000
PA
USD
2777281.84000000
0.130301150888
Long
ABS-MBS
USGA
US
N
2
2071-08-20
Variable
6.47100000
N
N
N
N
N
N
Gray Oak Pipeline LLC
N/A
Gray Oak Pipeline LLC
38937LAA9
535000.00000000
PA
USD
524182.30000000
0.024592951274
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
181561.24000000
PA
USD
181552.09000000
0.008517841413
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31403QVP2
31654.69000000
PA
USD
31636.28000000
0.001484272728
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
480061.47000000
PA
USD
465534.23000000
0.021841372047
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
32994.11000000
PA
USD
34094.71000000
0.001599614374
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.50000000
N
N
N
N
N
N
Air Lease Corp.
5493004NW4M4P8TMMK63
Air Lease Corp.
00914AAT9
710000.00000000
PA
USD
706644.80000000
0.033153506202
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.85000000
N
N
N
N
N
N
AutoZone, Inc.
GA3JGKJ41LJKXDN23E90
AutoZone, Inc.
053332BA9
690000.00000000
PA
USD
532053.95000000
0.024962263829
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
592131.07000000
0.027780889496
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.21100000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DR8
1535000.00000000
PA
USD
1524305.64000000
0.071515528721
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
5.25000000
N
N
N
N
N
N
Lennar Corp.
529900G61XVRLX5TJX09
Lennar Corp.
526057BZ6
365000.00000000
PA
USD
360140.27000000
0.016896625681
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
56765.56000000
PA
USD
58710.24000000
0.002754496043
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
458829.16000000
0.021526791681
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
7244.91010000
PA
USD
4325.82000000
0.000202953591
Long
ABS-MBS
CORP
US
N
2
2034-02-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2462, Class JG
31392MQP0
72168.28000000
PA
USD
74752.81000000
0.003507161943
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
245821.76000000
0.011533168071
Long
DBT
CORP
US
N
2
2046-06-14
Fixed
4.40000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2169, Class TB
3133TL5G9
88369.67000000
PA
USD
91230.79000000
0.004280255882
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
960554.55000000
0.045066136808
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
18410.47000000
PA
USD
16242.00000000
0.000762022515
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
48447.93000000
PA
USD
40989.07000000
0.001923075619
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
72397.88000000
PA
USD
1190.79000000
0.000055868045
Long
ABS-MBS
USGA
US
N
2
2033-02-20
Floating
3.10214160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31410DVM9
13811.18000000
PA
USD
13749.50000000
0.000645082414
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-H31, Class FD
38375BD74
614431.76000000
PA
USD
610142.41000000
0.028625923766
Long
ABS-MBS
USGA
US
N
2
2062-12-20
Floating
4.73157000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31405YX48
68291.76000000
PA
USD
67411.49000000
0.003162730769
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Variable
3.83100120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2
31393XGQ4
115730.54000000
PA
USD
120136.34000000
0.005636411522
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2011-75, Class SM
38377WFA7
409923.60000000
PA
USD
20469.78000000
0.000960376384
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Floating
2.00214000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBK5
324000.00000000
PA
USD
195522.51000000
0.009173288684
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
697991.85000000
PA
USD
715730.00000000
0.033579754629
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
541702.19000000
0.025414928286
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
3420195.60000000
0.160464601224
Long
ABS-O
CORP
US
Y
2
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
334473.52000000
0.015692424142
Long
DBT
CORP
US
N
2
2042-09-01
Fixed
4.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138EPR30
1762517.81000000
PA
USD
1715111.42000000
0.080467523572
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Variable
3.80999880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBC4
10000000.00000000
PA
USD
8921484.40000000
0.418567416604
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
52868.84000000
PA
USD
55100.63000000
0.002585144726
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
6.92427960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1518, Class G
312915YY1
457.37000000
PA
USD
455.62000000
0.000021376228
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Floating
4.19199840
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2L4
239000.00000000
PA
USD
223253.97000000
0.010474359790
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
25300.09000000
PA
USD
21653.12000000
0.001015894899
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
147162.89000000
PA
USD
8955.85000000
0.000420179740
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
1.61300160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 374, Class 5
3136FCZ82
71457.08000000
PA
USD
13218.05000000
0.000620148485
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
5.50000000
N
N
N
N
N
N
Kellogg Co.
LONOZNOJYIBXOHXWDB86
Kellogg Co.
487836BZ0
1109000.00000000
PA
USD
1105102.29000000
0.051847852876
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
5.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-90, Class SI
38374JXC5
326606.49000000
PA
USD
13714.34000000
0.000643432819
Long
ABS-MBS
USGA
US
N
2
2034-10-20
Floating
1.50213960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M10, Class A2
3136B2HA3
3335000.00000000
PA
USD
3158185.97000000
0.148171950244
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
3.35752200
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2L4
1718000.00000000
PA
USD
1734885.02000000
0.081395237425
Long
DBT
CORP
CH
N
2
2025-01-09
Fixed
7.95000000
N
N
N
N
N
N
CFIN Issuer LLC
N/A
CFIN Issuer LLC, Series 2022-RTL1, Class AA
12531CAA4
4200000.00000000
PA
USD
4014360.00000000
0.188340888038
Long
ABS-O
CORP
US
Y
3
2026-02-16
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-64, Class DM
31398RM85
80373.11000000
PA
USD
80123.46000000
0.003759135605
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Fixed
5.00000000
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2022-3FP, Class B
35634EAB5
3585000.00000000
PA
USD
3557816.74000000
0.166921343449
Long
ABS-O
CORP
US
Y
2
2029-08-20
Fixed
5.79000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3064, Class MC
31396ER57
3094883.00000000
PA
USD
3107898.84000000
0.145812639489
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
17900.05000000
PA
USD
18336.43000000
0.000860286449
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617XW7K1
1406417.91000000
PA
USD
1241916.77000000
0.058266749203
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDW8
3850000.00000000
PA
USD
3371908.19000000
0.158199110914
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
5892097.68000000
PA
USD
5558471.79000000
0.260785657755
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
210.61000000
PA
USD
210.49000000
0.000009875515
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
95266.05000000
PA
USD
96653.55000000
0.004534674378
Long
ABS-MBS
USGSE
US
N
2
2026-02-15
Fixed
6.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140N4C54
2087875.62000000
PA
USD
2056688.42000000
0.096493220200
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3233, Class OP
31397BYN5
33679.79000000
PA
USD
28249.09000000
0.001325356643
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
Emera US Finance LP
N/A
Emera US Finance LP
29103DAM8
700000.00000000
PA
USD
550020.98000000
0.025805219216
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
1358.81000000
PA
USD
1375.91000000
0.000064553281
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
3672.54000000
PA
USD
3750.40000000
0.000175956731
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Floating
6.71383440
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-40, Class SB
38375KA77
433848.94000000
PA
USD
19480.82000000
0.000913977555
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
2.15214120
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
181511.70000000
PA
USD
177517.39000000
0.008328546237
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Variable
6.65610480
N
N
N
N
N
N
Bunge Ltd. Finance Corp.
549300QHC068L40NNM71
Bunge Ltd. Finance Corp.
120568BC3
1565000.00000000
PA
USD
1288337.83000000
0.060444676360
Long
DBT
CORP
US
N
2
2031-05-14
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LJZP8
3050000.00000000
PA
USD
2745208.86000000
0.128796389597
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
3.14000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617K1Y72
1639821.88000000
PA
USD
1575272.42000000
0.073906726473
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
1011.65000000
PA
USD
1010.53000000
0.000047410824
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
8.00000000
N
N
N
N
N
N
Workday, Inc.
549300J0DYC0N31V7G13
Workday, Inc.
98138HAG6
1179000.00000000
PA
USD
1101239.74000000
0.051666634426
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-17, Class JO
38375JTE5
47006.13000000
PA
USD
38399.39000000
0.001801576144
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
178642.17000000
PA
USD
185827.21000000
0.008718416323
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
297919.69000000
0.013977435750
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
786204.33000000
0.036886184022
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
77975.79000000
PA
USD
79836.28000000
0.003745662041
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140K22K9
2005868.35000000
PA
USD
1790385.58000000
0.083999145584
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXC59
1034708.35000000
PA
USD
947516.81000000
0.044454447888
Long
ABS-MBS
USGSE
US
N
2
2056-05-01
Fixed
3.50000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAP6
769000.00000000
PA
USD
754032.37000000
0.035376778907
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
1398116.28000000
0.065595128926
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
883425.17000000
PA
USD
898512.09000000
0.042155303695
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
80478.02000000
PA
USD
82129.98000000
0.003853275084
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
185194.74000000
0.008688742861
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
587957.64000000
0.027585085554
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
33952.91820000
PA
USD
22067.37000000
0.001035330180
Long
ABS-MBS
CORP
US
N
2
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
9519275.20000000
0.446613842469
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
6758.08000000
PA
USD
891.48000000
0.000041825380
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
71154.15000000
PA
USD
66216.41000000
0.003106661450
Long
ABS-MBS
CORP
US
N
2
2043-09-25
Floating
5.25700080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-84, Class XM
31394FN50
537520.89000000
PA
USD
539505.58000000
0.025311870395
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
114891.39000000
PA
USD
95016.16000000
0.004457853294
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418A3V8
1385890.02000000
PA
USD
1361989.03000000
0.063900154298
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
250224.82000000
0.011739745515
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
74102.09450000
PA
USD
67343.16000000
0.003159524944
Long
ABS-MBS
CORP
US
N
2
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
193750.00000000
0.009090128204
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
1125929.76000000
0.052825010927
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
420000.00000000
PA
USD
465843.29000000
0.021855872150
Long
DBT
MUN
US
N
2
2039-05-15
Fixed
6.58200000
N
N
N
N
N
N
HF Sinclair Corp.
N/A
HF Sinclair Corp.
403949AB6
577000.00000000
PA
USD
577385.06000000
0.027089054031
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
5.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31406UL48
40769.61000000
PA
USD
41095.77000000
0.001928081641
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JBL1
1600000.00000000
PA
USD
1614360.67000000
0.075740621718
Long
DBT
CORP
AU
Y
2
2024-11-22
Fixed
6.20700000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAL5
4690000.00000000
PA
USD
3944546.50000000
0.185065462669
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
358.16000000
PA
USD
361.68000000
0.000016968864
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
602388.73000000
0.028262145984
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
6640106.93000000
0.311532507266
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
181015.69000000
PA
USD
27846.58000000
0.001306472166
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
20714969.78000000
0.971879902167
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
342455.88000000
0.016066930856
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
309385.90000000
0.014515393525
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
496.93000000
PA
USD
492.42000000
0.000023102766
Long
ABS-MBS
USGA
US
N
2
2060-08-20
Floating
4.69157040
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-1CB, Class 1A6
12667F2M6
365810.58000000
PA
USD
21526.38000000
0.001009948665
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.48299920
N
N
N
N
N
N
Assurant, Inc.
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621XAH1
108000.00000000
PA
USD
107072.25000000
0.005023486346
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
146845.58000000
PA
USD
6863.09000000
0.000321994157
Long
ABS-MBS
USGSE
US
N
2
2039-02-15
Floating
1.41213960
N
N
N
N
N
N
Aviation Capital Group LLC
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
490000.00000000
PA
USD
487995.32000000
0.022895174306
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
161842.62000000
PA
USD
166977.51000000
0.007834048893
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
261364.80000000
PA
USD
51174.28000000
0.002400932985
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A
31392MEN8
208457.40190000
PA
USD
198356.89000000
0.009306268698
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Variable
4.36943880
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617LNSC9
3495668.14000000
PA
USD
3121494.02000000
0.146450481704
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
108128.41000000
0.005073037984
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.65000000
N
N
N
N
N
N
PNC Financial Services Group, Inc. (The)
CFGNEKW0P8842LEUIA51
PNC Financial Services Group, Inc. (The)
693475BM6
1531000.00000000
PA
USD
1480397.28000000
0.069455489384
Long
DBT
CORP
US
N
2
2034-01-24
Variable
5.06800080
N
N
N
N
N
N
WRKCo, Inc.
549300JEB576INN13W07
WRKCo, Inc.
92940PAE4
170000.00000000
PA
USD
157422.70000000
0.007385767872
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
3.90000000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
Nutrien Ltd.
67077MAZ1
1892000.00000000
PA
USD
1902099.61000000
0.089240409351
Long
DBT
CORP
CA
N
2
2024-11-07
Fixed
5.90000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 233, Class 11
31282YDW6
179238.20000000
PA
USD
35736.67000000
0.001676649867
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Aker BP ASA
549300NFTY73920OYK69
Aker BP ASA
55037AAA6
497000.00000000
PA
USD
440852.02000000
0.020683361965
Long
DBT
CORP
NO
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
806246.46000000
0.037826496441
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
14878.94000000
PA
USD
15051.78000000
0.000706181212
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
679109.38000000
0.031861632664
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
698176.70000000
0.032756210127
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
1134527.81000000
0.053228403840
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
492857.25000000
0.023123280458
Long
DBT
NUSS
SA
Y
2
2033-02-02
Fixed
2.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617FGMN3
1877665.27000000
PA
USD
1871935.78000000
0.087825219252
Long
ABS-MBS
USGA
US
N
2
2052-07-20
Fixed
5.00000000
N
N
N
N
N
N
FMR LLC
6X064LF7Y6B4DKF2GZ26
FMR LLC
30251BAB4
500000.00000000
PA
USD
530177.47000000
0.024874225410
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
8327.75000000
PA
USD
8427.47000000
0.000395389846
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
452496.21000000
0.021229669991
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
3180359.08000000
0.149212241405
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
151181.17000000
PA
USD
152332.63000000
0.007146958123
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
524155.79000000
0.024591707509
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXQS4
2872967.81000000
PA
USD
2641578.90000000
0.123934404450
Long
ABS-MBS
USGSE
US
N
2
2060-03-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QDEX8
5008348.98000000
PA
USD
4468211.76000000
0.209634156085
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
Academic Loan Funding Trust
N/A
Academic Loan Funding Trust, Series 2013-1A, Class A
00389VAA0
568972.53000000
PA
USD
550799.04000000
0.025841723294
Long
ABS-O
CORP
US
Y
2
2044-12-26
Floating
5.41699920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LGRH7
2000000.00000000
PA
USD
1864055.50000000
0.087455501804
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.51000000
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
469109.70000000
0.022009121624
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
482118.18000000
0.022619437758
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
238163.40000000
PA
USD
220905.94000000
0.010364197758
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
5.25700080
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJX1
2340000.00000000
PA
USD
2084832.90000000
0.097813668878
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
4740880.42000000
PA
USD
4106545.74000000
0.192665947110
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
394867.22000000
PA
USD
413567.10000000
0.019403241083
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
784736.33000000
PA
USD
727175.53000000
0.034116742165
Long
ABS-O
CORP
KY
Y
3
2048-09-20
Fixed
3.95000000
N
Y
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAB4
415000.00000000
PA
USD
258189.52000000
0.012113423678
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
370140.20000000
0.017365790304
Long
DBT
CORP
AU
Y
2
2041-03-11
Fixed
3.30500000
N
N
N
N
Y
N/A
N/A
USD
XXXX
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust, Series 2019-1A, Class B
68267EAB0
3880000.00000000
PA
USD
3635792.80000000
0.170579729938
Long
ABS-O
CORP
US
Y
2
2028-11-14
Fixed
3.95000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578AAP3
2205000.00000000
PA
USD
1948288.92000000
0.091407463543
Long
DBT
CORP
FR
Y
2
2026-01-20
Fixed
1.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCS8
1040000.00000000
PA
USD
843090.62000000
0.039555106185
Long
DBT
UST
US
N
2
2031-08-15
Fixed
1.25000000
N
N
N
N
N
N
Camillo Issuer LLC
N/A
Camillo Issuer LLC, Class 1-A-1
133715AA0
4653940.63000000
PA
USD
4623690.02000000
0.216928697073
Long
DBT
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
425996.58000000
PA
USD
436932.85000000
0.020499487086
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
6.00000000
N
N
N
N
N
N
PG&E Recovery Funding LLC
N/A
PG&E Recovery Funding LLC, Series A-3
71710TAF5
1360000.00000000
PA
USD
1406679.63000000
0.065996893826
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
5.53600000
N
N
N
N
Y
N/A
N/A
USD
XXXX
N
N
N
Brown & Brown, Inc.
549300PC8KTJ71XKFY89
Brown & Brown, Inc.
115236AC5
1830000.00000000
PA
USD
1408333.05000000
0.066074466986
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1865, Class D
3133T7HX0
6065.39480000
PA
USD
5951.33000000
0.000279217304
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
None
0.00000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DD7
125000.00000000
PA
USD
104160.03000000
0.004886854330
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
0.000005913861
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
524201.98000000
0.024593874596
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128NHY72
50775.32000000
PA
USD
51287.73000000
0.002406255695
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
3.91500000
N
Y
N
N
N
N
Baltimore Gas and Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co.
059165EM8
450000.00000000
PA
USD
300716.13000000
0.014108635740
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
14128.14000000
PA
USD
14011.62000000
0.000657380243
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
47592.32000000
PA
USD
23.70000000
0.000001111927
Long
ABS-MBS
USGA
US
N
2
2031-08-16
Floating
3.66000120
N
N
N
N
N
N
Santander UK Group Holdings plc
549300F5XIFGNNW4CF72
Santander UK Group Holdings plc
80281LAQ8
930000.00000000
PA
USD
811890.60000000
0.038091301376
Long
DBT
CORP
GB
N
2
2027-06-14
Variable
1.67299920
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFB2
7950000.00000000
PA
USD
7468652.30000000
0.350405197001
Long
DBT
UST
US
N
2
2027-07-31
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140N1PJ6
2507937.18000000
PA
USD
2470475.52000000
0.115906782977
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2990, Class UZ
31395V4P1
985494.06000000
PA
USD
995467.95000000
0.046704161489
Long
ABS-MBS
USGSE
US
N
2
2035-06-15
Fixed
5.75000000
N
N
N
N
N
N
FirstKey Homes Trust
N/A
FirstKey Homes Trust, Series 2022-SFR2, Class E1
33767PAJ7
3700000.00000000
PA
USD
3224131.53000000
0.151265904282
Long
ABS-O
CORP
US
Y
2
2039-07-17
Fixed
4.50000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1994-1, Class 1
911760DD5
14116.51000000
PA
USD
13951.01000000
0.000654536616
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Variable
4.41407160
N
N
N
N
N
N
ACC
N/A
ACC
N/A
3981045.16000000
PA
USD
3967111.50000000
0.186124140052
Long
ABS-MBS
CORP
US
N
3
2023-06-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-205, Class H
31359EK34
389.39800000
PA
USD
385.42000000
0.000018082669
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
303237.25000000
PA
USD
267036.03000000
0.012528473537
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
1162265.06000000
PA
USD
974135.49000000
0.045703310927
Long
ABS-O
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LHVU1
4000000.00000000
PA
USD
4035854.24000000
0.189349328798
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
4.51000000
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
2383609.56000000
0.111831310910
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
5096942.31000000
PA
USD
4504905.96000000
0.211355730188
Long
ABS-O
CORP
US
Y
2
2026-07-25
Fixed
3.10400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXTQ5
3965999.04000000
PA
USD
3974127.79000000
0.186453321861
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
5.00000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BV0
650000.00000000
PA
USD
584557.41000000
0.027425557675
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
25550.39000000
PA
USD
27059.03000000
0.001269522847
Long
ABS-MBS
USGSE
US
N
2
2030-01-15
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296SLS3
54676.93000000
PA
USD
56104.68000000
0.002632251530
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
174683.00000000
PA
USD
33133.82000000
0.001554532499
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
997781.06700000
PA
USD
1017707.75000000
0.047747581532
Long
ABS-O
CORP
US
Y
2
2024-12-15
Floating
8.51082840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-44, Class MY
3139205U0
120755.40000000
PA
USD
126845.70000000
0.005951193162
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L4F73
2069629.36000000
PA
USD
2047833.58000000
0.096077779524
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
3.02000000
N
N
N
N
N
N
Truist Financial Corp.
549300DRQQI75D2JP341
Truist Financial Corp.
89788MAM4
765000.00000000
PA
USD
744385.71000000
0.034924188579
Long
DBT
CORP
US
N
2
2034-01-26
Variable
5.12200080
N
N
N
N
N
N
Volkswagen Group of America Finance LLC
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BN1
378000.00000000
PA
USD
319809.65000000
0.015004442422
Long
DBT
CORP
US
Y
2
2027-11-24
Fixed
1.62500000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust, Series 2019-1A, Class A
252722AA1
1160163.96000000
PA
USD
1119260.41000000
0.052512106429
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
487798.55000000
0.022885942489
Long
ABS-O
CORP
US
Y
2
2036-12-17
Fixed
4.59600000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LFT53
2993500.00000000
PA
USD
2588978.83000000
0.121466577974
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II
3617FRAU6
3644738.24000000
PA
USD
3884542.33000000
0.182250259582
Long
ABS-MBS
USGA
US
N
2
2072-07-20
Variable
6.44900040
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BG4
380000.00000000
PA
USD
377829.04000000
0.017726526001
Long
DBT
CORP
US
N
2
2036-11-30
Fixed
4.75000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBW9
520000.00000000
PA
USD
478809.81000000
0.022464219655
Long
DBT
CORP
US
N
2
2053-03-01
Fixed
5.65000000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2021-1A, Class A
12327BAA4
2529868.24000000
PA
USD
2271868.48000000
0.106588778044
Long
ABS-O
CORP
US
Y
3
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
1007769.10000000
PA
USD
929238.89000000
0.043596906541
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
1915.22000000
PA
USD
1907.48000000
0.000089492839
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
25101.15000000
PA
USD
25755.09000000
0.001208346167
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.50000000
N
N
N
N
N
N
TSMC Global Ltd.
549300N2ZLI21P85T117
TSMC Global Ltd.
872882AN5
595000.00000000
PA
USD
582403.85000000
0.027324519551
Long
DBT
CORP
VG
Y
2
2032-07-22
Fixed
4.62500000
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
11088.67000000
PA
USD
10867.95000000
0.000509889335
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
4.23998640
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2450, Class GZ
31392KPH3
47514.30000000
PA
USD
50339.80000000
0.002361781862
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
441525.38000000
0.020714953855
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
376273.26000000
PA
USD
344359.72000000
0.016156252919
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
4.12244280
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1570, Class F
3133T0PQ1
54.67000000
PA
USD
54.71000000
0.000002566817
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
Floating
3.56500080
N
N
N
N
N
N
Constellation Energy Generation LLC
S2PEWKCZFFECR4533P43
Constellation Energy Generation LLC
30161MAJ2
235000.00000000
PA
USD
228135.01000000
0.010703362522
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
5.75000000
N
N
N
N
N
N
PNMAC GMSR Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST, Series 2022-GT1, Class A
69354WAF3
3450000.00000000
PA
USD
3432952.17000000
0.161063098549
Long
ABS-O
CORP
US
Y
2
2027-05-25
Floating
8.73412920
N
N
N
N
N
N
Targa Resources Corp.
5493003QENHHS261UR94
Targa Resources Corp.
87612GAA9
400000.00000000
PA
USD
348254.67000000
0.016338991473
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.20000000
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NBK6
1000000.00000000
PA
USD
987451.89000000
0.046328073680
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
5.30000000
N
N
N
N
N
N
HF Sinclair Corp.
N/A
HF Sinclair Corp.
403949AA8
1275000.00000000
PA
USD
1251677.85000000
0.058724707751
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-33, Class CI
38374UKD2
68538.60000000
PA
USD
7786.26000000
0.000365306330
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2009-62, Class HJ
31396QTN9
13491.10000000
PA
USD
13448.46000000
0.000630958583
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128QSZC3
10041.38000000
PA
USD
9909.90000000
0.000464940704
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
3.84500160
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140J2H58
4477526.45000000
PA
USD
3636623.65000000
0.170618710754
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
11625.15000000
PA
USD
11918.45000000
0.000559175424
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
250316.50000000
PA
USD
12155.39000000
0.000570291888
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
2.15214120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202DYY1
53208.58000000
PA
USD
53097.21000000
0.002491150689
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
72766.54000000
PA
USD
68380.46000000
0.003208191731
Long
ABS-MBS
CORP
US
N
2
2034-04-21
Variable
4.06382040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2008-27, Class SN
31396Y4G4
73111.12000000
PA
USD
6976.65000000
0.000327322028
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Floating
2.28300120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series G93-14, Class J
31358TV97
1.31000000
PA
USD
1.31000000
0.000000061460
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-40, Class SA
38375QKS7
1269020.39000000
PA
USD
62913.72000000
0.002951709835
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
1.81000080
N
N
N
N
N
N
Phillips 66 Co.
RVJMT2IZVVSKIRJJBH76
Phillips 66 Co.
718547AN2
300000.00000000
PA
USD
264554.28000000
0.012412037791
Long
DBT
CORP
US
Y
2
2046-10-01
Fixed
4.90000000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29364DAU4
175000.00000000
PA
USD
166740.65000000
0.007822936182
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AQ0
1591000.00000000
PA
USD
1535271.34000000
0.072030004174
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
432273.67000000
0.020280893313
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
139553.20000000
PA
USD
17383.72000000
0.000815588353
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
590309.71000000
0.027695437130
Long
DBT
CORP
US
N
2
2033-01-25
Variable
3.05700120
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
181.00000000
NC
USD
-93173.27000000
-0.00437139081
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 2 Year Note
2023-06-30
36877336.03000000
USD
-93173.27000000
N
N
N
Fortis, Inc.
549300MQYQ9Y065XPR71
Fortis, Inc.
349553AM9
500000.00000000
PA
USD
464264.18000000
0.021781785376
Long
DBT
CORP
CA
N
2
2026-10-04
Fixed
3.05500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2022-M13, Class A2
3136BNX43
6802000.00000000
PA
USD
5876043.06000000
0.275685082572
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Variable
2.59322760
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-34, Class AX
31393CDE0
101276.72000000
PA
USD
104185.01000000
0.004888026311
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
126690.85000000
PA
USD
124543.10000000
0.005843162559
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.64898880
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
86240.23000000
PA
USD
84690.87000000
0.003973423824
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
4.03552080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QB7
3300000.00000000
PA
USD
3399386.73000000
0.159488315825
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
579945.46000000
0.027209179782
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
64068.71000000
PA
USD
44772.49000000
0.002100581543
Long
ABS-MBS
CORP
US
N
2
2034-03-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-128, Class BP
31396PES6
42614.04000000
PA
USD
42353.47000000
0.001987088888
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
1182738.51000000
PA
USD
1139383.81000000
0.053456231776
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
1369448.95000000
0.064250149803
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
673662.60000000
0.031606087227
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
2541037.38000000
PA
USD
2458678.29000000
0.115353294806
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
1027812.60000000
PA
USD
1021043.84000000
0.047904100168
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Variable
4.89805920
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
5267.75000000
PA
USD
0.05000000
0.000000002345
Long
ABS-MBS
CORP
US
Y
2
2041-06-11
Variable
0.71605080
N
N
N
N
N
N
Brookfield Finance, Inc.
549300XH8D8K6OYWGD17
Brookfield Finance, Inc.
11271LAC6
337000.00000000
PA
USD
313777.29000000
0.014721423451
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
170968.24000000
0.008021281137
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
425642.23000000
0.019969767431
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
2550.01000000
PA
USD
2550.10000000
0.000119642508
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
187720.22000000
0.008807230277
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
10600000.00000000
PA
USD
9870764.10000000
0.463104573634
Long
DBT
UST
US
N
2
2024-08-15
None
0.00000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591EJ7
304000.00000000
PA
USD
291914.44000000
0.013695688692
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
257031.92000000
0.012059112801
Long
DBT
CORP
US
N
2
2038-05-15
Fixed
6.12500000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding
04685A2K6
3475000.00000000
PA
USD
3112261.12000000
0.146017303667
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
275801.29000000
PA
USD
282730.22000000
0.013264794565
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
139.57000000
PA
USD
138.54000000
0.000006499852
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Floating
2.58999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-42, Class AO
31396VM96
10631.83000000
PA
USD
9110.47000000
0.000427434014
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
205250.95000000
0.009629715868
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
190631.03000000
0.008943796141
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
480001.57000000
PA
USD
455206.80000000
0.021356842174
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
6460.14000000
PA
USD
6454.73000000
0.000302835216
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
94781.99290000
PA
USD
85113.02000000
0.003993229747
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
4.05395640
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2351, Class PZ
313399HV2
19323.12000000
PA
USD
19694.87000000
0.000924020094
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
799027.32000000
0.037487797560
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
785975.50000000
0.036875448053
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
636720.13800000
PA
USD
103392.46000000
0.004850842408
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
Tyson Foods, Inc.
WD6L6041MNRW1JE49D58
Tyson Foods, Inc.
902494AY9
210000.00000000
PA
USD
190848.87000000
0.008954016495
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
62898.20000000
PA
USD
3846.73000000
0.000180476226
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
1.58299920
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967AR2
250000.00000000
PA
USD
267633.62000000
0.012556510542
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31381RTA2
2395454.34000000
PA
USD
2376662.19000000
0.111505362606
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.54000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DS6
1950000.00000000
PA
USD
1925689.86000000
0.090347188174
Long
DBT
CORP
US
N
2
2043-03-02
Fixed
5.60000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-65, Class QO
31396KAA0
124067.99000000
PA
USD
104377.40000000
0.004897052632
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
468963.78000000
0.022002275526
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
5070984.94000000
0.237914339230
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
82179.06000000
PA
USD
15423.65000000
0.000723628159
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
19779.48000000
PA
USD
19507.90000000
0.000915248061
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
5.02786080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3074, Class BH
31396FM83
121734.13000000
PA
USD
120065.61000000
0.005633093098
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Fixed
5.00000000
N
N
N
N
N
N
2023-03-30
JPMorgan Institutional Trust
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer