0001752724-24-143664.txt : 20240625
0001752724-24-143664.hdr.sgml : 20240625
20240625125214
ACCESSION NUMBER: 0001752724-24-143664
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240430
FILED AS OF DATE: 20240625
DATE AS OF CHANGE: 20240625
PERIOD START: 20240430
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MFS SERIES TRUST XII
CENTRAL INDEX KEY: 0001330967
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0430
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21780
FILM NUMBER: 241067615
BUSINESS ADDRESS:
STREET 1: 111 HUNTINGTON AVENUE
CITY: BOSTON
STATE: MA
ZIP: 02199
BUSINESS PHONE: 617-954-5000
MAIL ADDRESS:
STREET 1: 111 HUNTINGTON AVENUE
CITY: BOSTON
STATE: MA
ZIP: 02199
FORMER COMPANY:
FORMER CONFORMED NAME: MFS Series Trust XII
DATE OF NAME CHANGE: 20050622
0001330967
S000076470
MFS Core Bond Fund
C000236386
R4
MCBKX
C000236387
R6
MCBMX
C000236388
R3
MCBJX
C000236389
A
MCBEX
C000236390
R1
MCBGX
C000236391
I
MCBFX
C000236392
C
MCBCX
C000236393
R2
MCBHX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001330967
XXXXXXXX
S000076470
C000236393
C000236390
C000236392
C000236388
C000236387
C000236386
C000236389
C000236391
MFS Series Trust XII
811-21780
0001330967
549300VVIIPRJRW6FR46
111 Huntington Avenue
Boston
02199
617-954-5000
MFS Core Bond Fund
S000076470
5493007VGRIDZH3OJY65
2024-04-30
2024-04-30
N
31305144.86
2214480.12
29090664.74
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1892845.02000000
0.00000000
0.00000000
0.00000000
USD
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BBG Barc US Aggregate Index
LBSTRUU
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QNDF6
46818.37000000
PA
USD
35480.37000000
0.121964796325
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XVS2
71169.11000000
PA
USD
68189.03000000
0.234401759497
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2U6
162000.00000000
PA
USD
136754.01000000
0.470095857974
Long
DBT
CORP
US
N
2
2033-03-02
Variable
3.35000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBJ2
118000.00000000
PA
USD
113570.79000000
0.390402869838
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
4.95000000
N
N
N
N
N
N
Consumers 2023 Securitization Funding LLC
N/A
Consumers 2023 Securitization Funding LLC, Series A1
21071BAA3
44000.00000000
PA
USD
43843.90000000
0.150714672187
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3138ELN41
41161.00000000
PA
USD
36904.00000000
0.126858565556
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XTD8
137780.01000000
PA
USD
135204.02000000
0.464767722595
Long
ABS-MBS
USGA
US
N
2
2053-02-20
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCD6
152000.00000000
PA
USD
109801.76000000
0.377446720387
Long
DBT
CORP
US
N
2
2042-04-22
Variable
3.15700000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QCQ82
34941.42000000
PA
USD
29352.68000000
0.100900685021
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TL2
383000.00000000
PA
USD
335603.75000000
1.153647580759
Long
DBT
UST
US
N
2
2052-11-15
Fixed
4.00000000
N
N
N
N
N
N
Adventist Health System
5493008YM33UCY5QPW83
Adventist Health System
007944AH4
75000.00000000
PA
USD
73567.10000000
0.252889030407
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
5.43000000
N
N
N
N
N
N
Philip Morris International, Inc.
HL3H1H2BGXWVG3BSWR90
Philip Morris International, Inc.
718172CW7
11000.00000000
PA
USD
11092.93000000
0.038132267169
Long
DBT
CORP
US
N
2
2029-11-17
Fixed
5.62500000
N
N
N
N
N
N
GLP Capital LP
N/A
GLP Capital LP
361841AL3
64000.00000000
PA
USD
62130.49000000
0.213575353314
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CP2
150000.00000000
PA
USD
136455.31000000
0.469069068099
Long
DBT
CORP
DE
N
2
2027-11-16
Variable
2.31100000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2024-1A, Class A
12327CAA2
100000.00000000
PA
USD
99881.70000000
0.343346227708
Long
ABS-O
CORP
US
Y
2
2039-05-15
Fixed
6.19700000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBM7
102000.00000000
PA
USD
74161.41000000
0.254931988192
Long
DBT
CORP
US
N
2
2041-04-22
Variable
3.10900000
N
N
N
N
N
N
Westinghouse Air Brake Technologies Corp.
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp.
960386AQ3
129000.00000000
PA
USD
125202.57000000
0.430387449441
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.20000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GEZ8
150000.00000000
PA
USD
136176.60000000
0.468110994427
Long
DBT
CORP
US
Y
2
2029-03-21
Fixed
3.30000000
N
N
N
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
92857WBY5
22000.00000000
PA
USD
20593.38000000
0.070790338357
Long
DBT
CORP
GB
N
2
2053-02-10
Fixed
5.62500000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAJ0
78000.00000000
PA
USD
71918.73000000
0.247222710937
Long
DBT
CORP
KY
Y
2
2027-02-15
Fixed
3.25000000
N
N
N
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VAH4
79000.00000000
PA
USD
74037.73000000
0.254506834621
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.65000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179W7L6
216947.92000000
PA
USD
191148.84000000
0.657079656681
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWE41
186323.13000000
PA
USD
160745.11000000
0.552565956937
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
3.50000000
N
N
N
N
N
N
Macquarie Group Ltd.
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd.
55608JBE7
148000.00000000
PA
USD
133535.24000000
0.459031243161
Long
DBT
CORP
AU
Y
2
2033-06-21
Variable
4.44200000
N
N
N
N
N
N
Virginia Power Fuel Securitization LLC
254900BELJ95ONW6U791
Virginia Power Fuel Securitization LLC, Series A-1
92808VAA0
45000.00000000
PA
USD
44641.86000000
0.153457682727
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.08800000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179V4W7
20694.08000000
PA
USD
17612.28000000
0.060542721032
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYJ7
98000.00000000
PA
USD
78426.69000000
0.269594011346
Long
DBT
CORP
US
N
2
2032-07-21
Variable
2.38300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140KAJX5
49258.68000000
PA
USD
43073.89000000
0.148067740579
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Alimentation Couche-Tard, Inc.
549300OSW32RVX8CCZ87
Alimentation Couche-Tard, Inc.
01626PAM8
62000.00000000
PA
USD
54269.68000000
0.186553591968
Long
DBT
CORP
CA
Y
2
2030-01-25
Fixed
2.95000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133B2X95
45704.54000000
PA
USD
36294.48000000
0.124763322957
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCP8
22000.00000000
PA
USD
20827.27000000
0.071594341986
Long
DBT
CORP
US
N
2
2033-02-06
Fixed
4.90000000
N
N
N
N
N
N
MFS Institutional Money Market Portfolio
5L2W638H85N8T1136O07
MFS Institutional Money Market Portfolio, Class A
55291X109
2075468.17250000
NS
USD
2075468.17000000
7.134481760900
Long
STIV
RF
US
N
1
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-PC1, Class A5
12593GAF9
250000.00000000
PA
USD
245010.38000000
0.842230255615
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Fixed
3.90200000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWDR1
24181.09000000
PA
USD
19184.46000000
0.065947135177
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CS6
150000.00000000
PA
USD
152982.16000000
0.525880592166
Long
DBT
CORP
DE
N
2
2029-01-18
Variable
6.72000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWDZ3
25397.96000000
PA
USD
21003.56000000
0.072200343951
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWDC4
556102.89000000
PA
USD
420546.77000000
1.445641664632
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Genuine Parts Co.
549300D46DQVEU651W04
Genuine Parts Co.
372460AC9
115000.00000000
PA
USD
93543.33000000
0.321557897820
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140KELG1
24578.32000000
PA
USD
18725.21000000
0.064368450041
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 15 Year, Single Family
01F022451
100000.00000000
PA
USD
88529.59000000
0.304323021805
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XFF8
48397.89000000
PA
USD
42642.29000000
0.146584103117
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XNE2
70317.52000000
PA
USD
65545.74000000
0.225315373800
Long
ABS-MBS
USGA
US
N
2
2052-12-20
Fixed
4.50000000
N
N
N
N
N
N
Alcon Finance Corp.
549300CUZUI9VU7XNK42
Alcon Finance Corp.
01400EAD5
200000.00000000
PA
USD
169492.21000000
0.582634365748
Long
DBT
CORP
US
Y
2
2030-05-27
Fixed
2.60000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2022-159, Class MV
38383YLA8
22130.46000000
PA
USD
21068.83000000
0.072424711460
Long
ABS-MBS
USGA
US
N
2
2033-10-20
Fixed
4.50000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F022659
275000.00000000
PA
USD
217540.39000000
0.747801371829
Long
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418DKQ4
52450.13000000
PA
USD
41929.91000000
0.144135276298
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
2.50000000
N
N
N
N
N
N
Nissan Master Owner Trust Receivables
N/A
Nissan Master Owner Trust Receivables, Series 2024-A, Class A
65479VAA4
100000.00000000
PA
USD
100033.92000000
0.343869488353
Long
ABS-O
CORP
US
Y
2
2028-02-15
Floating
6.00001920
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179XQW9
23486.14000000
PA
USD
22497.16000000
0.077334637077
Long
ABS-MBS
USGA
US
N
2
2053-01-20
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAK0
103000.00000000
PA
USD
85483.82000000
0.293853099487
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XFH4
160170.90000000
PA
USD
149318.02000000
0.513285005119
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XF4R9
273384.86000000
PA
USD
225917.19000000
0.776596863698
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Dryden 68 CLO Ltd.
254900MX6QAMC9XBAB53
Dryden 68 CLO Ltd., Series 2019-68A, Class BR
26252QAL6
250000.00000000
PA
USD
249756.50000000
0.858545180153
Long
ABS-CBDO
CORP
KY
Y
2
2035-07-15
Floating
7.29016920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QBR67
29885.35000000
PA
USD
25260.56000000
0.086833904366
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JW8
108000.00000000
PA
USD
97181.06000000
0.334062699730
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GXG4
172000.00000000
PA
USD
147528.96000000
0.507135059712
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
2.60000000
N
N
N
N
N
N
Empire District Bondco LLC
N/A
Empire District Bondco LLC, Series A-1
291918AA8
41000.00000000
PA
USD
40182.29000000
0.138127782087
Long
DBT
CORP
US
N
2
2033-01-01
Fixed
4.94300000
N
N
N
N
N
N
Corebridge Financial, Inc.
549300XY1661QCIA7J65
Corebridge Financial, Inc.
21871XAH2
82000.00000000
PA
USD
71536.17000000
0.245907649891
Long
DBT
CORP
US
N
2
2032-04-05
Fixed
3.90000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAV7
150000.00000000
PA
USD
138589.78000000
0.476406370355
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TZ1
50000.00000000
PA
USD
47468.75000000
0.163175198725
Long
DBT
UST
US
N
2
2044-02-15
Fixed
4.50000000
N
N
N
N
N
N
Marriott International, Inc.
225YDZ14ZO8E1TXUSU86
Marriott International, Inc., Series FF
571903BE2
108000.00000000
PA
USD
102631.10000000
0.352797369593
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.62500000
N
N
N
N
N
N
Diageo Capital plc
213800L23DJLALFC4O95
Diageo Capital plc
25243YBB4
200000.00000000
PA
USD
173087.80000000
0.594994310191
Long
DBT
CORP
GB
N
2
2029-10-24
Fixed
2.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H052652
125000.00000000
PA
USD
122540.42000000
0.421236231950
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3131XV5V3
25561.19000000
PA
USD
22599.26000000
0.077685608775
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QEWL2
28333.96000000
PA
USD
22836.40000000
0.078500784372
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QK3Q9
89077.10000000
PA
USD
64104.91000000
0.220362479073
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
1.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418D4X7
46687.63000000
PA
USD
35402.48000000
0.121697047201
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179W7H5
97850.01000000
PA
USD
77093.58000000
0.265011407229
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418E3E8
49564.82000000
PA
USD
48124.15000000
0.165428155149
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133AFX22
23361.94000000
PA
USD
18499.12000000
0.063591259138
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XFG6
45940.48000000
PA
USD
41642.16000000
0.143146127364
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140LUUH2
49159.90000000
PA
USD
35276.27000000
0.121263196682
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
1.50000000
N
N
N
N
N
N
Philip Morris International, Inc.
HL3H1H2BGXWVG3BSWR90
Philip Morris International, Inc.
718172CX5
48000.00000000
PA
USD
48325.59000000
0.166120610965
Long
DBT
CORP
US
N
2
2032-11-17
Fixed
5.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300S7ENI2U7O0XH56
Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class A4
94989JAZ9
250000.00000000
PA
USD
243636.28000000
0.837506747190
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
3.54000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XFNJ6
170249.19000000
PA
USD
134833.12000000
0.463492743136
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F062655
50000.00000000
PA
USD
50377.05000000
0.173172563948
Long
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
6.50000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2023-BNK46, Class A4
06541DBH6
145414.00000000
PA
USD
146339.25000000
0.503045397236
Long
ABS-MBS
CORP
US
N
2
2056-08-15
Fixed
5.74500000
N
N
N
N
N
N
Waste Management, Inc.
549300YX8JIID70NFS41
Waste Management, Inc.
94106LBW8
179000.00000000
PA
USD
172104.71000000
0.591614909931
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
4.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TD0
800000.00000000
PA
USD
487843.75000000
1.676976976497
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TM0
437000.00000000
PA
USD
389356.76000000
1.338425104685
Long
DBT
UST
US
N
2
2042-11-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XHX7
68009.54000000
PA
USD
61646.40000000
0.211911279962
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
4.00000000
N
N
N
N
N
N
LPL Holdings, Inc.
549300Z5YF8CCRMYUL26
LPL Holdings, Inc.
50212YAC8
43000.00000000
PA
USD
40974.58000000
0.140851301839
Long
DBT
CORP
US
Y
2
2027-11-15
Fixed
4.62500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEL5
127000.00000000
PA
USD
104830.81000000
0.360358936232
Long
DBT
CORP
US
N
2
2033-01-21
Variable
2.94300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CKA8
650000.00000000
PA
USD
637000.00000000
2.189705892571
Long
DBT
UST
US
N
2
2027-02-15
Fixed
4.12500000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 15 Year, Single Family
01F042459
50000.00000000
PA
USD
48341.07000000
0.166173823912
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179W7K8
89490.75000000
PA
USD
76151.90000000
0.261774355040
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140X7DN6
19663.06000000
PA
USD
19339.48000000
0.066480020903
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BB8
61000.00000000
PA
USD
58560.91000000
0.201304818997
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QDJD7
70738.01000000
PA
USD
56112.38000000
0.192887926424
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132A5G25
35162.35000000
PA
USD
30913.40000000
0.106265705085
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
Arrow Electronics, Inc.
549300YNNLBXT8N8R512
Arrow Electronics, Inc.
04273WAC5
147000.00000000
PA
USD
119869.74000000
0.412055692337
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
2.95000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3131WRFV2
27165.09000000
PA
USD
24358.13000000
0.083731775185
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fairfax Financial Holdings Ltd.
GLS7OQD0WOEDI8YAP031
Fairfax Financial Holdings Ltd.
303901BL5
85000.00000000
PA
USD
82506.36000000
0.283617994767
Long
DBT
CORP
CA
N
2
2032-08-16
Fixed
5.62500000
N
N
N
N
N
N
PNC Financial Services Group, Inc. (The)
CFGNEKW0P8842LEUIA51
PNC Financial Services Group, Inc. (The)
693475BW4
147000.00000000
PA
USD
144019.56000000
0.495071395883
Long
DBT
CORP
US
N
2
2035-01-22
Variable
5.67600000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing LLC, Series 2023-1, Class A2
29375CAB5
46405.12000000
PA
USD
46293.35000000
0.159134727287
Long
ABS-O
CORP
US
Y
2
2029-01-22
Fixed
5.51000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAH7
118000.00000000
PA
USD
108723.64000000
0.373740651757
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.45000000
N
N
N
N
N
N
KREF Ltd.
54930083ELM2GCMVTQ91
KREF Ltd., Series 2021-FL2, Class A
48275RAA5
199595.36000000
PA
USD
196103.84000000
0.674112612251
Long
ABS-CBDO
CORP
KY
Y
2
2039-02-15
Floating
6.50072160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QKNN4
92698.84000000
PA
USD
73416.40000000
0.252370994805
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2024-51, Class FJ
38384KSR3
24956.36000000
PA
USD
24956.54000000
0.085788826838
Long
ABS-MBS
USGA
US
N
2
2064-03-20
Floating
6.48034920
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AY4
87000.00000000
PA
USD
71994.37000000
0.247482725621
Long
DBT
CORP
US
Y
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Philip Morris International, Inc.
HL3H1H2BGXWVG3BSWR90
Philip Morris International, Inc.
718172CV9
25000.00000000
PA
USD
24767.18000000
0.085137896371
Long
DBT
CORP
US
N
2
2027-11-17
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
7.00000000
NC
USD
-69112.89000000
-0.23757755492
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury Ultra Bond
2024-06-18
836937.50000000
USD
-69112.89000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418ECQ1
69250.94000000
PA
USD
54930.90000000
0.188826554810
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
CNH Industrial Capital LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAL8
79000.00000000
PA
USD
74115.93000000
0.254775649378
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.87500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEC5
131000.00000000
PA
USD
119629.20000000
0.411228829142
Long
DBT
CORP
US
N
2
2027-07-20
Variable
1.51200000
N
N
N
N
N
N
MF1 Ltd.
N/A
MF1 Ltd., Series 2022-FL8, Class B
55284JAE9
100000.00000000
PA
USD
98062.85000000
0.337093878316
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-19
Floating
7.26882120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140NGC65
48331.49000000
PA
USD
45816.98000000
0.157497191657
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QMQ56
65004.67000000
PA
USD
51826.47000000
0.178154987048
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AE8
200000.00000000
PA
USD
156190.47000000
0.536909250427
Long
DBT
CORP
CH
Y
2
2032-02-11
Variable
2.09500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140X54P5
27022.82000000
PA
USD
21671.08000000
0.074494963225
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fiserv, Inc.
GI7UBEJLXYLGR2C7GV83
Fiserv, Inc.
337738BC1
88000.00000000
PA
USD
74893.42000000
0.257448293703
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class A5
94989HAQ3
250000.00000000
PA
USD
243014.78000000
0.835370322995
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
3.14800000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd.
N/A
Palmer Square Loan Funding Ltd., Series 2021-2A, Class A1
69702DAA5
48912.18000000
PA
USD
48912.18000000
0.168137031027
Long
ABS-CBDO
CORP
KY
Y
2
2029-05-20
Floating
6.38070120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418D7E6
28529.64000000
PA
USD
21627.74000000
0.074345980723
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Marathon Petroleum Corp.
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp.
56585AAH5
83000.00000000
PA
USD
69670.82000000
0.239495455407
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.75000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133AC2G2
28440.64000000
PA
USD
21637.95000000
0.074381077893
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179WY85
77454.12000000
PA
USD
61017.31000000
0.209748764922
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
2.00000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAE2
87000.00000000
PA
USD
80323.22000000
0.276113387981
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.20000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418ECU2
46050.78000000
PA
USD
39697.80000000
0.136462333723
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.00000000
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26882PBE1
36000.00000000
PA
USD
39388.53000000
0.135399209169
Long
DBT
CORP
US
Y
2
2037-10-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XLD6
156864.89000000
PA
USD
133484.78000000
0.458857785454
Long
ABS-MBS
USGA
US
N
2
2052-11-20
Fixed
3.00000000
N
N
N
N
N
N
Walt Disney Co. (The)
549300GZKULIZ0WOW665
Walt Disney Co. (The)
254687FY7
68000.00000000
PA
USD
52959.90000000
0.182051185400
Long
DBT
CORP
US
N
2
2040-05-13
Fixed
3.50000000
N
N
N
N
N
N
Time Warner Cable Enterprises LLC
N/A
Time Warner Cable Enterprises LLC
88731EAJ9
58000.00000000
PA
USD
62836.05000000
0.216000736186
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KLHG5
39577.88000000
PA
USD
28569.33000000
0.098207896778
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
1.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418EAN0
23912.89000000
PA
USD
18937.80000000
0.065099234305
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Booking Holdings, Inc.
FXM8FAOHMYDIPD38UZ17
Booking Holdings, Inc.
09857LAR9
138000.00000000
PA
USD
133029.44000000
0.457292541057
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418DYB2
19811.94000000
PA
USD
15059.92000000
0.051768909836
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Las Vegas Sands Corp.
549300DUOO1KXOHPM605
Las Vegas Sands Corp.
517834AF4
65000.00000000
PA
USD
57999.73000000
0.199375746544
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BL7
98000.00000000
PA
USD
74919.71000000
0.257538666337
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAZ8
83000.00000000
PA
USD
67507.42000000
0.232058705441
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140X87M3
9483.45000000
PA
USD
8599.21000000
0.029560032666
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QDT38
28965.21000000
PA
USD
23286.62000000
0.080048428621
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
97000.00000000
PA
USD
83091.47000000
0.285629327286
Long
DBT
CORP
US
N
2
2031-01-22
Variable
2.69900000
N
N
N
N
N
N
GLS Auto Select Receivables Trust
N/A
GLS Auto Select Receivables Trust, Series 2023-1A, Class A2
36267FAC2
43049.71000000
PA
USD
43180.62000000
0.148434628035
Long
ABS-O
CORP
US
Y
2
2027-08-16
Fixed
6.27000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKD0
302000.00000000
PA
USD
243627.36000000
0.837476084432
Long
DBT
CORP
US
N
2
2032-10-20
Variable
2.57200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140MF4H3
44674.24000000
PA
USD
41184.20000000
0.141571876641
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KRJP0
74335.69000000
PA
USD
72257.48000000
0.248387173843
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133CA7G9
24920.36000000
PA
USD
25128.61000000
0.086380322431
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
6.50000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGJ7
57000.00000000
PA
USD
47302.97000000
0.162605325188
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Philip Morris International, Inc.
HL3H1H2BGXWVG3BSWR90
Philip Morris International, Inc.
718172DA4
52000.00000000
PA
USD
51116.67000000
0.175715029054
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
5.12500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A5
95000TBS4
175000.00000000
PA
USD
161287.53000000
0.554430541348
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.63500000
N
N
N
N
N
N
Ashtead Capital, Inc.
213800J1134IW58IC398
Ashtead Capital, Inc.
04505AAA7
200000.00000000
PA
USD
191763.48000000
0.659192499428
Long
DBT
CORP
US
Y
2
2032-08-11
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418DJR4
15054.10000000
PA
USD
12646.35000000
0.043472193272
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Masco Corp.
5GCSNMQXHEYA1JO8QN11
Masco Corp.
574599BQ8
117000.00000000
PA
USD
93281.55000000
0.320658021512
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.00000000
N
N
N
N
N
N
Kubota Credit Owner Trust
N/A
Kubota Credit Owner Trust, Series 2023-2A, Class A2
500945AB6
90932.01000000
PA
USD
90840.43000000
0.312266601027
Long
ABS-O
CORP
US
Y
2
2026-07-15
Fixed
5.61000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ACA1
69000.00000000
PA
USD
60999.31000000
0.209686889403
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QMAL8
49505.80000000
PA
USD
40942.42000000
0.140740750910
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H060655
50000.00000000
PA
USD
50126.00000000
0.172309572325
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
6.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class A4
46643TBJ0
75000.00000000
PA
USD
73735.97000000
0.253469525908
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
3.49430000
N
N
N
N
N
N
Stellantis Finance US, Inc.
549300QZ0AI8Q7LNON33
Stellantis Finance US, Inc.
85855CAB6
200000.00000000
PA
USD
163603.07000000
0.562390276957
Long
DBT
CORP
US
Y
2
2031-09-15
Fixed
2.69100000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KM4Q5
90090.75000000
PA
USD
71336.46000000
0.245221141000
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418EDC1
74902.88000000
PA
USD
59436.47000000
0.204314581778
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140MULM0
22359.64000000
PA
USD
20612.77000000
0.070856992042
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TF5
1288000.00000000
PA
USD
903059.06000000
3.104291593441
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.37500000
N
N
N
N
N
N
Kenvue, Inc.
5493008HSF8L4M2LIJ82
Kenvue, Inc.
49177JAK8
60000.00000000
PA
USD
58074.11000000
0.199631429941
Long
DBT
CORP
US
N
2
2033-03-22
Fixed
4.90000000
N
N
N
N
N
N
Warnermedia Holdings, Inc.
549300DXR29GD4N0A520
Warnermedia Holdings, Inc.
55903VBE2
161000.00000000
PA
USD
123312.15000000
0.423889076107
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
MF1 Ltd.
N/A
MF1 Ltd., Series 2023-FL12, Class A
59319MAA1
128500.00000000
PA
USD
128735.12000000
0.442530692064
Long
ABS-CBDO
CORP
US
Y
2
2038-10-19
Floating
7.38482040
N
N
N
N
N
N
American Electric Power Co., Inc.
1B4S6S7G0TW5EE83BO58
American Electric Power Co., Inc.
025537AW1
43000.00000000
PA
USD
43448.05000000
0.149353926382
Long
DBT
CORP
US
N
2
2032-11-01
Fixed
5.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3138WHVM1
31186.23000000
PA
USD
26496.57000000
0.091082724430
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Rhode Island Student Loan Authority
N/A
Rhode Island Student Loan Authority
762323CU5
95000.00000000
PA
USD
92855.18000000
0.319192362326
Long
DBT
MUN
US
N
2
2042-12-01
Fixed
6.08100000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
2.00000000
NC
USD
-3858.13000000
-0.01326243327
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 2 Year Note
2024-06-28
405312.50000000
USD
-3858.13000000
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HCN3
160000.00000000
PA
USD
141262.20000000
0.485592891267
Long
DBT
CORP
US
N
2
2030-03-01
Variable
3.27300000
N
N
N
N
N
N
MF1 LLC
N/A
MF1 LLC, Series 2022-FL10, Class AS
55285BAC9
250000.00000000
PA
USD
249993.93000000
0.859361352634
Long
ABS-CBDO
CORP
US
Y
2
2037-09-17
Floating
8.50582080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XX50
167351.76000000
PA
USD
160306.09000000
0.551056813011
Long
ABS-MBS
USGA
US
N
2
2053-04-20
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133BEW58
256195.82000000
PA
USD
211809.94000000
0.728102784494
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179X2J4
49280.90000000
PA
USD
45908.51000000
0.157811828675
Long
ABS-MBS
USGA
US
N
2
2053-05-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DQDZ6
23536.25000000
PA
USD
23075.10000000
0.079321322514
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
Roper Technologies, Inc.
54930003T4SXCIWVXY35
Roper Technologies, Inc.
776743AJ5
89000.00000000
PA
USD
72778.20000000
0.250177163878
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3142GQPL0
49874.20000000
PA
USD
43007.72000000
0.147840279293
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBP0
72000.00000000
PA
USD
61616.91000000
0.211809907235
Long
DBT
CORP
US
N
2
2031-05-13
Variable
2.95600000
N
N
N
N
N
N
BAT International Finance plc
21380041YBGOQDFAC823
BAT International Finance plc
05530QAP5
158000.00000000
PA
USD
151132.77000000
0.519523260643
Long
DBT
CORP
GB
N
2
2028-03-16
Fixed
4.44800000
N
N
N
N
N
N
BDS Ltd.
N/A
BDS Ltd., Series 2021-FL7, Class A
05493FAA7
117324.15000000
PA
USD
116196.08000000
0.399427380015
Long
ABS-CBDO
CORP
KY
Y
2
2036-06-16
Floating
6.50337120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418EE89
288501.50000000
PA
USD
232903.44000000
0.800612299793
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
2.00000000
N
N
N
N
N
N
Alimentation Couche-Tard, Inc.
549300OSW32RVX8CCZ87
Alimentation Couche-Tard, Inc.
01626PAP1
117000.00000000
PA
USD
85567.96000000
0.294142333166
Long
DBT
CORP
CA
Y
2
2041-05-13
Fixed
3.43900000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F040651
224324.00000000
PA
USD
200618.53000000
0.689631989481
Long
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140N83H9
73885.31000000
PA
USD
73517.31000000
0.252717875844
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 15 Year, Single Family
01F020455
75000.00000000
PA
USD
64599.67000000
0.222063230858
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
2.00000000
N
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AW0
200000.00000000
PA
USD
199251.41000000
0.684932475008
Long
DBT
CORP
GB
Y
2
2030-04-01
Fixed
5.62500000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F060659
200000.00000000
PA
USD
198140.64000000
0.681114171061
Long
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
6.00000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAS0
63000.00000000
PA
USD
57388.92000000
0.197276069532
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H022655
325000.00000000
PA
USD
266398.85000000
0.915753738805
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
2.50000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBV2
108000.00000000
PA
USD
98627.63000000
0.339035325873
Long
DBT
CORP
US
Y
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWDY6
19715.20000000
PA
USD
15610.45000000
0.053661372607
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PDA1
74000.00000000
PA
USD
71537.11000000
0.245910881168
Long
DBT
CORP
US
N
2
2028-04-26
Variable
4.32300000
N
N
N
N
N
N
Targa Resources Corp.
5493003QENHHS261UR94
Targa Resources Corp.
87612GAC5
138000.00000000
PA
USD
139717.67000000
0.480283524796
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
6.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140M83M9
71146.82000000
PA
USD
53836.58000000
0.185064798213
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2023-40, Class FX
38383WQB5
31050.26000000
PA
USD
30431.29000000
0.104608438040
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Floating
5.52992040
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CL9
88000.00000000
PA
USD
68896.55000000
0.236833879925
Long
DBT
CORP
US
Y
2
2030-10-01
Fixed
1.80000000
N
N
N
N
N
N
LPL Holdings, Inc.
549300Z5YF8CCRMYUL26
LPL Holdings, Inc.
50212YAH7
11000.00000000
PA
USD
11305.30000000
0.038862295176
Long
DBT
CORP
US
N
2
2028-11-17
Fixed
6.75000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAH5
77000.00000000
PA
USD
63245.72000000
0.217408988640
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H020659
250000.00000000
PA
USD
196691.74000000
0.676133535475
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XCZD3
23426.95000000
PA
USD
18056.36000000
0.062069258854
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Dryden 113 CLO Ltd.
254900XN9Y85HJGYJ219
Dryden 113 CLO Ltd., Series 2022-113A, Class A1R
26253EAP3
250000.00000000
PA
USD
250550.25000000
0.861273718697
Long
ABS-CBDO
CORP
JE
Y
2
2035-10-20
Floating
6.95455920
N
N
N
N
N
N
ACRES Commercial Realty Ltd.
N/A
ACRES Commercial Realty Ltd., Series 2021-FL2, Class C
00500JAG8
200000.00000000
PA
USD
194186.18000000
0.667520600631
Long
ABS-CBDO
CORP
US
Y
2
2037-01-15
Floating
8.08071840
N
N
N
N
N
N
ARI Fleet Lease Trust
N/A
ARI Fleet Lease Trust, Series 2023-B, Class A2
04033GAB3
100000.00000000
PA
USD
100290.08000000
0.344750045749
Long
ABS-O
CORP
US
Y
2
2032-07-15
Fixed
6.05000000
N
N
N
N
N
N
Ready Capital Mortgage Financing LLC
N/A
Ready Capital Mortgage Financing LLC, Series 2022-FL9, Class AS
75574EAC1
250000.00000000
PA
USD
249998.80000000
0.859378093400
Long
ABS-MBS
CORP
US
Y
2
2037-06-25
Floating
8.42784840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418CBZ6
42623.70000000
PA
USD
39027.35000000
0.134157642490
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XHHS9
47778.15000000
PA
USD
36186.46000000
0.124392001088
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Corebridge Financial, Inc.
549300XY1661QCIA7J65
Corebridge Financial, Inc.
21871XAS8
42000.00000000
PA
USD
41258.55000000
0.141827456913
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.75000000
N
N
N
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The)
808513CE3
198000.00000000
PA
USD
197152.04000000
0.677715830016
Long
DBT
CORP
US
N
2
2034-05-19
Variable
5.85300000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179X2K1
48277.49000000
PA
USD
46226.78000000
0.158905890989
Long
ABS-MBS
USGA
US
N
2
2053-05-20
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CJT9
2550000.00000000
PA
USD
2491330.08000000
8.564019084013
Long
DBT
UST
US
N
2
2027-01-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 15 Year, Single Family
01F030454
100000.00000000
PA
USD
90710.04000000
0.311818381637
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
3.00000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBS4
69000.00000000
PA
USD
56263.89000000
0.193408746423
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
-6.00000000
NC
USD
20365.54000000
0.070007131779
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 10 Year Ultra Note
2024-06-18
-661312.50000000
USD
20365.54000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H030658
75000.00000000
PA
USD
63794.12000000
0.219294129474
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140N5MY7
44826.68000000
PA
USD
43651.99000000
0.150054976021
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2022-3A, Class A
68269PAA5
89000.00000000
PA
USD
89088.96000000
0.306245872331
Long
ABS-O
CORP
US
Y
2
2034-05-15
Fixed
5.94000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWE66
136275.85000000
PA
USD
125629.56000000
0.431855239895
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175AZ7
69000.00000000
PA
USD
65198.07000000
0.224120248137
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38400000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TW8
100000.00000000
PA
USD
98093.75000000
0.337200097958
Long
DBT
UST
US
N
2
2043-11-15
Fixed
4.75000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCU8
69000.00000000
PA
USD
57331.35000000
0.197078170995
Long
DBT
CORP
US
N
2
2033-01-25
Variable
2.96300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418EDB3
358646.98000000
PA
USD
271188.04000000
0.932216717712
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140N24Z1
21110.76000000
PA
USD
19640.83000000
0.067515920229
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133ANJA3
74692.01000000
PA
USD
61768.43000000
0.212330761610
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
3.00000000
N
N
N
N
N
N
Verisk Analytics, Inc.
549300I1YSWNIRKBWP67
Verisk Analytics, Inc.
92345YAH9
70000.00000000
PA
USD
70520.20000000
0.242415223681
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.75000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBG0
83000.00000000
PA
USD
73826.73000000
0.253781516028
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
1.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140MN3E4
22262.82000000
PA
USD
20523.55000000
0.070550295716
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XHKX4
43799.06000000
PA
USD
35094.86000000
0.120639594569
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Toyota Lease Owner Trust
5493000CIH8ERWDIA629
Toyota Lease Owner Trust, Series 2023-A, Class A2
89239MAB3
7975.53000000
PA
USD
7966.23000000
0.027384145639
Long
ABS-O
CORP
US
Y
2
2025-08-20
Fixed
5.30000000
N
N
N
N
N
N
Plains All American Pipeline LP
N/A
Plains All American Pipeline LP
72650RBN1
174000.00000000
PA
USD
155934.97000000
0.536030961800
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.80000000
N
N
N
N
N
N
East Ohio Gas Co. (The)
BC95Y6MXLT75BGO7UM71
East Ohio Gas Co. (The)
27409LAC7
176000.00000000
PA
USD
141437.62000000
0.486195902582
Long
DBT
CORP
US
Y
2
2030-06-15
Fixed
2.00000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAG6
79000.00000000
PA
USD
76106.11000000
0.261616950592
Long
DBT
CORP
KY
Y
2
2026-05-01
Fixed
4.37500000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AX4
75000.00000000
PA
USD
70414.67000000
0.242052461259
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
21H062651
50000.00000000
PA
USD
50623.92000000
0.174021186701
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
6.50000000
N
N
N
N
N
N
Rogers Communications, Inc.
5493000M6Z4XFIP6PF03
Rogers Communications, Inc.
775109CH2
146000.00000000
PA
USD
127379.29000000
0.437869987291
Long
DBT
CORP
CA
N
2
2032-03-15
Fixed
3.80000000
N
N
N
N
N
N
BSPRT Issuer Ltd.
N/A
BSPRT Issuer Ltd., Series 2021-FL6, Class C
05601HAG9
100000.00000000
PA
USD
96221.80000000
0.330765215783
Long
ABS-CBDO
CORP
KY
Y
2
2036-03-15
Floating
7.48545840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XBT2
24739.30000000
PA
USD
22424.69000000
0.077085519359
Long
ABS-MBS
USGA
US
N
2
2052-07-20
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133GG2J1
91739.66000000
PA
USD
79164.68000000
0.272130873280
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QNQ21
22580.61000000
PA
USD
18681.28000000
0.064217439398
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 15 Year, Single Family
01F050452
50000.00000000
PA
USD
49082.54000000
0.168722648446
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA
36179XLG9
69889.84000000
PA
USD
65150.75000000
0.223957584270
Long
ABS-MBS
USGA
US
N
2
2052-11-20
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QNE73
86264.00000000
PA
USD
69395.87000000
0.238550306843
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QRKT9
21549.83000000
PA
USD
22002.49000000
0.075634194669
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F032658
100000.00000000
PA
USD
86183.88000000
0.296259575950
Long
ABS-MBS
USGSE
US
N
2
2054-05-25
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418EE97
86732.49000000
PA
USD
72434.99000000
0.248997369593
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
2.50000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DY3
85000.00000000
PA
USD
82178.42000000
0.282490691548
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.30000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133KN2Y8
24229.73000000
PA
USD
19217.94000000
0.066062223643
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133AWL77
23929.25000000
PA
USD
18245.44000000
0.062719226814
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133BFN48
208315.01000000
PA
USD
186684.80000000
0.641734390288
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.00000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AM2
163000.00000000
PA
USD
144435.29000000
0.496500479761
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.37500000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DWJQ7
98643.19000000
PA
USD
93493.80000000
0.321387637015
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132ACS27
33161.48000000
PA
USD
29408.19000000
0.101091502249
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133C4YZ1
49440.70000000
PA
USD
46866.14000000
0.161103709450
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.00000000
N
N
N
N
N
N
Brown & Brown, Inc.
549300PC8KTJ71XKFY89
Brown & Brown, Inc.
115236AE1
84000.00000000
PA
USD
74749.27000000
0.256952773915
Long
DBT
CORP
US
N
2
2032-03-17
Fixed
4.20000000
N
N
N
N
N
N
LPL Holdings, Inc.
549300Z5YF8CCRMYUL26
LPL Holdings, Inc.
50212YAF1
178000.00000000
PA
USD
158367.37000000
0.544392407033
Long
DBT
CORP
US
Y
2
2031-05-15
Fixed
4.37500000
N
N
N
N
N
N
LoanCore Issuer Ltd.
N/A
LoanCore Issuer Ltd., Series 2021-CRE5, Class B
53947XAG7
100000.00000000
PA
USD
97642.91000000
0.335650322440
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
7.43546160
N
N
N
N
N
N
MF1 Ltd.
N/A
MF1 Ltd., Series 2021-FL7, Class AS
55284AAC2
250000.00000000
PA
USD
245381.00000000
0.843504272566
Long
ABS-CBDO
CORP
KY
Y
2
2036-10-16
Floating
6.88336920
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DPPP7
91639.43000000
PA
USD
69500.94000000
0.238911488001
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XJXH1
21987.10000000
PA
USD
21833.88000000
0.075054592925
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
14.00000000
NC
USD
-28039.22000000
-0.09638562834
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 5 Year Note
2024-06-28
1466390.63000000
USD
-28039.22000000
N
N
N
Arbor Realty Commercial Real Estate Notes Ltd.
N/A
Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class B
03880KAE4
200000.00000000
PA
USD
193738.40000000
0.665981343951
Long
ABS-CBDO
CORP
KY
Y
2
2034-08-15
Floating
7.03545840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QQJS5
44788.89000000
PA
USD
41289.88000000
0.141935154693
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XL4T2
49506.46000000
PA
USD
42708.53000000
0.146811805029
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140A3YP2
49754.36000000
PA
USD
48348.40000000
0.166199020999
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
5.50000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2023-1A, Class A
23346KAA8
23116.85000000
PA
USD
23091.92000000
0.079379141750
Long
ABS-O
CORP
US
Y
2
2027-04-15
Fixed
5.48000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140QG5Y9
124212.40000000
PA
USD
98356.86000000
0.338104546180
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Lear Corp.
549300UPNBTXA1SYTQ33
Lear Corp.
521865AY1
68000.00000000
PA
USD
64383.53000000
0.221320243368
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
3.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418D4Y5
20455.13000000
PA
USD
16250.59000000
0.055861872340
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAK3
167000.00000000
PA
USD
140488.00000000
0.482931556413
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140XFTF8
43629.11000000
PA
USD
35071.47000000
0.120559190769
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132AEP42
18772.39000000
PA
USD
16578.09000000
0.056987663046
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
MSWF Commercial Mortgage Trust
N/A
MSWF Commercial Mortgage Trust, Series 2023-2, Class A5
55361AAU8
69165.00000000
PA
USD
71361.06000000
0.245305704210
Long
ABS-MBS
CORP
US
N
2
2056-12-15
Variable
6.01400160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TU2
150000.00000000
PA
USD
140085.94000000
0.481549463554
Long
DBT
UST
US
N
2
2043-08-15
Fixed
4.37500000
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473QBD4
73000.00000000
PA
USD
68366.40000000
0.235011473993
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
5.65000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418ELX6
117032.37000000
PA
USD
111117.38000000
0.381969202124
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418EGG9
46769.99000000
PA
USD
38679.68000000
0.132962516826
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3133BJD41
120265.55000000
PA
USD
99430.28000000
0.341794458423
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEF4
650000.00000000
PA
USD
608537.11000000
2.091863886366
Long
DBT
UST
US
N
2
2027-03-31
Fixed
2.50000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark Mortgage Trust, Series 2023-V3, Class A3
08163VAC1
10878.00000000
PA
USD
11088.45000000
0.038116867040
Long
ABS-MBS
CORP
US
N
2
2056-07-15
Variable
6.36289920
N
N
N
N
N
N
Humana, Inc.
529900YLDW34GJAO4J06
Humana, Inc.
444859BV3
38000.00000000
PA
USD
37968.65000000
0.130518330671
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
5.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418EB90
389385.14000000
PA
USD
308668.53000000
1.061056984289
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Allegro CLO V Ltd.
254900TYK5TGNAFE3053
Allegro CLO V Ltd., Series 2017-1A, Class BR
01748RAN5
250000.00000000
PA
USD
249388.50000000
0.857280169528
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-16
Floating
7.03927080
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JF5
82000.00000000
PA
USD
73035.39000000
0.251061261929
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS
3132DQSY3
145353.00000000
PA
USD
141466.93000000
0.486296656554
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31417GLV6
6802.82000000
PA
USD
5841.30000000
0.020079637410
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC, Series 2023-1A, Class A1
165183CU6
75218.68000000
PA
USD
75041.26000000
0.257956497971
Long
ABS-O
CORP
US
Y
2
2035-05-15
Fixed
5.65000000
N
N
N
N
N
N
2024-05-30
MFS Series Trust XII
James Byrne
James Byrne
Assistant Treasurer